File Nos. 2-98772
811-4347
As filed with the Securities and Exchange Commission
On January 10, 1997
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SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-1A
REGISTRATION STATEMENT UNDER THE SECURITIES ACT OF 1933
Pre-Effective Amendment No. ____ / /
Post-Effective Amendment No. ____ / /
REGISTRATION STATEMENT UNDER THE INVESTMENT
COMPANY ACT OF 1940
Amendment No. 34 / X /
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GMO TRUST
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(Exact Name of Registrant as Specified in Charter)
40 Rowes Wharf, Boston, Massachusetts 02110
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(Address of principal executive offices)
617-330-7500
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(Registrant's telephone number, including area code)
with a copy to:
R. Jeremy Grantham J.B. Kittredge, Esq.
GMO Trust Ropes & Gray
40 Rowes Wharf One International Place
Boston, Massachusetts 02110 Boston, Massachusetts 02110
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(Name and address of agents for service)
Pursuant to Rule 24f-2 under the Investment Company Act of 1940, the
Registrant has registered an indefinite number or amount of its shares of
beneficial interest. The Registrant has filed a Rule 24f-2 Notice with respect
to the Registrant's fiscal year ended February 29, 1996 on April 26, 1996.
It is proposed that this filing will become effective:
/ X / Immediately upon filing pursuant to Section 8 of the Investment Company
Act of 1940.
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<TABLE>
<CAPTION>
GMO TRUST
(For Global Properties Fund)
CROSS REFERENCE SHEET
N-1A Item No. Location
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PART A
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<S> <C>
Item 1. Cover Page ....................................... Cover Page
Item 2. Synopsis.......................................... Schedule of Fees and
Expenses
Item 3. Condensed Financial
Information ...................................... Not Applicable
Item 4. General Description of
Registrant........................................ Organization and
Capitalization of
the Trust;
Investment
Objectives and
Policies;
Description and
Risks of Fund
Investments; Cover
Page
Item 5. Management of the Fund............................ Management of the
Trust
Item 5A. Management's Discussion
of Fund Performance............................... Not Applicable
Item 6. Capital Stock and Other
Securities........................................ Organization and
Capitalization of
the Trust; Back
Cover (Shareholder
Inquiries)
Item 7. Purchase of Securities Being
Offered........................................... Purchase of Shares;
Determination of Net
Asset Value
Item 8. Redemption or Repurchase.......................... Redemption of
Shares;
Determination of Net
Asset Value
Item 9. Pending Legal Proceedings......................... None
Part B
Item 10. Cover Page........................................ Cover Page
Item 11. Table of Contents................................. Table of Contents
Item 12. General Information and
History.................................... Not Applicable
Item 13. Investment Objectives
and Policies............................... Investment
Objectives and
Policies; Investment
Restrictions
Item 14. Management of the Fund............................ Management of the
Trust
Item 15. Control Persons and Principal
Holders of Securities...................... Description of the
Trust and Ownership
of Shares
Item 16. Investment Advisory and Other
Services................................... Investment Advisory
and Other Services
Item 17. Brokerage Allocation and Other
Practices.................................. Portfolio
Transactions
Item 18. Capital Stock and Other
Securities................................. Description of the
Trust and Ownership
of Shares
Item 19. Purchase, Redemption and Pricing
of Securities Being Offered................ See in Part A
Purchase of Shares;
Redemption of
Shares;
Determination of Net
Asset Value
Item 20. Tax Status........................................ Income, Dividends,
Distributions and
Tax Status
Item 21. Underwriters...................................... Not Applicable
Item 22. Calculation of Performance
Data....................................... Not Applicable
Item 23. Financial Statements.............................. Financial Statements
</TABLE>
Part C
Information to be included in Part C is set forth under the appropriate
item, so numbered, in Part C of this Registration Statement.
The following documents are incorporated herein by reference:
(1) The Prospectus relating to the Core Fund, the Tobacco-Free Core Fund,
the Value Fund, the Growth Fund, the U.S. Sector Fund, the Small Cap
Value Fund, the Small Cap Growth Fund, the Fundamental Value Fund, the
REIT Fund, the International Core Fund, the Currency Hedged
International Fund, the Foreign Fund, the Global Fund, the International
Small Companies Fund, the Japan Fund, the Emerging Markets Fund, the
Short-Term Income Fund, the Global Hedged Equity Fund, the Domestic Bond
Fund, the International Bond Fund, the Currency Hedged International
Bond Fund, the Global Bond Fund, the Emerging Country Debt Fund, the
Inflation Indexed Bond Fund, the International Equity Allocation Fund,
the World Equity Allocation Fund, the Global (U.S.+) Equity Allocation
Fund and the Global Balanced Allocation Fund, each a series of GMO
Trust, contained in Post-Effective Amendment No. 33 to the Trust's
Registration Statement under the Investment Company Act of 1940 and
Post-Effective Amendment No. 32 to the Trust's Registration Statement
under the Securities Act of 1933 (File Nos. 2-98772, 811-4347), filed
with the Securities and Exchange Commission on November 27, 1996.
(2) The Statement of Additional Information (including the audited and
unaudited financial highlights contained therein and the audited and
unaudited financial statements incorporated by reference therein)
relating to the Core Fund, the Tobacco-Free Core Fund, the Value Fund,
the Growth Fund, the U.S. Sector Fund, the Small Cap Value Fund, the
Small Cap Growth Fund, the Fundamental Value Fund, the REIT Fund, the
International Core Fund, the Currency Hedged International Fund, the
Foreign Fund, the Global Fund, the International Small Companies Fund,
the Japan Fund, the Emerging Markets Fund, the Short-Term Income Fund,
the Global Hedged Equity Fund, the Domestic Bond Fund, the International
Bond Fund, the Currency Hedged International Bond Fund, the Global Bond
Fund, the Emerging Country Debt Fund, the Inflation Indexed Bond Fund,
the International Equity Allocation Fund, the World Equity Allocation
Fund, the Global (U.S.+) Equity Allocation Fund and the Global Balanced
Allocation Fund, each a series of GMO Trust, contained in Post-Effective
Amendment No. 33 to the Trust's Registration Statement under the
Investment Company Act of 1940 and Post-Effective Amendment No. 32 to
the Trust's Registration Statement under the Securities Act of 1933
(File Nos. 2-98772, 811- 4347), filed with the Securities and Exchange
Commission on November 27, 1996.
(3) The Prospectus relating to the Pelican Fund, a series of GMO Trust,
contained in Post- Effective Amendment No. 29 to the Trust's
Registration Statement (File Nos. 2-98772, 811-4347) filed with the
Securities and Exchange Commission on June 28, 1996;
(4) The Statement of Additional Information (including the audited financial
highlights contained therein and the audited financial statements
incorporated by reference therein) relating to the Pelican Fund, a
series of GMO Trust, contained in Post-Effective Amendment No. 29 to the
Trust's Registration Statement (File Nos. 2-98772, 811-4347) filed with
the Securities and Exchange Commission on June 28, 1996.
PRIVATE PLACEMENT MEMORANDUM
DECEMBER 20, 1996
GMO GLOBAL PROPERTIES FUND
40 ROWES WHARF, BOSTON, MASSACHUSETTS 02110
The GMO GLOBAL PROPERTIES FUND (the "Fund") is one of thirty separate
investment portfolios of GMO Trust (the "Trust"), an open-end management
investment company. The other portfolios are offered pursuant to a separate
prospectus. The Fund's investment manager is GRANTHAM, MAYO, VAN OTTERLOO & CO.
LLC (the "MANAGER" or "GMO").
The principal investment objective of the Fund is long-term capital
growth primarily through investment in securities of issuers throughout the
world which are engaged in or related to the real estate industry or which own
significant real estate assets. Consideration of current income is secondary to
this principal objective. The Fund invests at least 65 percent of its total
assets in securities of real estate companies principally traded in the
securities markets of at least three countries, one of which may be the United
States.
The Fund is a "non-diversified" portfolio, as defined in the Investment
Company Act of 1940 (the "1940 Act"). See "Description and Risks of Fund
Investments--Non-Diversified Portfolio" on page 8. A TABLE OF CONTENTS APPEARS
ON PAGE 4 OF THIS PRIVATE PLACEMENT MEMORANDUM.
The Fund offers three classes of shares: Class I, Class II and Class
III. Eligibility for the classes is generally based on the total amount of
assets that a client has invested with GMO (with Class I requiring the least
total assets and Class III the most), all as described more fully herein. See
"Multiple Classes--Eligibility for Classes" on pages 14 through 15.
The classes differ solely with regard to (i) whether GMO or the GMO
FUNDS DIVISION provides client service and reporting to shareholders of the
class and (ii) the level of SHAREHOLDER SERVICE FEE borne by the class. These
differences are described briefly below and in more detail elsewhere in this
Private Placement Memorandum. ALL CLASSES OF THE FUND HAVE AN INTEREST IN THE
SAME UNDERLYING ASSETS, ARE MANAGED BY GMO, AND PAY THE SAME INVESTMENT
MANAGEMENT FEE.
INVESTMENT MANAGER
GMO
Grantham, Mayo, Van Otterloo & Co. LLC
<TABLE>
<CAPTION>
CLIENT SERVICE PROVIDER SHAREHOLDER SERVICE FEE
<S> <C> <C>
GMO GMO FUNDS DIVISION The level of Shareholder Service Fee for each class is set
Class III Shares Class I and Class II Shares forth on the following page and described more fully
Tel: (617) 330-7500 Tel:(617) 790-5000 under "Multiple Classes--Shareholder Service Fee."
Fax: (617) 439-4192 Fax: (617) 439-4290
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</TABLE>
This Private Placement Memorandum concisely describes the information
which investors ought to know about the Fund before investing. Please read this
memorandum carefully and keep it for further reference. A Statement of
Additional Information dated December 20, 1996, as revised from time to time, is
available free of charge by writing to GMO Funds Division, 40 Rowes Wharf,
Boston, Massachusetts 02110 or by calling (617)790-5000. The Statement, which
contains more detailed information about the Fund, has been filed with the
Securities and Exchange Commission ("SEC") and is incorporated by reference into
this Private Placement Memorandum.
THE FUND MAY INVEST UP TO 5% OF ITS NET ASSETS IN LOWER-RATED BONDS,
COMMONLY KNOWN AS "JUNK BONDS." INVESTMENTS OF THIS TYPE ARE SUBJECT TO A
GREATER RISK OF LOSS OF PRINCIPAL AND NON-PAYMENT OF INTEREST. INVESTORS SHOULD
CAREFULLY ASSESS THE RISKS ASSOCIATED WITH AN INVESTMENT IN THIS FUND. PLEASE
SEE "DESCRIPTION AND RISKS OF FUND INVESTMENTS -- LOWER RATED SECURITIES."
IN MAKING AN INVESTMENT DECISION, INVESTORS MUST RELY ON THEIR OWN
EXAMINATION OF THE ISSUER AND THE TERMS OF THE OFFERING, INCLUDING THE MERITS
AND RISKS INVOLVED. THESE SECURITIES HAVE NOT BEEN RECOMMENDED BY ANY FEDERAL OR
STATE SECURITIES COMMISSION OR REGULATORY AUTHORITY. FURTHERMORE, THE FOREGOING
AUTHORITIES HAVE NOT CONFIRMED THE ACCURACY OR DETERMINED THE ADEQUACY OF THIS
DOCUMENT. ANY REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENSE.
THE SECURITIES OFFERED HEREBY HAVE NOT BEEN REGISTERED UNDER THE
SECURITIES ACT OF 1933, AS AMENDED OR THE SECURITIES LAWS OF ANY STATE, AND MAY
NOT BE TRANSFERRED OR RESOLD UNLESS SO REGISTERED OR EXEMPT THEREFROM. HOWEVER,
THE SECURITIES ARE REDEEMABLE AS DESCRIBED IN THIS
PRIVATE PLACEMENT MEMORANDUM. IN CERTAIN CASES INVESTORS MAY BE REDEEMED "IN
KIND" AND RECEIVE PORTFOLIO SECURITIES HELD BY THE FUND IN LIEU OF CASH UPON
REDEMPTION. IN SUCH CASE, AN INVESTOR WILL INCUR COSTS WHEN THE INVESTOR SELLS
THE SECURITIES DISTRIBUTED.
NO PERSON HAS BEEN AUTHORIZED TO MAKE ANY REPRESENTATIONS OR PROVIDE
ANY INFORMATION WITH RESPECT TO THE SHARES EXCEPT SUCH INFORMATION AS IS
CONTAINED IN THIS MEMORANDUM AND IN THE STATEMENT OF ADDITIONAL INFORMATION OR
IN OTHER MATERIALS APPROVED BY THE TRUST. NO SALES MADE HEREUNDER SHALL UNDER
ANY CIRCUMSTANCES CREATE AN IMPLICATION THAT THERE HAS BEEN NO CHANGE IN MATTERS
DISCUSSED HEREIN SINCE THE DATE HEREOF.
-2-
CLASSES AND FEES
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ELIGIBILITY
REQUIREMENT* SHAREHOLDER SERVICE FEE**
------------ -------------------------
Class I $1 million 0.28%
Class II $10 million 0.22%
Class III $35 million 0.15%
- ------------------------------
* More detailed explanation of eligibility criteria is provided on
page 14 and under "Multiple Classes -- Eligibility for Classes."
** As noted above, all classes of shares of the Fund pay the same
investment management fee.
CLASS ELIGIBILITY
- -----------------
For full details of the class eligibility criteria summarized below and an
explanation of how conversions between classes will occur, see "Multiple Classes
- - Eligibility for Classes" and "Multiple Classes - Conversions Between Classes,"
beginning on page 15.
CLASS I AND CLASS II SHARES:
Recognizing that institutional and individual investors with assets under
GMO's management totalling less than $35 million have different service and
reporting needs than larger client relationships, GMO has created the GMO Funds
Division. GMO Funds Division delivers institutional-quality client services to
clients investing between $1 million and $35 million. These services include
professional and informative reporting, and access to meaningful analysis and
explanation.
Class I Shares. Class I Shares are available to any investor who commits (after
May 31, 1996) assets to GMO management to establish a "Total Investment" (as
defined) with GMO of between $1 million and $10 million. In addition, all
defined contribution retirement or pension plans are eligible only for Class I
shares regardless of the size of their investment. Class I Shares will receive
client service and reporting from GMO Funds Division and will bear a Shareholder
Service Fee of 0.28%.
Class II Shares. Class II Shares are available to any investor who (i) has less
than $7 million (but more than $0) under the management of GMO as of May 31,
1996, or (ii) commits (after May 31, 1996) assets to GMO management to establish
a "Total Investment" (as defined) with GMO of between $10 million and $35
million. Class II Shares will receive client service and reporting from GMO
Funds Division and will bear a Shareholder Service Fee of 0.22%.
Purchasers of Class I and Class II Shares should follow purchase
instructions for such classes described under "Purchase of Shares" and direct
questions to the Trust at (617) 790-5000.
CLASS III SHARES:
GMO provides direct client service and reporting to owners of Class III
Shares. These clients must have a "Total Investment" (as defined) with GMO of at
least $35 million. Class eligibility requirements for existing clients of GMO as
of May 31, 1996 are governed by special rules described in this Private
Placement Memorandum.
Class III Shares. Class III Shares are available to any investor who (i) has at
least $7 million under the management of GMO as of May 31, 1996, or (ii) commits
(after May 31, 1996) assets to GMO management to establish a "Total Investment"
(as defined) with GMO of at least $35 million. Class III Shares will receive
client service and reporting directly from GMO, and will bear a Shareholder
Service Fee of 0.15% of average net assets.
Purchasers of Class III Shares should follow purchase instructions described
under "Purchase of Shares" and direct questions to the Trust at (617) 330-7500.
-3-
TABLE OF CONTENTS
SCHEDULE OF FEES AND EXPENSES.............................................5
INVESTMENT OBJECTIVE AND POLICIES.........................................7
DESCRIPTION AND RISKS OF
FUND INVESTMENTS......................................................7
Portfolio Turnover....................................................7
Non-Diversified Portfolio.............................................8
Certain Risks of Foreign Investments..................................8
General ....................................................8
Emerging Markets............................................8
Securities Lending....................................................8
Depository Receipts...................................................9
Convertible Securities................................................9
Foreign Currency Transactions ........................................9
Repurchase Agreements................................................10
Debt and Other Fixed Income Securities
Generally..................................................10
Temporary High Quality Cash Items....................................10
U.S. Government Securities and Foreign
Government Securities......................................11
Mortgage-Backed and Other Asset-Backed
Securities.................................................11
Collateralized Mortgage Obligations
("CMOs"); Strips and
Residuals..........................................11
Commercial Mortgage-Related
Securities.........................................12
Adjustable Rate Securities...........................................12
Lower Rated Securities...............................................12
Zero Coupon Securities...............................................13
Indexed Securities...................................................13
Firm Commitments.....................................................13
Reverse Repurchase Agreements and Dollar Roll
Agreements.................................................13
Illiquid Securities..................................................14
MULTIPLE CLASSES.........................................................14
Shareholder Service Fees.............................................14
Client Service - GMO and GMO Funds...................................14
Eligibility for Classes..............................................14
Conversions Between Classes..........................................15
PURCHASE OF SHARES.......................................................15
Purchase Procedures..................................................16
REDEMPTION OF SHARES.....................................................17
DETERMINATION OF NET ASSET VALUE.........................................17
DISTRIBUTIONS............................................................18
TAXES....................................................................18
Withholding on Distributions to Foreign
Investors..................................................19
Foreign Tax Credits..................................................19
Loss of Regulated Investment Company Status..........................19
MANAGEMENT OF THE TRUST..................................................19
ORGANIZATION AND CAPITALIZATION
OF THE TRUST.........................................................20
-4-
SCHEDULE OF FEES AND EXPENSES
-----------------------------
<TABLE>
<CAPTION>
Class I Class II Class III
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SHAREHOLDER TRANSACTION EXPENSES
<S> <C> <C> <C>
Cash Purchase Premium (as a percentage of amount
invested)1 .60% .60% .60%
Redemption Fees (as a percentage of amount redeemed)1 .30% .30% .30%
ANNUAL OPERATING EXPENSES
Investment Management Fees after Fee Waiver3 .48% .48% .48%
Shareholder Service Fee2 .28% .22% .15%
Other Expenses3 .24% .24% .24%
Total Operating Expenses3 1.00% .94% .87%
EXAMPLES
You would pay the following expenses on a $1,000 investment
assuming 5% annual return with redemption at the end of each
time period:
- 1 Year $19 $19 $18
- 3 Years $41 $39 $37
You would pay the following expenses on the same investment assuming no
redemption:
- 1 Year $16 $16 $15
- 3 Years $38 $36 $34
</TABLE>
Annual Operating Expenses shown are based on estimated amounts for the Fund's
first fiscal year.
The purpose of the foregoing table is to assist in understanding the various
costs and expenses of the Fund that are borne by holders of Fund shares. THE
FIVE PERCENT ANNUAL RETURN AND EXPENSE NUMBERS USED ARE NOT REPRESENTATIONS OF
FUTURE PERFORMANCE OR EXPENSES. SUBJECT TO THE MANAGER'S UNDERTAKING TO WAIVE
ITS FEE AND/OR BEAR CERTAIN EXPENSES FOR EACH FUND AS DESCRIBED IN THE TABLES,
ACTUAL PERFORMANCE AND/OR EXPENSES MAY BE MORE OR LESS THAN SHOWN. Where a
purchase premium and/or redemption fee is indicated as being charged by the Fund
in certain instances, the foregoing examples assume the payment of such purchase
premium and/or redemption fee even though such purchase premium and/or
redemption fee is not applicable in all cases. (See "Purchase of Shares" and
"Redemption of Shares").
-5-
NOTES TO SCHEDULE OF FEES AND EXPENSES
1. Purchase premiums and redemption fees apply only to cash transactions as
set forth under "Purchase of Shares" and "Redemption of Shares"
respectively. These fees are paid to and retained by the Fund itself and
are designed to allocate transaction costs caused by shareholder
activity to the shareholder generating the activity, rather than to the
Fund as a whole. The Manager may reduce purchase premiums and/or
redemption fees if the Manager determines there are minimal brokerage
and/or other transaction costs caused by the purchase or occur under
redemption. Generally, however, these fees are not waivable even when
there are offsetting transactions. It is expected that the purchase
premiums and redemption fees for this Fund will be eliminated once the
net assets of the Fund exceed $100 million. However, even thereafter,
the Fund will reserve the right to charge a purchase premium of up to
0.60% and a redemption fee of up to 0.30% on purchases or redemptions of
amounts that are equal to or greater than 5% of the Fund's net assets.
2. Shareholder Service Fee ("SSF") paid to GMO for providing client
services and reporting services.
The level of SSF is the sole economic distinction between the various
classes of Fund shares. A lower SSF for larger investments reflects that
the cost of servicing client accounts is lower for larger accounts when
expressed as a percentage of the account. See "Multiple Classes -
Shareholder Service Fees" for more information.
3. The Manager has voluntarily undertaken to reduce its management fees and
to bear certain expenses with respect to the Fund until further notice
to the extent that the Fund's total annual operating expenses (excluding
Shareholder Service Fees, brokerage commissions and other
investment-related costs, hedging transaction fees, extraordinary,
non-recurring and certain other unusual expenses (including taxes),
securities lending fees and expenses and transfer taxes and excluding
custodial fees would otherwise exceed 0.60% of the Fund's average daily
net assets. Therefore, so long as the Manager agrees so to reduce its
fees and bear certain expenses, total annual operating expenses (subject
to such exclusions) of the Fund will not exceed this limitation. Absent
such undertakings, the management fee for the Fund would be 0.75% and
the total annual operating expenses for Class I, Class II and Class III
shares would be 1.27%, 1.21% and 1.14%, respectively.
-6-
INVESTMENT OBJECTIVE AND POLICIES
---------------------------------
The GMO Global Properties Fund (the "Fund") seeks long-term growth of
capital. The Fund pursues its objective by investing primarily in securities of
issuers throughout the world which are principally engaged in or related to the
real estate industry or which own significant real estate assets ("Real Estate
Companies"). The Fund will not invest directly in real estate. A Real Estate
Company is principally engaged in or related to the real estate industry if at
least 50% of its assets, gross income or net profits are attributable to
ownership, construction, management or sale of residential, commercial or
industrial real estate, or to products or services that are related to the real
estate industry. For these purposes, Real Estate Companies whose products or
services are related to the real estate industry include manufacturers and
distributors of building supplies and financial institutions which issue or
service mortgages. Real Estate Companies may also include: equity real estate
investment trusts, which own real estate directly; mortgage real estate
investment trusts, which make construction, development or long-term mortgage
loans; real estate brokers or developers; and issuers with substantial real
estate holdings.
The responsibility for allocating the Fund's assets among the various
securities markets of the world is borne by Grantham, Mayo, Van Otterloo & Co.
LLC (the "Manager" or "GMO") In making these allocations, the Manager will
consider such factors as the condition and growth potential of the various
economic and securities markets, currency and taxation considerations and other
pertinent financial, social, national and political factors. The Manager
anticipates that the Fund will give particular consideration to investments in
the United Kingdom, Western Europe, Australia, Canada, the Far East (Japan, Hong
Kong, Singapore, Malaysia and Thailand) and the United States. The percentage of
the Fund's assets invested in particular geographic regions will shift from time
to time in accordance with the judgment of the Manager. Under normal market
conditions, the Fund will invest at least 65% of its total assets in securities
of Real Estate Companies principally traded in the securities markets of at
least three countries (one of which may be the United States). A substantial
portion of the assets of the Fund may be denominated or traded in foreign
currencies.
Although the Fund generally invests in common stocks, it may also invest in
preferred stocks, convertible securities and fixed income securities including
lower-rated fixed income securities (commonly known as "junk bonds"). Where
lower-rated debt securities are secured by real estate assets, it is conceivable
that the Fund could, in the event of default, end up holding the underlying real
estate directly. Risks associated with such ownership could include potential
liabilities under environmental laws and the costs of other regulatory
compliance. If the Fund has rental income or income from the direct disposition
of real property, the receipt of such income may adversely affect its ability to
retain its tax status as a regulated investment company and thus its ability to
avoid taxation on its income and gains distributed to its shareholders. See
"Taxes."
The investment objective of the Fund may be changed without shareholder
approval. Unless specifically noted herein, the investment policies of the Fund
may be changed without shareholder approval. There can be no assurance that the
investment objective of the Fund will be achieved.
Other Investments. The following describes or refers to a number of
investments that may be made and investment practices that may be used by the
Fund. For a more detailed description of the investment practices described and
the risks associated with them, see "Description and Risks of Fund Investments"
later in this Private Placement Memorandum. As indicated, the Fund expects to
invest in securities of foreign issuers traded on U.S. exchanges and securities
traded abroad, and may also invest in depository receipts and foreign exchange
transactions. The Fund may also invest in adjustable rate securities, zero
coupon securities and mortgage-backed and other asset-backed securities issued
by the U.S. government, its agencies and by non-government issuers, including
collateralized mortgage obligations ("CMO's"), strips and residuals. The Fund
may lend portfolio securities valued at up to one-third of total assets and
enter into repurchase agreements, reverse repurchase agreements and dollar roll
agreements. The Fund may also invest in indexed securities the redemption values
and/or coupons of which are indexed to the prices of other securities,
securities indexes, currencies, precious metals or other commodities, or other
financial indicators. The Fund may also enter into firm commitment agreements
with banks or broker-dealers, and may invest up to 15% of its net assets in
illiquid securities.
The Fund may use forward foreign currency contracts, currency futures
contracts, options on currencies and buy and sell foreign currencies for hedging
and for currency risk management. The put and call options on currency futures
written by the Fund will always be covered.
The Fund may also invest in securities of investment companies, such as
closed-end investment management companies which invest in foreign markets, to
the extent permitted under the Investment Company Act of 1940, as amended (the
"1940 Act"). As a shareholder of an investment company, the Fund may indirectly
bear service fees which are in addition to the fees the Fund pays to its service
providers.
DESCRIPTION AND RISKS OF FUND
-----------------------------
INVESTMENTS
-----------
The following is a detailed description of the various investment practices
in which the Fund may engage and the risks associated with their use.
PORTFOLIO TURNOVER
- ------------------
-7-
Portfolio turnover is not a limiting factor with respect to investment
decisions for the Fund. In any particular year, market conditions may well
result in a greater rate than is presently anticipated. However, portfolio
turnover for the Fund is not expected to exceed 100%. High portfolio turnover
involves correspondingly greater brokerage commissions and other transaction
costs, which will be borne directly by the Fund, and could involve realization
of capital gains that would be taxable when distributed to shareholders of the
Fund unless such shareholders are themselves exempt. See "Taxes" below.
NON-DIVERSIFIED PORTFOLIO
- -------------------------
The Fund is a "non-diversified" fund under the 1940 Act, and as such the
Fund is permitted to (but is not required to) invest a higher percentage of its
assets in the securities of fewer issuers. Such concentration could increase the
risk of loss to the Fund should there be a decline in the market value of any
one portfolio security. Investment in a non-diversified fund may therefore
entail greater risks than investment in a diversified fund. Although the Fund is
a "non-diversified" fund, it must meet certain diversification standards to
qualify as a "regulated investment company" under the Internal Revenue Code of
1986. See "Taxes".
CERTAIN RISKS OF FOREIGN INVESTMENTS
- ------------------------------------
GENERAL. Investment in foreign issuers or securities principally traded
overseas may involve certain special risks due to foreign economic, political
and legal developments, including favorable or unfavorable changes in currency
exchange rates, exchange control regulations (including currency blockage),
expropriation of assets or nationalization, imposition of withholding taxes on
dividend or interest payments, and possible difficulty in obtaining and
enforcing judgments against foreign entities. Furthermore, issuers of foreign
securities are subject to different, often less comprehensive, accounting,
reporting and disclosure requirements than domestic issuers. The securities of
some foreign governments and companies and foreign securities markets are less
liquid and at times more volatile than comparable U.S. securities and securities
markets. Foreign brokerage commissions and other fees are also generally higher
than in the United States. The laws of some foreign countries may limit the
Fund's ability to invest in securities of certain issuers located in these
foreign countries. There are also special tax considerations which apply to
securities of foreign issuers and securities principally traded overseas.
Investors should also be aware that under certain circumstances, markets which
are perceived to have similar characteristics to troubled markets may be
adversely affected whether or not similarities actually exist.
EMERGING MARKETS. The risks described above apply to an even greater extent to
investments in emerging markets. The securities markets of emerging countries
are generally smaller, less developed, less liquid, and more volatile than the
securities markets of the U.S. and developed foreign markets. Disclosure and
regulatory standards in many respects are less stringent than in the U.S. and
developed foreign markets. There also may be a lower level of monitoring and
regulation of securities markets in emerging market countries and the activities
of investors in such markets, and enforcement of existing regulations has been
extremely limited. Many emerging countries have experienced substantial, and in
some periods extremely high, rates of inflation for many years. Inflation and
rapid fluctuations in inflation rates have had and may continue to have very
negative effects on the economies and securities markets of certain emerging
countries. Economies in emerging markets generally are heavily dependent upon
international trade and, accordingly, have been and may continue to be affected
adversely by trade barriers, exchange controls, managed adjustments in relative
currency values, and other protectionist measures imposed or negotiated by the
countries with which they trade. These economies also have been and may continue
to be adversely affected by economic conditions in the countries in which they
trade. The economies of countries with emerging markets may also be
predominantly based on only a few industries or dependent on revenues from
particular commodities. In addition, custodial services and other costs relating
to investment in foreign markets may be more expensive in emerging markets than
in many developed foreign markets, which could reduce the Fund's income from
such securities. Finally, because publicly traded debt instruments of emerging
markets represent a relatively recent innovation in the world debt markets,
there is little historical data or related market experience concerning the
attributes of such instruments under all economic, market and political
conditions.
In many cases, governments of emerging countries continue to exercise
significant control over their economies, and government actions relative to the
economy, as well as economic developments generally, may affect the capacity of
issuers of emerging country debt instruments to make payments on their debt
obligations, regardless of their financial condition. In addition, there is a
heightened possibility of expropriation or confiscatory taxation, imposition of
withholding taxes on interest payments, or other similar developments that could
affect investments in those countries. There can be no assurance that adverse
political changes will not cause the Fund to suffer a loss of any or all of its
emerging markets investments and/or, in the case of fixed-income securities,
interest thereon.
SECURITIES LENDING
- ------------------
The Fund may make secured loans of portfolio securities amounting to not
more than one-third of its total assets. The risks in lending portfolio
securities, as with other extensions of credit, consist of possible delay in
recovery of the securities or possible loss of rights in the collateral should
the borrower fail financially. However, such loans will be made only to
broker-dealers that are believed by the Manager to be of relatively high credit
standing. Securities loans are made to broker-dealers pursuant to agreements
requiring that loans be continuously secured by collateral in cash or U.S.
Government Securities at least equal at all times to the market value of the
securities lent. The borrower pays to the lending Fund an amount equal to any
dividends or interest the Fund would have received had the securities not been
lent. If the loan is
-8-
collateralized by U.S. Government Securities, the Fund will receive a fee from
the borrower. In the case of loans collateralized by cash, the Fund typically
invests the cash collateral for its own account in interest-bearing, short-term
securities and pays a fee to the borrower. Although voting rights or rights to
consent with respect to the loaned securities pass to the borrower, the Fund
retains the right to call the loans at any time on reasonable notice, and it
will do so in order that the securities may be voted by the Fund if the holders
of such securities are asked to vote upon or consent to matters materially
affecting the investment. The Fund may also call such loans in order to sell the
securities involved. The Manager has retained lending agents on behalf of
several Funds of the Trust that are compensated based on a percentage of a
Fund's return on the securities lending activity. The Fund also pays various
fees in connection with such loans including shipping fees and reasonable
custodian fees approved by the Trustees of the Trust or persons acting pursuant
to direction of the Board.
DEPOSITORY RECEIPTS
- -------------------
The Fund may invest in American Depositary Receipts (ADRs), Global
Depository Receipts (GDRs) and European Depository Receipts (EDRs)
(collectively, "Depository Receipts") if issues of such Depository Receipts are
available that are consistent with the Fund's investment objective. Depository
Receipts generally evidence an ownership interest in a corresponding foreign
security on deposit with a financial institution. Transactions in Depository
Receipts usually do not settle in the same currency in which the underlying
securities are denominated or traded. Generally, ADRs, in registered form, are
designed for use in the U.S. securities markets and EDRs, in bearer form, are
designed for use in European securities markets. GDRs may be traded in any
public or private securities markets and may represent securities held by
institutions located anywhere in the world.
CONVERTIBLE SECURITIES
- ----------------------
A convertible security is a fixed-income security (a bond or preferred
stock) which may be converted at a stated price within a specified period of
time into a certain quantity of the common stock of the same or a different
issuer. Convertible securities are senior to common stock in a corporation's
capital structure, but are usually subordinated to similar non-convertible
securities. Convertible securities provide, through their conversion feature, an
opportunity to participate in capital appreciation resulting from a market price
advance in a convertible security's underlying common stock. The price of a
convertible security is influenced by the market value of the underlying common
stock and tends to increase as the market value of the underlying stock rises,
whereas it tends to decrease as the market value of the underlying stock
declines. The Manager regards convertible securities as a form of equity
security.
FOREIGN CURRENCY TRANSACTIONS
- -----------------------------
To the extent the Fund is invested in foreign securities, it may buy or
sell foreign currencies or may deal in forward foreign currency contracts, that
is, agree to buy or sell a specified currency at a specified price and future
date. The Fund may use forward contracts for hedging, investment or currency
risk management.
The Fund may enter into forward contracts for hedging under three
circumstances. First, when the Fund enters into a contract for the purchase or
sale of a security denominated in a foreign currency, it may desire to "lock in"
the U.S. dollar price of the security. By entering into a forward contract for
the purchase or sale, for a fixed amount of dollars, of the amount of foreign
currency involved in the underlying security transaction, the Fund will be able
to protect itself against a possible loss resulting from an adverse change in
the relationship between the U.S. dollar and the subject foreign currency during
the period between the date on which the security is purchased or sold and the
date on which payment is made or received.
Second, when the Manager of the Fund believes that the currency of a
particular foreign country may suffer a substantial decline against the U.S.
dollar, it may enter into a forward contract to sell, for a fixed amount of
dollars, the amount of foreign currency approximating the value of some or all
of the Fund's portfolio securities denominated in such foreign currency.
Maintaining a match between the forward contract amounts and the value of the
securities involved will not generally be possible since the future value of
such securities in foreign currencies will change as a consequence of market
movements in the value of those securities between the date the forward contract
is entered into and the date it matures.
Third, the Fund may engage in currency "cross hedging" when, in the opinion
of the Manager, the historical relationship among foreign currencies suggests
that the Fund may achieve the same protection for a foreign security at reduced
cost through the use of a forward foreign currency contract relating to a
currency other than the U.S. dollar or the foreign currency in which the
security is denominated. By engaging in cross hedging transactions, the Fund
assumes the risk of imperfect correlation between the subject currencies. These
practices may present risks different from or in addition to the risks
associated with investments in foreign currencies. See Appendix A, "Risks and
Limitations of Options, Futures and Swaps."
The Fund is not required to enter into hedging transactions with regard to
its foreign currency-denominated securities and will not do so unless deemed
appropriate by the Manager. By entering into the above hedging transactions, the
Fund may be required to forego the benefits of advantageous changes in the
exchange rates.
The Fund may also enter foreign currency forward contracts for investment
and currency risk management. When the Fund uses currency instruments for such
purposes, the foreign currency
-9-
exposure of the Fund may differ substantially from the currencies in which the
Fund's investment securities are denominated. However, the Fund's aggregate
foreign currency exposure will not normally exceed 100% of the value of the
Fund's securities, except that the Fund may use currency instruments without
regard to this limitation if the amount of such excess, when aggregated with
futures contracts, equity swap contracts and contracts for differences used in
similar ways, does not exceed 10% of the Fund's net assets. The Fund may also
enter into foreign currency forward contracts to give fixed income securities
denominated in one currency (generally the U.S. dollar) the risk characteristics
of similar securities denominated in another currency or for risk management in
a manner similar to the Fund's use of futures contracts and related options.
Except to the extent that the Fund may use such contracts for risk
management, whenever the Fund enters into a foreign currency forward contract,
other than a forward contract entered into for hedging, it will maintain cash,
U.S. Government securities or other high grade debt obligations in a segregated
account with its custodian with a value, marked to market daily, equal to the
amount of the currency required to be delivered. The Fund's ability to engage in
forward contracts may be limited by tax considerations.
The Fund may use currency futures contracts and related options and options
on currencies for the same reasons for which they use currency forwards. Except
to the extent that the Fund may use futures contracts and related options for
risk management, the Fund will, so long as it is obligated as the writer of a
call option on currency futures, own on a contract-for-contract basis an equal
long position in currency futures with the same delivery date or a call option
on currency futures with the difference, if any, between the market value of the
call written and the market value of the call or long currency futures purchased
maintained by the Fund in cash, U.S. Government securities or other high grade
debt obligations in a segregated account with its custodian. If at the close of
business on any day the market value of the call purchased by the Fund falls
below 100% of the market value of the call written by the Fund, the Fund will
maintain an amount of cash, U.S. Government securities or other high grade debt
obligations in a segregated account with its custodian equal in value to the
difference. Alternatively, the Fund may cover the call option by owning
securities denominated in the currency with a value equal to the face amount of
the contract(s) or through segregating with the custodian an amount of the
particular foreign currency equal to the amount of foreign currency per futures
contract option times the number of options written by the Fund.
REPURCHASE AGREEMENTS
- ---------------------
The Fund may enter into repurchase agreements with banks and broker-dealers
by which the Fund acquires a security (usually an obligation of the Government
where the transaction is initiated or in whose currency the agreement is
denominated) for a relatively short period (usually not more than a week) for
cash and obtains a simultaneous commitment from the seller to repurchase the
security at an agreed-on price and date. The resale price is in excess of the
acquisition price and reflects an agreed-upon market rate unrelated to the
coupon rate on the purchased security. Such transactions afford an opportunity
for the Fund to earn a return on temporarily available cash at no market risk,
although there is a risk that the seller may default in its obligation to pay
the agreed-upon sum on the redelivery date. Such a default may subject the Fund
to expenses, delays and risks of loss including: (a) possible declines in the
value of the underlying security during the period while the Fund seeks to
enforce its rights thereto, (b) possible reduced levels of income and lack of
access to income during this period and (c) inability to enforce rights and the
expenses involved in attempted enforcement.
DEBT AND OTHER FIXED INCOME SECURITIES GENERALLY
- ------------------------------------------------
Debt and Other Fixed Income Securities include fixed income securities of
any maturity. Fixed income securities pay a specified rate of interest or
dividends, or a rate that is adjusted periodically by reference to some
specified index or market rate. Fixed income securities include securities
issued by federal, state, local and foreign governments and related agencies,
and by a wide range of private issuers.
Fixed income securities are subject to market and credit risk. Market risk
relates to changes in a security's value as a result of changes in interest
rates generally. In general, the values of fixed income securities increase when
prevailing interest rates fall and decrease when interest rates rise. Credit
risk relates to the ability of the issuer to make payments of principal and
interest. Obligations of issuers are subject to the provisions of bankruptcy,
insolvency and other laws, such as the Federal Bankruptcy Reform Act of 1978,
affecting the rights and remedies of creditors. Fixed income securities
denominated in foreign currencies are also subject to the risk of a decline in
the value of the denominating currency.
Because interest rates vary, it is impossible to predict the future income
of the Fund investing in such securities. The net asset value of the Fund's
shares will vary as a result of changes in the value of the securities in its
portfolio and will be affected by the absence and/or success of hedging
strategies.
TEMPORARY HIGH QUALITY CASH ITEMS
- ---------------------------------
As described under "Investment Objectives and Policies" above, the Fund may
temporarily invest a portion of its assets in cash or cash items pending other
investments or in connection with the maintenance of a segregated account. These
cash items must be of high quality and may include a number of money market
instruments such as securities issued by the United States government and
agencies thereof, bankers' acceptances, commercial paper, and bank certificates
of deposit. By investing only in high quality money market securities the Fund
will seek to minimize credit risk with respect to such investments.
-10-
U.S. GOVERNMENT SECURITIES AND FOREIGN GOVERNMENT SECURITIES
- ------------------------------------------------------------
U.S. Government Securities include securities issued or guaranteed by the
U.S. government or its authorities, agencies or instrumentalities. Foreign
Government Securities include securities issued or guaranteed by foreign
governments (including political subdivisions) or their authorities, agencies or
instrumentalities or by supra-national agencies. U.S. Government Securities and
Foreign Government Securities have different kinds of government support. For
example, some U.S. Government Securities, such as U.S. Treasury bonds, are
supported by the full faith and credit of the United States, whereas certain
other U.S. Government Securities issued or guaranteed by federal agencies or
government-sponsored enterprises are not supported by the full faith and credit
of the United States. Similarly, some Foreign Government Securities are
supported by the full faith and credit of a foreign national government or
political subdivision and some are not. In the case of certain countries,
Foreign Government Securities may involve varying degrees of credit risk as a
result of financial or political instability in such countries and the possible
inability of the Fund to enforce its rights against the foreign government
issuer.
Supra-national agencies are agencies whose member nations make capital
contributions to support the agencies' activities, and include such entities as
the International Bank for Reconstruction and Development (the World Bank), the
Asian Development Bank, the European Coal and Steel Community and the
Inter-American Development Bank.
Like other fixed income securities, U.S. Government Securities and Foreign
Government Securities are subject to market risk and their market values
fluctuate as interest rates change. Thus, for example, the value of an
investment in the Fund which holds U.S. Government Securities or Foreign
Government Securities may fall during times of rising interest rates. Yields on
U.S. Government Securities and Foreign Government Securities tend to be lower
than those of corporate securities of comparable maturities.
In addition to investing directly in U.S. Government Securities and Foreign
Government Securities, the Fund may purchase certificates of accrual or similar
instruments evidencing undivided ownership interests in interest payments or
principal payments, or both, in U.S. Government Securities and Foreign
Government Securities. These certificates of accrual and similar instruments may
be more volatile than other government securities.
MORTGAGE-BACKED AND OTHER ASSET-BACKED SECURITIES
- -------------------------------------------------
Mortgage-backed and other asset-backed securities may be issued by the U.S.
government, its agencies or instrumentalities, or by non-governmental issuers.
Interest and principal payments (including prepayments) on the mortgages
underlying mortgage-backed securities are passed through to the holders of the
mortgage-backed security. Prepayments occur when the mortgagor on an individual
mortgage prepays the remaining principal before the mortgage's scheduled
maturity date. As a result of the pass-through of prepayments of principal on
the underlying mortgages, mortgage-backed securities are often subject to more
rapid prepayment of principal than their stated maturity would indicate. Because
the prepayment characteristics of the underlying mortgages vary, there can be no
certainty as to the predicted yield or average life of a particular issue of
pass-through certificates. Prepayments are important because of their effect on
the yield and price of the securities. During periods of declining interest
rates, such prepayments can be expected to accelerate and the Fund would be
required to reinvest the proceeds at the lower interest rates then available. In
addition, prepayments of mortgages which underlie securities purchased at a
premium could result in capital losses because the premium may not have been
fully amortized at the time the obligation was prepaid. As a result of these
principal prepayment features, the values of mortgage-backed securities
generally fall when interest rates rise, but their potential for capital
appreciation in periods of falling interest rates is limited because of the
prepayment feature. The mortgage-backed securities purchased by the Fund may
include Adjustable Rate Securities as such term is defined in "Descriptions and
Risks of Fund Investment Practices -- Adjustable Rate Securities" below.
Other "asset-backed securities" include securities backed by pools of
automobile loans, educational loans and credit card receivables. Mortgage-backed
and asset-backed securities of non-governmental issuers involve prepayment risks
similar to those of U.S. government guaranteed mortgage-backed securities and
also involve risk of loss of principal if the obligors of the underlying
obligations default in payment of the obligations.
COLLATERALIZED MORTGAGE OBLIGATIONS ("CMOS"); STRIPS AND RESIDUALS. A CMO
is a security backed by a portfolio of mortgages or mortgage-backed securities
held under an indenture. The issuer's obligation to make interest and principal
payments is secured by the underlying portfolio of mortgages or mortgage-backed
securities. CMOs are issued in multiple classes or series which have different
maturities representing interests in some or all of the interest or principal on
the underlying collateral or a combination thereof. CMOs of different classes
are generally retired in sequence as the underlying mortgage loans in the
mortgage pool are repaid. In the event of sufficient early prepayments on such
mortgages, the class or series of CMO first to mature generally will be retired
prior to its stated maturity. Thus, the early retirement of a particular class
or series of CMO held by the Fund would have the same effect as the prepayment
of mortgages underlying a mortgage-backed pass-through security.
CMOs include securities ("Residuals") representing the interest in any
excess cash flow and/or the value of any collateral remaining on mortgages or
mortgage-backed securities from the payment of principal of and interest on all
other CMOs and the administrative expenses of the issuer. Residuals have value
only to the extent income from such underlying mortgages or mortgage-backed
securities exceeds the amounts necessary to satisfy the issuer's debt
obligations represented by all other outstanding CMOs.
-11-
CMOs also include certificates representing undivided interests in payments
of interest-only or principal-only ("IO/PO Strips") on the underlying mortgages.
IO/PO Strips and Residuals tend to be more volatile than other types of
securities. IO Strips and Residuals also involve the additional risk of loss of
a substantial portion of or the entire value of the investment if the underlying
securities are prepaid. In addition, if a CMO bears interest at an adjustable
rate, the cash flows on the related Residual will also be extremely sensitive to
the level of the index upon which the rate adjustments are based.
COMMERCIAL MORTGAGE-RELATED SECURITIES. The Fund may invest in commercial
mortgage-related securities. Commercial mortgage-related securities are
securities that represent an interest in, or are secured by, mortgage loans
secured by commercial property, such as industrial and warehouse properties,
office buildings, retail space and shopping malls, multifamily properties and
cooperative apartments, hotels and motels, nursing homes, hospitals, and senior
living centers. The commercial mortgage-related securities market is newer and
in terms of total outstanding principal amount of issues is relatively small
compared to the total size of the market for residential mortgage-related
securities.
Commercial mortgage-related securities are generally structured similarly
to pass-through securities or to CMOs, although other structures are possible.
They may pay fixed or adjustable rates of interest. Commercial mortgage-related
securities have been issued in public or private transactions by a variety of
public and private issuers.
The commercial mortgage loans that underlie commercial mortgage-related
securities generally lack standardized terms, which may complicate their
structure. Commercial properties themselves tend to be unique and are more
difficult to value than single family residential properties. Commercial
mortgage loans also tend to have shorter maturities than residential mortgage
loans, and may not be fully amortizing, meaning that they may have a significant
principal balance, or "balloon" payment, due on maturity. Assets underlying
commercial mortgage-related securities may relate only to a few properties or a
single property. The risk involved in single property financings is highly
concentrated. In addition, commercial properties, particularly industrial and
warehouse properties, are subject to environmental risks and the burdens and
costs of compliance with environmental laws and regulations. At the same time,
commercial mortgage-related securities may have a lower prepayment risk than
residential mortgage-related securities, because commercial mortgage loans
generally prohibit or impose penalties on prepayments of principal. In addition,
as described in the next paragraph, commercial mortgage-related securities often
are structured with some form of credit enhancement to protect against potential
losses on the underlying mortgage loans.
Mortgage-related securities are often backed by a pool of assets
representing the obligations of a number of different parties. To lessen the
effect of failures by obligors to make payments, such securities may contain
elements of credit support. Such credit support falls into two categories: (i)
liquidity protection and (ii) protection against losses resulting from ultimate
default by an obligor on the underlying assets. Liquidity protection refers to
the provision of advances, generally by the entity administering the pool of
assets, designed to ensure that the receipt of payments on the underlying pool
occurs in a timely fashion. Protection against losses resulting from ultimate
default is designed to ensure timely payment of the obligations on at least a
portion of the assets in the pool. Such protection may be provided through
subordination of other debt, guarantees, insurance policies, or letters of
credit obtained by the issuer or sponsor from third parties, through various
means of structuring the transaction or through a combination of such
approaches. The degree of credit support provided for each issue is generally
based on historical information with respect to the level of credit risk
associated with the underlying assets. There can be no assurance that credit
support will be sufficient to ensure the timely payment of principal and/or
interest. Delinquencies or losses in excess of those anticipated could adversely
affect the return on investment in such security. The Fund will not pay any
separately stated fees for such credit support, although the existence of credit
support may increase the price of a security.
ADJUSTABLE RATE SECURITIES
- --------------------------
Adjustable rate securities are securities that have interest rates that are
reset at periodic intervals, usually by reference to some interest rate index or
market interest rate. They may be U.S. Government Securities or securities of
other issuers. Some adjustable rate securities are backed by pools of mortgage
loans. Although the rate adjustment feature may act as a buffer to reduce sharp
changes in the value of adjustable rate securities, these securities are still
subject to changes in value based on changes in market interest rates or changes
in the issuer's creditworthiness. Because the interest rate is reset only
periodically, changes in the interest rates on adjustable rate securities may
lag changes in prevailing market interest rates. Also, some adjustable rate
securities (or, in the case of securities backed by mortgage loans, the
underlying mortgages) are subject to caps or floors that limit the maximum
change in interest rate during a specified period or over the life of the
security. Because of the resetting of interest rates, adjustable rate securities
are less likely than non-adjustable rate securities of comparable quality and
maturity to increase significantly in value when market interest rates fall.
LOWER RATED SECURITIES
- ----------------------
The Fund may invest up to 5% of its assets in securities rated below
investment grade (that is, rated below BBB by Standard & Poor's or below Baa by
Moody's) at the time of purchase, including securities in the lowest rating
categories, and comparable unrated securities ("Lower Rated Securities"). The
Fund will not necessarily dispose of a security when its rating is reduced below
its rating at the time of purchase, although the Manager will monitor the
investment to determine whether continued investment
-12-
in the security will assist in meeting the Fund's investment objective.
Lower Rated Securities generally provide higher yields, but are subject to
greater credit and market risk, than higher quality fixed income securities.
Lower Rated Securities are considered predominantly speculative with respect to
the ability of the issuer to meet principal and interest payments. To the extent
the Fund invests in Lower Rated Securities achievement of the Fund's investment
objective may be more dependent on the Manager's own credit analysis than is the
case with higher quality bonds. The market for Lower Rated Securities may be
more severely affected than some other financial markets by economic recession
or substantial interest rate increases, by changing public perceptions of this
market or by legislation that limits the ability of certain categories of
financial institutions to invest in these securities. In addition, the secondary
market may be less liquid for Lower Rated Securities. This reduced liquidity at
certain times may affect the values of these securities and may make the
valuation and sale of these securities more difficult. Securities of below
investment grade quality are commonly referred to as "junk bonds." Securities in
the lowest rating categories may be in poor standing or in default. Securities
in the lowest investment grade category (BBB or Baa) have some speculative
characteristics.
ZERO COUPON SECURITIES
- ----------------------
When investing in "zero coupon" fixed income securities, the Fund is
required to accrue interest income on these securities at a fixed rate based on
the initial purchase price and the length to maturity, but these securities do
not pay interest in cash on a current basis. The Fund is required to distribute
the income on these securities to its shareholders as the income accrues, even
though the Fund is not receiving the income in cash on a current basis. Thus,
the Fund may have to sell other investments to obtain cash to make income
distributions. The market value of zero coupon securities is often more volatile
than that of non-zero coupon fixed income securities of comparable quality and
maturity. Zero coupon securities include IO and PO strips.
INDEXED SECURITIES
- ------------------
Indexed Securities are securities the redemption values and/or the coupons
of which are indexed to the prices of a specific instrument or statistic.
Indexed securities typically, but not always, are debt securities or deposits
whose value at maturity or coupon rate is determined by reference to other
securities, securities indexes, currencies, precious metals or other
commodities, or other financial indicators. Gold-indexed securities, for
example, typically provide for a maturity value that depends on the price of
gold, resulting in a security whose price tends to rise and fall together with
gold prices. Currency-indexed securities typically are short-term to
intermediate-term debt securities whose maturity values or interest rates are
determined by reference to the values of one or more specified foreign
currencies, and may offer higher yields than U.S. dollar-denominated securities
of equivalent issuers. Currency- indexed securities may be positively or
negatively indexed; that is, their maturity value may increase when the
specified currency value increases, resulting in a security that performs
similarly to a foreign-denominated instrument, or their maturity value may
decline when foreign currencies increase, resulting in a security whose price
characteristics are similar to a put on the underlying currency.
Currency-indexed securities may also have prices that depend on the values of a
number of different foreign currencies relative to each other.
The performance of indexed securities depends to a great extent on the
performance of the security, currency, or other instrument to which they are
indexed, and may also be influenced by interest rate changes in the U.S. and
abroad. At the same time, indexed securities are subject to the credit risks
associated with the issuer of the security, and their values may decline
substantially if the issuer's creditworthiness deteriorates. Recent issuers of
indexed securities have included banks, corporations, and certain U.S.
government agencies.
Indexed securities in which the Fund may invest include so-called "inverse
floating obligations" or "residual interest bonds" on which the interest rates
typically decline as short-term market interest rates increase and increase as
short-term market rates decline. Such securities have the effect of providing a
degree of investment leverage, since they will generally increase or decrease in
value in response to changes in market interest rates at a rate which is a
multiple of the rate at which fixed-rate long-term securities increase or
decrease in response to such changes. As a result, the market values of such
securities will generally be more volatile than the market values of fixed rate
securities.
FIRM COMMITMENTS
- ----------------
A firm commitment agreement is an agreement with a bank or broker-dealer
for the purchase of securities at an agreed-upon price on a specified future
date. The Fund may enter into firm commitment agreements with such banks and
broker-dealers with respect to any of the instruments eligible for purchase by
the Fund. The Fund will only enter into firm commitment arrangements with banks
and broker-dealers which the Manager determines present minimal credit risks.
The Fund will maintain in a segregated account with its custodian cash, U.S.
Government Securities or other liquid high grade debt obligations in an amount
equal to the Fund's obligations under firm commitment agreements.
REVERSE REPURCHASE AGREEMENTS AND DOLLAR ROLL AGREEMENTS
- --------------------------------------------------------
The Fund may enter into reverse repurchase agreements and dollar roll
agreements with banks and brokers to enhance return. Reverse repurchase
agreements involve sales by the Fund of portfolio assets concurrently with an
agreement by the Fund to repurchase the same assets at a later date at a fixed
price. During the reverse repurchase agreement period, the Fund continues to
receive principal and interest payments on these securities and also
-13-
has the opportunity to earn a return on the collateral furnished by the
counterparty to secure its obligation to redeliver the securities.
Dollar rolls are transactions in which the Fund sells securities for
delivery in the current month and simultaneously contracts to repurchase
substantially similar (same type and coupon) securities on a specified future
date. During the roll period, the Fund forgoes principal and interest paid on
the securities. The Fund is compensated by the difference between the current
sales price and the forward price for the future purchase (often referred to as
the "drop") as well as by the interest earned on the cash proceeds of the
initial sale.
In making such investments, the Fund will establish segregated accounts
with its custodian in which the Fund will maintain cash, U.S. Government
Securities or other liquid high grade debt obligations equal in value to its
obligations in respect of reverse repurchase agreements and dollar rolls.
Reverse repurchase agreements and dollar rolls involve the risk that the market
value of the securities retained by the Fund may decline below the price of the
securities the Fund has sold but is obligated to repurchase under the agreement.
In the event the buyer of securities under a reverse repurchase agreement or
dollar roll files for bankruptcy or becomes insolvent, the Fund's use of the
proceeds of the agreement may be restricted pending a determination by the other
party or its trustee or receiver whether to enforce the Fund's obligation to
repurchase the securities. Reverse repurchase agreements and dollar rolls are
not considered borrowings by the Fund for purposes of the Fund's fundamental
investment restriction with respect to borrowings.
ILLIQUID SECURITIES
- -------------------
The Fund may purchase "illiquid securities," i.e., securities which may not
be sold or disposed of in the ordinary course of business within seven days at
approximately the value at which the Fund has valued the investment, which
include securities whose disposition is restricted by securities laws, so long
as no more than 15% of net assets would be invested in such illiquid securities.
The Fund currently intends to invest in accordance with the SEC staff view that
repurchase agreements maturing in more than seven days are illiquid securities.
The SEC staff has stated informally that it is of the view that over-the-counter
options and securities serving as cover for over-the-counter options are
illiquid securities. While the Trust does not agree with this view, it will
operate in accordance with any relevant formal guidelines adopted by the SEC.
MULTIPLE CLASSES
----------------
The Fund offers three classes of shares: Class I, Class II and
Class III. Eligibility generally depends on the size of a client's total
investment with GMO, as described more fully in this section. See
"Eligibility for Classes."
SHAREHOLDER SERVICE FEES
- ------------------------
The principal economic difference among the various classes of shares is
the level of Shareholder Service Fee which the classes bear for client and
shareholder service, reporting and other support. The existence of multiple
classes reflects the fact that, as the size of a client relationship increases,
the cost to service that client decreases as a percentage of the assets in that
account. Thus, the Shareholder Service Fee is lower for classes where
eligibility criteria require greater total assets under GMO's management.
The Trust has adopted a Shareholder Servicing Plan with respect to the
multiple classes of shares. Pursuant to the terms of the Shareholder Servicing
Plan, the classes will pay the following Shareholder Service Fees, expressed as
an annual percentage of the average daily net assets attributable to that class
of shares:
Shareholder Service Fee
-----------------------
Class I Class II Class III
------- -------- ---------
0.28% 0.22% 0.15%
CLIENT SERVICE - GMO AND GMO FUNDS
- ----------------------------------
A significant distinction among classes is that clients eligible for Class
I or Class II Shares are serviced by the Manager's GMO FUNDS DIVISION, a
division of GMO established in April of 1996 to deliver institutional quality
service and reporting to clients generally committing between $1 million and $35
million to GMO's management.
ELIGIBILITY FOR CLASSES
- -----------------------
Class I, Class II and Class III Shares: With certain exceptions described
below, eligibility for Class I, Class II, and Class III Shares depends on a
client's "TOTAL INVESTMENT" with GMO.
For clients establishing a relationship with GMO on or after June 1, 1996:
A client's Total Investment is equal at any time to the aggregate of all amounts
contributed by the client to any registered investment company for which GMO
acts as investment manager (a "GMO Fund"), less the "INVESTMENT COST" of all
redemptions by the client from such Funds. Where applicable, the market value of
assets managed by GMO for the client other than in a mutual fund, as of the
prior month end, will be added to the client's Total Investment. For purposes of
class eligibility, market appreciation or depreciation of a client's mutual fund
account is not considered; the Total Investment of a client is affected only by
the amount of purchases and redemptions made by the client. Further, it is
assumed that any redemptions made by a client are satisfied first by market
appreciation so that a redemption does not have Investment Cost except to the
extent that the redemption or withdrawal exceeds the market appreciation of the
client's account in a GMO Fund.
-14-
Subject to the exceptions set forth following this table, the minimum Total
Investment for a new client (establishing a GMO Account after June 1, 1996) to
be eligible for Class I, II or III Shares is set forth below:
MINIMUM TOTAL INVESTMENT
------------------------
Class I $1 Million
Class II $10 Million
Class III $35 Million
Investments by defined contribution pension plans (such as 401(k) plans)
will be accepted only in Class I Shares regardless of the size of the
investment, and will not be eligible to convert to other classes.
For Clients with Accounts as of May 31, 1996: Any client of GMO whose Total
Investment as of May 31, 1996 was equal to or greater than $7 million will
remain eligible for Class III Shares indefinitely, provided that such client
does not make a withdrawal or redemption that causes the client's Total
Investment to fall below $7 million. Any client whose Total Investment as of May
31, 1996 was less than $7 million, but greater than $0, will convert to Class II
Shares on or shortly after July 31, 1997. For clients with GMO accounts as of
May 31, 1996, their initial Total Investment will equal the market value of all
of their GMO investments as of the close of business on May 31, 1996 and will
subsequently be calculated as described in the preceding section.
There is no minimum for subsequent investments into any class of shares.
The Manager will make all determinations as to aggregation of client
accounts for purposes of determining eligibility.
CONVERSIONS BETWEEN CLASSES
- ---------------------------
On July 31 of each year (the "DETERMINATION DATE") the value of each
client's Total Investment with GMO, as defined above, will be determined. Based
on that determination, each client's shares of all GMO Funds will be
automatically converted to the class with the lowest Shareholder Service Fee for
which the client is eligible based on the amount of the client's Total
Investment. The conversion will occur within 15 business days following the
Determination Date. Also, if a client makes an investment in a GMO Fund or puts
additional assets under GMO's Management so as to cause the client to be
eligible for a new class of shares, such determination will be made as of the
close of business on the last day of the month in which the investment was made,
and the conversion will be effected within 15 business days of that month-end.
The Trust received a tax ruling from the Internal Revenue Service to the
effect that the conversion of a client's investment from one class of shares to
another class of shares in the same Fund should not result in the recognition of
gain or loss in the converted Fund's shares. The client's tax basis in the new
class of shares immediately after the conversion should equal the client's basis
in the converted shares immediately before conversion, and the holding period of
the new class of shares should include the holding period of the converted
shares.
Certain special rules will be applied by the Manager with respect to
clients for whom GMO managed assets prior to the creation of multiple classes
for the Trust on May 31, 1996. Clients whose Total Investment as of May 31, 1996
is equal to $7 million or more will be eligible to remain invested in Class III
Shares indefinitely (despite the normal $35 million minimum), provided that such
client does not make a withdrawal or redemption that causes the client's Total
Investment to fall below $7 million. Clients whose Total Investment as of May
31, 1996 is less than $7 million will be converted to Class II Shares (rather
than Class I Shares) and such conversion will not occur until July 31, 1997 or
slightly thereafter. Of course, if such a client makes an additional investment
prior to July 31, 1997 such that their Total Investment on July 31, 1997 is $35
million or more, the client will remain eligible for Class III Shares.
Investors should be aware that not all classes of all Funds are available
in all jurisdictions.
PURCHASE OF SHARES
------------------
Shares of the Fund are available only from the Trust and may be purchased
on any day when the New York Stock Exchange is open for business (a "business
day"). Class I and Class II Shares may be purchased by calling (617) 790-5000.
Class III Shares may be purchased by calling (617) 330-7500. See "Purchase
Procedures" below.
The purchase price of a share of the Fund is (i) the net asset value next
determined after a subscription agreement is received in good order plus (ii) a
premium established from time to time by the Trust for the Fund. All purchase
premiums are paid to and retained by the Fund and are intended to cover the
brokerage and other costs associated with putting the investment to work in the
relevant markets. Each class of shares of the Fund has the same rate of purchase
premium. The purchase premium currently in effect for the Fund is 0.60%. The
Manager may reduce purchase premiums if the Manager determines that there are
minimal brokerage and/or other transaction costs caused by the purchase.
Generally, however, the premium is not waivable even when there are offsetting
transactions.
The purchase premium applies only to cash transactions. These fees are paid
to and retained by the Fund itself and are designed to allocate transaction
costs caused by shareholder activity to the
-15-
shareholder generating the activity, rather than to the Fund as a whole.
Purchase premiums are not sales loads.
It is expected that the purchase premium for the Fund will be eliminated
once the net assets of the Fund exceed $100 million. However, even thereafter,
the Fund will reserve the right to charge a purchase premium of up to 0.60% on
purchases that are equal to or greater than 5% of the Fund's net assets prior to
the purchase.
Shares may be purchased (i) in cash, (ii) in exchange for securities on
deposit at The Depository Trust Company ("DTC") (or such other depository
acceptable to the Manager), subject to the determination by the Manager that the
securities to be exchanged are acceptable, or (iii) by a combination of such
securities and cash. In all cases, the Manager reserves the right to reject any
particular investment. Securities acceptable to the Manager as consideration for
Fund shares will be valued as set forth under "Determination of Net Asset Value"
(generally the last quoted sale price) as of the time of the next determination
of net asset value after such acceptance. All dividends, subscription or other
rights which are reflected in the market price of accepted securities at the
time of valuation become the property of the Fund and must be delivered to the
Trust upon receipt by the investor from the issuer. A gain or loss for federal
income tax purposes may be realized by investors subject to federal income
taxation upon the exchange, depending upon the investor's basis in the
securities tendered.
The Manager will not approve securities as acceptable consideration for
Fund shares unless (1) the Manager, in its sole discretion, believes the
securities are appropriate investments for the Fund; (2) the investor represents
and agrees that all securities offered to the Fund are not subject to any
restrictions upon their sale by the Fund under the Securities Act of 1933, or
otherwise; and (3) the securities may be acquired under the investment
restrictions applicable to the Fund. Investors interested in making in-kind
purchases should telephone the Manager at (617) 330-7500.
For purposes of calculating the purchase price of Trust shares, a
subscription agreement is received by the Trust on the day that it is in "good
order" and is accepted by the Trust. For a subscription agreement to be in "good
order" on a particular day, the investor's consideration must be received before
the relevant deadline on that day. If the investor makes a cash investment, the
deadline for wiring Federal funds to the Trust is 2:00 p.m.; if the investor
makes an investment in-kind, the investor's securities must be placed on deposit
at DTC (or such other depository as is acceptable to the Manager) and 2:00 p.m.
is the deadline for transferring those securities to the account designated by
the transfer agent, Investors Bank & Trust Company, One Lincoln Plaza, Boston,
Massachusetts 02205. Investors should be aware that approval of the securities
to be used for purchase must be obtained from the Manager prior to this time.
When the consideration is received by the Trust after the relevant deadline, the
subscription agreement is not considered to be in good order and is required to
be resubmitted on the following business day. With the prior consent of the
Manager, in certain circumstances the Manager may, in its discretion, permit
purchases based on receiving adequate written assurances that Federal Funds or
securities, as the case may be, will be delivered to the Trust by 2:00 p.m. on
or prior to the fourth business day after such assurances are received.
PURCHASE PROCEDURES:
(a) General: Investors should call the Trust at (617) 790-5000 before
attempting to place an order for Class I or Class II Shares. Investors should
call the Trust at (617) 330-7500 before attempting to place an order for Class
III Shares. The Trust reserves the right to reject any order for Trust shares.
DO NOT SEND CASH, CHECKS OR SECURITIES DIRECTLY TO THE TRUST. Wire transfer and
mailing instructions are contained on the SUBSCRIPTION AGREEMENT which can be
obtained from the Trust at the telephone numbers set forth above.
Purchases will be made in full and fractional shares of the Fund calculated
to three decimal places. The Trust will send a written confirmation (including a
statement of shares owned) to shareholders at the time of each transaction.
(b) Subscription Agreement: Investors must submit a Subscription Agreement
to the Trust and it must be accepted by the Trust before it will be considered
in "good order."
Class I and Class II Shares: A Subscription Agreement for Class I and Class
II Shares may be obtained by calling the Trust at (617) 790-5000. This
Subscription Agreement may be submitted to the Trust (i) By Mail to GMO Trust
c/o GMO Funds Division, 40 Rowes Wharf, Boston, MA 02110; or (ii) By Facsimile
to (617) 439-4290.
Class III Shares: A Subscription Agreement for Class III Shares may be
obtained by calling the Trust at (617) 330-7500. This Subscription Agreement may
be submitted to the Trust (i) By Mail to GMO Trust c/o Grantham, Mayo, Van
Otterloo & Co. LLC, 40 Rowes Wharf, Boston, MA 02110; Attention: Shareholder
Services, or (ii) By Facsimile to (617) 439-4192; Attention: Shareholder
Services.
(c) Acceptance of Subscription Agreement: No Subscription Agreement is in
"good order" until it has been accepted by the Trust. As noted above, investors
should call the Trust at the telephone numbers indicated before attempting to
place an order. If a Subscription Agreement is faxed to the Trust without first
contacting the Trust, investors should not consider their order acknowledged
until they have received notification from the Trust or have confirmed receipt
of the order by contacting the Trust. A shareholder may confirm acceptance of a
mailed or faxed Subscription Agreement by calling the Trust at (617) 330-7500 in
the case of Class III Shares, or at (617) 790-5000 in the case of Class I or II
Shares. If a Subscription Agreement is mailed to the Trust, it will be acted
upon when received.
-16-
(d) Payment: All Federal funds must be transmitted to Investors Bank &
Trust Company for the account of the GMO Global Properties Fund. "Federal funds"
are monies credited to Investors Bank & Trust Company's account with the Federal
Reserve Bank of Boston.
Note: The Trust may attempt to process orders for Trust shares that are
submitted less formally than as described above but, in such cases, the investor
should carefully review confirmations sent by the Trust to verify that the order
was properly executed. The Trust cannot be held responsible for failure to
execute orders or improperly executing orders that are not submitted in
accordance with these procedures.
REDEMPTION OF SHARES
--------------------
Shares of the Fund may be redeemed on any business day in cash or in
kind. The redemption price is the net asset value per share next determined
after receipt of the redemption request in "good order" less any applicable
redemption fee. All redemption fees are paid to and retained by the Fund and are
intended to cover the brokerage and other Fund costs associated with
redemptions. All classes of the Fund bear the same redemption fee rate.
The redemption fee currently in effect for the Fund is 0.30%. The
Manager may reduce redemption fees if the Manager determines that there are
minimal brokerage and/or other transaction costs caused by the redemption.
Generally, however, the fee is not waivable even where there are offsetting
transactions.
The redemption fee applies only to cash transactions. These fees are
paid to and retained by the Fund itself and are employed to allocate transaction
costs caused by shareholder activity to the shareholder generating the activity,
rather than to the Fund as a whole. Redemption fee is not sales loads or
contingent deferred sales charges. It is expected that the redemption fee for
the Fund will be eliminated once the net assets of the Fund exceed $100 million.
However, even thereafter, the Fund will reserve the right to charge a redemption
fee of up to 0.30% on redemptions that are equal to or greater than 5% of the
Fund's net assets prior to the redemption.
If the Manager determines, in its sole discretion, that it would be
detrimental to the best interests of the remaining shareholders of the Fund to
make payment wholly or partly in cash, the Fund may pay the redemption price in
whole or in part by a distribution in-kind of securities held by the Fund in
lieu of cash. Securities used to redeem Fund shares in-kind will be valued in
accordance with the Fund's procedures for valuation described under
"Determination of Net Asset Value." Securities distributed by the Fund in-kind
will be selected by the Manager in light of the Fund's objective and will not
generally represent a pro rata distribution of each security held in the Fund's
portfolio. Any in-kind redemptions will be of readily marketable securities to
the extent available. Investors may incur brokerage charges on the sale of any
such securities so received in payment of redemptions.
Payment on redemption will be made as promptly as possible and in any
event within seven days after the request for redemption is received by the
Trust in "good order." A redemption request is in "good order" if it includes
the exact name in which shares are registered, the investor's account number and
the number of shares or the dollar amount of shares to be redeemed and if it is
signed exactly in accordance with the form of registration. In addition, for a
redemption request to be in "good order" on a particular day, the investor's
request must be received by the Trust by 4:15 p.m. on a business day. When a
redemption request is received after 4:15 p.m., the redemption request will not
be considered to be in "good order" and is required to be resubmitted on the
following business day. Persons acting in a fiduciary capacity, or on behalf of
a corporation, partnership or trust must specify, in full, the capacity in which
they are acting. The redemption request will be considered "received" by the
Trust only after (i) it is mailed to, and received by, the Trust at the
appropriate address set forth above for purchase orders, or (ii) it is faxed to
the Trust at the appropriate facsimile number set forth above for purchase
orders, and the investor has confirmed receipt of the faxed request by calling
the Trust at (617) 330-7500 in the case of Class III Shares, or at (617)
790-5000 in the case of Class I or Class II Shares. In-kind distributions will
be transferred and delivered as directed by the investor. Cash payments will be
made by transfer of Federal funds for payment into the investor's account.
When opening an account with the Trust, shareholders will be required
to designate the account(s) to which funds or securities may be transferred upon
redemption. Designation of additional accounts and any change in the accounts
originally designated must be made in writing.
The Fund may suspend the right of redemption and may postpone payment
for more than seven days when the New York Stock Exchange is closed for other
than weekends or holidays, or if permitted by the rules of the Securities and
Exchange Commission during periods when trading on the Exchange is restricted or
during an emergency which makes it impracticable for the Fund to dispose of its
securities or to fairly determine the value of the net assets of the Fund, or
during any other period permitted by the Securities and Exchange Commission for
the protection of investors. Because the Fund will hold portfolio securities
listed on foreign exchanges which may trade on days on which the New York Stock
Exchange is closed, the net asset value of the Fund's shares may be
significantly affected on days when shareholders have no access to such Funds.
DETERMINATION OF NET ASSET VALUE
--------------------------------
The net asset value of a share is determined for the Fund once on each
day on which the New York Stock Exchange is open as of 4:15 p.m., New York City
Time, except that the Fund may not determine its net asset value on days during
which no security is tendered for redemption and no order to purchase or sell
such security is received by the Fund. The Fund's net asset value is determined
by dividing the total market value of the Fund's
-17-
portfolio investments and other assets, less any liabilities, by the total
outstanding shares of the Fund. 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. Price information on listed securities is
generally taken from the closing price on the exchange where the security is
primarily traded. Unlisted securities for which market quotations are readily
available are valued at the most recent quoted bid price, except that debt
obligations with sixty days or less remaining until maturity may be valued at
their amortized cost, unless circumstances dictate otherwise. Circumstances may
dictate otherwise, among other times, when the issuer's creditworthiness has
become impaired.
All other fixed income securities (which includes bonds, loans and
structured notes) and options thereon are valued at the closing bid for such
securities as supplied by a primary pricing source chosen by the Manager. While
the Manager evaluates such primary pricing sources on an ongoing basis, and may
change any pricing source at any time, the Manager will not normally evaluate
the prices supplied by the pricing sources on a day-to-day basis. However, the
Manager is kept informed of erratic or unusual movements (including unusual
inactivity) in the prices supplied for a security and has the power to override
any price supplied by a source (by taking a price supplied from another source)
because of such price activity or because the Manager has other reasons to
suspect that a price supplied may not be reliable.
Other assets and securities for which no quotations are readily
available are valued at fair value as determined in good faith by the Trustees
or persons acting at their direction. The values of foreign securities quoted in
foreign currencies are translated into U.S. dollars at current exchange rates or
at such other rates as the Trustees may determine in computing net asset value.
Because of time zone differences, foreign exchanges and securities
markets will usually be closed prior to the time of the closing of the New York
Stock Exchange and values of foreign options and foreign securities will be
determined as of the earlier closing of such exchanges and securities markets.
However, events affecting the values of such foreign securities may occasionally
occur between the earlier closings of such exchanges and securities markets and
the closing of the New York Stock Exchange which will not be reflected in the
computation of the net asset value of the Fund. If an event materially affecting
the value of such foreign securities occurs during such period, then such
securities will be valued at fair value as determined in good faith by the
Trustees or persons acting at their direction.
Because foreign securities, options on foreign securities and foreign
futures are quoted in foreign currencies, fluctuations in the value of such
currencies in relation to the U.S. dollar will affect the net asset value of
shares of the Fund even though there has not been any change in the values of
such securities and options, measured in terms of the foreign currencies in
which they are denominated.
DISTRIBUTIONS
-------------
The Fund intends to pay out as dividends substantially all of its net
investment income (which comes from dividends and interest it receives from its
investments and net short-term capital gains). For these purposes and for
federal income tax purposes, a portion of the premiums from certain expired call
or put options written by the Fund, net gains from certain closing purchase and
sale transactions with respect to such options and a portion of net gains from
other options and futures transactions are treated as short-term capital gain.
The Fund also intends to distribute substantially all of its net long-term
capital gains, if any, after giving effect to any available capital loss
carryover. The policy of the Fund is to declare and pay distributions of its
dividends, interest and foreign currency gains semi-annually. The Fund also
intends to distribute net short-term capital gains and net long-term gains at
least annually.
All dividends and/or distributions will be paid in shares of the Fund,
at net asset value, unless the shareholder elects to receive cash. There is no
purchase premium on reinvested dividends or distributions. Shareholders may make
this election by marking the appropriate box on theSubscription Agreement or by
writing to the Trust.
TAXES
-----
The Fund is treated as a separate taxable entity for federal income tax
purposes. The Fund intends to qualify each year as a regulated investment
company under Subchapter M of the Internal Revenue Code of 1986, as amended. So
long as the Fund so qualifies, the Fund itself will not pay federal income tax
on the amount distributed.
Fund distributions derived from interest, dividends and certain other
income, including in general short-term capital gains, will be taxable as
ordinary income to shareholders subject to federal income tax whether received
in cash or reinvested shares. Designated distributions of any long-term capital
gains whether received in cash or reinvested shares are taxable as such to
shareholders subject to federal income tax, regardless of how long a shareholder
may have owned shares in the Fund. Any loss realized upon a taxable disposition
of shares held for six months or less will be treated as long-term capital loss
to the extent of any long-term capital gain distributions received by a
shareholder with respect to those shares. A distribution paid to shareholders by
the Fund in January of a year generally is deemed to have been received by
shareholders on December 31 of the preceding year, if the distribution was
declared and payable to shareholders of record on a date in October, November or
December of that preceding year. The Trust will provide federal tax information
annually, including information about dividends and distributions paid during
the preceding year to taxable investors and others requesting such information.
-18-
For corporate shareholders, any distributions received by the Fund from
REITs will not qualify for the corporate dividends-received deduction. The
Fund's investments in REIT equity securities may require the Fund to accrue and
distribute income not yet received. In order to generate sufficient cash to make
the requisite distributions, the Fund may be required to sell securities in its
portfolio that it otherwise would have continued to hold. The Fund's investments
in REIT equity securities may at other times result in the Fund's receipt of
cash in excess of the REIT's earnings; if the Fund distributes such amounts,
such distribution could constitute a return of capital to Fund shareholders for
federal income tax purposes.
The back-up withholding rules do not apply to tax exempt entities so
long as each such entity furnishes the Trust with an appropriate certification.
However, other shareholders are subject to back-up withholding at a rate of 31%
on all distributions of net investment income and capital gain, whether received
in cash or reinvested in shares of the Fund, and on the amount of the proceeds
of any redemption of Fund shares paid or credited to any shareholder account for
which an incorrect or no taxpayer identification number has been provided, where
appropriate certification has not been provided for a foreign shareholder, or
where the Trust is notified that the shareholder has underreported income in the
past (or the shareholder fails to certify that he is not subject to such
withholding).
The foregoing is a general summary of the federal income tax
consequences for shareholders who are U.S. citizens, residents or domestic
corporations. Shareholders should consult their own tax advisors about the tax
consequences of an investment in the Fund in light of each shareholder's
particular tax situation. Shareholders should also consult their own tax
advisors about consequences under foreign, state, local or other applicable tax
laws.
WITHHOLDING ON DISTRIBUTIONS TO FOREIGN INVESTORS
- -------------------------------------------------
Dividend distributions (including distributions derived from short-term
capital gains) are in general subject to a U.S. withholding tax of 31% when paid
to a nonresident alien individual, foreign estate or trust, a foreign
corporation, or a foreign partnership ("foreign shareholder"). Persons who are
resident in a country, such as the U.K., that has an income tax treaty with the
U.S. may be eligible for a reduced withholding rate (upon filing of appropriate
forms), and are urged to consult their tax advisors regarding the applicability
and effect of such a treaty. Distributions of net long-term capital gains to a
foreign shareholder, and any gain realized upon the sale of Fund shares by such
a shareholder will ordinarily not be subject to U.S. taxation, unless the
recipient or seller is a nonresident alien individual who is present in the
United States for more than 182 days during the taxable year. However, foreign
shareholders with respect to whom income from the Fund is "effectively
connected" with a U.S. trade or business carried on by such shareholder will in
general be subject to U.S. federal income tax on the income derived from the
Fund at the graduated rates applicable to U.S. citizens, residents or domestic
corporations, whether received in cash or reinvested in shares, and, in the case
of a foreign corporation, may also be subject to a branch profits tax. Again,
foreign shareholders who are resident in a country with an income tax treaty
with the United States may obtain different tax results, and are urged to
consult their tax advisors.
FOREIGN TAX CREDITS
- -------------------
If, at the end of the fiscal year, more than 50% of the total assets of
the Fund is represented by stock of foreign corporations, the Fund intends to
make an election allows shareholders whose income from the Fund is subject to
U.S. taxation at the graduated rates applicable to U.S. citizens, residents or
domestic corporations to claim a foreign tax credit or deduction (but not both)
on their U.S. income tax return. In such case, the amounts of foreign income
taxes paid by the Fund would be treated as additional income to Fund
shareholders from non-U.S. sources and as foreign taxes paid by Fund
shareholders. Investors should consult their tax advisors for further
information relating to the foreign tax credit and deduction, which are subject
to certain restrictions and limitations. Shareholders of the Fund whose income
from the Fund is not subject to U.S. taxation at the graduated rates applicable
to U.S. citizens, residents or domestic corporations may receive substantially
different tax treatment of distributions by the Fund, and may be disadvantaged
as a result of the election described in this paragraph.
LOSS OF REGULATED INVESTMENT COMPANY STATUS
- -------------------------------------------
The Fund may experience particular difficulty qualifying as a regulated
investment company in the case of highly unusual market movements, in the case
of high redemption levels and/or during the first year of its operations. If the
Fund does not qualify for taxation as a regulated investment company for any
taxable year, the Fund's income will be taxed at the Fund level at regular
corporate rates, and all distributions from earnings and profits, including
distributions of net long-term capital gains, will be taxable to shareholders as
ordinary income and subject to withholding in the case of non-U.S. shareholders.
In addition, in order to requalify for taxation as a regulated investment
company, the Fund may be required to recognize unrealized gains, pay taxes on
such gains, and make certain distributions.
MANAGEMENT OF THE TRUST
-----------------------
The Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co.
LLC, 40 Rowes Wharf, Boston, Massachusetts 02110 (the "Manager" or "GMO") which
provides investment advisory services to a substantial number of institutional
and other investors and to the other 29 GMO Funds. Each of the following four
general partners holds a greater than 5% interest in the Manager: R. Jeremy
Grantham, Richard A. Mayo, Eyk H.A.
Van Otterloo and Kingsley Durant.
-19-
Under a Management Contract with the Trust, the Manager selects and
reviews the Fund's investments and provides executive and other personnel for
the management of the Trust. Pursuant to the Trust's Agreement and Declaration
of Trust, the Board of Trustees supervises the affairs of the Trust as conducted
by the Manager. In the event that the Manager ceases to be the manager of the
Fund, the right of the Trust to use the identifying name "GMO" may be withdrawn.
The Management Contract provides for payment to the Manager of a
management fee at the stated annual rate set forth under Schedule of Fees and
Expenses. The Management Fee is computed and accrued daily, and paid monthly.
The Manager has voluntarily agreed to waive its fee and to bear certain expenses
until further notice in order to limit each Fund's annual expenses to specified
limits (with certain exclusions). These limits and the terms applicable to them
are described under Schedule of Fees and Expenses.
Eyk H. A. Van Otterloo is primarily responsible for the day-to-day
management of the Fund. Mr. Van Otterloo has served as a member of GMO for more
than 15 years.
Pursuant to an Administrative Services Agreement with GMO, Investors
Bank & Trust Company provides administrative services to the Fund. GMO pays
Investors Bank & Trust Company an annual fee for its services to the Fund.
Pursuant to a Servicing Agreement with the Trust on behalf of each
class of shares of the Fund, Grantham, Mayo, Van Otterloo & Co. LLC, in its
capacity as the Trust's shareholder servicer (the "Shareholder Servicer")
provides direct client service, maintenance and reporting to shareholders of
each class of shares. Such servicing and reporting services include, without
limitation, professional and informative reporting, client account information,
personal and electronic access to Fund information, access to analysis and
explanations of Fund reports, and assistance in the correction and maintenance
of client-related information.
ORGANIZATION AND CAPITALIZATION
-------------------------------
OF THE TRUST
------------
The Trust was established on June 24, 1985 as a business trust under
Massachusetts law. The Trust has an unlimited authorized number of shares of
beneficial interest which may, without shareholder approval, be divided into an
unlimited number of series of such shares, and which are presently divided into
thirty series of shares: one for the Fund and one for each of the other 29 GMO
Funds. All shares of all series are entitled to vote at any meetings of
shareholders. The Trust does not generally hold annual meetings of shareholders
and will do so only when required by law. All shares entitle their holders to
one vote per share. Matters submitted to shareholder vote must be approved by
each GMO Fund separately except (i) when required by the 1940 Act shares shall
be voted together as a single class and (ii) when the Trustees have determined
that the matter does not affect a particular GMO Fund, then only shareholders of
the GMO Fund(s) affected shall be entitled to vote on the matter. Shareholders
of a particular class of shares do not have separate class voting rights except
with respect to matters that affect only that class of shares or as otherwise
required by law. Shares are freely transferable, are entitled to dividends as
declared by the Trustees, and, in liquidation of the Trust, are entitled to
receive the net assets of their GMO Fund, but not of any other GMO Fund.
Shareholders holding a majority of the outstanding shares of all series may
remove Trustees from office by votes cast in person or by proxy at a meeting of
shareholders or by written consent.
Shareholders could, under certain circumstances, be held personally
liable for the obligations of the Trust. However, the risk of a shareholder
incurring financial loss on account of that liability is considered remote since
it may arise only in very limited circumstances.
-20-
================================================================================
SHAREHOLDER INQUIRIES
---------------------
Shareholders may direct inquiries regarding CLASS III Shares
to Grantham, Mayo, Van Otterloo & Co. LLC,
40 Rowes Wharf, Boston, MA 02110
(1-617-330-7500)
Shareholders may direct inquiries regarding CLASS I or CLASS II Shares
to GMO Funds Division,
40 Rowes Wharf, Boston, MA 02110
(1-617-790-5000)
================================================================================
-21-
GMO GLOBAL PROPERTIES FUND
STATEMENT OF ADDITIONAL INFORMATION
December 20, 1996
This Statement of Additional Information is not a prospectus. This Statement of
Additional Information relates to the Private Placement Memorandum dated
December 20, 1996, as amended from time to time and should be read in
conjunction therewith. A copy of the Private Placement Memorandum may be
obtained from GMO Trust, 40 Rowes Wharf, Boston, Massachusetts 02110.
Table of Contents
-----------------
Caption Page
------- ----
INVESTMENT OBJECTIVES AND POLICIES...........................................1
INVESTMENT RESTRICTIONS......................................................1
INCOME, DIVIDENDS, DISTRIBUTIONS AND TAX STATUS..............................4
MANAGEMENT OF THE TRUST......................................................6
INVESTMENT ADVISORY AND OTHER SERVICES.......................................7
PORTFOLIO TRANSACTIONS.......................................................9
DESCRIPTION OF THE TRUST AND OWNERSHIP OF SHARES............................10
FINANCIAL STATEMENTS .......................................................14
-i-
INVESTMENT OBJECTIVES AND POLICIES
The investment objective and policies of the Fund are described in the
Private Placement Memorandum. Unless otherwise indicated in the Private
Placement Memorandum or this Statement of Additional Information, the investment
objective and policies of the Fund may be changed without shareholder approval.
INVESTMENT RESTRICTIONS
Without a vote of the majority of the outstanding voting securities of
the Fund, the Trust will not take any of the following actions with respect to
the Fund:
(1) Borrow money except under the following circumstances: (i)
The Fund may borrow money from banks so long as after such a
transaction, the total assets (including the amount borrowed) less
liabilities other than debt obligations, represent at least 300% of
outstanding debt obligations; (ii) The Fund may also borrow amounts
equal to an additional 5% of its total assets without regard to the
foregoing limitation for temporary purposes, such as for the clearance
and settlement of portfolio transactions and to meet shareholder
redemption requests; (iii) The Fund may enter into transactions that
are technically borrowings under the 1940 Act because they involve the
sale of a security coupled with an agreement to repurchase that
security (e.g., reverse repurchase agreements, dollar rolls and other
similar investment techniques) without regard to the asset coverage
restriction described in (i) above, so long as and to the extent that
the Fund establishes a segregated account with its custodian in which
it maintains cash and/or high grade debt securities equal in value to
its obligations in respect of these transactions. Under current
pronouncements of the Securities and Exchange Commission and its staff
such transactions are not treated as senior securities so long as and
to the extent that the Fund establishes a segregated account with its
custodian in which it maintains liquid assets, such as cash, U.S.
Government securities or other appropriate high grade debt securities
equal in value to its obligations in respect of these transactions.
(2) Purchase securities on margin, except such short-term
credits as may be necessary for the clearance of purchases and sales of
securities. (For this purpose, the deposit or payment of initial or
variation margin in connection with futures contracts or related
options transactions is not considered the purchase of a security on
margin.)
(3) Make short sales of securities or maintain a short
position for the Fund's account unless at all times when a short
position is open the Fund owns an equal amount of such securities or
owns securities which, without payment of any further
consideration, are convertible into or exchangeable for securities of
the same issue as, and equal in amount to, the securities sold short.
(4) Underwrite securities issued by other persons except to
the extent that, in connection with the disposition of its portfolio
investments, it may be deemed to be an underwriter under federal
securities laws.
(5) Purchase or sell real estate, although it may purchase
securities of issuers which deal in real estate, including securities
of real estate investment trusts, and may purchase securities which are
secured by interests in real estate.
(6) Make loans, except by purchase of debt obligations or by
entering into repurchase agreements or through the lending of the
Fund's portfolio securities. Loans of portfolio securities may be made
with respect to up to 100% of the Fund's total assets.
(7) Invest in securities of any issuer if, to the knowledge of
the Trust, officers and Trustees of the Trust and officers and partners
of Grantham, Mayo, Van Otterloo & Co. LLC (the "Manager") who
beneficially own more than 1/2 of 1% of the securities of that issuer
together beneficially own more than 5%.
(8) Concentrate more than 25% of the value of its total assets
in any one industry (except that, as described in the Private Placement
Memorandum, the Fund may invest more than 25% of its assets in real
estate-related securities).
(9) Purchase or sell commodities or commodity contracts,
except that the Fund may purchase and sell financial futures contracts
and options thereon.
(10) Issue senior securities, as defined in the 1940 Act and
as amplified by rules, regulations and pronouncements of the SEC. The
SEC has concluded that even though reverse repurchase agreements, firm
commitment agreements and standby commitment agreements fall within the
functional meaning of the term "evidence of indebtedness", the issue of
compliance with Section 18 of the 1940 Act will not be raised with the
SEC by the Division of Investment Management if a Fund covers such
securities by maintaining certain "segregated accounts." Similarly, so
long as such segregated accounts are maintained, the issue of
compliance with Section 18 will not be raised with respect to any of
the following: any swap contract or contract for differences; any
pledge or encumbrance of assets permitted by non-fundamental policy (f)
below; any borrowing permitted by restriction 1 above; any collateral
arrangements with respect to initial and variational margin permitted
by non-fundamental policy (f) below; and the purchase or sale of
options, forward contracts, futures contracts or options on futures
contracts.
-2-
Notwithstanding the latitude permitted by Restrictions 1, 3, and 5
above and non- fundamental policy (f) below, the Fund has no current intention
of (a) borrowing money (other than temporary borrowings to meet redemption
requests or to settle securities transactions) or (b) entering into short sales.
It is contrary to the present policy of the Fund, which may be changed
by the Trustees without shareholder approval, to:
(a) Invest in warrants or rights excluding options (other than
warrants or rights acquired by the Fund as a part of a unit or attached
to securities at the time of purchase), except that the Fund may invest
in such warrants or rights so long as the aggregate value thereof
(taken at the lower of cost or market) does not exceed 5% of the value
of the Fund's total net assets; provided that within this 5%, not more
than 2% of its net assets may be invested in warrants that are not
listed on the New York or American Stock Exchange or a recognized
foreign exchange.
(b) Invest in securities of an issuer, which, together with
any predecessors or controlling persons, has been in operation for less
than three consecutive years if, as a result, the aggregate of such
investments would exceed 5% of the value of the Fund's net assets;
except that this restriction shall not apply to any obligation of the
U.S. Government or its instrumentalities or agencies.
(c) Buy or sell oil, gas or other mineral leases, rights or
royalty contracts.
(d) Make investments for the purpose of gaining control of a
company's management.
(e) Invest more than 15% of net assets (or such lower
percentage permitted by the states in which shares are eligible for
sale) in illiquid securities. The securities currently thought to be
included as "illiquid securities" are restricted securities under the
Federal securities laws (including illiquid securities traded under
Rule 144A), repurchase agreements and securities that are not readily
marketable. To the extent the Trustees determine that restricted
securities traded under Rule 144A are in fact liquid, they will not be
included in the 15% limit on investment in illiquid securities.
(f) Pledge, hypothecate, mortgage or otherwise encumber its
assets in excess of 331/3% of the Fund's total assets (taken at cost).
(For the purposes of this restriction, collateral arrangements with
respect to swap agreements, the writing of options, stock index,
interest rate, currency or other futures, options on futures contracts
and collateral arrangements with respect to initial and variation
margin are not deemed to be a pledge or other encumbrance of assets.
The deposit of securities or cash or cash
-3-
equivalents in escrow in connection with the writing of covered call or
put options, respectively is not deemed to be a pledge or encumbrance.)
Except as indicated above in Restriction No. 1, all percentage
limitations on investments set forth herein and in the Private Placement
Memorandum will apply at the time of the making of an investment and shall not
be considered violated unless an excess or deficiency occurs or exists
immediately after and as a result of such investment.
The phrase "shareholder approval," as used in the Private Placement
Memorandum, and the phrase "vote of a majority of the outstanding voting
securities," as used herein with respect to the Fund, means the affirmative vote
of the lesser of (1) more than 50% of the outstanding shares of the Fund, or (2)
67% or more of the shares of the Fund present at a meeting if more than 50% of
the outstanding shares are represented at the meeting in person or by proxy.
INCOME, DIVIDENDS, DISTRIBUTIONS AND TAX STATUS
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"). So long as a Fund qualifies for treatment as a regulated investment
company, the Fund will not be subject to federal income tax on income paid to
its shareholders in the form of dividends or capital gain distributions.
The tax status of the Fund and the distributions which it may make are
summarized in the Private Placement Memorandum under the heading "Taxes." The
Fund intends to pay out substantially all of its ordinary income and net
short-term capital gains, and to distribute substantially all of its net capital
gain, if any, after giving effect to any available capital loss carryover. Net
capital gain is the excess of net long-term capital gain over net short-term
capital loss. It is the policy of the Fund to make distributions sufficient to
avoid the imposition of a 4% excise tax on certain undistributed amounts. The
recognition of certain losses upon the sale of shares of the Fund may be limited
to the extent shareholders dispose of shares of one Fund and invest in shares of
the same or another Fund.
The Fund's transactions in options, futures contracts, hedging
transactions, forward contracts, straddles and foreign currencies may accelerate
income, defer losses, cause adjustments in the holding periods of the Fund's
securities and convert short-term capital gains or losses into long-term capital
gains or losses. Qualification segments noted above may restrict the Fund's
ability to engage in these transactions, and these transactions may affect the
amount, timing and character of distributions to shareholders.
Investment by the Fund in certain "passive foreign investment
companies" could subject the Fund to a U.S. federal income tax or other charge
on distributions received from or
-4-
the sale of its investment in such a company, which tax cannot be eliminated by
making distributions to Fund shareholders. However, the Fund may elect to treat
a passive foreign investment company as a "qualified electing fund," or elect
the mark-to-market election under proposed regulation 1.1291-8, which may have
the effect of accelerating the recognition of income (without the receipt of
cash) and increase the amount required to be distributed for the Fund to avoid
taxation. Making either of these elections may therefore require the Fund to
liquidate other investments to meet its distribution requirement, which may also
accelerate the recognition of gain and affect the Fund's total return.
In general, all dividends derived from ordinary income and short-term
capital gain are taxable to investors as ordinary income (subject to special
rules concerning the extent of the dividends received deduction for
corporations) and long-term capital gain distributions are taxable to investors
as long-term capital gains, whether such dividends or distributions are received
in shares or cash. Tax exempt organizations or entities will generally not be
subject to federal income tax on dividends or distributions from the Fund,
except certain organizations or entities, including private foundations, social
clubs, and others, which may be subject to tax on dividends or capital gains.
Each organization or entity should review its own circumstances and the federal
tax treatment of its income.
The dividends-received deduction for corporations will generally apply
to the Fund's dividends paid from investment income to the extent derived from
dividends received by the Fund from domestic corporations.
The Fund is subject to foreign withholding taxes on income and gains
derived from foreign investments. Such taxes would reduce the yield on the
Fund's investments, but, as discussed in the Private Placement Memorandum, may
be taken as either a deduction or a credit by U.S. citizens and corporations if
the Fund makes the election described in the Private Placement Memorandum.
-5-
MANAGEMENT OF THE TRUST
The Trustees and officers of the Trust and their principal occupations
during the past five years are as follows:
R. Jeremy Grantham*. President-Domestic Quantitative and Trustee
of the Trust. Partner, Grantham, Mayo, Van Otterloo & Co.
Harvey R. Margolis. Trustee of the Trust. Mathematics Professor,
Boston College.
Eyk del Mol Van Otterloo. President-International of the Trust.
Partner, Grantham, Mayo, Van Otterloo & Co.
Jay O. Light. Trustee of the Trust. Professor of Business
Administration, Harvard University; Senior Associate Dean,
Harvard University (1988- 1992).
Richard Mayo. President-Domestic Active of the Trust. Partner,
Grantham, Mayo, Van Otterloo & Co.
Kingsley Durant. Vice President, Treasurer and Secretary of the
Trust. Partner, Grantham, Mayo, Van Otterloo & Co.
Susan Randall Harbert. Secretary and Assistant Treasurer of the
Trust. Partner, Grantham, Mayo, Van Otterloo & Co.
William R. Royer, Esq.. Clerk of the Trust. General Counsel,
Grantham, Mayo, Van Otterloo & Co. (January, 1995 - Present).
Associate, Ropes & Gray, Boston, Massachusetts (September, 1992 -
January, 1995).
Margaret McGetrick. Secretary of the Trust. Partner, Grantham,
Mayo, Van Otterloo & Co.
Jui Lai. Secretary of the Trust. Partner, Grantham, Mayo, Van
Otterloo & Co.
Ann Spruill. Secretary of the Trust. Partner, Grantham, Mayo, Van
Otterloo & Co.
*Trustee is deemed to be an "interested person" of the Trust and the Manager, as
defined by the 1940 Act.
-6-
The mailing address of each of the officers and Trustees is c/o GMO
Trust, 40 Rowes Wharf, Boston, Massachusetts 02110. The Trustees and officers of
the Trust as a group own less than 1% of any class of outstanding shares of the
Trust.
Except as stated above, the principal occupations of the officers and
Trustees for the last five years have been with the employers as shown above,
although in some cases they have held different positions with such employers.
Other than as set forth in the table below, no Trustee or officer of
the Trust receives any direct compensation from the Trust or any series thereof:
NAME OF PERSON, TOTAL ANNUAL COMPENSATION
POSITION FROM THE TRUST
Harvey R. Margolis, Trustee $40,000
Jay O. Light, Trustee $40,000
Messrs. Grantham, Mayo, Van Otterloo and Durant, and Mses. Harbert,
McGetrick, Lai and Spruill, as partners of the Manager, will benefit from the
management fees paid by the Fund.
INVESTMENT ADVISORY AND OTHER SERVICES
Management Contracts
- --------------------
As disclosed in the Private Placement Memorandum under the heading
"Management of the Fund," under separate Management Contracts (each a
"Management Contract") between the Trust and Grantham, Mayo, Van Otterloo & Co.
(the "Manager"), subject to such policies as the Trustees of the Trust may
determine, the Manager will furnish continuously an investment program for each
Fund and will make investment decisions on behalf of the Fund and place all
orders for the purchase and sale of portfolio securities. Subject to the control
of the Trustees, the Manager also manages, supervises and conducts the other
affairs and business of the Trust, furnishes office space and equipment,
provides bookkeeping and certain clerical services and pays all salaries, fees
and expenses of officers and Trustees of the Trust who are affiliated with the
Manager. As indicated under "Portfolio Transactions --Brokerage and Research
Services," the Trust's portfolio transactions may be placed with broker-dealers
which furnish the Manager, at no cost, certain research, statistical and
quotation services of value to the Manager in advising the Trust or its other
clients.
As is disclosed in the Private Placement Memorandum, the Manager's
compensation will be reduced to the extent that the Fund's annual expenses
incurred in the operation of the Fund (including the management fee but
excluding Shareholder Service Fees, brokerage
-7-
commissions and other investment-related costs, hedging transaction fees,
extraordinary, non-recurring and certain other unusual expenses (including
taxes), securities lending fees and expenses and transfer taxes would exceed the
percentage of the Fund's average daily net assets described therein. Because the
Manager's compensation is fixed at an annual rate equal to this expense
limitation, it is expected that the Manager will pay such expenses (with the
exceptions noted) as they arise. In addition, the Manager's compensation under
the Management Contract is subject to reduction to the extent that in any year
the expenses of the Fund exceed the limits on investment company expenses
imposed by any statute or regulatory authority of any jurisdiction in which
shares of the Fund are qualified for offer and sale. The term "expenses" is
defined in the statutes or regulations of such jurisdictions, and, generally
speaking, excludes brokerage commissions, taxes, interest and extraordinary
expenses. The Fund is not currently subject to any state imposed limit on
expenses.
The Management Contract provides that the Manager shall not be subject
to any liability in connection with the performance of its services thereunder
in the absence of willful misfeasance, bad faith, gross negligence or reckless
disregard of its obligations and duties.
The Management Contract was approved by the Trustees of the Trust
(including a majority of the Trustees who are not "interested persons" of the
Manager) and by the Fund's sole shareholder in connection with the organization
of the Trust and the establishment of the Fund. The Management Contract will
continue in effect for a period more than two years from the date of its
execution only so long as its continuance is approved at least annually by (i)
vote, cast in person at a meeting called for that purpose, of a majority of
those Trustees who are not "interested persons" of the Manager or the Trust, and
by (ii) the majority vote of either the full Board of Trustees or the vote of a
majority of the outstanding shares of the Fund. The Management Contract
automatically terminates on assignment, and is terminable on not more than 60
days' notice by the Trust to the Manager. In addition, the Management Contract
may be terminated on not more than 60 days' written notice by the Manager to the
Trust.
Custodial Arrangements. Brown Brothers Harriman & Co. ("BBH"), 40 Water
Street, Boston, Massachusetts 02109 serves as the Trust's custodian on behalf of
the Fund. As such, BBH holds in safekeeping certificated securities and cash
belonging to the Fund and, in such capacity, is the registered owner of
securities in book-entry form belonging to the Fund. Upon instruction, BBH
receives and delivers cash and securities of the Fund in connection with Fund
transactions and collects all dividends and other distributions made with
respect to Fund portfolio securities. BBH also maintains certain accounts and
records of the Trust and calculates the total net asset value, total net income
and net asset value per share of the Fund on a daily basis. The Manager has
voluntarily agreed with the Trust to reduce its management fees and to bear
certain expenses with respect to the Fund until further notice to the extent
that the Fund's total annual operating expenses (excluding Shareholder Service
Fees, brokerage commissions and other investment-related costs, hedging
transaction fees, extraordinary, non-recurring and certain other unusual
expenses (including taxes), securities
-8-
lending fees and expenses and transfer taxes would otherwise exceed the
percentage of the Fund's daily net assets specified in the Private Placement
Memorandum ("Schedule of Fees and Expenses"). Therefore so long as the Manager
agrees so to reduce its fee and bear certain expenses, total annual operating
expenses (subject to such exclusions) of the Fund will not exceed this stated
limitation. Absent such agreement by the Manager to waive its fees, management
fees for the Fund and the annual operating expenses for the Fund would be as
stated in the Private Placement Memorandum.
Shareholder Service Arrangements. As disclosed in the Private Placement
Memorandum, pursuant to the terms of a single Servicing Agreement with each Fund
of the Trust, Grantham, Mayo, Van Otterloo & Co. provides direct client service,
maintenance and reporting to shareholders of the Funds. The Servicing Agreement
was approved by the Trustees of the Trust (including a majority of the Trustees
who are not "interested persons" of the Manager or the Trust). The Servicing
Agreement will continue in effect for a period more than one year from the date
of its execution only so long as its continuance is approved at least annually
by (i) vote, cast in person at a meeting called for the purpose, of a majority
of those Trustees who are not "interested persons" of the Manager or the Trust,
and by (ii) the majority vote of the full Board of Trustees. The Servicing
Agreement automatically terminates on assignment (except as specifically
provided in the Servicing Agreement) and is terminable by either party upon not
more than 60 days written notice to the other party.
Independent Accountants. The Trust's independent accountants are Price
Waterhouse LLP, 160 Federal Street, Boston, Massachusetts 02110. Price
Waterhouse LLP conducts annual audits of the Trust's financial statements,
assists in the preparation of each Fund's federal and state income tax returns,
consults with the Trust as to matters of accounting and federal and state income
taxation and provides assistance in connection with the preparation of various
Securities and Exchange Commission filings.
PORTFOLIO TRANSACTIONS
The purchase and sale of portfolio securities for the Fund and for the
other investment advisory clients of the Manager are made by the Manager with a
view to achieving their respective investment objectives. For example, a
particular security may be bought or sold for certain clients of the Manager
even though it could have been bought or sold for other clients at the same
time. Likewise, a particular security may be bought for one or more clients when
one or more other clients are selling the security. In some instances,
therefore, one client may sell indirectly a particular security to another
client. It also happens that two or more clients may simultaneously buy or sell
the same security, in which event purchases or sales are effected on a pro rata,
rotating or other equitable basis so as to avoid any one account's being
preferred over any other account.
-9-
Transactions involving the issuance of Fund shares for securities or
assets other than cash, will be limited to a bona fide reorganization or
statutory merger and to other acquisitions of portfolio securities that meet all
of the following conditions: (a) such securities meet the investment objectives
and policies of the Fund; (b) such securities are acquired for investment and
not for resale; (c) such securities are liquid securities which are not
restricted as to transfer either by law or liquidity of market; and (d) such
securities have a value which is readily ascertainable as evidenced by a listing
on the American Stock Exchange, the New York Stock Exchange, NASDAQ or a
recognized foreign exchange.
Brokerage and Research Services. In placing orders for the portfolio
transactions of the Fund, the Manager will seek the best price and execution
available, except to the extent it may be permitted to pay higher brokerage
commissions for brokerage and research services as described below. The
determination of what may constitute best price and execution by a broker-dealer
in effecting a securities transaction involves a number of considerations,
including, without limitation, the overall net economic result to the Fund
(involving price paid or received and any commissions and other costs paid), the
efficiency with which the transaction is effected, the ability to effect the
transaction at all where a large block is involved, availability of the broker
to stand ready to execute possibly difficult transactions in the future and the
financial strength and stability of the broker. Because of such factors, a
broker-dealer effecting a transaction may be paid a commission higher than that
charged by another broker-dealer. Most of the foregoing are judgmental
considerations.
Over-the-counter transactions often involve dealers acting for their
own account.
Although the Manager does not consider the receipt of research services
as a factor in selecting brokers to effect portfolio transactions for the Fund,
the Manager will receive such services from brokers who are expected to handle a
substantial amount of the portfolio transactions of each Fund of the Trust.
Research services may include a wide variety of analyses, reviews and reports on
such matters as economic and political developments, industries, companies,
securities and portfolio strategy. The Manager uses such research in servicing
other clients as well as the Fund.
As permitted by Section 28(e) of the Securities Exchange Act of 1934
and subject to such policies as the Trustees of the Trust may determine, the
Manager may pay an unaffiliated broker or dealer that provides "brokerage and
research services" (as defined in the Act) to the Manager an amount of
commission for effecting a portfolio investment transaction in excess of the
amount of commission another broker or dealer would have charged for effecting
that transaction.
DESCRIPTION OF THE TRUST AND OWNERSHIP OF SHARES
The Trust is organized as a Massachusetts business trust under the laws
of Massachusetts by an Agreement and Declaration of Trust ("Declaration of
Trust") dated June
-10-
24, 1985. A copy of the Declaration of Trust is on file with the Secretary of
The Commonwealth of Massachusetts. The fiscal year for the Fund ends on February
28.
Pursuant to the Declaration of Trust, the Trustees have currently
authorized the issuance of an unlimited number of full and fractional shares of
thirty series: the Core Fund; the Value Fund; the Growth Fund; the Pelican Fund;
the Short-Term Income Fund; the Small Cap Value Fund; the Fundamental Value
Fund, the Tobacco-Free Core Fund; the U.S. Sector Fund; the Small Cap Growth
Fund; the International Core Fund; the Japan Fund; the International Bond Fund;
the Emerging Markets Fund; the Global Properties Fund; the Emerging Country Debt
Fund; the Domestic Bond Fund; the Currency Hedged International Bond Fund; the
Global Hedged Equity Fund; the Currency Hedged International Core Fund; the
International Small Companies Fund; the REIT Fund; the Global Bond Fund; the
Inflation Indexed Bond Fund; the Foreign Fund; the Global Fund; the
International Equity Allocation Fund; the World Equity Allocation Fund; the
Global (U.S.+) Equity Allocation Fund and the Global Balanced Allocation Fund.
Interests in each portfolio (Fund) are represented by shares of the
corresponding series. Each share of each series represents an equal
proportionate interest, together with each other share, in the corresponding
Fund. The shares of such series do not have any preemptive rights. Upon
liquidation of a Fund, shareholders of the corresponding series are entitled to
share pro rata in the net assets of the Fund available for distribution to
shareholders. The Declaration of Trust also permits the Trustees to charge
shareholders directly for custodial and transfer agency expenses, but there is
no present intention to make such charges.
The Declaration of Trust also permits the Trustees, without shareholder
approval, to subdivide any series of shares into various sub-series or classes
of shares with such dividend preferences and other rights as the Trustees may
designate. This power is intended to allow the Trustees to provide for an
equitable allocation of the impact of any future regulatory requirements which
might affect various classes of shareholders differently. The Trustees have
currently authorized the establishment and designation of up to six classes of
shares for each series of the Trust (except for the Pelican Fund): Class I
Shares, Class II Shares, Class III Shares, Class IV Shares, Class V Shares and
Class VI Shares.
The Trustees may also, without shareholder approval, establish one or
more additional separate portfolios for investments in the Trust or merge two or
more existing portfolios (i.e., a new fund). Shareholders' investments in such a
portfolio would be evidenced by a separate series of shares.
The Declaration of Trust provides for the perpetual existence of the
Trust. The Trust, however, may be terminated at any time by vote of at least
two-thirds of the outstanding shares of the Trust. While the Declaration of
Trust further provides that the Trustees may also terminate the Trust upon
written notice to the shareholders, the 1940 Act requires that the Trust receive
the authorization of a majority of its outstanding shares in order to change the
nature of its business so as to cease to be an investment company.
-11-
Voting Rights
- -------------
As summarized in the Private Placement Memorandum, shareholders are
entitled to one vote for each full share held (with fractional votes for
fractional shares held) and will vote (to the extent provided herein) in the
election of Trustees and the termination of the Trust and on other matters
submitted to the vote of shareholders. Shareholders vote by individual Fund on
all matters except (i) when required by the Investment Company Act of 1940,
shares shall be voted in the aggregate and not by individual Fund, and (ii) when
the Trustees have determined that the matter affects only the interests of one
or more Funds, then only shareholders of such affected Funds shall be entitled
to vote thereon. Shareholders of one Fund shall not be entitled to vote on
matters exclusively affecting another Fund, such matters including, without
limitation, the adoption of or change in the investment objectives, policies or
restrictions of the other Fund and the approval of the investment advisory
contracts of the other Fund. Shareholders of a particular class of shares do not
have separate class voting rights except with respect to matters that affect
only that class of shares and as otherwise required by law.
There will normally be no meetings of shareholders for the purpose of
electing Trustees except that in accordance with the 1940 Act (i) the Trust will
hold a shareholders' meeting for the election of Trustees at such time as less
than a majority of the Trustees holding office have been elected by
shareholders, and (ii) if, as a result of a vacancy in the Board of Trustees,
less than two-thirds of the Trustees holding office have been elected by the
shareholders, that vacancy may only be filled by a vote of the shareholders. In
addition, Trustees may be removed from office by a written consent signed by the
holders of two-thirds of the outstanding shares and filed with the Trust's
custodian or by a vote of the holders of two-thirds of the outstanding shares at
a meeting duly called for the purpose, which meeting shall be held upon the
written request of the holders of not less than 10% of the outstanding shares.
Upon written request by the holders of at least 1% of the outstanding shares
stating that such shareholders wish to communicate with the other shareholders
for the purpose of obtaining the signatures necessary to demand a meeting to
consider removal of a Trustee, the Trust has undertaken to provide a list of
shareholders or to disseminate appropriate materials (at the expense of the
requesting shareholders). Except as set forth above, the Trustees shall continue
to hold office and may appoint successor Trustees. Voting rights are not
cumulative.
No amendment may be made to the Declaration of Trust without the
affirmative vote of a majority of the outstanding shares of the Trust except (i)
to change the Trust's name or to cure technical problems in the Declaration of
Trust and (ii) to establish, designate or modify new and existing series or
sub-series of Trust shares or other provisions relating to Trust shares in
response to applicable laws or regulations.
Shareholder and Trustee Liability
- ---------------------------------
Under Massachusetts law, shareholders could, under certain
circumstances, be held personally liable for the obligations of the Trust.
However, the Declaration of Trust disclaims
-12-
shareholder liability for acts or obligations of the Trust and requires that
notice of such disclaimer be given in each agreement, obligation, or instrument
entered into or executed by the Trust or the Trustees. The Declaration of Trust
provides for indemnification out of all the property of the relevant Fund for
all loss and expense of any shareholder of that Fund held personally liable for
the obligations of the Trust. Thus, the risk of a shareholder incurring
financial loss on account of shareholder liability is considered remote since it
is limited to circumstances in which the disclaimer is inoperative and the Fund
of which he is or was a shareholder would be unable to meet its obligations.
The Declaration of Trust further provides that the Trustees will not be
liable for errors of judgment or mistakes of fact or law. However, nothing in
the Declaration of Trust protects a Trustee against any liability to which the
Trustee would otherwise be subject by reason of willful misfeasance, bad faith,
gross negligence, or reckless disregard of the duties involved in the conduct of
his office. The By-laws of the Trust provide for indemnification by the Trust of
the Trustees and the officers of the Trust except with respect to any matter as
to which any such person did not act in good faith in the reasonable belief that
his action was in or not opposed to the best interests of the Trust. Such person
may not be indemnified against any liability to the Trust or the Trust
shareholders to which he would otherwise be subject by reason of willful
misfeasance, bad faith, gross negligence or reckless disregard of the duties
involved in the conduct of his office.
-13-
FINANCIAL STATEMENTS
The Trust's audited financial statements for the fiscal year ended
February 29, 1996 included in the Trust's Annual Reports filed with the
Securities and Exchange Commission on May 7, 1996 pursuant to Section 30(d) of
the Investment Company Act of 1940, as amended, and the rules promulgated
thereunder, are hereby incorporated in this Statement of Additional Information
by reference.
The Trust's unaudited financial statements for the six month period
ended August 31, 1996 included in the Trust's Semi-Annual Reports filed with the
Securities and Exchange Commission on November 8, 1996 pursuant to Section 30(d)
of the Investment Company Act of 1940, as amended, and the rules promulgated
thereunder, are also hereby incorporated in this Statement of Additional
Information by reference.
The Trustees of the Trust have approved, effective December 1, 1996, a
change in the name of the Core II Secondaries Fund to the GMO Small Cap Value
Fund.
-14-
GMO TRUST
PART C. OTHER INFORMATION
Item 24. Financial Statements and Exhibits
(a) Financial Statements: See "Financial Statements" in the Statement of
Additional Information. The Financial Statements required pursuant to
Item 23 of Form N-1A are hereby incorporated by reference to the Annual
Reports and Semi-Annual Reports to shareholders previously filed with
the Commission by means of EDGAR pursuant to the requirements of
Section 30(d) of the 1940 Act and the rules promulgated thereunder.
(b) Exhibits
1. Amended and Restated Agreement and Declaration of Trust --
Exhibit 1.
2. Amended and Restated By-laws of the Trust -- Exhibit 2.
3. None.
4. Not Applicable.
5. (a) Form of Management Contracts between the Trust, on behalf of
each of its GMO Core Fund, GMO Currency Hedged International
Bond Fund, GMO International Core Fund, GMO Growth Fund
(formerly "GMO Growth Allocation Fund"), Pelican Fund, GMO
Value Fund (formerly "GMO Value Allocation Fund"), GMO
International Small Companies Fund, GMO Japan Fund, GMO
Short-Term Income Fund, GMO Small Cap Value Fund (formerly
"GMO Core II Secondaries Fund"), GMO Fundamental Value Fund,
GMO Tobacco-Free Core Fund, GMO U.S. Sector Fund (formerly
"GMO U.S. Sector Allocation Fund"), GMO International Bond
Fund, GMO Emerging Country Debt Fund, GMO Emerging Markets
Fund, GMO Domestic Bond Fund, GMO Global Hedged Equity Fund
and GMO Currency Hedged International Core Fund, and
Grantham, Mayo, Van Otterloo & Co. ("GMO")1;
(b) Form of Consulting Agreement (sub-advisory agreement)
between GMO, on behalf of its GMO Emerging Markets Fund, and
Dancing Elephant, Ltd.1;
(c) Form of Management Contract between the Trust, on behalf of
each of its GMO REIT Fund, GMO Global Bond Fund, GMO Foreign
Fund, GMO International Equity Allocation Fund, GMO Global
(U.S.+) Equity Allocation Fund, GMO World Equity Allocation
Fund, GMO Global Balanced Allocation Fund, GMO Global Fund,
GMO Small Cap Growth Fund and GMO Inflation Indexed Bond
Fund, and GMO2;
(d) Form of Management Contract between the Trust, on behalf of
the GMO Global Properties Fund, and Grantham, Mayo, Van
Otterloo & Co. LLC ("GMO LLC") - Exhibit 5.
6. None.
7. None.
8. (a) Custodian Agreement (the "IBT Custodian Agreement") among
the Trust, on behalf of its GMO Core Fund, GMO Currency
Hedged International Bond Fund (formerly "GMO SAF Core
Fund"), GMO Value Fund (formerly "GMO Value Allocation
Fund"), GMO Growth Fund (formerly "GMO Growth Allocation
Fund"), and GMO Short-Term Income Fund, GMO and Investors
Bank & Trust Company ("IBT")1;
(b) Custodian Agreement ("BBH Custodian Agreement") among the
Trust, on behalf of its GMO International Core Fund and GMO
Japan Fund, GMO and Brown Brothers Harriman & Co. ("BBH")1;
(c) Custodian Agreement ("State Street Custodian Agreement")
among the Trust, on behalf of its Pelican Fund, GMO and
State Street Bank and Trust Company ("State Street")1;
(d) Forms of Letter Agreements with respect to the IBT Custodian
Agreement among the Trust, on behalf of its GMO Tobacco-Free
Core Fund, GMO Fundamental Value Fund, GMO U.S. Sector Fund
(formerly "GMO U.S. Sector Allocation Fund"), GMO
International Bond Fund, GMO Small Cap Value Fund (formerly
"GMO Core II Secondaries Fund"), GMO Emerging Country Debt
Fund, GMO Domestic Bond Fund, GMO Currency Hedged
International Core Fund, GMO and IBT1;
(e) Forms of Letter Agreements with respect to the BBH Custodian
Agreement among the Trust, on behalf of its GMO Emerging
Markets Fund, GMO Global Hedged Equity Fund and GMO
International Small Companies Fund, GMO and BBH1;
-2-
(f) Forms of Letter Agreements with respect to the IBT Custodian
Agreement among the Trust, on behalf of its GMO REIT Fund,
GMO Global Bond Fund, GMO International Equity Allocation
Fund, GMO Global (U.S.+) Equity Allocation Fund, GMO World
Equity Allocation Fund, GMO Global Balanced Allocation Fund,
GMO Small Cap Growth Fund and Inflation Indexed Bond Fund,
GMO and IBT2;
(g) Forms of Letter Agreements with respect to the BBH Custodian
Agreement among the Trust, on behalf of its GMO Foreign
Fund, GMO Global Fund (formerly "GMO Global Active Fund"),
GMO and BBH2.
(h) Form of Letter Agreement with respect to the BBH Custodian
Agreement among the Trust, on behalf of its GMO Global
Properties Fund, GMO LLC and BBH - Exhibit 8.
9. (a) Transfer Agency Agreement among the Trust, on behalf of its
GMO Core Fund, GMO Currency Hedged International Bond Fund,
GMO Growth Fund (formerly "GMO Growth Allocation Fund"), GMO
Value Fund (formerly "GMO Growth Allocation Fund"), GMO
Short-Term Income Fund, GMO International Core Fund and GMO
Japan Fund, GMO and IBT1;
(b) Forms of Letter Agreements to the Transfer Agency Agreement
among the Trust, on behalf of each of its GMO Fundamental
Value Fund, GMO Tobacco-Free Core Fund, GMO U.S. Sector
Fund, GMO International Bond Fund, GMO Emerging Markets
Fund, GMO Emerging Country Debt Fund, GMO Domestic Bond
Fund, GMO Global Hedged Equity Fund, GMO Small Cap Value
Fund (formerly "GMO Core II Secondaries Fund"), GMO
International Small Companies Fund, Pelican Fund and GMO
Currency Hedged International Core Fund, GMO and IBT1;
(c) Forms of Letter Agreements to the Transfer Agency Agreement
among the Trust, on behalf of each of its GMO REIT Fund, GMO
Global Bond Fund, GMO Foreign Fund, GMO International Equity
Allocation Fund, GMO Global (U.S.+) Equity Allocation Fund,
GMO World Equity Allocation Fund, GMO Global Balanced
Allocation Fund, GMO Global Fund, GMO Small Cap Growth Fund
and GMO Inflation Indexed Bond Fund, GMO and IBT2;
(d) Form of Letter Agreement to the Transfer Agency Agreement
among the Trust, on behalf of its GMO Global Properties
Fund, GMO LLC and IBT -- Exhibit 9.1.
-3-
(e) Form of Notification of Fee Waiver and Expense Limitation by
GMO LLC to the Trust relating to all Funds of the Trust --
Exhibit 9.2.
(f) Form of Amended and Restated Servicing Agreement between the
Trust, on behalf of the Funds, and GMO LLC -- Exhibit 9.3.
10. (a) Opinion and Consent of Ropes & Gray with respect to all
Funds of the Trust (except with respect to the GMO REIT
Fund, GMO Foreign Fund, GMO International Equity Allocation
Fund, GMO World Equity Allocation Fund, GMO Global (U.S.+)
Equity Allocation Fund, GMO Global Balanced Allocation Fund,
GMO Global Fund, GMO Small Cap Growth Fund, GMO Inflation
Indexed Bond Fund and GMO Global Properties Fund)2;
(b) Opinion and Consent of Ropes & Gray with respect to the GMO
REIT Fund, GMO Foreign Fund, GMO International Equity
Allocation Fund, GMO Global (U.S.+) Equity Allocation Fund,
GMO World Equity Allocation Fund, GMO Global Balanced
Allocation Fund, GMO Global Active Fund, GMO Small Cap
Growth Fund, GMO Inflation Indexed Bond Fund and GMO Global
Properties Fund (to be filed with Rule 24f-2 Notice).
11. Consent of Price Waterhouse LLP -- Exhibit 11.
12. None.
13. None.
14. Prototype Retirement Plans1.
15. None.
16. Not Applicable.
17. Financial Data Schedule -- Exhibit 17.
18. Form of Rule 18f-3 Multiclass Plan2.
Item 25. Persons Controlled by or Under Common Control with Registrant
None.
-4-
Item 26. Number of Holders of Securities
The following table sets forth the number of record holders of
each class of securities of the Trust as of January 2, 1997:
(1) (2)
Number of
Title of Class Record Holders
-------------- --------------
Shares of Beneficial Interest
Core Fund
Class I - 3
Class II - 2
Class III - 246
Shares of Beneficial Interest
Growth Fund
Class III - 133
Shares of Beneficial Interest
Value Fund
Class III - 156
Shares of Beneficial Interest
Short-Term Income Fund
Class III - 61
Shares of Beneficial Interest
International Core Fund
Class I - 1
Class II - 2
Class III - 451
Shares of Beneficial Interest
Japan Fund
Class III - 51
Shares of Beneficial Interest
Tobacco-Free Core Fund
Class III - 5
-5-
Shares of Beneficial Interest
Fundamental Value Fund
Class III - 14
Shares of Beneficial Interest
International Small Companies Fund
Class III - 257
Shares of Beneficial Interest
Small Cap Value Fund
Class III - 142
Shares of Beneficial Interest
U.S. Sector Fund
Class I - 1
Class III - 10
Shares of Beneficial Interest
International Bond Fund
Class III - 130
Shares of Beneficial Interest
Small Cap Growth Fund
Class III - 30
Shares of Beneficial Interest
Emerging Markets Fund
Class II - 1
Class III - 404
Shares of Beneficial Interest
Emerging Country Debt Fund
Class I - 6
Class III - 351
Shares of Beneficial Interest
Global Hedged Equity Fund
Class III - 122
-6-
Shares of Beneficial Interest
Domestic Bond Fund
Class I - 1
Class III - 149
Shares of Beneficial Interest
Currency Hedged Int'l Bond Fund
Class III - 221
-7-
Shares of Beneficial Interest
Currency Hedged Int'l Core Fund
Class III - 77
Shares of Beneficial Interest
Global Bond Fund
Class III - 11
Shares of Beneficial Interest
REIT Fund
Class I - 6
Class III - 101
Shares of Beneficial Interest
Foreign Fund
Class I - 6
Class II - 1
Class III - 63
Shares of Beneficial Interest
International Equity Allocation Fund
Class II - 1
Class III - 7
Shares of Beneficial Interest
World Equity Allocation Fund
Class I - 4
Class III - 4
Shares of Beneficial Interest
Global (U.S.+) Equity Allocation Fund
Class III - 94
Shares of Beneficial Interest
Global Balanced Allocation Fund
Class I - 7
Class II - 1
Shares of Beneficial Interest
Global Properties Fund
Class III - 16
Shares of Beneficial Interest - 997
-8-
Pelican Fund (as of 5/31/96)
Item 27. Indemnification
See Item 27 of Pre-Effective Amendment No. 1 which is hereby
incorporated by reference.
Item 28. Business and Other Connections of Investment Adviser
See Item 28 of Pre-Effective Amendment No. 1 which is hereby
incorporated by reference.
Item 29. Principal Underwriters
Not Applicable.
Item 30. Location of Accounts and Records
See Item 30 of Pre-Effective Amendment No. 1 which is hereby
incorporated by reference.
Item 31. Management Services
Not Applicable.
Item 32. Undertakings
(a) See Item 33 of Post-Effective Amendment No. 1 which is hereby
incorporated by reference.
(b) See Item 33 of Post-Effective Amendment No. 1 which is hereby
incorporated by reference.
(c) Registrant hereby undertakes to furnish each person to whom a
prospectus is delivered with a copy of the Registrant's latest
annual report to shareholders containing the information
required by Item 5A of Form N-1A omitted from the Prospectus,
upon request and without charge.
- ----------------
-9-
1 = Previously manually filed with the Securities and Exchange Commission
and incorporated herein by reference.
2 = Previously electronically filed with the Securities and Exchange
Commission and incorporated herein by reference.
-10-
SIGNATURES
Pursuant to the requirements of the Investment Company Act of 1940, the
Registrant has duly caused this Post-Effective Amendment No. 34 under the
Investment Company Act of 1940 to be signed on its behalf by the undersigned,
thereunto duly authorized, in the City of Boston and The Commonwealth of
Massachusetts, on the 10th day of January, 1997.
GMO Trust
By: R. JEREMY GRANTHAM*
-------------------------------
R. Jeremy Grantham
President - Quantitative;
Principal Executive Officer;
Title: Trustee
Pursuant to the Investment Company Act of 1940, this Post-Effective
Amendment No. 34 to the Registration Statement has been signed below by the
following persons in the capacities and on the dates indicated.
Signatures Title Date
- ---------- ----- ----
R. JEREMY GRANTHAM* President - Quantitative; Principal January 10,
- ------------------------- Executive Officer; Trustee 1997
R. Jeremy Grantham
KINGSLEY DURANT*
- ------------------------- Treasurer; Principal Financial and January 10,
Kingsley Durant Accounting Officer 1997
HARVEY R. MARGOLIS* Trustee January 10,
- ------------------------- 1997
Harvey R. Margolis
JAY O. LIGHT* Trustee January 10,
- ------------------------- 1997
Jay O. Light
* By: /s/ William R. Royer
--------------------------
William R. Royer
Attorney-in-Fact
POWER OF ATTORNEY
We, the undersigned officers and trustees of GMO Trust, a Massachusetts
business trust, hereby severally constitute and appoint William R. Royer our
true and lawful attorney, with full power to him to sign for us, and in our
names and in the capacities indicated below, any and all amendments to the
Registration Statement filed with the Securities and Exchange Commission for the
purpose of registering shares of beneficial interest of GMO Trust, hereby
ratifying and confirming our signatures as they may be signed by our said
attorneys on said Registration Statement.
Witness our hands and common seal on the date set forth below.
(Seal)
Signature Title Date
- --------- ----- ----
President-Domestic;
Principal Executive
/S/ R. Jeremy Grantham Officer; Trustee March 12, 1996
- --------------------------
R. Jeremy Grantham
/S/ Eyk H.A. Van Otterloo President-International March 12, 1996
- --------------------------
Eyk H.A. Van Otterloo
/S/ Harvey Margolis Trustee March 12, 1996
- --------------------------
Harvey Margolis
Treasurer; Principal
Financial and
/S/ Kingsley Durant Accounting Officer March 12, 1996
- --------------------------
Kingsley Durant
POWER OF ATTORNEY
I, the undersigned trustee of GMO Trust, a Massachusetts business trust,
hereby constitute and appoint William R. Royer my true and lawful attorney, with
full power to him to sign for me, and in my names and in the capacity indicated
below, any and all amendments to the Registration Statement filed with the
Securities and Exchange Commission for the purpose of registering shares of
beneficial interest of GMO Trust, hereby ratifying and confirming my signature
as it may be signed by my said attorney on said Registration Statement.
Witness my hand and common seal on the date set forth below.
(Seal)
Signature Title Date
- --------- ----- ----
/S/ JAY O. LIGHT Trustee May 23, 1996
- --------------------
Jay O. Light
EXHIBIT INDEX
GMO TRUST
Exhibit No. Title of Exhibit
- ----------- ----------------
1 Form of Amended and Restated Agreement and Declaration of
Trust.
2 Form of Amended and Restated By-Laws of the Trust.
5 Form of Management Contract between the Trust, on behalf of
the GMO Global Properties Fund, and GMO LLC.
8 Form of Letter Agreement with respect to the BBH Custodian
Agreement among the Trust, on behalf of its GMO Global
Properties Fund, GMO LLC and BBH
9.1 Form of Letter Agreement to the Transfer Agency Agreement
among the Trust, on behalf of its GMO Global Properties Fund,
GMO LLC and IBT.
9.2 Form of Notification of Fee Waiver and Expense Limitation by
GMO LLC to the Trust relating to all Funds of the Trust.
9.3 Form of Amended and Restated Servicing Agreement between the
Trust, on behalf of the Funds, and GMO LLC.
11 Consent of Price Waterhouse LLP.
17 Financial Data Schedule.
Exhibit 1
FIRST AMENDED AND RESTATED
AGREEMENT AND DECLARATION OF TRUST
GMO TRUST
THIS FIRST AMENDED AND RESTATED AGREEMENT AND DECLARATION OF TRUST made
at Boston, Massachusetts this 20th day of December, 1996 by the Trustees
hereunder and the holders of shares of beneficial interest issued hereunder and
to be issued hereunder as hereinafter provided:
WITNESSETH that
WHEREAS the Trustees desire to restate all prior Amendments to the
original Agreement and Declaration of Trust made to date and additionally desire
to amend and restate this Agreement and Declaration of Trust in connection with
the creation of Classes within each Series of the GMO Trust pursuant to the
power of the Trustees set forth in Article III, Section 5 of the original
Agreement and Declaration of Trust.
WHEREAS the Trustees have agreed to manage all property coming into
their hands as trustees of a Massachusetts business trust in accordance with the
provisions hereinafter set forth.
NOW, THEREFORE, the Trustees hereby direct that this First Amended and
Restated Agreement and Declaration of Trust be filed with the Secretary of The
Commonwealth of Massachusetts and with the City Clerk of the City of Boston and
do hereby declare that they will hold all cash, securities and other assets,
which they may from time to time acquire in any manner as Trustees hereunder IN
TRUST to manage and dispose of the same upon the following terms and conditions
for the pro rata benefit of the holders from time to time of Shares in this
Trust as hereinafter set forth.
ARTICLE I.
Name and Definitions
Section 1. This Trust shall be known as GMO Trust and the Trustees shall conduct
the business of the Trust under that name or any other name as they may from
time to time determine.
Section 2. Definitions. Whenever used herein, unless otherwise required by the
context or specifically provided
(a) "Trust" refers to the Massachusetts business trust established by this First
Amended and Restated Agreement and Declaration of Trust, as amended from time to
time;
(b) "Trustees" refers to the Trustees of the Trust named in Article IV hereof or
elected in accordance with such Article;
(c) "Shares" means the equal proportionate units of interest into which the
beneficial interest in the Trust or in the Trust property belonging to any
Series of the Trust (or in the property belonging to any Series allocable to any
Class of that Series) (as the context may require) shall be divided from time to
time;
(d) "Shareholder" means a record owner of Shares;
(e) "1940 Act" refers to the Investment Company Act of 1940 and the Rules and
Regulations thereunder, all as amended from time to time;
(f) The terms "Commission" and "principal underwriter" shall have the meanings
given to them in the 1940 Act;
(g) "Declaration of Trust" shall mean this Agreement and Declaration of Trust,
as amended or restated from time to time;
(h) "By-Laws" shall mean the By-Laws of the Trust as amended from time to time;
(i) "Series Company" refers to the form of registered open-end investment
company described in Section 18(f)(2) of the 1940 Act or in any successor
statutory provision;
(j) "Series" refers to Series of Shares established and designated under or in
accordance with the provisions of Article III; and
(k) "Class" refers to any Class of Shares established and designated under or in
accordance with the provisions of Article III. The Shares of any Class shall
represent a subset of Shares of a Series, and together with all other Classes of
the same Series, shall constitute all Shares of that Series.
ARTICLE II.
Purpose of Trust
The purpose of the Trust is to provide investors a managed investment
primarily in securities (including options), debt instruments, commodities,
commodity contracts and options thereon.
-2-
ARTICLE III.
Shares
Section 1. Division of Beneficial Interest. The beneficial interest in the Trust
shall at all times be divided into an unlimited number of Shares, without par
value. Subject to the provisions of Section 6 of this Article III, each Share
shall have voting rights as provided in Article V hereof, and holders of the
Shares of any Series or Class shall be entitled to receive dividends, when and
as declared with respect thereto in the manner provided in Article VI, Section 1
hereof. No Share shall have any priority or preference over any other Share of
the same Series and Class with respect to dividends or distributions upon
termination of the Trust or of such Series or Class made pursuant to Article
VIII, Section 4 hereof. All dividends and distributions shall be made ratably
among all Shareholders of a particular Series or Class from the assets belonging
to such Series (or, in the case of a Class, allocable to such Class) according
to the number of Shares of such Series or Class held of record by such
Shareholders on the record date for any dividend or on the date of termination,
as the case may be. Shareholders shall have no preemptive or other right to
subscribe to any additional Shares or other securities issued by the Trust. The
Trust may from time to time divide or combine the Shares of any particular
Series or Class into a greater or lesser number of Shares of that Series or
Class without thereby changing the proportionate beneficial interest of the
Shares of that Series or Class in the assets belonging to that Series (or, in
the case of a Class, allocable to such Class) in any way affecting the rights of
Shares of any other Series or Class.
Section 2. Ownership of Shares. The ownership of Shares shall be recorded on the
books of the Trust or a transfer or similar agent for the Trust, which books
shall be maintained separately for the Shares of each Series and Class. No
certificates certifying the ownership of Shares shall be issued except as the
Trustees may otherwise determine from time to time. The Trustees may make such
rules as they consider appropriate for the transfer of Shares of each Series and
Class and similar matters. The record books of the Trust as kept by the Trust or
any transfer or similar agent, as the case may be, shall be conclusive as to who
are the Shareholders of each Series and Class and as to the number of Shares of
each Series and Class held from time to time by each.
Section 3. Investments in the Trust. The Trustees shall accept investments in
the Trust from such persons and on such terms and for such consideration as they
from time to time authorize.
Section 4. Status of Shares and Limitation of Personal Liability. Shares shall
be deemed to be personal property giving only the rights provided in this
instrument. Every Shareholder by virtue of having become a Shareholder shall be
held to have expressly assented and agreed to the terms hereof and to have
become a party hereto. The death of a Shareholder during the continuance of the
Trust shall not operate to terminate the same nor entitle the representative of
any deceased Shareholder to an accounting or to take any action in court or
elsewhere
-3-
against the Trust or the Trustees, but entitles such representative only to the
rights of said deceased Shareholder under this Trust. Ownership of Shares shall
not entitle the Shareholder to any title in or to the whole or any part of the
Trust property or right to call for a partition or division of the same or for
an accounting, nor shall the ownership of Shares constitute the Shareholders
partners. Neither the Trust nor the Trustees, nor any officer, employee or agent
of the Trust shall have any power to bind personally any Shareholders, nor
except as specifically provided herein to call upon any Shareholder for the
payment of any sum of money or assessment whatsoever other than such as the
Shareholder may at any time personally agree to pay.
Section 5. Power of Trustees to Change Provisions Relating to Shares.
Notwithstanding any other provisions of this Declaration of Trust and without
limiting the power of the Trustees to amend the Declaration of Trust as provided
elsewhere herein, the Trustees shall have the power to amend this Declaration of
Trust, at any time and from time to time, in such manner as the Trustees may
determine in their sole discretion, without the need for Shareholder action, so
as to add to, delete, replace or otherwise modify any provisions relating to the
Shares contained in this Declaration of Trust for the purpose of (i) responding
to or complying with any regulations, orders, rulings or interpretations of any
governmental agency or any laws, now or hereafter applicable to the Trust, or
(ii) designating and establishing Series and Classes in addition to the Series
and Classes established in Section 6 of this Article III; provided that before
adopting any such amendment without Shareholder approval the Trustees shall
determine that it is consistent with the fair and equitable treatment of all
Shareholders. The establishment and designation of any Series or Class of Shares
in addition to the Series and Classes established and designated in Section 6 of
this Article III shall be effective upon the execution by a majority of the then
Trustees of an amendment to this Declaration of Trust, taking the form of a
complete restatement or otherwise, setting forth such establishment and
designation and the relative rights and preferences of such Series or Class, as
the case may be, or as otherwise provided in such instrument.
Without limiting the generality of the foregoing, the Trustees may, for
the above-stated purposes, amend the Declaration of Trust to:
(a) create one or more Series or Classes of Shares (in addition to any Series or
Classes already existing or otherwise) with such rights and preferences and such
eligibility requirements for investment therein as the Trustees shall determine
and reclassify any or all outstanding Shares as shares of particular Series or
Classes in accordance with such eligibility requirements;
(b) amend any of the provisions set forth in paragraphs (a) through (j) of
Section 6 of this Article III;
(c) combine one or more Series or Classes of Shares into a single Series or
Class on such terms and conditions as the Trustees shall determine;
-4-
(d) change or eliminate any eligibility requirements for investment in Shares of
any Series or Class, including without limitation the power to provide for the
issue of Shares of any Series or Class in connection with any merger or
consolidation of the Trust with another trust or company or any acquisition by
the Trust of part or all of the assets of another trust or company;
(e) change the designation of any Series or Class of Shares;
(f) change the method of allocating dividends among the various Series and
Classes of Shares;
(g) allocate any specific assets or liabilities of the Trust or any specific
items of income or expense of the Trust to one or more Series or Classes of
Shares;
(h) specifically allocate assets to any or all Series or Classes of Shares or
create one or more additional Series or Classes of Shares which are preferred
over all other Series or Classes of Shares in respect of assets specifically
allocated thereto or any dividends paid by the Trust with respect to any net
income, however determined, earned from the investment and reinvestment of any
assets so allocated or otherwise and provide for any special voting or other
rights with respect to such Series or Classes.
Section 6. Establishment and Designation of Series. Without limiting the
authority of the Trustees set forth in Section 5, inter alia, to establish and
designate any further Series or Classes or to modify the rights and preferences
of any Series, each Series set forth on Schedule 3.6 hereto (as may be amended
from time to time by the Trustees) shall be, and are hereby, established and
designated. In addition, with respect to each such Series, the Class I Shares,
Class II Shares, Class III Shares, Class IV Shares, Class V Shares and Class VI
Shares, which each such Series may issue from time to time, shall be, and are
hereby, established and designated, which Classes shall have the respective
rights and preferences as are set forth in Exhibit 3.6 attached hereto as it may
be amended from time to time by the Board of Trustees.
Shares of each Series (or Class, as the case may be) established in this Section
6 shall have the following relative rights and preferences:
(a) Assets belonging to Series. All consideration received by the Trust for the
issue or sale of Shares of a particular Series, together with all assets in
which such consideration is invested or reinvested, all income, earnings,
profits, and proceeds thereof from whatever source derived, including, without
limitation, any proceeds derived from the sale, exchange or liquidation of such
assets, and any funds or payments derived from any reinvestment of such proceeds
in whatever form the same may be, shall irrevocably belong to that Series for
all purposes, subject only to the rights of creditors, and shall be so recorded
upon the books of
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account of the Trust. Such consideration, assets, income, earnings, profits and
proceeds thereof, from whatever source derived, including, without limitation,
any proceeds derived from the sale, exchange or liquidation of such assets, and
any funds or payments derived from any reinvestment of such proceeds, in
whatever form the same may be, are herein referred to as "assets belonging to"
that Series. In the event that there are any assets, income, earnings, profits
and proceeds thereof, funds or payments which are not readily identifiable as
belonging to any particular Series (collectively "General Assets"), the Trustees
shall allocate such General Assets to, between or among any one or more of the
Series established and designated from time to time in such manner and on such
basis as they, in their sole discretion, deem fair and equitable, and any
General Asset so allocated to a particular Series shall belong to that Series.
Each such allocation by the Trustees shall be conclusive and binding upon the
Shareholders of all Series for all purposes.
(b) Liabilities Belonging to Series. The assets belonging to each particular
Series shall be charged solely with the liabilities of the Trust in respect to
that Series, expenses, costs, charges and reserves attributable to that Series,
and any general liabilities of the Trust which are not readily identifiable as
belonging to any particular Series but which are allocated and charged by the
Trustees to and among any one or more of the Series established and designated
from time to time in a manner and on such basis as the Trustees in their sole
discretion deem fair and equitable. The liabilities, expenses, costs, charges,
and reserves so charged to a Series are herein referred to as "liabilities
belonging to" that Series. Each allocation of liabilities, expenses, costs,
charges and reserves by the Trustees shall be conclusive and binding upon the
holders of all Series for all purposes.
(c) Dividends, Distributions, Redemptions, and Repurchases. Notwithstanding any
other provisions of this Declaration, including, without limitation, Article VI,
no dividend or distribution (including, without limitation, any distribution
paid upon termination of the Trust or of any Series or Class) with respect to,
nor any redemption or repurchase of, the Shares of any Series shall be effected
by the Trust other than from the assets belonging to such Series, nor shall any
Shareholder of any particular Series otherwise have any right or claim against
the assets belonging to any other Series except to the extent that such
Shareholder has such a right or claim hereunder as a Shareholder of such other
Series.
(d) Voting. Notwithstanding any of the other provisions of this Declaration,
including, without limitation, Section 1 of Article V, the Shareholders of any
particular Series or Class shall not be entitled to vote on any matters as to
which such Series or Class is not affected except as otherwise required by the
1940 Act or other applicable law. On any matter submitted to a vote of
Shareholders, all Shares of the Trust then entitled to vote shall be voted by
individual Series, unless otherwise required by the 1940 Act or other applicable
law.
(e) Equality. All the Shares of each particular Class of a Series shall
represent an equal proportionate interest in the assets allocable to that Class,
and each Share of any particular
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Series shall be equal to each other Share of that Series (subject to the
liabilities allocated to each Class of that Series).
(f) Fractions. Any fractional Share of a Series or Class shall carry
proportionately all the rights and obligations of a whole share of that Series
or Class, including rights with respect to voting, receipt of dividends and
distributions, redemption of Shares and termination of the Trust.
(g) Exchange Privilege. The Trustees shall have the authority to provide that
the holders of Shares of any Series or Class shall have the right to exchange
said Shares for Shares of one or more other Series or Class of Shares in
accordance with such requirements and procedures as may be established by the
Trustees.
(h) Combination of Series or Classes. The Trustees shall have the authority,
without the approval of the Shareholders of any Series or Class unless otherwise
required by applicable law, to combine the assets and liabilities belonging to
any two or more Series (or the assets allocable to any two or more Classes) into
assets and liabilities belonging (or allocable) to a single Series (or Class).
(i) Elimination of Series or Classes. At any time that there are no Shares
outstanding of any particular Series or Class previously established and
designated, the Trustees may amend this Declaration of Trust to abolish that
Series or Class and to rescind the establishment and designation thereof, such
amendment to be effected in the manner provided in Section 5 of this Article
III.
(j) Assets and Liabilities Allocable to a Class. The assets and liabilities
belonging to a Series shall be proportionately allocated among all the Classes
of that Series according to the percentage of net assets allocated to each
particular Class. For purposes of determining the assets and liabilities
belonging to a Series that are allocable to a Class of that Series, subject to
the provisions of paragraph (g) of Section 5 of this Article III, expenses shall
be accrued as set forth in Exhibit 3.6 attached hereto.
Section 7. Indemnification of Shareholders. In case any Shareholder or former
Shareholder shall be held to be personally liable solely by reason of his or her
being or having been a Shareholder of the Trust or of a particular Series and
not because of his or her acts or omissions or for some other reason, the
Shareholder or former Shareholder (or his or her heirs, executors,
administrators or other legal representatives or in the case of a corporation or
other entity, its corporate or other general successor) shall be entitled out of
the assets of the Series of which he is a Shareholder or former Shareholder to
be held harmless from and indemnified against all loss and expense arising from
such liability.
Section 8. No Preemptive Rights. Shareholders shall have no preemptive or other
right to subscribe to any additional Shares or other securities issued by the
Trust.
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The Trustees
Section 9. Election and Tenure. The Trustees may fix the number of vacancies
arising from an increase in the number of Trustees, or remove Trustees with or
without cause. Each Trustee shall serve during the continued lifetime of the
Trust until he dies, resigns or is removed, or if sooner, until the next meeting
of Shareholders called for the purpose of electing Trustees and until the
election and qualification of his successor. Any Trustee may resign at any time
by written instrument signed by him and delivered to any officer of the Trust or
to a meeting of the Trustees. Such resignation shall be effective upon receipt
unless specified to be effective at some other time. Except to the extent
expressly provided in a written agreement with the Trust, no Trustee resigning
and no Trustee removed shall have any right to any compensation for any period
following his resignation or removal, or any right to damages on account of such
removal. The Shareholders may fix the number of Trustees and elect Trustees at
any meeting of Shareholders called by the Trustees for that purpose.
Section 10. Effect of Death, Resignation, etc. of a Trustee. The death,
declination, resignation, retirement, removal, or incapacity of the Trustees, or
any of them, shall not operate to annul the Trust or to revoke any existing
agency created pursuant to the terms of this Declaration of Trust.
Section 11. Powers. Subject to the provisions of this Declaration of Trust, the
business of the Trust shall be managed by the Trustees, and they shall have all
powers necessary or convenient to carry out that responsibility including the
power to engage in securities transactions of all kinds on behalf of the Trust.
Without limiting the foregoing, the Trustees may adopt By-Laws not inconsistent
with this Declaration of Trust providing for the regulation and management of
the affairs of the Trust and may amend and repeal them to the extent that such
By-Laws do not reserve that right to the Shareholders; they may fill vacancies
in or remove from their number (including any vacancies created by an increase
in the number of Trustees); they may remove from their number with or without
cause; they may elect and remove such officers and appoint and terminate such
agents as they consider appropriate; they may appoint from their own number and
terminate one or more committees consisting of two or more Trustees which may
exercise the powers and authority of the Trustees to the extent that the
Trustees determine; they may employ one or more custodians of the assets of the
Trust and may authorize such custodians to employ subcustodians and to deposit
all or any part of such assets in a system or systems for the central handling
of securities or with a Federal Reserve Bank, retain a transfer agent or a
shareholder servicing agent, or both, provide for the distribution of Shares by
the Trust, through one or more principal underwriters or otherwise, set record
dates for the determination of Shareholders with respect to various matters, and
in general delegate such authority as they consider desirable to any officer of
the Trust, to any committee of the Trustees and to any agent or employee of the
Trust or to any such custodian or underwriter.
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Without limiting the foregoing, the Trustees shall have power
and authority:
(a) To invest and reinvest cash, and to hold cash uninvested;
(b) To sell, exchange, lend, pledge, mortgage, hypothecate, lease, or write
options with respect to or otherwise deal in any property rights relating to any
or all of the assets of the Trust;
(c) To vote or give assent, or exercise any rights of ownership, with respect to
stock or other securities or property; and to execute and deliver proxies or
powers of attorney to such person or persons as the Trustees shall deem proper,
granting to such person or persons such power and discretion with relation to
securities or property as the Trustees shall deem proper;
(d) To exercise power and rights of subscription or otherwise which in any
manner arise out of ownership of securities;
(e) To hold any security or property in a form not indicating any trust, whether
in bearer, unregistered or other negotiable form, or in its own name or in the
name of a custodian or subcustodian or a nominee or nominees or otherwise;
(f) To consent to or participate in any plan for the reorganization,
consolidation or merger of any corporation or issuer of any security which is
held in the Trust; to consent to any contract, lease, mortgage, purchase or sale
of property by such corporation or issuer; and to pay calls or subscriptions
with respect to any security held in the Trust;
(g) To join with other security holders in acting through a committee,
depositary, voting trustee or otherwise, and in that connection to deposit any
security with, or transfer any security to, any such committee, depositary or
trustee, and to delegate to them such power and authority with relation to any
security (whether or not so deposited or transferred) as the Trustees shall deem
proper and to agree to pay, and to pay, such portion of the expenses and
compensation of such committee, depositary or trustee as the Trustees shall deem
proper;
(h) To compromise, arbitrate or otherwise adjust claims in favor of or against
the Trust or any matter in controversy, including but not limited to claims for
taxes;
(i) To enter into joint ventures, general or limited partnerships and any other
combinations or associations;
(j) To borrow funds or other property;
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(k) To endorse or guarantee the payment of any notes or other obligations of any
person; to make contracts of guaranty or suretyship, or otherwise assume
liability for payment thereof;
(l) To purchase and pay for entirely out of Trust property such insurance as
they may deem necessary or appropriate for the conduct of the business,
including without limitation, insurance policies insuring the assets of the
Trust and payment of distributions and principal on its portfolio investments,
and insurance policies insuring the Shareholders, Trustees, officers, employees,
agents, investment advisers, principal underwriters, or independent contractors
of the Trust individually against all claims and liabilities of every nature
arising by reason of holding being or having held any such office or position,
or by reason of any action alleged to have been taken or omitted by any such
person as Trustee, officer, employee, agent, investment adviser, principal
underwriter, or independent contractor, including any action taken or omitted
that may be determined to constitute negligence, whether or not the Trust would
have the power to indemnify such person against liability; and
(m) To pay pensions as deemed appropriate by the Trustees and to adopt,
establish and carry out pension, profit-sharing, share bonus, share purchase,
savings, thrift and other retirement, incentive and benefit plans, trusts and
provisions, including the purchasing of life insurance and annuity contracts as
a means of providing such retirement and other benefits, for any or all of the
Trustees, officers, employees and agents of the Trust.
The Trustees shall not in any way be bound or limited by any present or
future law or custom in regard to investments by Trustees. The Trustees shall
not be required to obtain any court order to deal with any assets of the Trust
or take any other action hereunder.
Section 12. Payment of Expenses by the Trust. The Trustees are authorized to pay
or cause to be paid out of the principal or income of the Trust, or partly out
of principal and partly out of income, as they deem fair, all expenses, fees,
charges, taxes and liabilities incurred or arising in connection with the Trust,
or in connection with the management thereof, including but not limited to, the
Trustees' compensation and such expenses and charges for the services of the
Trust's officers, employees, investment adviser or manager, principal
underwriter, auditor, counsel, custodian, transfer agent, shareholder servicing
agent, and such other agents or independent contractors and such other expenses
and charges as the Trustees may deem necessary or proper to incur.
Section 13. Payment of Expenses by Shareholders. The Trustees shall have the
power, as frequently as they may determine, to cause each Shareholder, or each
Shareholder of any particular Series or Class, to pay directly, in advance or
arrears, for charges of the Trust's custodian or transfer, shareholder servicing
or similar agent, an amount fixed from time to time by the Trustees, by setting
off such charges due from such Shareholder from declared but unpaid dividends
owed such Shareholder and/or by reducing the number of Shares in the
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account of such Shareholder by that number of full and/or fractional Shares
which represents the outstanding amount of such charges due from such
Shareholder.
Section 14. Ownership of Assets of the Trust. Title to all of the assets of the
Trust shall at all times be considered as vested in the Trustees.
Section 15. Advisory, Management and Distribution Contracts. Subject to such
requirements and restrictions as may be set forth in the By-Laws, the Trustees
may, at any time and from time to time, contract for exclusive or nonexclusive
advisory and/or management services for the Trust or for any Series with
Grantham, Mayo, Van Otterloo & Co. (including any limited liability company,
provided that a majority of the beneficial owners of Grantham, Mayo, Van
Otterloo & Co. hold a majority of the equity interest in such entity and
substantially all business of Grantham, Mayo, Van Otterloo & Co. is assigned
thereto) or any other partnership, corporation, trust, association or other
organization (the "Manager"); and any such contract may contain such other terms
as the Trustees may determine, including, without limitation, authority for a
Manager to determine from time to time without prior consultation with the
Trustees what investments shall be purchased, held, sold or exchanged and what
portion, if any, of the assets of the Trust shall be held uninvested and to make
changes in the Trust's investments. The Trustees may also, at any time and from
time to time, contract with the Manager or any other partnership, corporation,
trust, association or other organization, appointing it exclusive or
nonexclusive distributor or principal underwriter for the Shares, every such
contract to comply with such requirements and restrictions as may be set forth
in the By-Laws; and any such contract may contain such other terms as the
Trustees may determine.
The fact that:
(i) any of the Shareholders, Trustees or officers of the Trust is a
shareholder, director, officer, partner, trustee, employee, manager, adviser,
principal underwriter, distributor or affiliate or agent of or for any
partnership, corporation, trust, association, or other organization, or of or
for any parent or affiliate of any organization, with which an advisory or
management contract, or principal underwriter's or distributor's contract, or
transfer, shareholder servicing or other agency contract may have been or may
hereafter be made, or that any such organization, or any parent or affiliate
thereof, is a Shareholder or has an interest in the Trust, or that
(ii) any corporation, trust, association or other organization with
which an advisory or management contract or principal underwriter's or
distributor's contract, or transfer, shareholder servicing or other agency
contract may have been or may hereafter be made also has an advisory or
management contract, or principal underwriter's or distributor's contract, or
transfer, shareholder servicing or other agency contract with one or more other
corporations, trusts, associations, or other organizations, or has other
business or interests,
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shall not affect the validity of any such contract or disqualify any
Shareholder, Trustee or officer of the Trust from voting upon or executing the
same or create any liability or accountability to the Trust or its Shareholders.
ARTICLE IV.
Shareholders' Voting Powers and Meetings
Section 1. Voting Powers. The Shareholders shall have power to vote only (i) for
the election of Trustees as provided in Article IV, Section 1, (ii) with respect
to any amendment of this Declaration of Trust to the extent and as provided in
Article VIII, Section 8, (iii) to the same extent as the stockholders of a
Massachusetts business corporation as to whether or not a court action,
proceeding or claim should or should not be brought or maintained derivatively
or as a class action on behalf of the Trust or the Shareholders, (iv) with
respect to the termination of the Trust or any Series or Class to the extent and
as provided in Article VIII, Section 4, and (v) with respect to such additional
matters relating to the Trust as may be required by this Declaration of Trust,
the By-Laws or any registration of the Trust with the Commission (or any
successor agency) or any state, or as the Trustees may consider necessary or
desirable. Each whole Share shall be entitled to one vote as to any matter on
which it is entitled to vote and each fractional Share shall be entitled to a
proportionate fractional vote. There shall be no cumulative voting in the
election of Trustees. Shares may be voted in person or by proxy. A proxy with
respect to Shares held in the name of two or more persons shall be valid if
executed by any one of them unless at or prior to exercise of the proxy the
Trust receives a specific written notice to the contrary from any one of them. A
proxy purporting to be executed by or on behalf of a Shareholder shall be deemed
valid unless challenged at or prior to its exercise and the burden of proving
invalidity shall rest on the challenger. At any time when no Shares of a Series
or Class are outstanding the Trustees may exercise all rights of Shareholders of
that Series or Class with respect to matters affecting that Series or Class and
may with respect to that Series or Class take any action required by law, this
Declaration of Trust or the By-Laws to be taken by the Shareholders.
Section 2. Voting Power and Meetings. Meetings of the Shareholders may be called
by the Trustees for the purpose of electing Trustees as provided in Article IV,
Section 1 and for such other purposes as may be prescribed by law, by this
Declaration of Trust or by the ByLaws. Meetings of the Shareholders may also be
called by the Trustees from time to time for the purpose of taking action upon
any other matter deemed by the Trustees to be necessary or desirable. A meeting
of Shareholders may be held at any place designated by the Trustees. Written
notice of any meeting of Shareholders shall be given or caused to be given by
the Trustees by mailing such notice at least seven days before such meeting,
postage prepaid, stating the time and place of the meeting, to each Shareholder
at the Shareholder's address as it appears on the records of the Trust. Whenever
notice of a meeting is required to be given to a Shareholder under this
Declaration of Trust or the By-Laws, a written waiver thereof,
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executed before or after the meeting by such Shareholder or his attorney
thereunto authorized and filed with the records of the meeting, shall be deemed
equivalent to such notice.
Section 3. Quorum and Required Vote. Except when a larger quorum is required by
law, by the By-Laws or by this Declaration of Trust, 40% of the Shares entitled
to vote shall constitute a quorum at a Shareholders' meeting. When any one
Series or Class is to vote separately from any other Shares which are to vote on
the same matters as a separate Series or Class, 40% of the Shares of each such
Series or Class entitled to vote shall constitute a quorum at a Shareholder's
meeting of that Series or Class. Any meeting of Shareholders may be adjourned
from time to time by a majority of the votes property cast upon the question,
whether or not a quorum is present, and the meeting may be held as adjourned
within a reasonable time after the date set for the original meeting without
further notice. When a quorum is present at any meeting, a majority of the
Shares voted shall decide any questions and a plurality shall elect a Trustee,
except when a larger vote is required by any provision of this Declaration of
Trust or the By-Laws or by law. If any question on which the Shareholders are
entitled to vote would adversely affect the rights of any Series or Class of
Shares, the vote of a majority (or such larger vote as is required as aforesaid)
of the Shares of such Series or Class which are entitled to vote, voting
separately, shall also be required to decide such question.
Section 4. Action by Written Consent. Any action taken by Shareholders may be
taken without a meeting if Shareholders holding a majority of the Shares
entitled to vote on the matter (or such larger proportion thereof as shall be
required by any express provision of this Declaration of Trust or by the
By-Laws) and holding a majority (or such larger proportion as aforesaid) of the
Shares of any Series or Class entitled to vote separately on the matter consent
to the action in writing and such written consents are filed with the records of
the meetings of Shareholders. Such consent shall be treated for all purposes as
a vote taken at a meeting of Shareholders.
Section 5. Record Dates. For the purpose of determining the Shareholders of any
Series or Class who are entitled to vote or act at any meeting or any
adjournment thereof, the Trustees may from time to time fix a time, which shall
be not more than 60 days before the date of any meeting of Shareholders, as the
record date for determining the Shareholders of such Series or Class having the
right to notice of and to vote at such meeting and any adjournment thereof, and
in such case only Shareholders of record on such record date shall have such
right, notwithstanding any transfer of shares on the books of the Trust after
the record date. For the purpose of determining the Shareholders of any Series
or Class who are entitled to receive payment of any dividend or of any other
distribution, the Trustees may from time to time fix a date, which shall be
before the date for the payment of such dividend or such other payment, as the
record date for determining the Shareholders of such Series or Class having the
right to receive such dividend or distribution. Without fixing a record date the
Trustees may for voting and/or distribution purposes close the register or
transfer books for one or more Series or Class for all or any part of the period
between a record date and a
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meeting of shareholders or the payment of a distribution. Nothing in this
section shall be construed as precluding the Trustees from setting different
record dates for different Series or Classes.
Section 6. Additional Provisions. The By-Laws may include further provisions for
Shareholders' votes and meetings and related matters.
ARTICLE V.
Net Income, Distributions, and Redemptions and Repurchases
Section 1. Distributions of Net Income. The Trustees shall each year, or more
frequently if they so determine in their sole discretion, distribute to the
Shareholders of each Series or Class, in shares of that Series or Class, cash or
otherwise, an amount approximately equal to the net income attributable to the
assets belonging to such Series (or the assets allocable to such Class) and may
from time to time distribute to the Shareholders of each Series or Class, in
shares of that Series, cash or otherwise, such additional amounts, but only from
the assets belonging to such Series (or allocable to that Class), as they may
authorize. All dividends and distributions on Shares of a particular Series or
Class shall be distributed pro rata to the holders of that Series or Class in
proportion to the number of Shares of that Series or Class held by such holders
and recorded on the books of the Trust at the date and time of record
established for that payment or such dividend or distributions.
The manner of determining net income, income, asset values, capital gains,
expenses, liabilities and reserves of any Series or Class may from time to time
be altered as necessary or desirable in the judgment of the Trustees to conform
such manner of determination to any other method prescribed or permitted by
applicable law. Net income shall be determined by the Trustees or by such person
as they may authorize at the times and in the manner provided in the By-Laws.
Determinations of net income of any Series or Class and determination of income,
asset value, capital gains, expenses, and liabilities made by the Trustees, or
by such person as they may authorize, in good faith, shall be binding on all
parties concerned. The foregoing sentence shall not be construed to protect any
Trustee, officer or agent of the Trust against any liability to the Trust or its
security holders to which he would otherwise be subject by reason of willful
misfeasance, bad faith, gross negligence or reckless disregard of the duties
involved in the conduct of his office.
If, for any reason, the net income of any Series or Class determined at any time
is a negative amount, the pro rata share of such negative amount allocable to
each Shareholder of such Series or Class shall constitute a liability of such
Shareholder to that Series or Class which shall be paid out of such
Shareholder's account at such times and in such manner as the Trustees may from
time to time determine (x) out of the accrued dividend account of such
Shareholder, (y) by reducing the number of Shares of that Series or Class in the
account of such Shareholder, or (z) otherwise.
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Section 2. Redemptions and Repurchases. The Trust shall purchase such Shares as
are offered by any Shareholder for redemption, upon the presentation of a proper
instrument of transfer together with a request directed to the Trust or a person
designated by the Trust that the Trust purchase such Shares or in accordance
with such other procedures for redemption as the Trustees may from time to time
authorize; and the Trust will pay therefor the net asset value thereof, as
determined in accordance with the By-Laws, next determined. Payment for said
Shares shall be made by the Trust to the Shareholder within seven days after the
date on which the request is made. The obligation set forth in this Section 2 is
subject to the provision that in the event that any time the New York Stock
Exchange is closed for other than weekends or holidays, or if permitted by the
rules of the Commission during periods when trading on the Exchange is
restricted or during any emergency which makes it impracticable for the Trust to
dispose of the investments of the applicable Series or to determine fairly the
value of the net assets belonging to such Series (or net assets allocable to
such Class) or during any other period permitted by order of the Commission for
the protection of investors, such obligations may be suspended or postponed by
the Trustees. The Trust may also purchase or repurchase Shares at a price not
exceeding the net asset value of such Shares in effect when the purchase or
repurchase or any contract to purchase or repurchase is made.
The redemption price may in any case or cases be paid wholly or partly
in kind if the Trustees determine that such payment is advisable in the interest
of the remaining Shareholders of the Series or Class the Shares of which are
being redeemed. In making any such payment wholly or partly in kind, the Trust
shall, so far as may be practicable, deliver assets which approximate the
diversification of all of the assets belonging at the time to the Series (or
allocable to the Class) the Shares of which are being redeemed. Subject to the
foregoing, the fair value, selection and quantity of securities or other
property so paid or delivered as all or part of the redemption price may be
determined by or under authority of the Trustees. In no case shall the Trust be
liable for any delay of any corporation or other person in transferring
securities selected for delivery as all or part of any payment in kind.
Section 3. Redemptions at the Option of the Trust. The Trust shall have the
right at its option and at any time to redeem Shares of any Shareholder at the
net asset value thereof as described in Section 1 of this Article VI: (i) if at
such time such Shareholder owns Shares of any Series or Class having an
aggregate net asset value of less than an amount determined from time to time by
the Trustees; or (ii) to the extent that such Shareholder owns Shares equal to
or in excess of a percentage determined from time to time by the Trustees of the
outstanding Shares of the Trust or of any Series or Class.
ARTICLE VI.
Compensation and Limitation of Liability of Trustees
Section 1. Compensation. The Trustees as such shall be entitled to reasonable
compensation from the Trust; they may fix the amount of their compensation.
Nothing herein
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shall in any way prevent the employment of any Trustee for advisory, management,
legal, accounting, investment banking or other services and payment for the same
by the Trust.
Section 2. Limitation of Liability. The Trustees shall not be responsible or
liable in any event for any neglect or wrong-doing of any officer, agent,
employee, Manager or principal underwriter of the Trust, nor shall any Trustee
be responsible for the act or omission of any other Trustee, but nothing herein
contained shall protect any Trustee against any liability to which he would
otherwise be subject by reason of willful misfeasance, bad faith, gross
negligence or reckless disregard of the duties involved in the conduct of his
office.
Every note, bond, contract, instrument, certificate or undertaking and every
other act or thing whatsoever issued, executed or done by or on behalf of the
Trust or the Trustees or any of them in connection with the Trust shall be
conclusively deemed to have been issued, executed or done only in or with
respect to their or his capacity as Trustees or Trustee, and such Trustees or
Trustee shall not be personally liable thereon.
ARTICLE VII.
Miscellaneous
Section 1. Trustees, Shareholders, etc. Not Personally Liable; Notice. All
persons extending credit to, contracting with or having any claim against the
Trust or any Series or Class shall look only to the assets of the Trust, or, to
the extent that the liability of the Trust may have been expressly limited by
contract to the assets of a particular Series (or the assets allocable to a
particular Class), only to the assets belonging to the relevant Series (or
allocable to the relevant Class), for payment under such credit, contract or
claim; and neither the Shareholders nor the Trustees, nor any of the Trust's
officers, employees or agents, whether past, present or future, shall be
personally liable therefor. Nothing in this Declaration of Trust shall protect
any Trustee against any liability to which such Trustee would otherwise be
subject by reason of willful misfeasance, bad faith, gross negligence or
reckless disregard of the duties involved in the conduct of the office of
Trustee.
Every note, bond, contract, instrument, certificate or undertaking made
or issued on behalf of the Trust by the Trustees, by any officers or officer or
otherwise shall give notice that this Declaration of Trust is on file with the
Secretary of The Commonwealth of Massachusetts and shall recite that the same
was executed or made by or on behalf of the Trust or by them as Trustee or
Trustees or as officers or officer or otherwise and not individually and that
the obligations of such instrument are not binding upon any of them or the
shareholders individually but are binding only upon the assets and property of
the Trust or upon the assets belonging to the Series (or allocable to the Class)
for the benefit of which the Trustees have caused the note, bond, contract,
instrument, certificate or undertaking to be made, or issued, and may contain
such further recital as he or they may deem appropriate, but
-16-
the omission of any such recital shall not operate to bind any Trustee or
Trustees or officers or officer or Shareholders or any other person
individually.
Section 2. Trustee's Good Faith Action, Expert Advice, No Bond or Surety. The
exercise by the Trustees of their powers and discretions hereunder shall be
binding upon everyone interested. A Trustee shall be liable for his own willful
misfeasance, bad faith, gross negligence or reckless disregard of the duties
involved in the conduct of the office of Trustee, and for nothing else, and
shall not be liable for errors of judgment or mistakes of fact or law. The
Trustees may take advice of counsel or other experts with respect to the meaning
and operation of this Declaration of Trust, and shall be under no liability for
any act or omission in accordance with such advice or for failing to follow such
advice. The Trustees shall not be required to give any bond as such, nor any
surety if a bond is required.
Section 3. Liability of Third Persons Dealing with Trustees. No person dealing
with the Trustees shall be bound to make any inquiry concerning the validity of
any transaction made or to be made by the Trustees or to see to the application
of any payments made or property transferred to the Trust or upon its order.
Section 4. Termination of Trust or Series or Class. Unless terminated as
provided herein, the Trust shall continue without limitation of time. The Trust
may be terminated at any time by vote of at least 66-2/3% of the Shares of each
Series entitled to vote and voting separately by Series or by the Trustees by
written notice to the Shareholders. Any Series may be terminated at any time by
vote of at least 66-2/3% of the Shares of that Series or by the Trustees by
written notice to the Shareholders of that Series. Any Class may be separately
terminated at any time by vote of at least a majority of the Shares of that
Class present and voting on the question (a quorum being present) or by the
Trustees by written notice to the Shareholders of that Class.
Upon termination of the Trust (or any Series or Class, as the case may
be), after paying or otherwise providing for all charges, taxes, expenses and
liabilities belonging, severally, to each Series or allocable to each Class (or
the applicable Series or Classes, as the case may be), whether due or accrued or
anticipated as may be determined by the Trustees, the Trust shall in accordance
with such procedures as the Trustees consider appropriate reduce the remaining
assets belonging, severally, to each Series or allocable to each Class (or the
applicable Series or Classes, as the case may be), to distributable form in cash
or shares or other securities, or any combination thereof, and distribute the
proceeds belonging to each Series or allocable to each Class (or the applicable
Series or Classes, as the case may be), to the Shareholders of that Series or
Class, as a Series or Class, ratably according to the number of Shares of that
Series or Class held by the several Shareholders on the date of termination.
Section 5. Merger and Consolidation. The Trustees may cause the Trust to be
merged into or consolidated with another trust or company or its shares
exchanged under or pursuant to any state or federal statute, if any, or
otherwise to the extent permitted by law, if such merger
-17-
or consolidation or share exchange has been authorized by vote of a majority of
the outstanding Shares; provided that in all respects not governed by statute or
applicable law, the Trustees shall have power to prescribe the procedure
necessary or appropriate to accomplish a sale of assets, merger or
consolidation.
Section 6. Filing of Copies, References, Headings. The original or a copy of
this instrument and of each amendment hereto shall be kept at the office of the
Trust where it may be inspected by any Shareholder. A copy of this instrument
and of each amendment hereto shall be filed by the Trust with the Secretary of
The Commonwealth of Massachusetts and with any other governmental office where
such filing may from time to time be required. Anyone dealing with the Trust may
rely on a certificate by an officer of the Trust as to whether or not any such
amendments have been made and as to any matters in connection with the Trust
hereunder; and, with the same effect as if it were the original, may rely on a
copy certified by an officer of the Trust to be a copy of this instrument or of
any such amendments. In this instrument and in any such amendment, references to
this instrument, and all expressions like "herein", "hereof" and "hereunder",
shall be deemed to refer to this instrument as amended or affected by any such
amendments. Headings are placed herein for convenience of reference only and
shall not be taken as a part hereof or control or affect the meaning,
construction or effect of this instrument. This instrument may be executed in
any number of counterparts each of which shall be deemed an original.
Section 7. Applicable Law. This Declaration of Trust is made in The Commonwealth
of Massachusetts, and it is created under and is to be governed by and construed
and administered according to the laws of said Commonwealth. The Trust shall be
of the type commonly called a Massachusetts business trust, and without limiting
the provisions hereof, the Trust may exercise all powers which are ordinarily
exercised by such a trust.
Section 8. Amendments. This Declaration of Trust may be amended at any time by
an instrument in writing signed by a majority of the then Trustees when
authorized so to do by vote of a majority of the Shares entitled to vote, except
that amendments described in Article III, Section 5 hereof or having the purpose
of changing the name of the Trust or of supplying any omission, curing any
ambiguity or curing, correcting or supplementing any defective or inconsistent
provision contained herein shall not require authorization by Shareholder vote.
-18-
IN WITNESS WHEREOF, all of the Trustees as aforesaid do hereto set
their hands this 20th day of December, 1996.
/s/ R. Jeremy Grantham
---------------------------
R. Jeremy Grantham
/s/ Jay O. Light
---------------------------
Jay O. Light
---------------------------
Harvey R. Margolis
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EXHIBIT 3.6
GMO TRUST
Plan pursuant to Rule 18f-3 under the
Investment Company Act of 1940
Effective June 1, 1996
This Plan (the "Plan") is adopted by GMO Trust (the "Trust") pursuant
to Rule 18f-3 under the Investment Company Act of 1940 (the "Act") and sets
forth the general characteristics of, and the general conditions under which the
Trust may offer, multiple classes of shares of its now existing and hereafter
created portfolios ("Funds"). This Plan may be revised or amended from time to
time as provided below.
CLASS DESIGNATIONS
Each Fund of the Trust may from time to time issue one or more of the
following classes of shares: Class I Shares, Class II Shares, Class III Shares,
Class IV Shares, Class V Shares and Class VI Shares. Each of the classes of
shares of any Fund will represent interests in the same portfolio of investments
and, except as described herein, shall have the same rights and obligations as
each other class. Each class shall be subject to such investment minimums and
other conditions of eligibility as are set forth in the Trust's prospectus or
statement of additional information as from time to time in effect (the
"Prospectus").
CLASS ELIGIBILITY
Class eligibility is generally dependent on the size of the client's
total account under the management of Grantham, Mayo, Van Otterloo & Co., the
Trust's investment adviser (referred to herein as "GMO" or the "Adviser"), as
described from time to time in the Prospectus. Eligibility for Class I, Class II
and Class III Shares in dependent on the size of a client's minimum "Total
Investment" with GMO. For clients that have accounts with GMO as of May 31,
1996, their initial Total Investment will equal the market value of all of their
investments advised by GMO as of the close of business on May 31, 1996. For
clients establishing a relationship with GMO on or after June 1, 1996, their
Total Investment at any date is equal to the aggregate of all amounts
contributed (and less amounts withdrawn) to any Fund on or after June 1, 1996,
plus the market value of any non-mutual fund investment with GMO as of the
month-end prior to the date that "Total Investment" is being computed. For
purposes of class eligibility, market appreciation or depreciation of a Fund's
account is not considered; the Total Investment of a client is impacted only by
the amount of contributions to and withdrawals from Funds made by the client. It
is assumed that any Fund redemptions or withdrawals made by a client are
satisfied first from market appreciation in their shares, so that a redemption
or withdrawal does not lower a client's Total Investment unless the
-20-
redemption or withdrawal exceeds the value of market appreciation. Market value
of non- mutual fund accounts at GMO will be considered, however.
Eligibility for Class IV, Class V and Class VI Shares is dependent upon
the client meeting either (i) a minimum "Total Fund Investment" requirement
which includes only a client's total investment in the particular Fund, or (ii)
a minimum "Total Investment" requirement (calculated as described above for
Class I, II and III shares). A client's Total Fund Investment and Total
Investment will be determined similarly to the determination of Total Investment
for purposes of eligibility for Class I, Class II and Class III Shares, i.e.,
appreciation and depreciation of mutual fund shares is not considered but these
two calculations do include the market value of all such accounts as of May 31,
1996, and the market value of non-mutual fund accounts as of the month-end prior
to determination.
CLASS CHARACTERISTICS
The differences among the various classes of shares are solely (i) the
level of shareholder service fee ("Shareholder Service Fee") borne by the class
for client and shareholder service, reporting and other support, and (ii)
whether GMO itself or the GMO Funds Division provides service and reporting to
the shareholders.
The multiple class structure reflects the fact that, as the size of the
client relationship increases, the cost to service that relationship is expected
to decrease as a percentage of the account. Thus, the Shareholder Service Fee is
lower for classes for which eligibility criteria generally require greater
assets under GMO's management.
Certain Funds are subject to either an initial purchase premium, a
redemption fee, or both. The initial purchase premium and redemption fee, if
any, may, in some limited cases, be subject to reduction or waiver if the
Adviser determines that there are minimal brokerage and/or transaction costs
incurred as a result of the purchase or redemption, as set forth in the
Prospectus in effect from time to time.1
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1 All purchase premiums are paid to and retained by the relevant Fund
and are intended to cover the brokerage and other costs associated with putting
an investment to work in the relevant markets. All redemption fees are paid to
and retained by the relevant Fund and are designed to allocate transaction costs
caused by shareholder activity to the shareholder generating the activity.
-21-
ALLOCATIONS TO EACH CLASS
EXPENSE ALLOCATIONS
Shareholder Service Fees payable by the Trust to the shareholder
servicer of the Trust's shares (the "Shareholder Servicer") shall be allocated,
to the extent practicable, on a class-by-class basis. Subject to the approval of
the Trust's Board of Trustees, including a majority of the independent Trustees,
the following "Class Expenses" may (if such expense is properly assessable at
the class level) in the future be allocated on a class-by-class basis: (a)
transfer agency costs attributable to each class, (b) printing and postage
expenses related to preparing and distributing materials such as shareholder
reports, prospectuses and proxy statements to current shareholders of a specific
Class, (c) SEC registration fees incurred with respect to a specific class, (d)
blue sky and foreign registration fees and expenses incurred with respect to a
specific class, (e) the expenses of administrative personnel and services
required to support shareholders of a specific class (including, but not limited
to, maintaining telephone lines and personnel to answer shareholder inquiries
about their accounts or about the Trust), (f) litigation and other legal
expenses relating to a specific class of shares, (g) Trustees' fees or expenses
incurred as a result of issues relating to a specific class of shares, (h)
accounting and consulting expenses relating to a specific class of shares, (i)
any fees imposed pursuant to a non-Rule 12b-1 shareholder service plan that
relate to a specific class of shares, and (j) any additional expenses, not
including advisory or custodial fees or other expenses related to the management
of the Trust's assets, if these expenses are actually incurred in a different
amount with respect to a class, or if services are provided with respect to a
class, or if services are provided with respect to a class that are of a
different kind or to a different degree than with respect to one or more other
classes.
All expenses not now or hereafter designated as Class Expenses ("Fund
Expenses") will be allocated to each class on the basis of the net asset value
of that class in relation to the net asset value of the relevant Fund.
However, notwithstanding the above, a Fund may allocate all expenses
other than Class Expenses on the basis of relative net assets (settled shares),
as permitted by rule 18f-3(c)(2) under the Act.
WAIVERS AND REIMBURSEMENTS
The Adviser and the Shareholder Servicer may choose to waive or
reimburse Shareholder Service Fees, or any other Class Expenses on a voluntary
or temporary basis.
-22-
INCOME, GAINS AND LOSSES
Income and realized and unrealized capital gains and losses shall be
allocated to each class on the basis of the net asset value of that class in
relation to the net asset value of the relevant Fund.
Each Fund may allocate income and realized and unrealized capital gains
and losses to each share based on relative net assets (i.e. settled shares), as
permitted by Rule 18f-3(c)(2) under the Act.
CONVERSION AND EXCHANGE FEATURES
On July 31 of each year (the "Conversion Date") each client's Total
Investment, as previously defined and as described in the Prospectus, will be
determined. Based on that determination, the client's shares will be
automatically converted to the class of shares (Class I, Class II or Class III
Shares) of such Fund with the lowest Shareholder Service Fee which the client
would be eligible to purchase based on such Total Investment. Further, if a
client makes an investment in a GMO Fund or other product that causes the client
to be eligible for a new class of shares, such conversion will be effected
within 15 days after the end of the month during which such investment was made.
The rules for conversion to and among Class IV, Class V and Class VI Shares are
the same, with determinations of a client's Total Fund Investment and Total
Investment made according to the same schedule, as described in the Prospectus.
Shares of one class will always convert into shares of another class on
the basis of the relative net asset value of the two classes, without the
imposition of any sales load, fee or other charge. The conversion of a client's
investment from one class of shares to another is not a taxable event, and will
not result in the realization of gain or loss that may exist in Fund shares held
by the client. The client's tax basis in the new class of shares will equal
their basis in the old class before conversion. The conversion of shares from
one class to another class of shares may be suspended if the opinion of counsel
obtained by the Trust that the conversion does not constitute a taxable event
under current federal income tax law is no longer available.
Certain special rules will be applied by the Adviser with respect to
clients who owned shares of the Funds upon the creation of multiple classes on
May 31, 1996. First, all clients existing on May 31, 1996 will receive Class III
Shares on June 1, 1996 regardless of the size of their GMO investment. Second,
the conversion of existing clients to any class of shares with a higher
Shareholder Service Fee will not occur until July 31, 1997, based on the
client's Total Investment as of such date. Further, existing clients whose Total
Investment as of May 31, 1996 is equal to $7 million or more will be eligible to
remain invested in Class III Shares (despite the normal $35 million minimum),
provided such client makes no subsequent redemptions or withdrawals other than
of amounts attributable to market appreciation of their account value as of June
1, 1996. Existing clients whose Total Investment as of May 31, 1996
-23-
is less than $7 million but greater than $0 will be eligible to convert to Class
II Shares rather than Class I Shares on July 31, 1997, provided that such client
makes no subsequent redemptions or withdrawals other than of amounts
attributable to market appreciation of their account value as of June 1, 1996.
Clients making additional investments prior to June 1, 1997, such that their
Total Investment on June 1, 1997 is $35 million or more, will remain eligible
for Class III Shares.
DIVIDENDS
Dividends paid by the Trust with respect to its Class I, Class II,
Class III, Class IV, Class V and Class VI Shares, to the extent any dividends
are paid, will be calculated in the same manner, at the same time and will be in
the same amount, except that any Service Fee payments relating to a class of
shares will be borne exclusively by that class and, if applicable, Class
Expenses relating to a class shall be borne exclusively by that class.
VOTING RIGHTS
Each share of the Trust entitles the shareholder of record to one vote.
Each class of shares of the Trust will vote separately as a class on matters for
which class voting is required under applicable law.
RESPONSIBILITIES OF THE TRUSTEES
On an ongoing basis, the Trustees will monitor the Trust for the
existence of any material conflicts among the interests of the six classes of
shares. The Trustees shall further monitor on an ongoing basis the use of
waivers or reimbursement of expenses by the Adviser to guard against
cross-subsidization between classes. The Trustees, including a majority of the
independent Trustees, shall take such action as is reasonably necessary to
eliminate any such conflict that may develop.
REPORTS TO THE TRUSTEES
The Adviser and the Shareholder Servicer will be responsible for
reporting any potential or existing conflicts among the six classes of shares to
the Trustees.
-24-
AMENDMENTS
The Plan may be amended from time to time in accordance with the
provisions and requirements of Rule 18f-3 under the Act.
Adopted this ____ day of ___________, 1996
By:________________________
William R. Royer
Clerk
-25-
SCHEDULE 3.6
SERIES
- ------
GMO Core Fund
GMO Tobacco-Free Core Fund
GMO Value Fund
GMO Growth Fund
GMO U.S. Sector Fund
GMO Small Cap Value Fund
GMO Fundamental Value Fund
GMO REIT Fund
GMO Small Cap Growth Fund
GMO International Core Fund
GMO Currency Hedged International Core Fund
GMO Foreign Fund
GMO Global Fund
GMO International Small Companies Fund
GMO Japan Fund
GMO Emerging Markets Fund
GMO Global Properties Fund
GMO Short-Term Income Fund
GMO Global Hedged Equity Fund
GMO Domestic Bond Fund
GMO International Bond Fund
GMO Currency Hedged International Bond Fund
GMO Global Bond Fund
GMO Emerging Country Debt Fund
GMO Inflation Indexed Bond Fund
GMO International Equity Allocation Fund
GMO World Equity Allocation Fund
GMO Global (U.S.+) Equity Allocation Fund
GMO Global Balanced Allocation Fund Pelican Fund
-26-
Exhibit 2
AMENDED AND RESTATED BY-LAWS
OF
GMO TRUST
ARTICLE 1
Agreement and Declaration
of Trust and Principal Office
1.1 Agreement and Declaration of Trust. These By-Laws shall be subject to the
Agreement and Declaration of Trust, as from time to time in effect (the
"Declaration of Trust"), of GMO Trust (the "Trust"), the Massachusetts business
trust established by the Declaration of Trust.
1.2 Principal Office of the Trust. The principal office of the Trust shall be
located in Boston, Massachusetts.
ARTICLE 2
Meetings of Trustees
2.1 Regular Meetings. Regular meetings of the Trustees may be held without call
or notice at such places and at such times as the Trustees may from time to time
determine, provided that notice of the first regular meeting following any such
determination shall be given to absent Trustees.
2.2 Special Meetings. Special meetings of the Trustees may be held, at any time
and at any place designated in the call of the meeting, when called by the
Chairman of the Board, if any, the President-Domestic or the Treasurer or by two
or more Trustees, sufficient notice thereof being given to each Trustee by the
Clerk or an Assistant Clerk or by the officer or the Trustees calling the
meeting.
2.3 Notice. It shall be sufficient notice to a Trustee of a special meeting to
send notice by mail at least forty-eight hours or by telegram at least
twenty-four hours before the meeting addressed to the Trustee at his usual or
last known business or residence address or to give notice to him in person or
by telephone at least twenty-four hours before the meeting. Notice of a meeting
need not be given to any Trustee if a written waiver of notice, executed by him
before or after the meeting, is filed with the records of the meeting, or to any
Trustee who attends the meeting without protesting prior thereto or at its
commencement
the lack of notice to him. Neither notice of a meeting nor a waiver of a notice
need specify the purposes of the meeting.
2.4 Quorum. At any meeting of the Trustees a majority of the Trustees then in
office shall constitute a quorum. Any meeting may be adjourned from time to time
by a majority of the votes cast upon the question, whether or not a quorum is
present, and the meeting may be held as adjourned without further notice.
2.5 Action by Vote. When a quorum is present at any meeting, a majority of
Trustees present may take any action, except when a larger vote is expressly
required by law, by the Declaration of Trust or by these By-Laws.
2.6 Action by Writing. Except as required by law, any action required or
permitted to be taken at any meeting of the Trustees may be taken without a
meeting if a majority of the Trustees (or such larger proportion thereof as
shall be required by any express provision of the Declaration of Trust or these
By-Laws) consent to the action in writing and such written consents are filed
with the records of the meetings of Trustees. Such consent shall be treated for
all purposes as a vote taken at a meeting of Trustees.
2.7 Presence through Communications Equipment. Except as required by law, the
Trustees may participate in a meeting of Trustees by means of a conference
telephone or similar communications equipment by means of which all persons
participating in the meeting can hear each other at the same time and
participation by such means shall constitute presence in person at a meeting.
ARTICLE 3
Officers
3.1 Enumeration; Qualification. The officers of the Trust shall be a
President-Domestic, a President-International, a Treasurer, a Clerk, and such
other officers, if any, as the Trustees from time to time may in their
discretion elect. The Trust may also have such agents as the Trustees from time
to time may in their discretion appoint. If a Chairman of the Board is elected,
he shall be a Trustee and may but need not be a Shareholder; and any other
officer may be but none need be a Trustee or Shareholder. Any two or more
offices may be held by the same person.
3.2 Election and Tenure. The President-Domestic, the President-International,
the Treasurer, the Clerk and such other officers as the Trustees may in their
discretion from time to time elect shall each be elected by the Trustees to
serve until his successor is elected or qualified, or until he sooner dies,
resigns, is removed or becomes disqualified. Each officer shall hold office and
each agent shall retain authority at the pleasure of the Trustees.
-2-
3.3 Powers. Subject to the other provisions of these By-Laws, in addition to the
duties and powers set forth herein and in the Declaration of Trust and in
addition to such duties and powers as may be determined by the Trustees, the
President-Domestic shall have such duties and powers with respect to the GMO
Core Fund, the GMO Growth Fund, the GMO Value Fund, the GMO Small Cap Growth
Fund, the GMO Fundamental Value Fund, the GMO Tobacco-Free Core Fund, the
Pelican Fund, the GMO Short-Term Income Fund, the GMO U.S. Sector Fund, the GMO
Small Cap Value Fund, the GMO Inflation Indexed Bond Fund, the GMO REIT Fund,
the GMO Global (U.S.+) Equity Allocation Fund and the GMO Domestic Bond Fund of
the Trust as are commonly incident to the President of a Massachusetts business
corporation as if each such Fund were organized as a separate Massachusetts
business corporation; the President-International shall have such duties and
powers with respect to the GMO International Core Fund, the GMO International
Small Companies Fund, the GMO International Bond Fund, the GMO Currency Hedged
International Bond Fund, the GMO Global Bond Fund, the GMO Japan Fund, the GMO
Emerging Markets Fund, the GMO Global Properties Fund, the GMO Currency Hedged
International Core Fund, the GMO Foreign Fund, the GMO Emerging Country Debt
Fund, the GMO Global Hedged Equity Fund, the GMO International Equity Allocation
Fund, the GMO World Equity Allocation Fund, the GMO Global Balanced Allocation
Fund and the GMO Global Fund as are commonly incident to the president of a
Massachusetts business corporation as if each such Fund were organized as a
separate Massachusetts business corporation; and each other officer shall have
such duties and powers as are commonly incident to the office occupied by him or
her as if the Trust were organized as a Massachusetts business corporation.
Notwithstanding any powers granted to the President- International, to the
extent required in the particular circumstances, the President-Domestic shall
have such powers with respect to the Trust as a whole as are commonly incident
to the president of a Massachusetts business corporation as if the Trust were
organized as a Massachusetts business corporation.
3.4 Presidents and Vice Presidents. The President-Domestic and the President-
International shall each have the duties and powers specified in these By-Laws
and shall have such other duties and powers as may be determined by the
Trustees.
Any Vice Presidents shall have such duties and powers as shall be designated
from time to time by the Trustees.
3.5 Chief Executive Officer. The Chief Executive Officer of the Trust shall be
the Chairman of the Board, if any, the President-Domestic or such other officer
as is designated by the Trustees and shall, subject to the control of the
Trustees, have general charge and supervision of the business of the Trust and,
unless there is a Chairman of the Board, or except as the Trustees (or the
Chairman of the Board if the Trustees do not act) shall otherwise determine,
preside at all meetings of the stockholders and of the Trustees. If no such
designation is made, the President-Domestic shall be the Chief Executive
Officer.
-3-
3.6 Chairman of the Board. If a Chairman of the Board of Trustees is elected, he
shall have the duties and powers specified in these By-Laws and shall have such
other duties and powers as may be determined by the Trustees. The Chairman of
the Board shall, unless the Trustees (or the Chairman of the Board if the
Trustees do not act) shall otherwise determine, preside at all meetings of the
stockholders and of the Trustees.
3.7 Treasurer. The Treasurer shall be the chief financial and accounting officer
of the Trust, and shall, subject to the provisions of the Declaration of Trust
and to any arrangement made by the Trustees with a custodian, investment adviser
or manager or transfer, shareholder servicing or similar agent, be in charge of
the valuable papers, books of account and accounting records of the Trust, and
shall have such other duties and powers as may be designated from time to time
by the Trustees or by the Chief Executive Officer.
3.8 Clerk. The Clerk shall record all proceedings of the Shareholders and the
Trustees in books to be kept therefor, which books or a copy thereof shall be
kept at the principal office of the Trust. In the absence of the Clerk from any
meeting of the Shareholders or Trustees, an assistant Clerk, or if there be none
or if he is absent, a temporary clerk chosen at such meeting shall record the
proceedings thereof in the aforesaid books.
3.9 Resignations and Removals. Any officer may resign at any time by written
instrument signed by him and delivered to the President-Domestic or the Clerk or
to a meeting of the Trustees. Such resignation shall be effective upon receipt
unless specified to be effective at some other time. The Trustees may remove any
officer with or without cause. Except to the extent expressly provided in a
written agreement with the Trust, no officer resigning and no officer removed
shall have any right to any compensation for any period following his
resignation or removal, or any right to damages on account of such removal.
ARTICLE 4
Indemnification
4.1 Trustees, Officers, etc. The Trust shall indemnify each of its Trustees and
officers (including persons who serve at the Trust's request as directors,
officers or trustees of another organization in which the Trust has any interest
as a shareholder, creditor or otherwise) (hereinafter referred to as a "Covered
Person") against all liabilities and expenses, including but not limited to
amounts paid in satisfaction of judgments, in compromise or as fines and
penalties, and counsel fees reasonably incurred by any Covered Person in
connection with the defense or disposition of any action, suit or other
proceedings, whether civil or criminal, before any court or administrative or
legislative body, in which such Covered Person may be or may have been involved
as a party or otherwise or with which such person may be or may have been
threatened, while in office or thereafter, by reason of any alleged act or
omission as a Trustee or officer or by reason
-4-
of his being or having been such a Trustee or officer, except with respect to
any matter as to which such Covered Person shall have been finally adjudicated
in any such action, suit or other proceeding not to have acted in good faith in
the reasonable belief that such Covered Person's action was in the best interest
of the Trust and except that no Covered Person shall be indemnified against any
liability to the Trust or its Shareholders to which such Covered Person would
otherwise be subject by reason of willful misfeasance, bad faith, gross
negligence or reckless disregard of the duties involved in the conduct of such
Covered Person's office. Expenses, including counsel fees so incurred by any
such Covered Person, may be paid from time to time by the Trust in advance of
the final disposition of any such action, suit or proceeding on the condition
that the amounts so paid shall be repaid to the Trust if it is ultimately
determined that indemnification of such expenses is not authorized under this
Article.
4.2 Compromise Payment. As to any matter disposed of by a compromise payment by
any such Covered Person referred to in Section 4.1 above, pursuant to a consent
decree or otherwise, no such indemnification either for said payment or for any
other expenses shall be provided unless such compromise shall be approved as in
the best interests of the Trust, after notice that it involved such
indemnification, (a) by a disinterested majority of the Trustees then in office;
or (b) by a majority of the disinterested Trustees then in office; or (c) by any
disinterested person or persons to whom the question may be referred by the
Trustees, provided that in the case of approval pursuant to clause (b) or (c)
there has been obtained an opinion in writing of independent legal counsel to
the effect that such Covered Person appears to have acted in good faith in the
reasonable belief that his or her action was in the best interests of the Trust
and that such indemnification would not protect such person against any
liability to the Trust or its Shareholders to which such person would otherwise
be subject by reason of willful misfeasance, bad faith, gross negligence or
reckless disregard of the duties involved in the conduct of office; or (d) by
vote of Shareholders holding a majority of the Shares entitled to vote thereon,
exclusive of any Shares beneficially owned by any interested Covered Person.
Approval by the Trustees pursuant to clause (a) or (b) or by any disinterested
person or persons pursuant to clause (c) of this Section shall not prevent the
recovery from any Covered Person of any amount paid to such Covered Person in
accordance with any of such clauses as indemnification if such Covered Person is
subsequently adjudicated by a court of competent jurisdiction not to have acted
in good faith in the reasonable belief that such Covered Person's action was in
the best interests of the Trust or to have been liable to the Trust or its
Shareholders by reason of willful misfeasance, bad faith, gross negligence or
reckless disregard of the duties involved in the conduct of such Covered
Person's office.
4.3 Indemnification Not Exclusive. The right of indemnification hereby provided
shall not be exclusive of or affect any other rights to which any such Covered
Person may be entitled. As used in this Article 4, the term "Covered Person"
shall include such person's heirs, executors and administrators; an "interested
Covered Person" is one against whom the action, suit or other proceeding in
question or another action, suit or other proceeding
-5-
on the same or similar grounds is then or has been pending; and a "disinterested
Trustee" or "disinterested person" is a Trustee or a person against whom none of
such actions, suits or other proceedings or another action, suit or other
proceeding on the same or similar grounds is then or has been pending. Nothing
contained in this Article shall affect any rights to indemnification to which
personnel of the Trust, other than Trustees and officers, and other persons may
be entitled by contract or otherwise under law, nor the power of the Trust to
purchase and maintain liability insurance on behalf of any such person.
ARTICLE 5
5.1 General. The Trustees and officers shall render reports at the time and in
the manner required by the Declaration of Trust or any applicable law. Officers
shall render such additional reports as they may deem desirable or as may from
time to time be required by the Trustees.
ARTICLE 6
Fiscal Year
6.1 General. Except as from time to time otherwise provided by the Trustees, the
initial fiscal year of the Trust shall end on such date as is determined in
advance or in arrears.
ARTICLE 7
Seal
7.1 General. The seal of the Trust shall consist of a flat-faced die with the
word "Massachusetts", together with the name of the Trust and the year of its
organization cut or engraved thereon, but, unless otherwise required by the
Trustees, the seal shall not be necessary to be placed on, and its absence shall
not impair the validity of, any document, instrument or other paper executed and
delivered by or on behalf of the Trust.
ARTICLE 8
Execution of Papers
8.1 General. Except as the Trustees may generally or in particular cases
authorize the execution thereof in some other manner, all checks, notes, drafts
and other obligations and all registration statements and amendments thereto and
all applications and amendments thereto to the Securities and Exchange
Commission shall be signed by the Chairman, if any, the President-Domestic, the
President-International, any Vice President or the Treasurer or any of such
other officers or agents as shall be designated for that purpose by a vote of
the Trustees.
-6-
ARTICLE 9
Provisions Relating to the
Conduct of the Trust's Business
9.1 Certain Definitions. When used herein the following words shall have the
following meanings: "Distributor" shall mean any one or more partnerships,
corporations, firms or associations which have distributor's or principal
underwriter's contracts in effect with the Trust providing that redeemable
shares of any class or series issued by the Trust shall be offered and sold by
such Distributor. "Adviser" shall mean any partnership, corporation, firm or
association which may at the time have an advisory or management contract with
the Trust.
9.2 Limitation on Dealings with Officers or Trustees. The Trust will not lend
any of its assets to the Distributor or Adviser or to any officer or director of
the Distributor or Adviser or any officer or Trustee of the Trust and shall not
permit any officer or Trustee or any officer or director of the Distributor or
Adviser, to deal for or on behalf of the Trust with himself as principal or
agent, or with any partnership, association or corporation in which he has a
financial interest; provided that the foregoing provisions shall not prevent (a)
officers and Trustees of the Trust or officers and directors of the Distributor
or Adviser from buying, holding or selling shares in the Trust or from being
partners, officers or directors of or otherwise financially interested in the
Distributor or the Adviser; (b) a purchase or sale of securities or other
property if such transaction is permitted by or is exempt or exempted from the
provisions of the Investment Company Act of 1940 and does not involve any
commission or profit to any securities dealer who is, or one or more of whose
partners, shareholders, officers or directors is, an officer or Trustee of the
Trust or an officer or director of the Distributor or Adviser; (c) employment of
legal counsel, registrars, transfer agents, shareholder servicing agents,
dividend disbursing agents or custodians who are or any one of which has a
partner, shareholder, officer or director who is, an officer or Trustee of the
Trust or an officer or director of the Distributor or Adviser if only customary
fees are charged for services to the Trust; (d) sharing of statistical,
research, legal and management expenses and office hire and expenses with any
other investment company in which an officer or Trustee of the Trust or an
officer or director of the Distributor or Adviser is an officer or director or
otherwise financially interested.
9.3 Limitation on Dealing in Securities of the Trust by Certain Officers,
Trustees, Distributor or Adviser. Neither the Distributor nor Adviser, nor any
officer or Trustee of the Trust or officer, director or partner of the
Distributor or Adviser shall take long or short positions in securities issued
by the Trust; provided, however, that:
(a) The Distributor may purchase from the Trust and otherwise deal in
shares issued by the Trust pursuant to the terms of its contract with the Trust;
-7-
(b) Any officer or Trustee of the Trust or officer or director or
partner of the Distributor or Adviser or any trustee or fiduciary for the
benefit of any of them may at any time, or from time to time, purchase from the
Trust or from the Distributor shares issued by the Trust at the price available
to the public or to such officer, Trustee, director, partner or fiduciary, no
such purchase to be in contravention of any applicable state or federal
requirement; and
(c) The Distributor or the Adviser may at any time, or from time to
time, purchase for investment shares issued by the Trust.
9.4 Securities and Cash of the Trust to be Held by Custodian Subject to Certain
Terms and Conditions.
(a) All securities and cash owned by the Trust shall, as hereinafter
provided, be held by or deposited with one or more banks or trust companies
having (according to its last published report) not less than $2,000,000
aggregate capital, surplus and undivided profits (any such bank or trust company
being hereby designated as "Custodian"), provided such a Custodian can be found
ready and willing to act. The Trust may, or may permit any Custodian to, deposit
all or any part of the securities owned by any class or series of shares of the
Trust in a system for the central handling of securities established by a
national securities exchange or national securities association registered with
the Securities and Exchange Commission under the Securities Exchange Act of
1934, or such other person as may be permitted by said Commission, including,
without limitation, a clearing agency registered under Section 17A of said
Securities Exchange Act of 1934, pursuant to which system all securities of any
particular class or series of any issue deposited within the system are treated
as fungible and may be transferred or pledged by bookkeeping entry, without
physical delivery of such securities.
(b) The Trust shall enter into a written contract with each Custodian
regarding the powers, duties and compensation of such Custodian with respect to
the cash and securities of the Trust held by such Custodian. Said contract and
all amendments thereto shall be approved by the Trustees.
(c) The Trust shall upon the resignation or inability to serve of any
Custodian or upon change of any Custodian:
(i) in case of such resignation or inability to serve, use its
best efforts to obtain a successor Custodian;
(ii) require that the cash and securities owned by any class
or series of shares of the Trust and in the possession of the resigning or
disqualified Custodian be delivered directly to the successor Custodian; and
-8-
(iii) in the event that no successor Custodian can be found,
submit to the shareholders, before permitting delivery of the cash and
securities owned by any class or series of shares of the Trust and in the
possession of the resigning or disqualified Custodian otherwise than to a
successor Custodian, the question whether that class or series shall be
liquidated or shall function without a Custodian.
9.5 Determination of Net Asset Value. The Trustees or any officer or officers or
agent or agents of the Trust designated from time to time for this purpose by
the Trustees shall determine at least once daily the net income and the value of
all the assets attributable to any class or series of shares of the Trust on
each day upon which the New York Stock Exchange is open for unrestricted trading
or at such other times as the Trustees shall, consistent with the 1940 Act and
the rules of the Commission, designate. In determining asset values, all
securities for which representative market quotations are readily available
shall be valued at market value and other securities and assets shall be valued
at fair value, all as determined in good faith by the Trustees or an officer or
officers or agent or agents, as aforesaid, in accordance with accounting
principles generally accepted at the time. Notwithstanding the foregoing, the
assets belonging to any class or series of shares of the Trust may, if so
authorized by the Trustees, be valued in accordance with the amortized cost
method, subject to the power of the Trustees to alter the method for determining
asset values. The value of such assets so determined, less total liabilities
belonging to that class or series of shares (exclusive of capital stock and
surplus) shall be the net asset value until a new asset value is determined by
the Trustees or such officers or agents. In determining the net asset value the
Trustees or such officers or agents may include in liabilities such reserves for
taxes, estimated accrued expenses and contingencies in accordance with
accounting principles generally accepted at the time as the Trustees or such
officers or agents may in their best judgment deem fair and reasonable under the
circumstances. The manner of determining net asset value may from time to time
be altered as necessary or desirable in the judgment of the Trustees to conform
it to any other method prescribed or permitted by applicable law or regulation.
Determinations of net asset value made by the Trustees or such officers or
agents in good faith shall be binding on all parties concerned. The foregoing
sentence shall not be construed to protect any Trustee, officer or agent of the
Trust against any liability to the Trust or its security holders to which he
would otherwise be subject by reason of willful misfeasance, bad faith, gross
negligence or reckless disregard of the duties involved in the conduct of his
office.
ARTICLE 10
Amendment to the By-Laws
10.1 General. These By-Laws may be amended or repealed, in whole or in part, by
a majority of the Trustees then in office at any meeting of the Trustees.
-9-
ARTICLE 11
Meetings of Shareholders
11.1 Presence through Communications Equipment. Except as required by law, the
Shareholders of the Trust may participate in a meeting of Shareholders by means
of a conference telephone or similar communications equipment by means of which
all persons participating in the meeting can hear each other at the same time
and participation by such means shall constitute presence in person at a
meeting. Participation by such means shall be pursuant to reasonable procedures
approved by the officers of the Trust in connection with such meeting.
-10-
Exhibit 5
MANAGEMENT CONTRACT
Management Contract executed as of December 20, 1996 between GMO TRUST,
a Massachusetts business trust (the "Trust") on behalf of its GMO Global
Properties Fund (the "Fund"), and GRANTHAM, MAYO, VAN OTTERLOO & CO., a
Massachusetts limited liability company (the "Manager").
W I T N E S S E T H:
That in consideration of the mutual covenants herein contained, it is
agreed as follows:
1. SERVICES TO BE RENDERED BY MANAGER TO THE TRUST.
(a) Subject always to the control of the Trustees of the Trust and to
such policies as the Trustees may determine, the Manager will, at its expense,
(i) furnish continuously an investment program for the Fund and will make
investment decisions on behalf of the Fund and place all orders for the purchase
and sale of its portfolio securities and (ii) furnish office space and
equipment, provide bookkeeping and clerical services (excluding determination of
net asset value, shareholder accounting services and the fund accounting
services for the Fund being supplied by Investors Bank & Trust Company) and pay
all salaries, fees and expenses of officers and Trustees of the Trust who are
affiliated with the Manager. In the performance of its duties, the Manager will
comply with the provisions of the Agreement and Declaration of Trust and By-laws
of the Trust and the Fund's stated investment objective, policies and
restrictions.
(b) In placing orders for the portfolio transactions of the Fund, the
Manager will seek the best price and execution available, except to the extent
it may be permitted to pay higher brokerage commissions for brokerage and
research services as described below. In using its best efforts to obtain for
the Fund the most favorable price and execution available, the Manager shall
consider all factors it deems relevant, including, without limitation, the
overall net economic result to the Fund (involving price paid or received and
any commissions and other costs paid), the efficiency with which the transaction
is effected, the ability to effect the transaction at all where a large block is
involved, availability of the broker to stand ready to execute possibly
difficult transactions in the future and financial strength and stability of the
broker. Subject to such policies as the Trustees may determine, the Manager
shall not be deemed to have acted unlawfully or to have breached any duty
created by this Contract or otherwise solely by reason of its having caused a
Fund to pay a broker or dealer that provides brokerage and research services to
the Manager an amount of commission for effecting a portfolio investment
transaction in excess of the amount of commission another broker or dealer would
have charged for effecting that transaction, if the Manager determines in good
faith that such amount of commission was reasonable in relation to the value of
the brokerage and research services provided by such broker or dealer, viewed in
terms of either that particular transaction or the Manager's overall
responsibilities with respect to the Trust and to other clients of the Manager
as to which the Manager exercises investment discretion.
(c) The Manager shall not be obligated under this agreement to pay any
expenses of or for the Trust or of or for the Fund not expressly assumed by the
Manager pursuant to this Section 1 other than as provided in Section 3.
2. OTHER AGREEMENTS, ETC.
It is understood that any of the shareholders, Trustees, officers and
employees of the Trust may be a partner, shareholder, director, officer or
employee of, or be otherwise interested in, the Manager, and in any person
controlled by or under common control with the Manager, and that the Manager and
any person controlled by or under common control with the Manager may have an
interest in the Trust. It is also understood that the Manager and persons
controlled by or under common control with the Manager have and may have
advisory, management service, distribution or other contracts with other
organizations and persons, and may have other interests and businesses.
3. COMPENSATION TO BE PAID BY THE TRUST TO THE MANAGER.
The Fund will pay to the Manager as compensation for the Manager's
services rendered, for the facilities furnished and for the expenses borne by
the Manager pursuant to Section 1, a fee, computed and paid monthly at the
annual rate of 0.75% of the Fund's average daily net asset value. Such average
daily net asset value of the Fund shall be determined by taking an average of
all of the determinations of such net asset value during such month at the close
of business on each business day during such month while this Contract is in
effect. Such fee shall be payable for each month within five (5) business days
after the end of such month.
In the event that expenses of the Fund for any fiscal year should
exceed the expense limitation on investment company expenses imposed by any
statute or regulatory authority of any jurisdiction in which shares of the Trust
are qualified for offer and sale, the compensation due the Manager for such
fiscal year shall be reduced by the amount of such excess by a reduction or
refund thereof. In the event that the expenses of the Fund exceed any expense
limitation which the Manager may, by written notice to the Trust, voluntarily
declare to be effective with respect to the Fund, subject to such terms and
conditions as the Manager may prescribe in such notice, the compensation due the
Manager shall be reduced, and, if necessary, the Manager shall bear the Fund's
expenses to the extent required by such expense limitation.
-2-
If the Manager shall serve for less than the whole of a month, the
foregoing compensation shall be prorated.
4. ASSIGNMENT TERMINATES THIS CONTRACT; AMENDMENTS OF THIS
CONTRACT.
This Contract shall automatically terminate, without the payment of any
penalty, in the event of its assignment; and this Contract shall not be amended
unless such amendment is approved at a meeting by the affirmative vote of a
majority of the outstanding shares of the Fund, and by the vote, cast in person
at a meeting called for the purpose of voting on such approval, of a majority of
the Trustees of the Trust who are not interested persons of the Trust or of the
Manager.
5. EFFECTIVE PERIOD AND TERMINATION OF THIS CONTRACT.
This Contract shall become effective upon its execution, and shall
remain in full force and effect continuously thereafter (unless terminated
automatically as set forth in Section 4)
until terminated as follows:
(a) Either party hereto may at any time terminate this Contract by not
more than sixty days' written notice delivered or mailed by registered mail,
postage prepaid, to the other party, or
(b) If (i) the Trustees of the Trust or the shareholders by the
affirmative vote of a majority of the outstanding shares of the Fund, and (ii) a
majority of the Trustees of the Trust who are not interested persons of the
Trust or of the Manager, by vote cast in person at a meeting called for the
purpose of voting on such approval, do not specifically approve at least
annually the continuance of this Contract, then this Contract shall
automatically terminate at the close of business on the second anniversary of
its execution, or upon the expiration of one year from the effective date of the
last such continuance, whichever is later; provided, however, that if the
continuance of this Contract is submitted to the shareholders of the Fund for
their approval and such shareholders fail to approve such continuance of this
Contract as provided herein, the Manager may continue to serve hereunder in a
manner consistent with the Investment Company Act of 1940 and the rules and
regulations thereunder.
Action by the Trust under (a) above may be taken either (i) by vote of
a majority of its Trustees, or (ii) by the affirmative vote of a majority of the
outstanding shares of the Fund.
Termination of this Contract pursuant to this Section 5 shall be
without the payment of any penalty.
-3-
6. CERTAIN DEFINITIONS.
For the purposes of this Contract, the "affirmative vote of a majority
of the outstanding shares" of the Fund means the affirmative vote, at a duly
called and held meeting of shareholders, (a) of the holders of 67% or more of
the shares of the Fund present (in person or by proxy) and entitled to vote at
such meeting, if the holders of more than 50% of the outstanding shares of the
Fund entitled to vote at such meeting are present in person or by proxy, or (b)
of the holders of more than 50% of the outstanding shares of the Fund entitled
to vote at such meeting, whichever is less.
For the purposes of this Contract, the terms "affiliated person",
"control", "interested person" and "assignment" shall have their respective
meanings defined in the Investment Company Act of 1940 and the rules and
regulations thereunder, subject, however, to such exemptions as may be granted
by the Securities and Exchange Commission under said Act; and the phrase
"specifically approve at least annually" shall be construed in a manner
consistent with the Investment Company Act of 1940 and the rules and regulations
thereunder.
7. NONLIABILITY OF MANAGER.
In the absence of willful misfeasance, bad faith or gross negligence on
the part of the Manager, or reckless disregard of its obligations and duties
hereunder, the Manager shall not be subject to any liability to the Trust, or to
any shareholder of the Trust, for any act or omission in the course of, or
connected with, rendering services hereunder.
8. INITIALS "GMO".
The Manager owns the initials "GMO" which may be used by the Trust only
with the consent of the Manager. The Manager consents to the use by the Trust of
the name "GMO Trust" or any other name embodying the initials "GMO", in such
forms as the Manager shall in writing approve, but only on condition and so long
as (i) this Contract shall remain in full force and (ii) the Trust shall fully
perform, fulfill and comply with all provisions of this Contract expressed
herein to be performed, fulfilled or complied with by it. No such name shall be
used by the Trust at any time or in any place or for any purposes or under any
conditions except as in this section provided. The foregoing authorization by
the Manager to the Trust to use said initials as part of a business or name is
not exclusive of the right of the Manager itself to use, or to authorize others
to use, the same; the Trust acknowledges and agrees that as between the Manager
and the Trust, the Manager has the exclusive right so to authorize others to use
the same; the Trust acknowledges and agrees that as between the Manager and the
Trust, the Manager has the exclusive right so to use, or authorize others to
use, said initials and the Trust agrees to take such action as may reasonably be
requested by the Manager to give full effect to the provisions of this section
(including, without limitation, consenting to such use of said initials).
Without limiting the generality of the foregoing, the Trust agrees that, upon
any termination of this Contract by either party or upon the violation
-4-
of any of its provisions by the Trust, the Trust will, at the request of the
Manager made within six months after the Manager has knowledge of such
termination or violation, use its best efforts to change the name of the Trust
so as to eliminate all reference, if any, to the initials "GMO" and will not
thereafter transact any business in a name containing the initials "GMO" in any
form or combination whatsoever, or designate itself as the same entity as or
successor to an entity of such name, or otherwise use the initials "GMO" or any
other reference to the Manager. Such covenants on the part of the Trust shall be
binding upon it, its trustees, officers, stockholders, creditors and all other
persons claiming under or through it.
9. LIMITATION OF LIABILITY OF THE TRUSTEES AND SHAREHOLDERS.
A copy of the Agreement and Declaration of Trust of the Trust is on
file with the Secretary of The Commonwealth of Massachusetts, and notice is
hereby given that this instrument is executed on behalf of the Trustees of the
Trust as Trustees and not individually and that the obligations of this
instrument are not binding upon any of the Trustees or shareholders individually
but are binding only upon the assets and property of the Fund.
-5-
IN WITNESS WHEREOF, GMO TRUST and GRANTHAM, MAYO, VAN OTTERLOO & CO.
LLC have each caused this instrument to be signed in duplicate on its behalf by
its duly authorized representative, all as of the day and year first above
written.
GMO TRUST
By_______________________________________
Title:
GRANTHAM, MAYO, VAN OTTERLOO & CO. LLC
By_______________________________________
Title:
-6-
Exhibit 8
December ___, 1996
Brown Brothers Harriman & Co.
40 Water Street
Boston, MA 02109
Re: Custodian Agreement dated September 1, 1991 by and among
GMO Trust, Grantham, Mayo, Van Otterloo & Co. LLC and
Brown Brothers Harriman & Co. (the "Agreement")
-----------------------------------------------
Ladies and Gentlemen:
GMO Trust (the "Trust") hereby notifies you that it has established an
additional series of shares, namely, the "GMO Global Properties Fund" (the "New
Fund"). The Trust and the Manager (as defined in the Agreement) desire that you
serve as custodian of the assets of the New Fund under the terms of the
Agreement.
If you agree to so serve as custodian for the New Fund, kindly sign and
return to the Trust the enclosed counterpart hereof, whereupon the New Fund
shall be deemed a "Fund" under the Agreement. This letter agreement shall
constitute an amendment to the Agreement and, as such, a binding agreement among
the Trust, the Manager and you in accordance with its terms.
Very truly yours,
GMO TRUST
By__________________________________
Name:
Title:
GRANTHAM, MAYO, VAN OTTERLOO & CO. LLC
By__________________________________
Name:
Title:
The foregoing is hereby accepted and agreed.
BROWN BROTHERS HARRIMAN & CO.
By__________________________________
Name:
Title:
Exhibit 9.1
December ___, 1996
Investors Bank & Trust Company
Financial Product Services
One Lincoln Plaza
Boston, MA 02205-1537
Re: Transfer Agency and Service Agreement dated August 1, 1991
by and among GMO Trust, Grantham, Mayo, Van Otterloo &
Co. LLC and Investors Bank & Trust Co. (the "Agreement")
--------------------------------------------------------
Ladies and Gentlemen:
Pursuant to Article 17 of the Agreement, GMO Trust (the "Company")
hereby notifies you that it has established an additional series of shares,
namely, the "GMO Global Properties Fund" (the "New Fund"), with respect to each
of which the Company and the manager (as defined in the Agreement) desire that
you serve as transfer agent under the terms of the Agreement.
If you agree to so serve as transfer agent for the New Fund, kindly
sign and return to the Company the enclosed counterpart hereof, whereupon each
New Fund shall be deemed a "Fund" under the Agreement. This letter agreement
shall constitute an amendment to the Agreement and, as such, a binding agreement
among the Trust, the Manager and you in accordance with its terms.
Very truly yours,
GMO TRUST
By__________________________________
Name:
Title:
GRANTHAM, MAYO, VAN OTTERLOO & CO. LLC
By__________________________________
Name:
Title:
The foregoing is hereby accepted and agreed.
INVESTORS BANK & TRUST COMPANY
By__________________________________
Name:
Title:
EXHIBIT 9.2
GRANTHAM, MAYO, VAN OTTERLOO & CO. LLC
NOTIFICATION OF FEE WAIVER AND
EXPENSE LIMITATION
------------------
NOTIFICATION made February 6, 1997 by GRANTHAM, MAYO, VAN OTTERLOO &
CO. LLC, a Massachusetts limited liability company (the "Advisor"), to GMO
TRUST, a Massachusetts business trust (the "Trust").
WITNESSETH:
WHEREAS, the Advisor has organized the Trust to serve primarily as an
investment vehicle for certain large institutional accounts; and
WHEREAS, the Advisor believes it would benefit from a high sales volume
of shares of the Trust in that such a volume would maximize the Advisor's fee as
investment advisor to each series of the Trust constituting a separate
investment portfolio set forth below (each a "Fund" and, collectively, the
"Funds"); and
WHEREAS, the Advisor has agreed to furnish certain services or to bear
the costs thereof so as to enable the Funds to offer competitive returns with
respect to investments in the Funds.
NOW, THEREFORE, pursuant to Section 3 of each Management Contract (each
a "Management Contract") currently in effect between the Advisor and the Trust,
on behalf of each Fund, the Advisor hereby notifies the Trust that the Advisor
shall voluntarily, until further notice, reduce its compensation due under each
Management Contract, and, if necessary, to the extent that a Fund's total annual
operating expenses (excluding Shareholder Service Fees, brokerage commissions
and other investment- related costs, hedging transaction fees, extraordinary,
non-recurring and certain other unusual expenses (including taxes), securities
lending fees and expenses and transfer taxes; and, in the case of the GMO
Emerging Markets Fund, GMO Emerging Country Debt Fund, GMO Global Hedged Equity
Fund and GMO Global Properties Fund, excluding custodial fees; and, in the case
of the International Equity Allocation Fund, World Equity Allocation Fund,
Global (U.S.+) Equity Allocation Fund and Global Balanced Allocation Fund,
excluding expenses indirectly incurred by investment in other Funds of the
Trust), will not exceed the following annual rate of such Fund's average daily
net asset value:
<TABLE>
<CAPTION>
<S> <C> <C> <C>
GMO Core Fund 0.33% GMO Foreign Fund 0.60%
GMO Tobacco-Free Core Fund 0.33% GMO Global Fund 0.60%
GMO Value Fund 0.46% GMO International Small Companies Fund 0.60%
GMO Growth Fund 0.33% GMO Japan Fund 0.54%
GMO U.S. Sector Fund 0.33% GMO Emerging Markets Fund 0.81%
GMO Small Cap Value Fund 0.33% GMO Short-Term Income Fund 0.05%
GMO Fundamental Value Fund 0.60% GMO Global Hedged Equity Fund 0.50%
GMO REIT Fund 0.54% GMO Domestic Bond Fund 0.10%
GMO Small Cap Growth Fund 0.33% GMO International Bond Fund 0.25%
GMO International Core Fund 0.54% GMO Currency Hedged International Bond Fund 0.25%
GMO Currency Hedged International Core Fund 0.54% GMO Global Bond Fund 0.19%
GMO Emerging Country Debt Fund 0.35% GMO World Equity Allocation Fund 0.00%
GMO Inflation Indexed Bond Fund 0.10% GMO Global (U.S.+) Equity Allocation Fund 0.00%
GMO International Equity Allocation Fund 0.00% GMO Balanced Allocation Fund 0.00%
GMO Global Properties Fund 0.60% Pelican Fund 0.95%
</TABLE>
Please be advised that all previous notifications by the Advisor with
respect to expense limitations regarding any of the Funds shall hereafter be
null and void and of no further force and effect.
IN WITNESS WHEREOF, the Advisor has executed this Notification of
Expense Limitation on the day and year first above written.
GRANTHAM, MAYO, VAN OTTERLOO & CO.
By:
--------------------------------
Title: Partner
The foregoing is hereby accepted:
GMO TRUST
on behalf of each
Fund named above
By:
-------------------------------------
Title: President-Quantitative
Exhibit 9.3
AMENDED AND RESTATED SERVICING AGREEMENT
The Servicing Agreement executed as of May 30, 1996 between GMO TRUST,
a Massachusetts business trust (the "Trust") on behalf of each of its Class I,
Class II, Class III, Class IV, Class V and Class VI (each a "Class" and
collectively the "Classes") Shares (the "Shares") of each Fund listed on Exhibit
I hereto, (collectively, the "Funds"), and GRANTHAM, MAYO, VAN OTTERLOO & CO.
LLC, a Massachusetts limited liability company (the "Shareholder Servicer"), is
hereby amended and restated on December ___, 1996 by the Trustees:
W I T N E S S E T H:
That in consideration of the mutual covenants herein contained, it is
agreed as follows:
1. SERVICES TO BE RENDERED BY SERVICING AGENT TO THE TRUST.
(a) The Shareholder Servicer will, at its expense, provide direct
client service, maintenance and reporting to shareholders of each Class of
Shares of each Fund set forth on Exhibit 1 hereto, such services and reporting
to include, without limitation, professional and informative reporting, client
account information, personal and electronic access to Fund information, access
to analysis and explanations of Fund reports, and assistance in the correction
and maintenance of client-related information.
(b) The Shareholder Servicer shall not be obligated under this
agreement to pay any expenses of or for the Trust or of or for the Fund not
expressly assumed by the Shareholder Servicer pursuant to this Section 1.
2. OTHER AGREEMENTS, ETC.
It is understood that any of the shareholders, Trustees, officers and
employees of the Trust may be a partner, shareholder, director, officer or
employee of, or be otherwise interested in, the Shareholder Servicer, and in any
person controlled by or under common control with the Shareholder Servicer, and
that the Shareholder Servicer and any person controlled by or under common
control with the Shareholder Servicer may have an interest in the Trust. It is
also understood that the Shareholder Servicer and persons controlled by or under
common control with the Shareholder Servicer may have advisory, servicing,
distribution or other contracts with other organizations and persons, and may
have other interests and businesses.
3. COMPENSATION TO BE PAID BY THE TRUST TO THE SERVICING AGENT.
Each Class of Shares of each Fund will pay to the Shareholder Servicer
as compensation for the Shareholder Servicer's services rendered and for the
expenses borne by the Shareholder Servicer with respect to such Class of Shares
of such Fund pursuant to Section 1, a fee, computed and accrued daily, and paid
monthly or at such other intervals as the Trustees shall determine, at the
annual rate of such Class' average daily net asset value set forth on the Fee
Rate Schedule attached as Exhibit II hereto. Such fee shall be payable for each
month (or other interval) within five (5) business days after the end of such
month (or other interval).
If the Servicing Agent shall serve for less than the whole of a month
(or other interval), the foregoing compensation shall be prorated.
4. ASSIGNMENT TERMINATES THIS CONTRACT; AMENDMENTS OF THIS
CONTRACT.
This Contract shall automatically terminate, without the payment of any
penalty, in the event of its assignment; provided, however, in the event of
consolidation or merger in which the Shareholder Servicer is not the surviving
corporation or which results in the acquisition of substantially all the
Shareholder Servicer's outstanding stock by a single person or entity or by a
group of persons and/or entities acting in concert, or in the event of the sale
or transfer of substantially all the Shareholder Servicer's assets, the
Shareholder Servicer may assign any such agreement to such surviving entity,
acquiring entity, assignee or purchaser, as the case may be. This Contract shall
not be amended unless such amendment is approved by the vote, cast in person at
a meeting called for the purpose of voting on such approval, of a majority of
the Trustees of the Trust who are not interested persons of the Trust or of the
Shareholder Servicer.
5. EFFECTIVE PERIOD AND TERMINATION OF THIS CONTRACT.
This Contract shall become effective upon its execution, and shall
remain in full force and effect continuously thereafter (unless terminated
automatically as set forth in Section 4)
until terminated as follows:
(a) Either party hereto may at any time terminate this Contract (or
this Contract's application to one or more Classes or Funds) by not more than
sixty days' written notice delivered or mailed by registered mail, postage
prepaid, to the other party, or
(b) If (i) a majority of the Trustees of the Trust, and (ii) a majority
of the Trustees of the Trust who are not interested persons of the Trust or of
the Shareholder Servicer, by vote cast in person at a meeting called for the
purpose of voting on such approval, do not specifically approve at least
annually the continuance of this Contract, then this Contract shall
automatically terminate at the close of business on the second anniversary of
its execution, or
-2-
upon the expiration of one year from the effective date of the last such
continuance, whichever is later.
Termination of this Contract pursuant to this Section 5 shall be
without the payment of any penalty.
6. CERTAIN DEFINITIONS.
For the purposes of this Contract, the terms "affiliated person",
"control", "interested person" and "assignment" shall have their respective
meanings defined in the Investment Company Act of 1940 and the rules and
regulations thereunder, subject, however, to such exemptions as may be granted
by the Securities and Exchange Commission under said Act; and the phrase
"specifically approve at least annually" shall be construed in a manner
consistent with the Investment Company Act of 1940 and the rules and regulations
thereunder.
7. NONLIABILITY OF SERVICING AGENT.
In the absence of willful misfeasance, bad faith or gross negligence on
the part of the Shareholder Servicer, or reckless disregard of its obligations
and duties hereunder, the Shareholder Servicer shall not be subject to any
liability to the Trust, or to any shareholder of the Trust, for any act or
omission in the course of, or connected with, rendering services hereunder.
8. LIMITATION OF LIABILITY OF THE TRUSTEES AND SHAREHOLDERS.
A copy of the Agreement and Declaration of Trust of the Trust is on
file with the Secretary of The Commonwealth of Massachusetts, and notice is
hereby given that this instrument is executed on behalf of the Trustees of the
Trust as Trustees and not individually and that the obligations of this
instrument are not binding upon any of the Trustees or shareholders individually
but are binding only upon the assets and property of the Fund.
-3-
IN WITNESS WHEREOF, GMO TRUST and GRANTHAM, MAYO, VAN OTTERLOO & CO.
LLC have each caused this instrument to be signed in duplicate on its behalf by
its duly authorized representative, all as of the day and year first above
written.
GMO TRUST
By_______________________________________
Title:
GRANTHAM, MAYO, VAN OTTERLOO & CO. LLC
By_______________________________________
Title:
-4-
EXHIBIT I
---------
GMO Core Fund
GMO Tobacco-Free Core Fund
GMO Value Fund
GMO Growth Fund
GMO U.S. Sector Fund
GMO Small Cap Value Fund
GMO Fundamental Value Fund
GMO Small Cap Growth Fund
GMO REIT Fund
GMO International Core Fund
GMO Currency Hedged International Core Fund
GMO Foreign Fund
GMO Global Fund
GMO International Small Companies Fund
GMO Japan Fund
GMO Emerging Markets Fund
GMO Global Properties Fund
GMO Domestic Bond Fund
GMO Global Hedged Equity Fund
GMO Short-Term Income Fund
GMO International Bond Fund
GMO Currency Hedged International Bond Fund
GMO Global Bond Fund
GMO Emerging Country Debt Fund
GMO Inflation Indexed Bond Fund
GMO International Equity Allocation Fund
GMO Global (U.S.+) Equity Allocation Fund
GMO World Equity Allocation Fund
GMO Global Balanced Allocation Fund
-5-
SERVICE FEE SCHEDULE EXHIBIT II
- -------------------- ----------
CLASS I SHARES
FUND SERVICE FEE
GMO Core Fund 0.28%
GMO Tobacco-Free Core Fund 0.28%
GMO Value Fund 0.28%
GMO Growth Fund 0.28%
GMO U.S. Sector Fund 0.28%
GMO Small Cap Value Fund 0.28%
GMO Fundamental Value Fund 0.28%
GMO Small Cap Growth Fund 0.28%
GMO REIT Fund 0.28%
GMO International Core Fund 0.28%
GMO Currency Hedged International Core Fund 0.28%
GMO Foreign Fund 0.28%
GMO Global Fund 0.28%
GMO International Small Companies Fund 0.28%
GMO Japan Fund 0.28%
GMO Emerging Markets Fund 0.28%
GMO Global Properties Fund 0.28%
GMO Domestic Bond Fund 0.28%
GMO Global Hedged Equity Fund 0.28%
GMO International Bond Fund 0.28%
GMO Currency Hedged International Bond Fund 0.28%
GMO Global Bond Fund 0.28%
GMO Emerging Country Debt Fund 0.28%
GMO Inflation Indexed Bond Fund 0.28%
GMO International Equity Allocation Fund 0.13%
GMO Global (U.S.+) Equity Allocation Fund 0.13%
GMO World Equity Allocation Fund 0.13%
GMO Global Balanced Allocation Fund 0.13%
-6-
SERVICE FEE SCHEDULE EXHIBIT II (cont'd)
- -------------------- -------------------
CLASS II SHARES
FUND SERVICE FEE
GMO Core Fund 0.22%
GMO Tobacco-Free Core Fund 0.22%
GMO Value Fund 0.22%
GMO Growth Fund 0.22%
GMO U.S. Sector Fund 0.22%
GMO Small Cap Value Fund 0.22%
GMO Fundamental Value Fund 0.22%
GMO Small Cap Growth Fund 0.22%
GMO REIT Fund 0.22%
GMO International Core Fund 0.22%
GMO Currency Hedged International Core Fund 0.22%
GMO Foreign Fund 0.22%
GMO Global Fund 0.22%
GMO International Small Companies Fund 0.22%
GMO Japan Fund 0.22%
GMO Emerging Markets Fund 0.22%
GMO Global Properties Fund 0.22%
GMO Domestic Bond Fund 0.22%
GMO Global Hedged Equity Fund 0.22%
GMO International Bond Fund 0.22%
GMO Currency Hedged International Bond Fund 0.22%
GMO Global Bond Fund 0.22%
GMO Emerging Country Debt Fund 0.22%
GMO Inflation Indexed Bond Fund 0.22%
GMO International Equity Allocation Fund 0.07%
GMO Global (U.S.+) Equity Allocation Fund 0.07%
GMO World Equity Allocation Fund 0.07%
GMO Global Balanced Allocation Fund 0.07%
-7-
SERVICE FEE SCHEDULE EXHIBIT II (cont'd)
Class III Shares
Fund Service Fee
GMO Core Fund 0.15%
GMO Tobacco-Free Core Fund 0.15%
GMO Value Fund 0.15%
GMO Growth Fund 0.15%
GMO U.S. Sector Fund 0.15%
GMO Small Cap Value Fund 0.15%
GMO Fundamental Value Fund 0.15%
GMO Small Cap Growth Fund 0.15%
GMO REIT Fund 0.15%
GMO International Core Fund 0.15%
GMO Currency Hedged International Core Fund 0.15%
GMO Foreign Fund 0.15%
GMO Global Bond Fund 0.15%
GMO International Small Companies Fund 0.15%
GMO Japan Fund 0.15%
GMO Emerging Markets Fund 0.15%
GMO Global Properties Fund 0.15%
GMO Domestic Bond Fund 0.15%
GMO Short-Term Income Fund 0.15%
GMO Global Hedged Equity Fund 0.15%
GMO International Bond Fund 0.15%
GMO Currency Hedged International Bond Fund 0.15%
GMO Global Fund 0.15%
GMO Emerging Country Debt Fund 0.15%
GMO Inflation Indexed Bond Fund 0.15%
GMO International Equity Allocation Fund 0.00%
GMO Global (U.S.+) Equity Allocation Fund 0.00%
GMO World Equity Allocation Fund 0.00%
GMO Global Balanced Allocation Fund 0.00%
-8-
SERVICE FEE SCHEDULE EXHIBIT II (cont'd)
- -------------------- ----------
CLASS IV SHARES
FUND SERVICE FEE
- ---- -----------
GMO Core Fund 0.12%
GMO Value Fund 0.12%
GMO Growth Fund 0.12%
GMO U.S. Sector Fund 0.12%
GMO International Core Fund 0.11%
GMO Emerging Markets Fund 0.10%
CLASS V SHARES
FUND SERVICE FEE
- ---- -----------
GMO Core Fund 0.09%
GMO Value Fund 0.09%
GMO Growth Fund 0.09%
GMO U.S. Sector Fund 0.09%
GMO International Core Fund 0.07%
GMO Emerging Markets Fund 0.05%
CLASS VI SHARES
FUND SERVICE FEE
- ---- -----------
GMO Core Fund 0.07%
GMO Value Fund 0.07%
GMO Growth Fund 0.07%
GMO U.S. Sector Fund 0.07%
GMO International Core Fund 0.04%
GMO Emerging Markets Fund 0.02%
-9-
EXHIBIT 11
----------
CONSENT OF INDEPENDENT ACCOUNTANTS
We hereby consent to the incorporation by reference in the Private Placement
Memorandum and Statement of Additional Information constituting parts of this
Post-Effective Amendment No. 34 to GMO Trust's registration statement under the
Investment Company Act of 1940 on Form N-1A (the "Registration Statement") of
our reports dated April 12, 1996, April 17, 1996 and April 23, 1996, relating to
the financial statements and financial highlights of each series of GMO Trust,
which appear in the related February 29, 1996 Annual Reports and which are also
incorporated by reference into the Registration Statement. We also consent to
the references to us under the headings "Investment Advisory and Other Services
- - Independent Accountants" and "Financial Statements" in such Statement of
Additional Information.
We also consent to the incorporation by reference in such Registration Statement
of our reports dated April 12, 1996, April 17, 1996 and April 23, 1996, relating
to the February 29, 1996 financial statements and financial highlights of GMO
Trust, which are incorporated by reference in the prospectuses and statements of
additional information of Post-Effective Amendments No 29 (GMO Pelican Fund) and
No. 32 (each series of GM0 Trust, except for the Pelican Fund) to the
registration statement of GMO Trust and which are also incorporated by
reference in this Registration Statement.
Price Waterhouse LLP
Boston, Massachusetts
January 10, 1997
<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
<OTHER-ITEMS-LIABILITIES> 216,121,691
<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
<ACCUMULATED-NII-CURRENT> 9,884,952
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 180,108,269
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 674,434,366
<NET-ASSETS> 3,179,314,320
<DIVIDEND-INCOME> 71,408,642
<INTEREST-INCOME> 6,419,038
<OTHER-INCOME> 0
<EXPENSES-NET> 13,681,463
<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 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 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 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>
<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> 22
<NAME> Global Bond Fund
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-29-1996
<PERIOD-END> FEB-29-1996
<INVESTMENTS-AT-COST> 30,715,132
<INVESTMENTS-AT-VALUE> 30,240,346
<RECEIVABLES> 1,323,627
<ASSETS-OTHER> 34,375
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 31,598,348
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 525,930
<TOTAL-LIABILITIES> 525,930
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 31,527,501
<SHARES-COMMON-STOCK> 3,143,053
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 145,359
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (255,309)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (345,133)
<NET-ASSETS> 31,072,418
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 321,498
<OTHER-INCOME> 0
<EXPENSES-NET> 16,812
<NET-INVESTMENT-INCOME> 304,686
<REALIZED-GAINS-CURRENT> (414,636)
<APPREC-INCREASE-CURRENT> (345,133)
<NET-CHANGE-FROM-OPS> (455,083)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 3,143,053
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 31,072,418
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 17,307
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 72,104
<AVERAGE-NET-ASSETS> 29,189,806
<PER-SHARE-NAV-BEGIN> 10.00
<PER-SHARE-NII> 0.05
<PER-SHARE-GAIN-APPREC> (0.16)
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> 0.00
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 9.89
<EXPENSE-RATIO> 0.34
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 1996
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 101
<NAME> Core Fund, Class I
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> FEB-28-1997
<PERIOD-END> AUG-31-1996
<INVESTMENTS-AT-COST> 2,716,861,139
<INVESTMENTS-AT-VALUE> 3,150,005,640
<RECEIVABLES> 13,966,225
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 3,163,971,865
<PAYABLE-FOR-SECURITIES> 14,539,443
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 102,157,618
<TOTAL-LIABILITIES> 116,697,061
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 2,362,142,401
<SHARES-COMMON-STOCK> 326,936
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 7,987,272
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 242,089,815
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 435,055,316
<NET-ASSETS> 5,995,766
<DIVIDEND-INCOME> 16,449
<INTEREST-INCOME> 2,123
<OTHER-INCOME> 0
<EXPENSES-NET> 5,701
<NET-INVESTMENT-INCOME> 12,871
<REALIZED-GAINS-CURRENT> 49,451
<APPREC-INCREASE-CURRENT> (249,421)
<NET-CHANGE-FROM-OPS> (187,099)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 326,936
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 5,995,766
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 8,233,581
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 9,725,385
<AVERAGE-NET-ASSETS> 5,582,172
<PER-SHARE-NAV-BEGIN> 18.97
<PER-SHARE-NII> 0.04
<PER-SHARE-GAIN-APPREC> (0.67)
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> 0.00
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 18.34
<EXPENSE-RATIO> 0.61
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 1996
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 102
<NAME> Core Fund, Class II
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> FEB-28-1997
<PERIOD-END> AUG-31-1996
<INVESTMENTS-AT-COST> 2,716,861,139
<INVESTMENTS-AT-VALUE> 3,150,005,640
<RECEIVABLES> 13,966,225
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 3,163,971,865
<PAYABLE-FOR-SECURITIES> 14,539,443
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 102,157,618
<TOTAL-LIABILITIES> 116,697,061
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 2,362,142,401
<SHARES-COMMON-STOCK> 1,384,183
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 7,987,272
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 242,089,815
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 435,055,316
<NET-ASSETS> 25,376,930
<DIVIDEND-INCOME> 104,112
<INTEREST-INCOME> 13,438
<OTHER-INCOME> 0
<EXPENSES-NET> 31,827
<NET-INVESTMENT-INCOME> 85,723
<REALIZED-GAINS-CURRENT> 747,986
<APPREC-INCREASE-CURRENT> (1,582,769)
<NET-CHANGE-FROM-OPS> (749,060)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (129,826)
<DISTRIBUTIONS-OF-GAINS> (1,499,489)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 1,298,520
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 85,663
<NET-CHANGE-IN-ASSETS> 25,376,930
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 8,233,581
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 9,725,385
<AVERAGE-NET-ASSETS> 25,049,937
<PER-SHARE-NAV-BEGIN> 20.12
<PER-SHARE-NII> 0.07
<PER-SHARE-GAIN-APPREC> (0.60)
<PER-SHARE-DIVIDEND> (0.10)
<PER-SHARE-DISTRIBUTIONS> (1.16)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 18.33
<EXPENSE-RATIO> 0.55
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 1996
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 103
<NAME> Core Fund, Class III
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> FEB-28-1997
<PERIOD-END> AUG-31-1996
<INVESTMENTS-AT-COST> 2,716,861,139
<INVESTMENTS-AT-VALUE> 3,150,005,640
<RECEIVABLES> 13,966,225
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 3,163,971,865
<PAYABLE-FOR-SECURITIES> 14,539,443
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 102,157,618
<TOTAL-LIABILITIES> 116,697,061
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 2,362,142,401
<SHARES-COMMON-STOCK> 164,491,589
<SHARES-COMMON-PRIOR> 163,404,368
<ACCUMULATED-NII-CURRENT> 7,987,272
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 242,089,815
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 435,055,316
<NET-ASSETS> 3,015,902,108
<DIVIDEND-INCOME> 32,323,268
<INTEREST-INCOME> 4,172,121
<OTHER-INCOME> 0
<EXPENSES-NET> 7,495,599
<NET-INVESTMENT-INCOME> 28,999,790
<REALIZED-GAINS-CURRENT> 240,592,321
<APPREC-INCREASE-CURRENT> (237,546,860)
<NET-CHANGE-FROM-OPS> 32,045,251
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (30,866,238)
<DISTRIBUTIONS-OF-GAINS> (177,908,723)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 8,879,792
<NUMBER-OF-SHARES-REDEEMED> 18,120,509
<SHARES-REINVESTED> 10,327,938
<NET-CHANGE-IN-ASSETS> (163,412,212)
<ACCUMULATED-NII-PRIOR> 9,884,952
<ACCUMULATED-GAINS-PRIOR> 180,108,269
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 8,233,581
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 9,725,385
<AVERAGE-NET-ASSETS> 3,114,435,965
<PER-SHARE-NAV-BEGIN> 19.46
<PER-SHARE-NII> 0.18
<PER-SHARE-GAIN-APPREC> 0.04
<PER-SHARE-DIVIDEND> (0.19)
<PER-SHARE-DISTRIBUTIONS> (1.16)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 18.33
<EXPENSE-RATIO> 0.48
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 1996
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 4
<NAME> Growth Fund
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> FEB-28-1997
<PERIOD-END> AUG-31-1996
<INVESTMENTS-AT-COST> 293,653,069
<INVESTMENTS-AT-VALUE> 334,547,876
<RECEIVABLES> 7,416,087
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 341,963,963
<PAYABLE-FOR-SECURITIES> 2,343,494
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 18,069,080
<TOTAL-LIABILITIES> 20,412,574
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 236,632,735
<SHARES-COMMON-STOCK> 60,348,814
<SHARES-COMMON-PRIOR> 69,297,026
<ACCUMULATED-NII-CURRENT> 529,139
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 43,790,065
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 40,599,450
<NET-ASSETS> 321,551,389
<DIVIDEND-INCOME> 2,835,363
<INTEREST-INCOME> 484,920
<OTHER-INCOME> 0
<EXPENSES-NET> 868,866
<NET-INVESTMENT-INCOME> 2,451,417
<REALIZED-GAINS-CURRENT> 43,701,353
<APPREC-INCREASE-CURRENT> (35,536,605)
<NET-CHANGE-FROM-OPS> 10,616,165
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (2,989,770)
<DISTRIBUTIONS-OF-GAINS> (23,931,036)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 1,549,841
<NUMBER-OF-SHARES-REDEEMED> (14,681,369)
<SHARES-REINVESTED> 4,183,316
<NET-CHANGE-IN-ASSETS> (69,814,524)
<ACCUMULATED-NII-PRIOR> 1,067,492
<ACCUMULATED-GAINS-PRIOR> 24,019,748
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 905,068
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,105,801
<AVERAGE-NET-ASSETS> 360,823,000
<PER-SHARE-NAV-BEGIN> 5.65
<PER-SHARE-NII> 0.04
<PER-SHARE-GAIN-APPREC> 0.12
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.48)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 5.33
<EXPENSE-RATIO> 0.48
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 1996
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 8
<NAME> Value Fund
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> FEB-28-1997
<PERIOD-END> AUG-31-1996
<INVESTMENTS-AT-COST> 299,146,312
<INVESTMENTS-AT-VALUE> 338,805,712
<RECEIVABLES> 2,226,543
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 341,032,255
<PAYABLE-FOR-SECURITIES> 165,765
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 26,448,715
<TOTAL-LIABILITIES> 26,614,480
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 256,621,103
<SHARES-COMMON-STOCK> 23,721,468
<SHARES-COMMON-PRIOR> 22,292,408
<ACCUMULATED-NII-CURRENT> 1,509,300
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 16,658,536
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 39,628,836
<NET-ASSETS> 314,417,775
<DIVIDEND-INCOME> 4,376,672
<INTEREST-INCOME> 318,979
<OTHER-INCOME> 0
<EXPENSES-NET> 974,936
<NET-INVESTMENT-INCOME> 3,720,715
<REALIZED-GAINS-CURRENT> 19,148,239
<APPREC-INCREASE-CURRENT> (20,388,271)
<NET-CHANGE-FROM-OPS> 2,480,683
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (3,595,636)
<DISTRIBUTIONS-OF-GAINS> (21,404,650)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 509,997
<NUMBER-OF-SHARES-REDEEMED> (770,638)
<SHARES-REINVESTED> 1,689,701
<NET-CHANGE-IN-ASSETS> (3,194,074)
<ACCUMULATED-NII-PRIOR> 1,384,221
<ACCUMULATED-GAINS-PRIOR> 18,914,947
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 1,118,778
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,316,196
<AVERAGE-NET-ASSETS> 318,751,000
<PER-SHARE-NAV-BEGIN> 14.25
<PER-SHARE-NII> 0.16
<PER-SHARE-GAIN-APPREC> (0.03)
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (1.13)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 13.25
<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 August 31, 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> 6-MOS
<FISCAL-YEAR-END> FEB-28-1997
<PERIOD-END> AUG-31-1996
<INVESTMENTS-AT-COST> 23,252,037
<INVESTMENTS-AT-VALUE> 23,209,033
<RECEIVABLES> 2,196,420
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 25,405,453
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 20,397
<TOTAL-LIABILITIES> 20,397
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 25,278,829
<SHARES-COMMON-STOCK> 2,612,653
<SHARES-COMMON-PRIOR> 1,132,734
<ACCUMULATED-NII-CURRENT> 252,908
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (103,677)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (43,004)
<NET-ASSETS> 25,385,056
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 610,627
<OTHER-INCOME> 0
<EXPENSES-NET> 20,061
<NET-INVESTMENT-INCOME> 590,566
<REALIZED-GAINS-CURRENT> (9,623)
<APPREC-INCREASE-CURRENT> (65,774)
<NET-CHANGE-FROM-OPS> 515,169
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (483,833)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 3,114,034
<NUMBER-OF-SHARES-REDEEMED> (1,670,658)
<SHARES-REINVESTED> 36,543
<NET-CHANGE-IN-ASSETS> 14,319,031
<ACCUMULATED-NII-PRIOR> 146,175
<ACCUMULATED-GAINS-PRIOR> (94,054)
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 25,240
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 49,446
<AVERAGE-NET-ASSETS> 20,155,000
<PER-SHARE-NAV-BEGIN> 9.77
<PER-SHARE-NII> 0.22
<PER-SHARE-GAIN-APPREC> (0.02)
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.25)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 9.72
<EXPENSE-RATIO> 0.20
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 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> 6-MOS
<FISCAL-YEAR-END> FEB-28-1997
<PERIOD-END> AUG-31-1996
<INVESTMENTS-AT-COST> 4,347,028,540
<INVESTMENTS-AT-VALUE> 4,516,570,224
<RECEIVABLES> 64,400,761
<ASSETS-OTHER> 38,634,989
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 4,619,605,974
<PAYABLE-FOR-SECURITIES> 36,473,043
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 329,870,956
<TOTAL-LIABILITIES> 366,343,999
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 3,907,873,359
<SHARES-COMMON-STOCK> 175,896,874
<SHARES-COMMON-PRIOR> 184,341,225
<ACCUMULATED-NII-CURRENT> 58,175,243
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 140,448,857
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 146,764,516
<NET-ASSETS> 4,253,261,975
<DIVIDEND-INCOME> 81,786,136
<INTEREST-INCOME> 10,172,141
<OTHER-INCOME> 0
<EXPENSES-NET> 15,673,176
<NET-INVESTMENT-INCOME> 76,285,101
<REALIZED-GAINS-CURRENT> 128,103,567
<APPREC-INCREASE-CURRENT> (180,417,512)
<NET-CHANGE-FROM-OPS> 23,971,156
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (12,640,349)
<DISTRIBUTIONS-OF-GAINS> (82,073,251)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 19,016,730
<NUMBER-OF-SHARES-REDEEMED> (31,049,450)
<SHARES-REINVESTED> 3,588,369
<NET-CHANGE-IN-ASSETS> (284,774,248)
<ACCUMULATED-NII-PRIOR> (5,469,509)
<ACCUMULATED-GAINS-PRIOR> 94,418,541
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 16,915,544
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 20,168,338
<AVERAGE-NET-ASSETS> 4,473,938,000
<PER-SHARE-NAV-BEGIN> 24.62
<PER-SHARE-NII> 0.43
<PER-SHARE-GAIN-APPREC> (0.34)
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.53)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 24.18
<EXPENSE-RATIO> 0.69
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 1996
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 7
<NAME> Japan Fund
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> FEB-28-1997
<PERIOD-END> AUG-31-1996
<INVESTMENTS-AT-COST> 280,399,353
<INVESTMENTS-AT-VALUE> 267,677,616
<RECEIVABLES> 379,546
<ASSETS-OTHER> 29,685,599
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 297,742,761
<PAYABLE-FOR-SECURITIES> 21,066
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 34,283,938
<TOTAL-LIABILITIES> 34,305,004
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 277,129,017
<SHARES-COMMON-STOCK> 32,080,230
<SHARES-COMMON-PRIOR> 14,792,650
<ACCUMULATED-NII-CURRENT> (203,586)
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (77,316)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (13,410,358)
<NET-ASSETS> 263,437,757
<DIVIDEND-INCOME> 442,765
<INTEREST-INCOME> 153,859
<OTHER-INCOME> 0
<EXPENSES-NET> 610,482
<NET-INVESTMENT-INCOME> (13,858)
<REALIZED-GAINS-CURRENT> 50,447
<APPREC-INCREASE-CURRENT> (11,858,272)
<NET-CHANGE-FROM-OPS> (11,821,683)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 19,076,822
<NUMBER-OF-SHARES-REDEEMED> (1,789,242)
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 137,330,798
<ACCUMULATED-NII-PRIOR> (189,728)
<ACCUMULATED-GAINS-PRIOR> (127,763)
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 654,196
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 872,094
<AVERAGE-NET-ASSETS> 173,013,000
<PER-SHARE-NAV-BEGIN> 8.52
<PER-SHARE-NII> 0.00
<PER-SHARE-GAIN-APPREC> (0.31)
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> 0.00
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 8.21
<EXPENSE-RATIO> 0.70
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 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> 6-MOS
<FISCAL-YEAR-END> FEB-28-1997
<PERIOD-END> AUG-31-1996
<INVESTMENTS-AT-COST> 51,763,405
<INVESTMENTS-AT-VALUE> 57,250,025
<RECEIVABLES> 239,311
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 57,489,336
<PAYABLE-FOR-SECURITIES> 177,591
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 3,301,051
<TOTAL-LIABILITIES> 3,478,642
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 42,687,046
<SHARES-COMMON-STOCK> 4,514,874
<SHARES-COMMON-PRIOR> 4,444,322
<ACCUMULATED-NII-CURRENT> 146,239
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 5,723,414
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 5,453,995
<NET-ASSETS> 54,010,694
<DIVIDEND-INCOME> 525,618
<INTEREST-INCOME> 95,028
<OTHER-INCOME> 0
<EXPENSES-NET> 126,134
<NET-INVESTMENT-INCOME> 494,512
<REALIZED-GAINS-CURRENT> 5,816,445
<APPREC-INCREASE-CURRENT> (6,243,171)
<NET-CHANGE-FROM-OPS> 67,786
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (515,601)
<DISTRIBUTIONS-OF-GAINS> (4,342,015)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 754,930
<NUMBER-OF-SHARES-REDEEMED> (1,074,672)
<SHARES-REINVESTED> 390,294
<NET-CHANGE-IN-ASSETS> (3,474,321)
<ACCUMULATED-NII-PRIOR> 167,328
<ACCUMULATED-GAINS-PRIOR> 4,248,984
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 131,390
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 202,221
<AVERAGE-NET-ASSETS> 52,421,000
<PER-SHARE-NAV-BEGIN> 12.93
<PER-SHARE-NII> 0.12
<PER-SHARE-GAIN-APPREC> 0.07
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (1.16)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 11.96
<EXPENSE-RATIO> 0.48
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 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> 6-MOS
<FISCAL-YEAR-END> FEB-28-1997
<PERIOD-END> AUG-31-1996
<INVESTMENTS-AT-COST> 185,190,932
<INVESTMENTS-AT-VALUE> 221,295,538
<RECEIVABLES> 960,607
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 222,256,145
<PAYABLE-FOR-SECURITIES> 369,904
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 18,643,035
<TOTAL-LIABILITIES> 19,012,939
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 159,947,802
<SHARES-COMMON-STOCK> 14,047,972
<SHARES-COMMON-PRIOR> 14,123,445
<ACCUMULATED-NII-CURRENT> 1,254,338
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 5,936,460
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 36,104,606
<NET-ASSETS> 203,243,206
<DIVIDEND-INCOME> 3,158,945
<INTEREST-INCOME> 122,867
<OTHER-INCOME> 0
<EXPENSES-NET> 790,473
<NET-INVESTMENT-INCOME> 2,491,339
<REALIZED-GAINS-CURRENT> 6,672,458
<APPREC-INCREASE-CURRENT> (6,148,712)
<NET-CHANGE-FROM-OPS> 3,015,085
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (2,112,859)
<DISTRIBUTIONS-OF-GAINS> (8,510,213)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 6,586
<NUMBER-OF-SHARES-REDEEMED> (677,878)
<SHARES-REINVESTED> 595,819
<NET-CHANGE-IN-ASSETS> (9,185,140)
<ACCUMULATED-NII-PRIOR> 875,858
<ACCUMULATED-GAINS-PRIOR> 7,774,215
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 790,473
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 916,947
<AVERAGE-NET-ASSETS> 210,173,000
<PER-SHARE-NAV-BEGIN> 15.04
<PER-SHARE-NII> 0.18
<PER-SHARE-GAIN-APPREC> 0.03
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.78)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 14.47
<EXPENSE-RATIO> 0.75
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 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> 6-MOS
<FISCAL-YEAR-END> FEB-28-1997
<PERIOD-END> AUG-31-1996
<INVESTMENTS-AT-COST> 194,701,143
<INVESTMENTS-AT-VALUE> 203,769,082
<RECEIVABLES> 607,292
<ASSETS-OTHER> 23,292,583
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 227,668,957
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 1,243,102
<TOTAL-LIABILITIES> 1,243,102
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 218,170,006
<SHARES-COMMON-STOCK> 17,439,466
<SHARES-COMMON-PRIOR> 16,902,821
<ACCUMULATED-NII-CURRENT> 2,775,612
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (1,402,268)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 6,882,505
<NET-ASSETS> 226,425,855
<DIVIDEND-INCOME> 3,209,805
<INTEREST-INCOME> 573,068
<OTHER-INCOME> 0
<EXPENSES-NET> 875,812
<NET-INVESTMENT-INCOME> 2,907,061
<REALIZED-GAINS-CURRENT> (1,751,254)
<APPREC-INCREASE-CURRENT> 3,111,034
<NET-CHANGE-FROM-OPS> 4,266,841
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (607,744)
<DISTRIBUTIONS-OF-GAINS> (3,403,369)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 932,056
<NUMBER-OF-SHARES-REDEEMED> (671,448)
<SHARES-REINVESTED> 276,037
<NET-CHANGE-IN-ASSETS> 7,462,125
<ACCUMULATED-NII-PRIOR> 476,295
<ACCUMULATED-GAINS-PRIOR> 3,752,355
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 1,454,408
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,749,676
<AVERAGE-NET-ASSETS> 230,788,000
<PER-SHARE-NAV-BEGIN> 12.95
<PER-SHARE-NII> 0.17
<PER-SHARE-GAIN-APPREC> 0.10
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.24)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 12.98
<EXPENSE-RATIO> 0.75
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 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> 6-MOS
<FISCAL-YEAR-END> FEB-28-1997
<PERIOD-END> AUG-31-1996
<INVESTMENTS-AT-COST> 249,776,570
<INVESTMENTS-AT-VALUE> 276,444,963
<RECEIVABLES> 703,136
<ASSETS-OTHER> 64,446,606
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 341,594,705
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 11,217,361
<TOTAL-LIABILITIES> 11,217,361
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 303,579,424
<SHARES-COMMON-STOCK> 23,309,621
<SHARES-COMMON-PRIOR> 16,666,567
<ACCUMULATED-NII-CURRENT> 1,453,178
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 1,253,044
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 24,091,698
<NET-ASSETS> 330,377,344
<DIVIDEND-INCOME> 2,298,642
<INTEREST-INCOME> 1,866,299
<OTHER-INCOME> 0
<EXPENSES-NET> 731,768
<NET-INVESTMENT-INCOME> 3,433,173
<REALIZED-GAINS-CURRENT> 2,471,754
<APPREC-INCREASE-CURRENT> 3,670,984
<NET-CHANGE-FROM-OPS> 9,575,911
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (2,666,977)
<DISTRIBUTIONS-OF-GAINS> (5,439,706)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 7,919,600
<NUMBER-OF-SHARES-REDEEMED> (1,718,491)
<SHARES-REINVESTED> 441,945
<NET-CHANGE-IN-ASSETS> 98,843,913
<ACCUMULATED-NII-PRIOR> 686,982
<ACCUMULATED-GAINS-PRIOR> 4,220,996
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 762,258
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 965,730
<AVERAGE-NET-ASSETS> 304,213,000
<PER-SHARE-NAV-BEGIN> 13.89
<PER-SHARE-NII> 0.15
<PER-SHARE-GAIN-APPREC> 0.49
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.36)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 14.17
<EXPENSE-RATIO> 0.48
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 1996
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 5
<NAME> Pelican Fund
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> FEB-28-1997
<PERIOD-END> AUG-31-1996
<INVESTMENTS-AT-COST> 144,282,119
<INVESTMENTS-AT-VALUE> 180,625,523
<RECEIVABLES> 1,789,164
<ASSETS-OTHER> 4,466
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 182,419,153
<PAYABLE-FOR-SECURITIES> 188,753
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 222,758
<TOTAL-LIABILITIES> 411,511
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 142,567,905
<SHARES-COMMON-STOCK> 12,797,474
<SHARES-COMMON-PRIOR> 12,204,124
<ACCUMULATED-NII-CURRENT> 994,234
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 2,102,099
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 36,343,404
<NET-ASSETS> 182,007,642
<DIVIDEND-INCOME> 1,823,338
<INTEREST-INCOME> 1,146,125
<OTHER-INCOME> 0
<EXPENSES-NET> 878,257
<NET-INVESTMENT-INCOME> 2,091,206
<REALIZED-GAINS-CURRENT> 3,472,919
<APPREC-INCREASE-CURRENT> (3,631,897)
<NET-CHANGE-FROM-OPS> 1,932,228
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (1,743,567)
<DISTRIBUTIONS-OF-GAINS> (3,984,116)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 927,821
<NUMBER-OF-SHARES-REDEEMED> (712,170)
<SHARES-REINVESTED> 377,699
<NET-CHANGE-IN-ASSETS> 4,769,349
<ACCUMULATED-NII-PRIOR> 646,595
<ACCUMULATED-GAINS-PRIOR> 2,613,296
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 832,034
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 968,377
<AVERAGE-NET-ASSETS> 183,372,000
<PER-SHARE-NAV-BEGIN> 14.52
<PER-SHARE-NII> 0.16
<PER-SHARE-GAIN-APPREC> 0.00
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.46)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 14.22
<EXPENSE-RATIO> 0.95
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 1996
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 14
<NAME> U.S. Sector Fund
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> FEB-28-1997
<PERIOD-END> AUG-31-1996
<INVESTMENTS-AT-COST> 213,891,494
<INVESTMENTS-AT-VALUE> 233,809,311
<RECEIVABLES> 984,748
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 234,794,059
<PAYABLE-FOR-SECURITIES> 539,995
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 8,746,093
<TOTAL-LIABILITIES> 9,286,088
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 186,375,402
<SHARES-COMMON-STOCK> 19,210,683
<SHARES-COMMON-PRIOR> 15,503,866
<ACCUMULATED-NII-CURRENT> 614,511
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 18,444,220
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 20,073,838
<NET-ASSETS> 225,507,971
<DIVIDEND-INCOME> 2,317,176
<INTEREST-INCOME> 348,814
<OTHER-INCOME> 0
<EXPENSES-NET> 535,777
<NET-INVESTMENT-INCOME> 2,130,213
<REALIZED-GAINS-CURRENT> 18,606,954
<APPREC-INCREASE-CURRENT> (16,706,660)
<NET-CHANGE-FROM-OPS> 4,030,507
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (2,290,625)
<DISTRIBUTIONS-OF-GAINS> (32,803,951)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 3,529,655
<NUMBER-OF-SHARES-REDEEMED> (1,334,220)
<SHARES-REINVESTED> 1,511,382
<NET-CHANGE-IN-ASSETS> 14,189,255
<ACCUMULATED-NII-PRIOR> 774,923
<ACCUMULATED-GAINS-PRIOR> 32,641,217
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 546,939
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 696,231
<AVERAGE-NET-ASSETS> 222,646,000
<PER-SHARE-NAV-BEGIN> 13.63
<PER-SHARE-NII> 0.12
<PER-SHARE-GAIN-APPREC> 0.09
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (2.10)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 11.74
<EXPENSE-RATIO> 0.48
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 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> 6-MOS
<FISCAL-YEAR-END> FEB-28-1997
<PERIOD-END> AUG-31-1996
<INVESTMENTS-AT-COST> 204,063,285
<INVESTMENTS-AT-VALUE> 212,047,045
<RECEIVABLES> 8,696,890
<ASSETS-OTHER> 57,840
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 220,801,775
<PAYABLE-FOR-SECURITIES> 5,297,555
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 12,699,467
<TOTAL-LIABILITIES> 17,997,022
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 172,537,116
<SHARES-COMMON-STOCK> 17,563,164
<SHARES-COMMON-PRIOR> 17,765,600
<ACCUMULATED-NII-CURRENT> 8,133,415
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 13,801,190
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 8,333,032
<NET-ASSETS> 202,804,753
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 7,194,831
<OTHER-INCOME> 0
<EXPENSES-NET> 377,492
<NET-INVESTMENT-INCOME> 6,817,339
<REALIZED-GAINS-CURRENT> 14,111,565
<APPREC-INCREASE-CURRENT> (4,435,956)
<NET-CHANGE-FROM-OPS> 16,492,948
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (3,568,678)
<DISTRIBUTIONS-OF-GAINS> (2,276,849)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 4,019,441
<NUMBER-OF-SHARES-REDEEMED> (4,626,675)
<SHARES-REINVESTED> 404,798
<NET-CHANGE-IN-ASSETS> 8,884,437
<ACCUMULATED-NII-PRIOR> 4,884,754
<ACCUMULATED-GAINS-PRIOR> 1,966,474
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 379,254
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 563,159
<AVERAGE-NET-ASSETS> 189,188,000
<PER-SHARE-NAV-BEGIN> 10.92
<PER-SHARE-NII> 0.41
<PER-SHARE-GAIN-APPREC> 0.58
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.36)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 11.55
<EXPENSE-RATIO> 0.40
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 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> 6-MOS
<FISCAL-YEAR-END> FEB-28-1997
<PERIOD-END> AUG-31-1996
<INVESTMENTS-AT-COST> 1,243,913,640
<INVESTMENTS-AT-VALUE> 1,209,858,328
<RECEIVABLES> 20,654,339
<ASSETS-OTHER> 15,945,195
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 1,246,457,862
<PAYABLE-FOR-SECURITIES> 24,546,201
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 1,514,416
<TOTAL-LIABILITIES> 26,060,617
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 1,247,146,379
<SHARES-COMMON-STOCK> 111,608,650
<SHARES-COMMON-PRIOR> 86,054,424
<ACCUMULATED-NII-CURRENT> 11,249,129
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (6,358,044)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (31,640,219)
<NET-ASSETS> 1,220,397,245
<DIVIDEND-INCOME> 16,367,257
<INTEREST-INCOME> 2,569,290
<OTHER-INCOME> 0
<EXPENSES-NET> 6,751,664
<NET-INVESTMENT-INCOME> 12,184,883
<REALIZED-GAINS-CURRENT> 21,919,423
<APPREC-INCREASE-CURRENT> (4,330,326)
<NET-CHANGE-FROM-OPS> 29,773,980
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (8,782,728)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 27,412,967
<NUMBER-OF-SHARES-REDEEMED> (2,262,129)
<SHARES-REINVESTED> 403,388
<NET-CHANGE-IN-ASSETS> 313,217,725
<ACCUMULATED-NII-PRIOR> 7,846,974
<ACCUMULATED-GAINS-PRIOR> (28,277,467)
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 5,714,385
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 7,442,447
<AVERAGE-NET-ASSETS> 1,133,601,000
<PER-SHARE-NAV-BEGIN> 10.54
<PER-SHARE-NII> 0.09
<PER-SHARE-GAIN-APPREC> 0.38
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.08)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 10.93
<EXPENSE-RATIO> 0.12
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 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> 6-MOS
<FISCAL-YEAR-END> FEB-28-1997
<PERIOD-END> AUG-31-1996
<INVESTMENTS-AT-COST> 505,398,828
<INVESTMENTS-AT-VALUE> 656,488,824
<RECEIVABLES> 51,350,551
<ASSETS-OTHER> 2,355
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 707,841,730
<PAYABLE-FOR-SECURITIES> 11,279,672
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 49,735,204
<TOTAL-LIABILITIES> 61,014,876
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 399,403,787
<SHARES-COMMON-STOCK> 45,031,574
<SHARES-COMMON-PRIOR> 52,339,284
<ACCUMULATED-NII-CURRENT> 32,108,591
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 69,870,779
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 145,443,697
<NET-ASSETS> 646,826,854
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 33,025,583
<OTHER-INCOME> 0
<EXPENSES-NET> 1,881,184
<NET-INVESTMENT-INCOME> 31,144,399
<REALIZED-GAINS-CURRENT> 76,128,691
<APPREC-INCREASE-CURRENT> 57,584,487
<NET-CHANGE-FROM-OPS> 164,857,577
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (12,665,886)
<DISTRIBUTIONS-OF-GAINS> (24,207,002)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 4,780,799
<NUMBER-OF-SHARES-REDEEMED> (14,421,005)
<SHARES-REINVESTED> 2,332,496
<NET-CHANGE-IN-ASSETS> 31,341,811
<ACCUMULATED-NII-PRIOR> 13,630,078
<ACCUMULATED-GAINS-PRIOR> 17,949,090
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 1,627,727
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 2,202,106
<AVERAGE-NET-ASSETS> 649,442,000
<PER-SHARE-NAV-BEGIN> 11.76
<PER-SHARE-NII> 0.71
<PER-SHARE-GAIN-APPREC> 2.65
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.76)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 14.36
<EXPENSE-RATIO> 0.58
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 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> 6-MOS
<FISCAL-YEAR-END> FEB-28-1997
<PERIOD-END> AUG-31-1996
<INVESTMENTS-AT-COST> 300,699,579
<INVESTMENTS-AT-VALUE> 312,064,318
<RECEIVABLES> 6,745,757
<ASSETS-OTHER> 1,633,095
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 320,443,170
<PAYABLE-FOR-SECURITIES> 956,828
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 2,357,263
<TOTAL-LIABILITIES> 3,314,091
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 301,306,310
<SHARES-COMMON-STOCK> 29,771,691
<SHARES-COMMON-PRIOR> 35,975,948
<ACCUMULATED-NII-CURRENT> 4,131,701
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (6,604,957)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 18,296,025
<NET-ASSETS> 317,129,079
<DIVIDEND-INCOME> 4,669,233
<INTEREST-INCOME> 1,088,841
<OTHER-INCOME> 0
<EXPENSES-NET> 1,501,714
<NET-INVESTMENT-INCOME> 4,256,360
<REALIZED-GAINS-CURRENT> 9,329,574
<APPREC-INCREASE-CURRENT> (13,590,235)
<NET-CHANGE-FROM-OPS> (4,301)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (422,864)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 2,387,660
<NUMBER-OF-SHARES-REDEEMED> (8,615,714)
<SHARES-REINVESTED> 23,797
<NET-CHANGE-IN-ASSETS> (65,804,677)
<ACCUMULATED-NII-PRIOR> 298,205
<ACCUMULATED-GAINS-PRIOR> (15,934,531)
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 1,169,808
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,687,038
<AVERAGE-NET-ASSETS> 357,003,000
<PER-SHARE-NAV-BEGIN> 10.64
<PER-SHARE-NII> 0.14
<PER-SHARE-GAIN-APPREC> (0.12)
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.01)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 10.65
<EXPENSE-RATIO> 0.83
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 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> 6-MOS
<FISCAL-YEAR-END> FEB-28-1997
<PERIOD-END> AUG-31-1996
<INVESTMENTS-AT-COST> 544,210,475
<INVESTMENTS-AT-VALUE> 538,660,189
<RECEIVABLES> 3,579,804
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 542,239,993
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 91,109,000
<TOTAL-LIABILITIES> 91,109,000
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 457,203,017
<SHARES-COMMON-STOCK> 45,181,741
<SHARES-COMMON-PRIOR> 29,888,776
<ACCUMULATED-NII-CURRENT> 4,071,870
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (2,630,576)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (7,513,318)
<NET-ASSETS> 451,130,993
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 11,680,445
<OTHER-INCOME> 0
<EXPENSES-NET> 456,848
<NET-INVESTMENT-INCOME> 11,223,597
<REALIZED-GAINS-CURRENT> (3,637,045)
<APPREC-INCREASE-CURRENT> (8,367,388)
<NET-CHANGE-FROM-OPS> (780,836)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (10,591,343)
<DISTRIBUTIONS-OF-GAINS> (2,560,808)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 14,851,216
<NUMBER-OF-SHARES-REDEEMED> (670,418)
<SHARES-REINVESTED> 1,112,167
<NET-CHANGE-IN-ASSETS> 140,181,648
<ACCUMULATED-NII-PRIOR> 3,439,616
<ACCUMULATED-GAINS-PRIOR> 3,567,277
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 456,847
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 664,166
<AVERAGE-NET-ASSETS> 364,952,000
<PER-SHARE-NAV-BEGIN> 10.40
<PER-SHARE-NII> 0.28
<PER-SHARE-GAIN-APPREC> (0.33)
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.37)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 9.98
<EXPENSE-RATIO> 0.25
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 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> 6-MOS
<FISCAL-YEAR-END> FEB-28-1997
<PERIOD-END> AUG-31-1996
<INVESTMENTS-AT-COST> 343,169,932
<INVESTMENTS-AT-VALUE> 359,039,272
<RECEIVABLES> 12,752,268
<ASSETS-OTHER> 74,411
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 371,865,951
<PAYABLE-FOR-SECURITIES> 12,496,996
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 10,238,437
<TOTAL-LIABILITIES> 22,735,433
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 299,691,288
<SHARES-COMMON-STOCK> 29,089,838
<SHARES-COMMON-PRIOR> 21,628,308
<ACCUMULATED-NII-CURRENT> 11,891,234
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 20,241,430
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 17,306,566
<NET-ASSETS> 349,130,518
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 10,570,099
<OTHER-INCOME> 0
<EXPENSES-NET> 541,580
<NET-INVESTMENT-INCOME> 10,028,519
<REALIZED-GAINS-CURRENT> 21,014,646
<APPREC-INCREASE-CURRENT> (5,232,815)
<NET-CHANGE-FROM-OPS> 25,810,350
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (350,301)
<DISTRIBUTIONS-OF-GAINS> (800,688)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 9,451,675
<NUMBER-OF-SHARES-REDEEMED> (2,075,035)
<SHARES-REINVESTED> 84,890
<NET-CHANGE-IN-ASSETS> 112,968,660
<ACCUMULATED-NII-PRIOR> 2,213,016
<ACCUMULATED-GAINS-PRIOR> 27,472
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 676,972
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 917,830
<AVERAGE-NET-ASSETS> 270,496,000
<PER-SHARE-NAV-BEGIN> 10.92
<PER-SHARE-NII> 0.32
<PER-SHARE-GAIN-APPREC> 0.80
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.04)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 12.00
<EXPENSE-RATIO> 0.40
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 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> 6-MOS
<FISCAL-YEAR-END> FEB-28-1997
<PERIOD-END> AUG-31-1996
<INVESTMENTS-AT-COST> 498,815,329
<INVESTMENTS-AT-VALUE> 506,799,670
<RECEIVABLES> 4,543,449
<ASSETS-OTHER> 2,614,640
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 513,957,759
<PAYABLE-FOR-SECURITIES> 1,918,639
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 3,867,971
<TOTAL-LIABILITIES> 5,786,610
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 490,112,713
<SHARES-COMMON-STOCK> 44,087,812
<SHARES-COMMON-PRIOR> 35,278,555
<ACCUMULATED-NII-CURRENT> 12,845,398
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 722,304
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 4,490,734
<NET-ASSETS> 508,171,149
<DIVIDEND-INCOME> 7,524,292
<INTEREST-INCOME> 2,344,414
<OTHER-INCOME> 0
<EXPENSES-NET> 1,662,544
<NET-INVESTMENT-INCOME> 8,206,162
<REALIZED-GAINS-CURRENT> 7,635,617
<APPREC-INCREASE-CURRENT> (7,791,593)
<NET-CHANGE-FROM-OPS> 8,050,186
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (1,475,090)
<DISTRIBUTIONS-OF-GAINS> (9,751,985)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 11,351,325
<NUMBER-OF-SHARES-REDEEMED> (3,419,505)
<SHARES-REINVESTED> 877,437
<NET-CHANGE-IN-ASSETS> 100,944,571
<ACCUMULATED-NII-PRIOR> 6,114,326
<ACCUMULATED-GAINS-PRIOR> 2,838,672
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 1,800,980
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 2,428,880
<AVERAGE-NET-ASSETS> 476,329,000
<PER-SHARE-NAV-BEGIN> 11.54
<PER-SHARE-NII> 0.15
<PER-SHARE-GAIN-APPREC> 0.12
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.28)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 11.53
<EXPENSE-RATIO> 0.69
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 1996
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 22
<NAME> Global Bond Fund
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> FEB-28-1997
<PERIOD-END> AUG-31-1996
<INVESTMENTS-AT-COST> 64,366,596
<INVESTMENTS-AT-VALUE> 64,934,015
<RECEIVABLES> 1,723,990
<ASSETS-OTHER> 1,903
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 66,659,908
<PAYABLE-FOR-SECURITIES> 6,006
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 3,333,389
<TOTAL-LIABILITIES> 3,339,395
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 59,926,522
<SHARES-COMMON-STOCK> 6,042,003
<SHARES-COMMON-PRIOR> 3,143,053
<ACCUMULATED-NII-CURRENT> 1,877,630
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 887,898
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 628,463
<NET-ASSETS> 63,320,513
<DIVIDEND-INCOME> 143,369
<INTEREST-INCOME> 1,837,824
<OTHER-INCOME> 0
<EXPENSES-NET> 98,116
<NET-INVESTMENT-INCOME> 1,883,077
<REALIZED-GAINS-CURRENT> 1,143,207
<APPREC-INCREASE-CURRENT> 973,596
<NET-CHANGE-FROM-OPS> 3,999,880
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (150,806)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 2,917,015
<NUMBER-OF-SHARES-REDEEMED> (27,833)
<SHARES-REINVESTED> 9,768
<NET-CHANGE-IN-ASSETS> 32,248,095
<ACCUMULATED-NII-PRIOR> 145,359
<ACCUMULATED-GAINS-PRIOR> (255,309)
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 101,684
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 186,006
<AVERAGE-NET-ASSETS> 57,978,000
<PER-SHARE-NAV-BEGIN> 9.89
<PER-SHARE-NII> 0.29
<PER-SHARE-GAIN-APPREC> 0.33
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.03)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 10.48
<EXPENSE-RATIO> 0.34
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 1996
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 23
<NAME> REIT
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> FEB-28-1997
<PERIOD-END> AUG-31-1996
<INVESTMENTS-AT-COST> 77,112,096
<INVESTMENTS-AT-VALUE> 79,006,534
<RECEIVABLES> 192,585
<ASSETS-OTHER> 1,398
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 79,200,517
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 89,684
<TOTAL-LIABILITIES> 89,684
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 76,102,948
<SHARES-COMMON-STOCK> 7,464,598
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 609,173
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 535,267
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 1,863,445
<NET-ASSETS> 79,110,833
<DIVIDEND-INCOME> 596,106
<INTEREST-INCOME> 80,006
<OTHER-INCOME> 0
<EXPENSES-NET> 66,939
<NET-INVESTMENT-INCOME> 609,173
<REALIZED-GAINS-CURRENT> 535,267
<APPREC-INCREASE-CURRENT> 1,863,445
<NET-CHANGE-FROM-OPS> 3,007,885
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 7,464,598
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 79,110,833
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 72,759
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 108,278
<AVERAGE-NET-ASSETS> 40,675,000
<PER-SHARE-NAV-BEGIN> 10.00
<PER-SHARE-NII> 0.08
<PER-SHARE-GAIN-APPREC> 0.52
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> 0.00
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 10.60
<EXPENSE-RATIO> 0.69
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 1996
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 241
<NAME> Foreign Fund, Class I
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> FEB-28-1997
<PERIOD-END> AUG-31-1996
<INVESTMENTS-AT-COST> 575,331,857
<INVESTMENTS-AT-VALUE> 564,128,177
<RECEIVABLES> 2,727,708
<ASSETS-OTHER> 6,084,523
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 572,940,408
<PAYABLE-FOR-SECURITIES> 2,202,193
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 1,003,447
<TOTAL-LIABILITIES> 3,205,640
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 580,085,691
<SHARES-COMMON-STOCK> 354,251
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 1,719,661
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (448,722)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (11,621,862)
<NET-ASSETS> 3,476,181
<DIVIDEND-INCOME> 7,947
<INTEREST-INCOME> 2,434
<OTHER-INCOME> 0
<EXPENSES-NET> 4,365
<NET-INVESTMENT-INCOME> 6,016
<REALIZED-GAINS-CURRENT> (2,522)
<APPREC-INCREASE-CURRENT> (27,311)
<NET-CHANGE-FROM-OPS> (23,817)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 354,251
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 3,476,183
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 715,455
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,015,715
<AVERAGE-NET-ASSETS> 3,464,970
<PER-SHARE-NAV-BEGIN> 9.88
<PER-SHARE-NII> 0.02
<PER-SHARE-GAIN-APPREC> (0.09)
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> 0.00
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 9.81
<EXPENSE-RATIO> 0.88
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 1996
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 243
<NAME> Foreign Fund, Class III
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> FEB-28-1997
<PERIOD-END> AUG-31-1996
<INVESTMENTS-AT-COST> 575,331,857
<INVESTMENTS-AT-VALUE> 564,128,177
<RECEIVABLES> 2,727,708
<ASSETS-OTHER> 6,084,523
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 572,940,408
<PAYABLE-FOR-SECURITIES> 2,202,193
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 1,003,447
<TOTAL-LIABILITIES> 3,205,640
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 580,085,691
<SHARES-COMMON-STOCK> 57,710,422
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 1,719,661
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (448,722)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (11,621,862)
<NET-ASSETS> 566,258,587
<DIVIDEND-INCOME> 1,979,647
<INTEREST-INCOME> 449,179
<OTHER-INCOME> 0
<EXPENSES-NET> 715,181
<NET-INVESTMENT-INCOME> 1,713,645
<REALIZED-GAINS-CURRENT> (446,200)
<APPREC-INCREASE-CURRENT> (11,594,551)
<NET-CHANGE-FROM-OPS> (10,327,106)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 57,723,777
<NUMBER-OF-SHARES-REDEEMED> (13,355)
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 566,258,585
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 715,455
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,015,715
<AVERAGE-NET-ASSETS> 558,697,943
<PER-SHARE-NAV-BEGIN> 10.00
<PER-SHARE-NII> 0.03
<PER-SHARE-GAIN-APPREC> (0.22)
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> 0.00
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 9.81
<EXPENSE-RATIO> 0.75
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 1996
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 251
<NAME> World Equity Allocation Fund, Class I
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> FEB-28-1997
<PERIOD-END> AUG-31-1996
<INVESTMENTS-AT-COST> 10,183,099
<INVESTMENTS-AT-VALUE> 9,634,863
<RECEIVABLES> 5,597
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 9,640,460
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 7,171
<TOTAL-LIABILITIES> 7,171
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 9,928,909
<SHARES-COMMON-STOCK> 582,229
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 33,867
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 218,749
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (548,236)
<NET-ASSETS> 5,639,148
<DIVIDEND-INCOME> 20,037
<INTEREST-INCOME> 0
<OTHER-INCOME> 0
<EXPENSES-NET> (1,614)
<NET-INVESTMENT-INCOME> 18,423
<REALIZED-GAINS-CURRENT> 120,854
<APPREC-INCREASE-CURRENT> (305,597)
<NET-CHANGE-FROM-OPS> (166,320)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 582,229
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 5,639,148
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 0
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 7,996
<AVERAGE-NET-ASSETS> 5,514,528
<PER-SHARE-NAV-BEGIN> 10.00
<PER-SHARE-NII> 0.03
<PER-SHARE-GAIN-APPREC> (0.34)
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> 0.00
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 9.69
<EXPENSE-RATIO> 0.18
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 1996
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 252
<NAME> World Equity Allocation Fund, Class II
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> FEB-28-1997
<PERIOD-END> AUG-31-1996
<INVESTMENTS-AT-COST> 10,183,099
<INVESTMENTS-AT-VALUE> 9,634,863
<RECEIVABLES> 5,597
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 9,640,460
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 7,171
<TOTAL-LIABILITIES> 7,171
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 9,928,909
<SHARES-COMMON-STOCK> 412,344
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 33,867
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 218,749
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (548,236)
<NET-ASSETS> 3,994,141
<DIVIDEND-INCOME> 16,229
<INTEREST-INCOME> 0
<OTHER-INCOME> 0
<EXPENSES-NET> (785)
<NET-INVESTMENT-INCOME> 15,444
<REALIZED-GAINS-CURRENT> 97,895
<APPREC-INCREASE-CURRENT> (242,639)
<NET-CHANGE-FROM-OPS> (129,300)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 412,344
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 3,994,141
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 0
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 7,996
<AVERAGE-NET-ASSETS> 3,998,001
<PER-SHARE-NAV-BEGIN> 10.00
<PER-SHARE-NII> 0.04
<PER-SHARE-GAIN-APPREC> (0.35)
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> 0.00
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 9.69
<EXPENSE-RATIO> 0.12
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 1996
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 26
<NAME> Global Balanced Allocation Fund
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> FEB-28-1997
<PERIOD-END> AUG-31-1996
<INVESTMENTS-AT-COST> 2,999,978
<INVESTMENTS-AT-VALUE> 3,073,494
<RECEIVABLES> 3,769
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 3,077,263
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 4,233
<TOTAL-LIABILITIES> 4,233
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 3,000,000
<SHARES-COMMON-STOCK> 300,000
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> (486)
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 73,516
<NET-ASSETS> 3,073,030
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 0
<OTHER-INCOME> 0
<EXPENSES-NET> 486
<NET-INVESTMENT-INCOME> (486)
<REALIZED-GAINS-CURRENT> 0
<APPREC-INCREASE-CURRENT> 73,516
<NET-CHANGE-FROM-OPS> 73,030
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 300,000
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 3,073,030
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 0
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 4,255
<AVERAGE-NET-ASSETS> 1,618,659
<PER-SHARE-NAV-BEGIN> 10.00
<PER-SHARE-NII> 0.00
<PER-SHARE-GAIN-APPREC> 0.24
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> 0.00
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 10.24
<EXPENSE-RATIO> 0.18
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
