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<PAGE> PAGE 20
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<PAGE> PAGE 21
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<PAGE> PAGE 22
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<PAGE> PAGE 25
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<PAGE> PAGE 26
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<PAGE> PAGE 28
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<PAGE> PAGE 29
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<PAGE> PAGE 30
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<PAGE> PAGE 31
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<PAGE> PAGE 32
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<PAGE> PAGE 33
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<PAGE> PAGE 34
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<PAGE> PAGE 35
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<PAGE> PAGE 37
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<PAGE> PAGE 38
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<PAGE> PAGE 40
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<PAGE> PAGE 41
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<PAGE> PAGE 42
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<PAGE> PAGE 43
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<PAGE> PAGE 44
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<PAGE> PAGE 45
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<PAGE> PAGE 46
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<PAGE> PAGE 47
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<PAGE> PAGE 48
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<PAGE> PAGE 49
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<PAGE> PAGE 50
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<PAGE> PAGE 51
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<PAGE> PAGE 52
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<PAGE> PAGE 53
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<PAGE> PAGE 54
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<PAGE> PAGE 55
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<PAGE> PAGE 56
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<PAGE> PAGE 57
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<PAGE> PAGE 58
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<PAGE> PAGE 59
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<PAGE> PAGE 60
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<PAGE> PAGE 61
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<PAGE> PAGE 62
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<PAGE> PAGE 63
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<PAGE> PAGE 64
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<PAGE> PAGE 65
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<PAGE> PAGE 66
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<PAGE> PAGE 67
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<PAGE> PAGE 68
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<PAGE> PAGE 69
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<PAGE> PAGE 70
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<PAGE> PAGE 71
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<PAGE> PAGE 72
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<PAGE> PAGE 73
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<PAGE> PAGE 74
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<PAGE> PAGE 75
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<PAGE> PAGE 76
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<PAGE> PAGE 77
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<PAGE> PAGE 78
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<PAGE> PAGE 79
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<PAGE> PAGE 80
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<PAGE> PAGE 81
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<PAGE> PAGE 82
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<PAGE> PAGE 83
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<PAGE> PAGE 84
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<PAGE> PAGE 85
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<PAGE> PAGE 86
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<PAGE> PAGE 87
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<PAGE> PAGE 88
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<PAGE> PAGE 89
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<PAGE> PAGE 90
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<PAGE> PAGE 91
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<PAGE> PAGE 92
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<PAGE> PAGE 93
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<PAGE> PAGE 94
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<PAGE> PAGE 95
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<PAGE> PAGE 96
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<PAGE> PAGE 97
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<PAGE> PAGE 98
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<PAGE> PAGE 99
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<PAGE> PAGE 100
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<PAGE> PAGE 101
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<PAGE> PAGE 102
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<PAGE> PAGE 103
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<PAGE> PAGE 104
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<PAGE> PAGE 105
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<PAGE> PAGE 106
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<PAGE> PAGE 107
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<PAGE> PAGE 108
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<PAGE> PAGE 109
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<PAGE> PAGE 110
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<PAGE> PAGE 111
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<PAGE> PAGE 112
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<PAGE> PAGE 113
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<PAGE> PAGE 114
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<PAGE> PAGE 115
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<PAGE> PAGE 116
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<PAGE> PAGE 117
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<PAGE> PAGE 118
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<PAGE> PAGE 119
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<PAGE> PAGE 120
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<PAGE> PAGE 121
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<PAGE> PAGE 122
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<PAGE> PAGE 123
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<PAGE> PAGE 124
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<PAGE> PAGE 125
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<PAGE> PAGE 127
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<PAGE> PAGE 128
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<PAGE> PAGE 129
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<PAGE> PAGE 130
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<PAGE> PAGE 131
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<PAGE> PAGE 132
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<PAGE> PAGE 133
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<PAGE> PAGE 134
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<PAGE> PAGE 135
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<PAGE> PAGE 136
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<PAGE> PAGE 137
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<PAGE> PAGE 138
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<PAGE> PAGE 139
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<PAGE> PAGE 140
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<PAGE> PAGE 141
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<PAGE> PAGE 142
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<PAGE> PAGE 143
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<PAGE> PAGE 144
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<PAGE> PAGE 145
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<PAGE> PAGE 146
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<PAGE> PAGE 147
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<PAGE> PAGE 148
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<PAGE> PAGE 149
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<PAGE> PAGE 150
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<PAGE> PAGE 151
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<PAGE> PAGE 152
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<PAGE> PAGE 153
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<PAGE> PAGE 154
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<PAGE> PAGE 155
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<PAGE> PAGE 156
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<PAGE> PAGE 157
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<PAGE> PAGE 158
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<PAGE> PAGE 159
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<PAGE> PAGE 160
028 G013600 4609
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028 H003600 0
037 003600 N
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058 A003600 N
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<PAGE> PAGE 161
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062 M003600 0.0
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062 O003600 0.0
062 P003600 0.0
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066 A003600 Y
066 B003600 N
066 C003600 N
066 D003600 N
066 E003600 N
066 F003600 N
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067 003600 N
068 A003600 N
068 B003600 N
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070 A013600 Y
070 A023600 Y
070 B013600 Y
070 B023600 N
070 C013600 N
070 C023600 N
070 D013600 Y
070 D023600 N
070 E013600 N
070 E023600 N
070 F013600 Y
070 F023600 N
070 G013600 Y
070 G023600 N
070 H013600 Y
070 H023600 N
070 I013600 N
070 I023600 N
070 J013600 Y
070 J023600 N
070 K013600 Y
070 K023600 N
070 L013600 Y
070 L023600 Y
070 M013600 N
070 M023600 N
070 N013600 Y
070 N023600 N
070 O013600 Y
070 O023600 N
070 P013600 N
070 P023600 N
070 Q013600 N
<PAGE> PAGE 162
070 Q023600 N
070 R013600 N
070 R023600 N
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<PAGE> PAGE 163
074 H003600 0
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008 A003701 GRANTHAM, MAYO, VAN OTTERLOO, & CO.
008 B003701 A
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008 D013701 BOSTON
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012 C013701 BOSTON
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024 003700 Y
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<PAGE> PAGE 164
025 D003704 0
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<PAGE> PAGE 165
048 E023700 0.000
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058 A003700 N
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062 M003700 0.0
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066 A003700 Y
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<PAGE> PAGE 166
070 C013700 N
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070 G023700 N
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070 R023700 N
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<PAGE> PAGE 167
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<PAGE> PAGE 168
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008 A003801 GRANTHAM, MAYO, VAN OTTERLOO, & CO.
008 B003801 A
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008 D033801 02110
012 A003801 INVESTORS BANK & TRUST COMPANY
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012 C013801 BOSTON
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012 C033801 02116
015 A003801 INVESTORS BANK & TRUST COMPANY
015 B003801 C
015 C013801 BOSTON
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024 003800 Y
025 A003801 SALOMON SMITH BARNEY
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<PAGE> PAGE 169
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<PAGE> PAGE 170
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<PAGE> PAGE 171
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<PAGE> PAGE 172
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SIGNATURE SUSAN RANDALL HARBERT
TITLE ASSISTANT TREASURER
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 28, 1999
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 014
<NAME> Core Fund, Class IV
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 2,953,527,217
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<OVERDISTRIBUTION-GAINS> 0
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<APPREC-INCREASE-CURRENT> (68,359,382)
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<DISTRIBUTIONS-OF-INCOME> (20,082,410)
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<SHARES-REINVESTED> 14,303,391
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<AVG-DEBT-OUTSTANDING> 0
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</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 28, 1999
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 012
<NAME> Core Fund, Class II
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 2,953,527,217
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<RECEIVABLES> 6,347,006
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 3,576,923,434
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 211,573,735
<TOTAL-LIABILITIES> 211,573,735
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 2,529,367,882
<SHARES-COMMON-STOCK> 2,244,091
<SHARES-COMMON-PRIOR> 848,657
<ACCUMULATED-NII-CURRENT> 6,948,920
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 217,699,382
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 611,333,515
<NET-ASSETS> 41,683,734
<DIVIDEND-INCOME> 468,386
<INTEREST-INCOME> 130,100
<OTHER-INCOME> 0
<EXPENSES-NET> 178,368
<NET-INVESTMENT-INCOME> 420,118
<REALIZED-GAINS-CURRENT> 5,316,449
<APPREC-INCREASE-CURRENT> (1,114,518)
<NET-CHANGE-FROM-OPS> 4,622,049
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (438,239)
<DISTRIBUTIONS-OF-GAINS> (7,077,306)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 1,137,984
<NUMBER-OF-SHARES-REDEEMED> 137,205
<SHARES-REINVESTED> 394,655
<NET-CHANGE-IN-ASSETS> 24,725,648
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 1,131,059
<OVERDISTRIB-NII-PRIOR> (81,239)
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 18,661,431
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 24,184,899
<AVERAGE-NET-ASSETS> 32,381,241
<PER-SHARE-NAV-BEGIN> 19.98
<PER-SHARE-NII> 0.25
<PER-SHARE-GAIN-APPREC> 2.55
<PER-SHARE-DIVIDEND> (0.29)
<PER-SHARE-DISTRIBUTIONS> (3.92)
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<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 February 28, 1999
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 013
<NAME> Core Fund, Class III
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 2,953,527,217
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<RECEIVABLES> 6,347,006
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 3,576,923,434
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 211,573,735
<TOTAL-LIABILITIES> 211,573,735
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 2,529,367,882
<SHARES-COMMON-STOCK> 95,765,511
<SHARES-COMMON-PRIOR> 115,934,929
<ACCUMULATED-NII-CURRENT> 6,948,920
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 217,699,382
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 611,333,515
<NET-ASSETS> 1,780,010,556
<DIVIDEND-INCOME> 31,591,695
<INTEREST-INCOME> 8,751,543
<OTHER-INCOME> 0
<EXPENSES-NET> 10,501,773
<NET-INVESTMENT-INCOME> 29,841,465
<REALIZED-GAINS-CURRENT> 383,771,414
<APPREC-INCREASE-CURRENT> (101,204,357)
<NET-CHANGE-FROM-OPS> 312,408,522
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (32,457,119)
<DISTRIBUTIONS-OF-GAINS> (420,933,348)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 7,724,323
<NUMBER-OF-SHARES-REDEEMED> 51,356,934
<SHARES-REINVESTED> 23,463,193
<NET-CHANGE-IN-ASSETS> (537,092,656)
<ACCUMULATED-NII-PRIOR> 8,260,074
<ACCUMULATED-GAINS-PRIOR> 154,544,589
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 18,661,431
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 24,184,899
<AVERAGE-NET-ASSETS> 2,188,607,944
<PER-SHARE-NAV-BEGIN> 19.99
<PER-SHARE-NII> 0.26
<PER-SHARE-GAIN-APPREC> 2.55
<PER-SHARE-DIVIDEND> (0.29)
<PER-SHARE-DISTRIBUTIONS> (3.92)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 18.59
<EXPENSE-RATIO> 0.480
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 28, 1999
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 043
<NAME> Growth Fund, Class III
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 130,369,562
<INVESTMENTS-AT-VALUE> 174,679,596
<RECEIVABLES> 182,120
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 174,861,716
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 16,777,475
<TOTAL-LIABILITIES> 16,777,475
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 103,284,568
<SHARES-COMMON-STOCK> 38,161,658
<SHARES-COMMON-PRIOR> 46,341,959
<ACCUMULATED-NII-CURRENT> 93,200
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 10,470,205
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 44,236,268
<NET-ASSETS> 158,084,241
<DIVIDEND-INCOME> 1,255,352
<INTEREST-INCOME> 669,253
<OTHER-INCOME> 0
<EXPENSES-NET> 822,749
<NET-INVESTMENT-INCOME> 1,101,856
<REALIZED-GAINS-CURRENT> 35,847,656
<APPREC-INCREASE-CURRENT> (1,539,965)
<NET-CHANGE-FROM-OPS> 35,409,547
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (1,131,539)
<DISTRIBUTIONS-OF-GAINS> (37,976,729)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 735,556
<NUMBER-OF-SHARES-REDEEMED> 18,430,431
<SHARES-REINVESTED> 9,514,574
<NET-CHANGE-IN-ASSETS> (44,839,253)
<ACCUMULATED-NII-PRIOR> 122,883
<ACCUMULATED-GAINS-PRIOR> 12,599,278
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 857,030
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,218,873
<AVERAGE-NET-ASSETS> 171,408,198
<PER-SHARE-NAV-BEGIN> 4.38
<PER-SHARE-NII> 0.03
<PER-SHARE-GAIN-APPREC> 0.89
<PER-SHARE-DIVIDEND> (0.03)
<PER-SHARE-DISTRIBUTIONS> (1.13)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 4.14
<EXPENSE-RATIO> 0.48
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 28, 1999
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 083
<NAME> Value Fund, Class III
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 199,707,356
<INVESTMENTS-AT-VALUE> 215,604,164
<RECEIVABLES> 1,307,400
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 216,911,564
<PAYABLE-FOR-SECURITIES> 223,119
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 13,846,697
<TOTAL-LIABILITIES> 14,069,816
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 172,971,165
<SHARES-COMMON-STOCK> 19,509,551
<SHARES-COMMON-PRIOR> 23,178,490
<ACCUMULATED-NII-CURRENT> 6,056
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 13,967,719
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 15,896,808
<NET-ASSETS> 202,841,748
<DIVIDEND-INCOME> 5,640,205
<INTEREST-INCOME> 756,970
<OTHER-INCOME> 0
<EXPENSES-NET> 1,602,774
<NET-INVESTMENT-INCOME> 4,794,401
<REALIZED-GAINS-CURRENT> 56,251,289
<APPREC-INCREASE-CURRENT> (51,003,336)
<NET-CHANGE-FROM-OPS> 10,042,354
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (5,045,206)
<DISTRIBUTIONS-OF-GAINS> (71,266,327)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 254,879
<NUMBER-OF-SHARES-REDEEMED> 9,828,113
<SHARES-REINVESTED> 5,904,295
<NET-CHANGE-IN-ASSETS> (129,261,574)
<ACCUMULATED-NII-PRIOR> 73,634
<ACCUMULATED-GAINS-PRIOR> 29,235,527
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 1,839,261
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 2,381,728
<AVERAGE-NET-ASSETS> 262,749,597
<PER-SHARE-NAV-BEGIN> 14.33
<PER-SHARE-NII> 0.26
<PER-SHARE-GAIN-APPREC> 0.13
<PER-SHARE-DIVIDEND> (0.27)
<PER-SHARE-DISTRIBUTIONS> (4.05)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 10.40
<EXPENSE-RATIO> 0.61
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 28, 1999
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 060
<NAME> Short Term Income Fund
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 53,115,485
<INVESTMENTS-AT-VALUE> 52,812,589
<RECEIVABLES> 497,045
<ASSETS-OTHER> 9,539,964
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 62,849,598
<PAYABLE-FOR-SECURITIES> 9,124,024
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 338,177
<TOTAL-LIABILITIES> 9,462,201
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 53,377,378
<SHARES-COMMON-STOCK> 5,543,812
<SHARES-COMMON-PRIOR> 3,810,783
<ACCUMULATED-NII-CURRENT> 339,138
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (26,223)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (302,896)
<NET-ASSETS> 53,387,397
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 1,883,637
<OTHER-INCOME> 0
<EXPENSES-NET> 66,119
<NET-INVESTMENT-INCOME> 1,817,518
<REALIZED-GAINS-CURRENT> (22,156)
<APPREC-INCREASE-CURRENT> (360,921)
<NET-CHANGE-FROM-OPS> 1,434,441
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (1,788,988)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 8,045,249
<NUMBER-OF-SHARES-REDEEMED> 6,463,182
<SHARES-REINVESTED> 150,962
<NET-CHANGE-IN-ASSETS> 16,010,645
<ACCUMULATED-NII-PRIOR> 310,608
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> (4,067)
<GROSS-ADVISORY-FEES> 82,642
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 173,231
<AVERAGE-NET-ASSETS> 33,045,369
<PER-SHARE-NAV-BEGIN> 9.81
<PER-SHARE-NII> 0.57
<PER-SHARE-GAIN-APPREC> (0.16)
<PER-SHARE-DIVIDEND> (0.59)
<PER-SHARE-DISTRIBUTIONS> 0.00
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 9.63
<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 February 28, 1999
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 032
<NAME> International Core Fund, Class II
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 2,880,120,514
<INVESTMENTS-AT-VALUE> 2,692,935,417
<RECEIVABLES> 43,417,613
<ASSETS-OTHER> 499,868
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 2,736,852,898
<PAYABLE-FOR-SECURITIES> 7,259,191
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 145,632,125
<TOTAL-LIABILITIES> 152,891,316
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 2,767,246,583
<SHARES-COMMON-STOCK> 900,016
<SHARES-COMMON-PRIOR> 539,724
<ACCUMULATED-NII-CURRENT> 4,494,422
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 25,366,381
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (213,145,804)
<NET-ASSETS> 18,295,165
<DIVIDEND-INCOME> 338,381
<INTEREST-INCOME> 50,007
<OTHER-INCOME> 0
<EXPENSES-NET> 119,974
<NET-INVESTMENT-INCOME> 268,414
<REALIZED-GAINS-CURRENT> 1,301,241
<APPREC-INCREASE-CURRENT> (2,133,338)
<NET-CHANGE-FROM-OPS> (563,683)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (352,428)
<DISTRIBUTIONS-OF-GAINS> (1,663,218)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 885,462
<NUMBER-OF-SHARES-REDEEMED> 598,960
<SHARES-REINVESTED> 73,790
<NET-CHANGE-IN-ASSETS> 5,794,778
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> (1,182,848)
<OVERDISTRIB-NII-PRIOR> (585,202)
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 25,130,562
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 31,934,728
<AVERAGE-NET-ASSETS> 15,703,052
<PER-SHARE-NAV-BEGIN> 23.16
<PER-SHARE-NII> 0.39
<PER-SHARE-GAIN-APPREC> (0.46)
<PER-SHARE-DIVIDEND> (0.48)
<PER-SHARE-DISTRIBUTIONS> (2.28)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 20.33
<EXPENSE-RATIO> 0.76
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 28, 1999
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 033
<NAME> International Core Fund, Class III
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 2,880,120,514
<INVESTMENTS-AT-VALUE> 2,692,935,417
<RECEIVABLES> 43,417,613
<ASSETS-OTHER> 499,868
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 2,736,852,898
<PAYABLE-FOR-SECURITIES> 7,259,191
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 145,632,125
<TOTAL-LIABILITIES> 152,891,316
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 2,767,246,583
<SHARES-COMMON-STOCK> 98,063,484
<SHARES-COMMON-PRIOR> 131,331,157
<ACCUMULATED-NII-CURRENT> 4,494,422
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 25,366,381
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (213,145,804)
<NET-ASSETS> 1,998,447,051
<DIVIDEND-INCOME> 57,843,143
<INTEREST-INCOME> 8,180,328
<OTHER-INCOME> 0
<EXPENSES-NET> 18,018,339
<NET-INVESTMENT-INCOME> 48,005,132
<REALIZED-GAINS-CURRENT> 259,874,831
<APPREC-INCREASE-CURRENT> (316,975,430)
<NET-CHANGE-FROM-OPS> (9,095,467)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (49,142,658)
<DISTRIBUTIONS-OF-GAINS> (244,048,618)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 11,023,810
<NUMBER-OF-SHARES-REDEEMED> 56,861,371
<SHARES-REINVESTED> 12,569,888
<NET-CHANGE-IN-ASSETS> (1,048,062,617)
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 60,812,972
<OVERDISTRIB-NII-PRIOR> (13,705,678)
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 25,130,562
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 31,934,728
<AVERAGE-NET-ASSETS> 2,611,706,822
<PER-SHARE-NAV-BEGIN> 23.20
<PER-SHARE-NII> 0.42
<PER-SHARE-GAIN-APPREC> (0.47)
<PER-SHARE-DIVIDEND> (0.49)
<PER-SHARE-DISTRIBUTIONS> (2.28)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 20.38
<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 28, 1999
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 034
<NAME> International Core Fund, Class IV
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 2,880,120,514
<INVESTMENTS-AT-VALUE> 2,692,935,417
<RECEIVABLES> 43,417,613
<ASSETS-OTHER> 499,868
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 2,736,852,898
<PAYABLE-FOR-SECURITIES> 7,259,191
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 145,632,125
<TOTAL-LIABILITIES> 152,891,316
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 2,767,246,583
<SHARES-COMMON-STOCK> 27,849,815
<SHARES-COMMON-PRIOR> 24,449,788
<ACCUMULATED-NII-CURRENT> 4,494,422
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 25,366,381
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (213,145,804)
<NET-ASSETS> 567,219,366
<DIVIDEND-INCOME> 15,654,789
<INTEREST-INCOME> 2,285,302
<OTHER-INCOME> 0
<EXPENSES-NET> 4,558,897
<NET-INVESTMENT-INCOME> 13,381,194
<REALIZED-GAINS-CURRENT> 67,227,854
<APPREC-INCREASE-CURRENT> (80,892,024)
<NET-CHANGE-FROM-OPS> (282,976)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (14,083,884)
<DISTRIBUTIONS-OF-GAINS> (68,183,244)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 6,658,423
<NUMBER-OF-SHARES-REDEEMED> 11,932,488
<SHARES-REINVESTED> 3,674,092
<NET-CHANGE-IN-ASSETS> (115,732,841)
<ACCUMULATED-NII-PRIOR> 667,778
<ACCUMULATED-GAINS-PRIOR> 5,434,262
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 25,130,562
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 31,934,728
<AVERAGE-NET-ASSETS> 723,331,750
<PER-SHARE-NAV-BEGIN> 23.19
<PER-SHARE-NII> 0.42
<PER-SHARE-GAIN-APPREC> (0.46)
<PER-SHARE-DIVIDEND> (0.50)
<PER-SHARE-DISTRIBUTIONS> (2.28)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 20.37
<EXPENSE-RATIO> 0.630
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 28, 1999
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 073
<NAME> Japan Fund, Class III
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 133,578,985
<INVESTMENTS-AT-VALUE> 127,773,890
<RECEIVABLES> 148,884
<ASSETS-OTHER> 821,329
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 128,744,103
<PAYABLE-FOR-SECURITIES> 31,449
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 323,182
<TOTAL-LIABILITIES> 354,631
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 196,656,608
<SHARES-COMMON-STOCK> 20,716,627
<SHARES-COMMON-PRIOR> 23,446,166
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> (23,093)
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> (62,482,979)
<ACCUM-APPREC-OR-DEPREC> (5,761,064)
<NET-ASSETS> 128,389,472
<DIVIDEND-INCOME> 1,246,267
<INTEREST-INCOME> 89,905
<OTHER-INCOME> 0
<EXPENSES-NET> 985,919
<NET-INVESTMENT-INCOME> 350,253
<REALIZED-GAINS-CURRENT> (26,170,871)
<APPREC-INCREASE-CURRENT> 20,479,042
<NET-CHANGE-FROM-OPS> (5,341,576)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 7,008,018
<NUMBER-OF-SHARES-REDEEMED> 9,737,557
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> (20,763,021)
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> (444,014)
<OVERDIST-NET-GAINS-PRIOR> (36,569,557)
<GROSS-ADVISORY-FEES> 1,071,652
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,544,457
<AVERAGE-NET-ASSETS> 142,886,901
<PER-SHARE-NAV-BEGIN> 6.36
<PER-SHARE-NII> 0.01
<PER-SHARE-GAIN-APPREC> (0.17)
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> 0.00
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 6.20
<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 28, 1999
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 093
<NAME> Tobacco Free Core Fund, Class III
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 203,907,936
<INVESTMENTS-AT-VALUE> 223,771,569
<RECEIVABLES> 387,617
<ASSETS-OTHER> 18,317,031
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 242,476,217
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 15,317,732
<TOTAL-LIABILITIES> 15,317,732
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 203,418,672
<SHARES-COMMON-STOCK> 15,926,141
<SHARES-COMMON-PRIOR> 7,114,000
<ACCUMULATED-NII-CURRENT> 430,212
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 3,839,300
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 19,470,301
<NET-ASSETS> 227,158,485
<DIVIDEND-INCOME> 1,874,455
<INTEREST-INCOME> 564,545
<OTHER-INCOME> 0
<EXPENSES-NET> 639,558
<NET-INVESTMENT-INCOME> 1,799,442
<REALIZED-GAINS-CURRENT> 12,285,912
<APPREC-INCREASE-CURRENT> 2,331,870
<NET-CHANGE-FROM-OPS> 16,417,224
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (1,592,308)
<DISTRIBUTIONS-OF-GAINS> (15,222,676)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 8,174,912
<NUMBER-OF-SHARES-REDEEMED> 544,280
<SHARES-REINVESTED> 1,181,509
<NET-CHANGE-IN-ASSETS> 127,236,047
<ACCUMULATED-NII-PRIOR> 223,078
<ACCUMULATED-GAINS-PRIOR> 6,776,064
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 666,206
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 970,138
<AVERAGE-NET-ASSETS> 133,241,488
<PER-SHARE-NAV-BEGIN> 14.05
<PER-SHARE-NII> 0.18
<PER-SHARE-GAIN-APPREC> 1.99
<PER-SHARE-DIVIDEND> (0.19)
<PER-SHARE-DISTRIBUTIONS> (1.77)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 14.26
<EXPENSE-RATIO> 0.48
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 28, 1999
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 103
<NAME> Fundamental Value Fund, Class III
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 76,204,732
<INVESTMENTS-AT-VALUE> 87,964,668
<RECEIVABLES> 634,441
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 88,599,109
<PAYABLE-FOR-SECURITIES> 465,400
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 6,071,882
<TOTAL-LIABILITIES> 6,537,282
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 66,338,560
<SHARES-COMMON-STOCK> 11,614,256
<SHARES-COMMON-PRIOR> 10,655,373
<ACCUMULATED-NII-CURRENT> 179,770
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 3,783,492
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 11,760,005
<NET-ASSETS> 82,061,827
<DIVIDEND-INCOME> 2,173,897
<INTEREST-INCOME> 222,314
<OTHER-INCOME> 0
<EXPENSES-NET> 742,813
<NET-INVESTMENT-INCOME> 1,653,398
<REALIZED-GAINS-CURRENT> 28,697,755
<APPREC-INCREASE-CURRENT> (26,005,231)
<NET-CHANGE-FROM-OPS> 4,345,922
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (1,820,272)
<DISTRIBUTIONS-OF-GAINS> (43,849,538)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 2,272
<NUMBER-OF-SHARES-REDEEMED> 4,319,130
<SHARES-REINVESTED> 5,275,741
<NET-CHANGE-IN-ASSETS> (44,974,456)
<ACCUMULATED-NII-PRIOR> 389,111
<ACCUMULATED-GAINS-PRIOR> 18,892,808
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 742,814
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 950,046
<AVERAGE-NET-ASSETS> 99,040,813
<PER-SHARE-NAV-BEGIN> 11.92
<PER-SHARE-NII> 0.18
<PER-SHARE-GAIN-APPREC> 0.19
<PER-SHARE-DIVIDEND> (0.20)
<PER-SHARE-DISTRIBUTIONS> (5.02)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 7.07
<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, 1998
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 133
<NAME> International Small Companies Fund, Class II
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1998
<PERIOD-END> FEB-28-1998
<INVESTMENTS-AT-COST> 238,308,631
<INVESTMENTS-AT-VALUE> 236,366,534
<RECEIVABLES> 4,377,874
<ASSETS-OTHER> 2,323,523
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 243,067,931
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 8,913,374
<TOTAL-LIABILITIES> 8,913,374
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 236,274,501
<SHARES-COMMON-STOCK> 19,163,810
<SHARES-COMMON-PRIOR> 17,508,892
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 665,119
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 51,411
<ACCUM-APPREC-OR-DEPREC> (1,403,414)
<NET-ASSETS> 234,154,557
<DIVIDEND-INCOME> 5,052,924
<INTEREST-INCOME> 1,203,813
<OTHER-INCOME> 0
<EXPENSES-NET> 1,751,446
<NET-INVESTMENT-INCOME> 4,505,291
<REALIZED-GAINS-CURRENT> 29,987,922
<APPREC-INCREASE-CURRENT> (20,830,611)
<NET-CHANGE-FROM-OPS> 13,662,602
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (4,394,112)
<DISTRIBUTIONS-OF-GAINS> (28,025,043)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 2,671,927
<NUMBER-OF-SHARES-REDEEMED> 3,825,152
<SHARES-REINVESTED> 2,808,143
<NET-CHANGE-IN-ASSETS> (1,498,247)
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> (655,418)
<OVERDIST-NET-GAINS-PRIOR> (2,135,553)
<GROSS-ADVISORY-FEES> 2,912,080
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 3,756,164
<AVERAGE-NET-ASSETS> 232,973,715
<PER-SHARE-NAV-BEGIN> 13.46
<PER-SHARE-NII> 0.27
<PER-SHARE-GAIN-APPREC> 0.42
<PER-SHARE-DIVIDEND> (0.26)
<PER-SHARE-DISTRIBUTIONS> (1.67)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 12.22
<EXPENSE-RATIO> 0.75
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 28, 1999
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 113
<NAME> Small Cap Value Fund, Class III
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 404,723,276
<INVESTMENTS-AT-VALUE> 361,152,710
<RECEIVABLES> 472,289
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 361,624,997
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 13,941,330
<TOTAL-LIABILITIES> 13,941,330
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 389,817,026
<SHARES-COMMON-STOCK> 29,733,908
<SHARES-COMMON-PRIOR> 42,096,585
<ACCUMULATED-NII-CURRENT> 552,066
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 2,515,234
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (45,200,659)
<NET-ASSETS> 347,683,667
<DIVIDEND-INCOME> 6,577,086
<INTEREST-INCOME> 880,844
<OTHER-INCOME> 0
<EXPENSES-NET> 2,428,223
<NET-INVESTMENT-INCOME> 5,029,707
<REALIZED-GAINS-CURRENT> 83,696,862
<APPREC-INCREASE-CURRENT> (162,379,486)
<NET-CHANGE-FROM-OPS> (73,652,917)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (5,866,332)
<DISTRIBUTIONS-OF-GAINS> (102,038,674)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 6,086,481
<NUMBER-OF-SHARES-REDEEMED> 25,867,398
<SHARES-REINVESTED> 7,418,240
<NET-CHANGE-IN-ASSETS> (421,928,619)
<ACCUMULATED-NII-PRIOR> 1,408,321
<ACCUMULATED-GAINS-PRIOR> 46,112,677
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 2,529,395
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 3,488,877
<AVERAGE-NET-ASSETS> 505,882,551
<PER-SHARE-NAV-BEGIN> 18.28
<PER-SHARE-NII> 0.18
<PER-SHARE-GAIN-APPREC> (2.50)
<PER-SHARE-DIVIDEND> (0.19)
<PER-SHARE-DISTRIBUTIONS> (4.08)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 11.69
<EXPENSE-RATIO> 0.48
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 28, 1999
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 050
<NAME> Pelican Fund
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 169,605,261
<INVESTMENTS-AT-VALUE> 222,440,343
<RECEIVABLES> 1,896,162
<ASSETS-OTHER> 440,876
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 224,777,381
<PAYABLE-FOR-SECURITIES> 275,175
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 565,616
<TOTAL-LIABILITIES> 840,791
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 164,191,931
<SHARES-COMMON-STOCK> 14,235,537
<SHARES-COMMON-PRIOR> 13,286,924
<ACCUMULATED-NII-CURRENT> 686,825
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 6,222,752
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 52,835,082
<NET-ASSETS> 223,936,590
<DIVIDEND-INCOME> 3,641,721
<INTEREST-INCOME> 2,433,840
<OTHER-INCOME> 0
<EXPENSES-NET> 2,193,717
<NET-INVESTMENT-INCOME> 3,881,844
<REALIZED-GAINS-CURRENT> 30,658,342
<APPREC-INCREASE-CURRENT> (25,781,297)
<NET-CHANGE-FROM-OPS> 8,758,889
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (4,037,021)
<DISTRIBUTIONS-OF-GAINS> (31,637,977)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 1,214,307
<NUMBER-OF-SHARES-REDEEMED> 2,378,657
<SHARES-REINVESTED> 2,112,963
<NET-CHANGE-IN-ASSETS> (12,349,220)
<ACCUMULATED-NII-PRIOR> 404,381
<ACCUMULATED-GAINS-PRIOR> 7,640,008
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 2,078,258
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 2,320,872
<AVERAGE-NET-ASSETS> 230,919,647
<PER-SHARE-NAV-BEGIN> 17.78
<PER-SHARE-NII> 0.30
<PER-SHARE-GAIN-APPREC> 0.43
<PER-SHARE-DIVIDEND> (0.31)
<PER-SHARE-DISTRIBUTIONS> (2.47)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 15.73
<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 February 28, 1999
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 143
<NAME> U.S. Sector Fund, Class III
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 18,193,857
<INVESTMENTS-AT-VALUE> 16,853,236
<RECEIVABLES> 900
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 16,854,136
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 24,134
<TOTAL-LIABILITIES> 24,134
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 18,623,221
<SHARES-COMMON-STOCK> 3,636,151
<SHARES-COMMON-PRIOR> 8,299,546
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> (452,598)
<ACCUM-APPREC-OR-DEPREC> (1,340,621)
<NET-ASSETS> 16,830,002
<DIVIDEND-INCOME> 364,411
<INTEREST-INCOME> 2,319
<OTHER-INCOME> 0
<EXPENSES-NET> 90
<NET-INVESTMENT-INCOME> 366,640
<REALIZED-GAINS-CURRENT> 5,068,304
<APPREC-INCREASE-CURRENT> (2,256,138)
<NET-CHANGE-FROM-OPS> 3,178,806
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (714,812)
<DISTRIBUTIONS-OF-GAINS> (9,176,981)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 0
<NUMBER-OF-SHARES-REDEEMED> 6,465,314
<SHARES-REINVESTED> 1,801,919
<NET-CHANGE-IN-ASSETS> (53,992,836)
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 5,577,586
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 118,652
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 138,660
<AVERAGE-NET-ASSETS> 24,213,773
<PER-SHARE-NAV-BEGIN> 8.53
<PER-SHARE-NII> 0.10
<PER-SHARE-GAIN-APPREC> 0.27
<PER-SHARE-DIVIDEND> (0.25)
<PER-SHARE-DISTRIBUTIONS> (4.02)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 4.63
<EXPENSE-RATIO> 0.00
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 28, 1999
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 163
<NAME> International Bond Fund, Class III
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 190,325,900
<INVESTMENTS-AT-VALUE> 184,394,780
<RECEIVABLES> 2,316,972
<ASSETS-OTHER> 2,220,458
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 188,932,210
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 7,103,314
<TOTAL-LIABILITIES> 7,103,314
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 184,011,829
<SHARES-COMMON-STOCK> 18,065,517
<SHARES-COMMON-PRIOR> 28,048,515
<ACCUMULATED-NII-CURRENT> 4,362,615
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 3,257,721
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (9,803,269)
<NET-ASSETS> 181,828,896
<DIVIDEND-INCOME> 663,500
<INTEREST-INCOME> 17,512,914
<OTHER-INCOME> 0
<EXPENSES-NET> 1,060,849
<NET-INVESTMENT-INCOME> 17,115,565
<REALIZED-GAINS-CURRENT> 11,107,758
<APPREC-INCREASE-CURRENT> (16,558,967)
<NET-CHANGE-FROM-OPS> 11,664,356
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (10,303,201)
<DISTRIBUTIONS-OF-GAINS> (5,508,618)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 5,484,951
<NUMBER-OF-SHARES-REDEEMED> 16,723,091
<SHARES-REINVESTED> 1,255,142
<NET-CHANGE-IN-ASSETS> (111,193,246)
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 1,228,165
<OVERDISTRIB-NII-PRIOR> 5,912,581
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 1,061,185
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,703,385
<AVERAGE-NET-ASSETS> 265,297,269
<PER-SHARE-NAV-BEGIN> 10.45
<PER-SHARE-NII> 0.71
<PER-SHARE-GAIN-APPREC> (0.42)
<PER-SHARE-DIVIDEND> (0.45)
<PER-SHARE-DISTRIBUTIONS> (0.23)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 10.06
<EXPENSE-RATIO> 0.40
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 28, 1999
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 273
<NAME> Small Cap Growth Fund, Class III
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 137,957,551
<INVESTMENTS-AT-VALUE> 142,809,620
<RECEIVABLES> 79,838
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 142,889,458
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 12,906,087
<TOTAL-LIABILITIES> 12,906,087
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 126,369,671
<SHARES-COMMON-STOCK> 11,941,849
<SHARES-COMMON-PRIOR> 32,547,633
<ACCUMULATED-NII-CURRENT> 109,236
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (1,332,745)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 4,837,209
<NET-ASSETS> 129,983,371
<DIVIDEND-INCOME> 1,304,254
<INTEREST-INCOME> 806,803
<OTHER-INCOME> 0
<EXPENSES-NET> 1,466,391
<NET-INVESTMENT-INCOME> 644,666
<REALIZED-GAINS-CURRENT> 10,411,205
<APPREC-INCREASE-CURRENT> (29,532,766)
<NET-CHANGE-FROM-OPS> (18,476,895)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (535,430)
<DISTRIBUTIONS-OF-GAINS> (10,987,255)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 3,439,182
<NUMBER-OF-SHARES-REDEEMED> 24,951,990
<SHARES-REINVESTED> 907,024
<NET-CHANGE-IN-ASSETS> (269,629,622)
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 9,900,974
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 1,527,491
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 2,166,283
<AVERAGE-NET-ASSETS> 305,501,009
<PER-SHARE-NAV-BEGIN> 12.28
<PER-SHARE-NII> 0.03
<PER-SHARE-GAIN-APPREC> (0.98)
<PER-SHARE-DIVIDEND> (0.02)
<PER-SHARE-DISTRIBUTIONS> (0.43)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 10.88
<EXPENSE-RATIO> 0.48
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 28, 1999
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 153
<NAME> Emerging Markets Fund, Class III
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 1,202,232,559
<INVESTMENTS-AT-VALUE> 813,371,890
<RECEIVABLES> 16,940,712
<ASSETS-OTHER> 18,956,229
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 849,268,831
<PAYABLE-FOR-SECURITIES> 21,258,449
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 42,082,189
<TOTAL-LIABILITIES> 63,340,638
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 1,545,722,995
<SHARES-COMMON-STOCK> 83,107,843
<SHARES-COMMON-PRIOR> 95,539,011
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> (3,684,069)
<ACCUMULATED-NET-GAINS> (359,889,449)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (396,221,284)
<NET-ASSETS> 524,741,263
<DIVIDEND-INCOME> 21,693,866
<INTEREST-INCOME> 4,318,826
<OTHER-INCOME> 0
<EXPENSES-NET> 7,713,595
<NET-INVESTMENT-INCOME> 18,299,097
<REALIZED-GAINS-CURRENT> (197,764,491)
<APPREC-INCREASE-CURRENT> (152,093,387)
<NET-CHANGE-FROM-OPS> (331,558,781)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (16,087,702)
<DISTRIBUTIONS-OF-GAINS> (10,874,572)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 16,151,855
<NUMBER-OF-SHARES-REDEEMED> 31,966,910
<SHARES-REINVESTED> 3,383,887
<NET-CHANGE-IN-ASSETS> (388,873,936)
<ACCUMULATED-NII-PRIOR> 21,264,281
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> (66,635,047)
<GROSS-ADVISORY-FEES> 11,112,844
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 15,040,550
<AVERAGE-NET-ASSETS> 666,022,182
<PER-SHARE-NAV-BEGIN> 9.56
<PER-SHARE-NII> 0.25
<PER-SHARE-GAIN-APPREC> (3.19)
<PER-SHARE-DIVIDEND> (0.19)
<PER-SHARE-DISTRIBUTIONS> (0.12)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 6.31
<EXPENSE-RATIO> 1.16
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 28, 1999
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 154
<NAME> Emerging Markets Fund, Class IV
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 1,202,232,559
<INVESTMENTS-AT-VALUE> 813,371,890
<RECEIVABLES> 16,940,712
<ASSETS-OTHER> 18,956,229
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 849,268,831
<PAYABLE-FOR-SECURITIES> 21,258,449
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 42,082,189
<TOTAL-LIABILITIES> 63,340,638
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 1,545,722,995
<SHARES-COMMON-STOCK> 41,401,009
<SHARES-COMMON-PRIOR> 70,302,469
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> (3,684,069)
<ACCUMULATED-NET-GAINS> (359,889,449)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (396,221,284)
<NET-ASSETS> 261,186,930
<DIVIDEND-INCOME> 14,901,738
<INTEREST-INCOME> 2,869,753
<OTHER-INCOME> 0
<EXPENSES-NET> 4,984,787
<NET-INVESTMENT-INCOME> 12,786,704
<REALIZED-GAINS-CURRENT> (125,987,987)
<APPREC-INCREASE-CURRENT> (48,960,550)
<NET-CHANGE-FROM-OPS> (162,161,833)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (9,786,346)
<DISTRIBUTIONS-OF-GAINS> (8,060,232)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 1,052,163
<NUMBER-OF-SHARES-REDEEMED> 31,493,803
<SHARES-REINVESTED> 1,540,180
<NET-CHANGE-IN-ASSETS> (410,833,495)
<ACCUMULATED-NII-PRIOR> 1,382,075
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> (16,998,541)
<GROSS-ADVISORY-FEES> 11,112,844
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 15,040,550
<AVERAGE-NET-ASSETS> 445,257,920
<PER-SHARE-NAV-BEGIN> 9.56
<PER-SHARE-NII> 0.28
<PER-SHARE-GAIN-APPREC> (3.21)
<PER-SHARE-DIVIDEND> (0.20)
<PER-SHARE-DISTRIBUTIONS> (0.12)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 6.31
<EXPENSE-RATIO> 1.120
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 28, 1999
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 173
<NAME> Emerging Country Debt Fund, Class III
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 996,330,027
<INVESTMENTS-AT-VALUE> 750,027,220
<RECEIVABLES> 79,915,137
<ASSETS-OTHER> 6,785,750
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 836,728,107
<PAYABLE-FOR-SECURITIES> 46,013,191
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 17,093,956
<TOTAL-LIABILITIES> 63,107,147
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 989,509,857
<SHARES-COMMON-STOCK> 65,316,585
<SHARES-COMMON-PRIOR> 39,550,731
<ACCUMULATED-NII-CURRENT> 14,414,488
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (174,326)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (230,129,059)
<NET-ASSETS> 450,336,336
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 41,954,322
<OTHER-INCOME> 0
<EXPENSES-NET> 2,041,224
<NET-INVESTMENT-INCOME> 39,913,098
<REALIZED-GAINS-CURRENT> (22,617,149)
<APPREC-INCREASE-CURRENT> (154,139,059)
<NET-CHANGE-FROM-OPS> (136,843,110)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (7,987,181)
<DISTRIBUTIONS-OF-GAINS> (33,919,909)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 45,405,396
<NUMBER-OF-SHARES-REDEEMED> 23,019,717
<SHARES-REINVESTED> 3,380,175
<NET-CHANGE-IN-ASSETS> (10,100,962)
<ACCUMULATED-NII-PRIOR> 42,268,287
<ACCUMULATED-GAINS-PRIOR> 32,296,215
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 3,666,332
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 5,258,928
<AVERAGE-NET-ASSETS> 363,303,284
<PER-SHARE-NAV-BEGIN> 11.64
<PER-SHARE-NII> 0.92
<PER-SHARE-GAIN-APPREC> (4.41)
<PER-SHARE-DIVIDEND> (0.23)
<PER-SHARE-DISTRIBUTIONS> (1.03)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 6.89
<EXPENSE-RATIO> 0.56
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 28, 1999
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 174
<NAME> Emerging Country Debt Fund, Class IV
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 996,330,027
<INVESTMENTS-AT-VALUE> 750,027,220
<RECEIVABLES> 79,915,137
<ASSETS-OTHER> 6,785,750
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 836,728,107
<PAYABLE-FOR-SECURITIES> 46,013,191
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 17,093,956
<TOTAL-LIABILITIES> 63,107,147
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 989,509,857
<SHARES-COMMON-STOCK> 46,885,196
<SHARES-COMMON-PRIOR> 26,699,294
<ACCUMULATED-NII-CURRENT> 14,414,488
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (174,326)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (230,129,059)
<NET-ASSETS> 323,284,624
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 42,148,962
<OTHER-INCOME> 0
<EXPENSES-NET> 1,903,030
<NET-INVESTMENT-INCOME> 40,245,932
<REALIZED-GAINS-CURRENT> (36,588,948)
<APPREC-INCREASE-CURRENT> (164,508,636)
<NET-CHANGE-FROM-OPS> (160,851,652)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (9,997,511)
<DISTRIBUTIONS-OF-GAINS> (42,640,524)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 21,916,084
<NUMBER-OF-SHARES-REDEEMED> 7,130,859
<SHARES-REINVESTED> 5,400,677
<NET-CHANGE-IN-ASSETS> 12,755,455
<ACCUMULATED-NII-PRIOR> 3,054,236
<ACCUMULATED-GAINS-PRIOR> 11,679,668
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 3,666,332
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 5,258,928
<AVERAGE-NET-ASSETS> 370,142,156
<PER-SHARE-NAV-BEGIN> 11.63
<PER-SHARE-NII> 0.91
<PER-SHARE-GAIN-APPREC> (4.37)
<PER-SHARE-DIVIDEND> (0.24)
<PER-SHARE-DISTRIBUTIONS> (1.03)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 6.90
<EXPENSE-RATIO> 0.510
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 28, 1999
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 183
<NAME> Global Hedged Equity Fund, Class III
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 57,186,016
<INVESTMENTS-AT-VALUE> 50,355,262
<RECEIVABLES> 351,510
<ASSETS-OTHER> 45,153
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 50,751,925
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 81,223
<TOTAL-LIABILITIES> 81,223
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 87,842,040
<SHARES-COMMON-STOCK> 6,678,751
<SHARES-COMMON-PRIOR> 19,571,340
<ACCUMULATED-NII-CURRENT> 322,600
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (30,115,257)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (7,378,681)
<NET-ASSETS> 50,670,702
<DIVIDEND-INCOME> 1,928,921
<INTEREST-INCOME> 1,040,682
<OTHER-INCOME> 0
<EXPENSES-NET> 229,842
<NET-INVESTMENT-INCOME> 2,739,761
<REALIZED-GAINS-CURRENT> (24,490,653)
<APPREC-INCREASE-CURRENT> 10,006,930
<NET-CHANGE-FROM-OPS> (11,743,962)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (5,422,949)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 977,477
<NUMBER-OF-SHARES-REDEEMED> 14,483,783
<SHARES-REINVESTED> 613,717
<NET-CHANGE-IN-ASSETS> (120,034,967)
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> (1,571,288)
<OVERDIST-NET-GAINS-PRIOR> (876,658)
<GROSS-ADVISORY-FEES> 892,689
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,067,723
<AVERAGE-NET-ASSETS> 137,336,660
<PER-SHARE-NAV-BEGIN> 8.72
<PER-SHARE-NII> 0.17
<PER-SHARE-GAIN-APPREC> (0.88)
<PER-SHARE-DIVIDEND> (0.42)
<PER-SHARE-DISTRIBUTIONS> 0.00
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 7.59
<EXPENSE-RATIO> 0.17
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 28, 1999
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 193
<NAME> Domestic Bond Fund, Class III
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 187,608,524
<INVESTMENTS-AT-VALUE> 185,957,875
<RECEIVABLES> 6,685,871
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 192,643,746
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 17,573,076
<TOTAL-LIABILITIES> 17,573,076
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 175,082,832
<SHARES-COMMON-STOCK> 18,150,835
<SHARES-COMMON-PRIOR> 42,034,709
<ACCUMULATED-NII-CURRENT> 1,320,248
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (5,082,853)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 3,750,443
<NET-ASSETS> 175,070,670
<DIVIDEND-INCOME> 2,994,250
<INTEREST-INCOME> 14,591,343
<OTHER-INCOME> 0
<EXPENSES-NET> 736,143
<NET-INVESTMENT-INCOME> 16,849,450
<REALIZED-GAINS-CURRENT> 1,274,151
<APPREC-INCREASE-CURRENT> (2,987,171)
<NET-CHANGE-FROM-OPS> 15,136,430
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (18,501,522)
<DISTRIBUTIONS-OF-GAINS> (10,041,153)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 7,444,098
<NUMBER-OF-SHARES-REDEEMED> 33,636,371
<SHARES-REINVESTED> 2,308,399
<NET-CHANGE-IN-ASSETS> (256,339,711)
<ACCUMULATED-NII-PRIOR> 2,980,545
<ACCUMULATED-GAINS-PRIOR> 3,434,575
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 678,052
<INTEREST-EXPENSE> 57,981
<GROSS-EXPENSE> 1,252,903
<AVERAGE-NET-ASSETS> 271,210,012
<PER-SHARE-NAV-BEGIN> 10.26
<PER-SHARE-NII> 0.68
<PER-SHARE-GAIN-APPREC> (0.15)
<PER-SHARE-DIVIDEND> (0.68)
<PER-SHARE-DISTRIBUTIONS> (0.46)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 9.65
<EXPENSE-RATIO> 0.27
<AVG-DEBT-OUTSTANDING> 8422076
<AVG-DEBT-PER-SHARE> 0.45
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 28, 1999
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 203
<NAME> Currency Hedged International Bond Fund, Cla
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 327,783,585
<INVESTMENTS-AT-VALUE> 317,517,563
<RECEIVABLES> 6,655,098
<ASSETS-OTHER> 3,390,342
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 327,563,003
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 3,851,703
<TOTAL-LIABILITIES> 3,851,703
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 313,688,588
<SHARES-COMMON-STOCK> 30,919,079
<SHARES-COMMON-PRIOR> 30,095,080
<ACCUMULATED-NII-CURRENT> 19,566,701
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 3,345,278
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (12,889,267)
<NET-ASSETS> 323,711,300
<DIVIDEND-INCOME> 1,327,000
<INTEREST-INCOME> 24,408,225
<OTHER-INCOME> 0
<EXPENSES-NET> 1,536,504
<NET-INVESTMENT-INCOME> 24,198,721
<REALIZED-GAINS-CURRENT> 7,292,715
<APPREC-INCREASE-CURRENT> (20,892,066)
<NET-CHANGE-FROM-OPS> 10,599,370
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (6,307,979)
<DISTRIBUTIONS-OF-GAINS> (14,428,617)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 12,392,112
<NUMBER-OF-SHARES-REDEEMED> 13,476,925
<SHARES-REINVESTED> 1,908,812
<NET-CHANGE-IN-ASSETS> 2,806,093
<ACCUMULATED-NII-PRIOR> 2,799,507
<ACCUMULATED-GAINS-PRIOR> 9,655,525
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 1,920,646
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 2,809,903
<AVERAGE-NET-ASSETS> 384,132,264
<PER-SHARE-NAV-BEGIN> 10.66
<PER-SHARE-NII> 0.74
<PER-SHARE-GAIN-APPREC> (0.39)
<PER-SHARE-DIVIDEND> (0.16)
<PER-SHARE-DISTRIBUTIONS> (0.38)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 10.47
<EXPENSE-RATIO> 0.40
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 28, 1999
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 313
<NAME> Inflation Indexed Bond Fund, Class III
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 25,317,548
<INVESTMENTS-AT-VALUE> 25,059,977
<RECEIVABLES> 125,402
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 25,185,379
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 37,969
<TOTAL-LIABILITIES> 37,969
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 25,557,042
<SHARES-COMMON-STOCK> 2,544,042
<SHARES-COMMON-PRIOR> 2,556,935
<ACCUMULATED-NII-CURRENT> 93,454
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (259,208)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (243,878)
<NET-ASSETS> 25,147,410
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 1,574,204
<OTHER-INCOME> 0
<EXPENSES-NET> 76,057
<NET-INVESTMENT-INCOME> 1,498,147
<REALIZED-GAINS-CURRENT> (208,075)
<APPREC-INCREASE-CURRENT> (23,506)
<NET-CHANGE-FROM-OPS> 1,266,566
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (1,437,398)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 1,673,497
<NUMBER-OF-SHARES-REDEEMED> 1,785,715
<SHARES-REINVESTED> 99,325
<NET-CHANGE-IN-ASSETS> (512,667)
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 8,573
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 75,976
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 168,693
<AVERAGE-NET-ASSETS> 30,390,545
<PER-SHARE-NAV-BEGIN> 10.04
<PER-SHARE-NII> 0.61
<PER-SHARE-GAIN-APPREC> (0.18)
<PER-SHARE-DIVIDEND> (0.59)
<PER-SHARE-DISTRIBUTIONS> 0.00
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 9.88
<EXPENSE-RATIO> 0.25
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 28, 1999
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 213
<NAME> Currency Hedged International Core Fund, Cla
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 223,074,820
<INVESTMENTS-AT-VALUE> 209,175,411
<RECEIVABLES> 3,113,975
<ASSETS-OTHER> 504,413
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 212,793,799
<PAYABLE-FOR-SECURITIES> 429,000
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 5,958,739
<TOTAL-LIABILITIES> 6,387,739
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 225,369,307
<SHARES-COMMON-STOCK> 10,505,539
<SHARES-COMMON-PRIOR> 17,425,016
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> (982,318)
<ACCUMULATED-NET-GAINS> (4,429,944)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (13,550,985)
<NET-ASSETS> 97,450,066
<DIVIDEND-INCOME> 3,669,381
<INTEREST-INCOME> 567,330
<OTHER-INCOME> 0
<EXPENSES-NET> 1,057,771
<NET-INVESTMENT-INCOME> 3,178,940
<REALIZED-GAINS-CURRENT> 12,484,645
<APPREC-INCREASE-CURRENT> (14,386,176)
<NET-CHANGE-FROM-OPS> 1,277,409
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (3,543,287)
<DISTRIBUTIONS-OF-GAINS> (28,178,223)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 563,792
<NUMBER-OF-SHARES-REDEEMED> 10,514,340
<SHARES-REINVESTED> 3,031,071
<NET-CHANGE-IN-ASSETS> (109,060,980)
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 29,687,083
<OVERDISTRIB-NII-PRIOR> (6,630,102)
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 2,606,569
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 3,723,425
<AVERAGE-NET-ASSETS> 153,205,146
<PER-SHARE-NAV-BEGIN> 11.92
<PER-SHARE-NII> 0.23
<PER-SHARE-GAIN-APPREC> (0.36)
<PER-SHARE-DIVIDEND> (0.29)
<PER-SHARE-DISTRIBUTIONS> (2.22)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 9.28
<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 28, 1999
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 214
<NAME> Currency Hedged International Core Fund, Cla
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 223,074,820
<INVESTMENTS-AT-VALUE> 209,175,411
<RECEIVABLES> 3,113,975
<ASSETS-OTHER> 504,413
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 212,793,799
<PAYABLE-FOR-SECURITIES> 429,000
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 5,958,739
<TOTAL-LIABILITIES> 6,387,739
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 225,369,307
<SHARES-COMMON-STOCK> 11,752,364
<SHARES-COMMON-PRIOR> 30,435,120
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> (982,318)
<ACCUMULATED-NET-GAINS> (4,429,944)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (13,550,985)
<NET-ASSETS> 108,955,994
<DIVIDEND-INCOME> 4,718,378
<INTEREST-INCOME> 712,272
<OTHER-INCOME> 0
<EXPENSES-NET> 1,223,220
<NET-INVESTMENT-INCOME> 4,207,430
<REALIZED-GAINS-CURRENT> 19,181,396
<APPREC-INCREASE-CURRENT> (16,084,752)
<NET-CHANGE-FROM-OPS> 7,304,074
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (4,482,215)
<DISTRIBUTIONS-OF-GAINS> (33,629,347)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 0
<NUMBER-OF-SHARES-REDEEMED> 22,085,761
<SHARES-REINVESTED> 3,403,005
<NET-CHANGE-IN-ASSETS> (255,014,605)
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 3,468,870
<OVERDISTRIB-NII-PRIOR> (1,157,452)
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 2,606,569
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 3,723,425
<AVERAGE-NET-ASSETS> 194,337,549
<PER-SHARE-NAV-BEGIN> 11.92
<PER-SHARE-NII> 0.24
<PER-SHARE-GAIN-APPREC> (0.36)
<PER-SHARE-DIVIDEND> (0.31)
<PER-SHARE-DISTRIBUTIONS> (2.22)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 9.27
<EXPENSE-RATIO> 0.630
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 28, 1999
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 223
<NAME> Global Bond Fund, Class III
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 165,672,482
<INVESTMENTS-AT-VALUE> 162,913,806
<RECEIVABLES> 1,770,881
<ASSETS-OTHER> 1,292,009
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 165,976,696
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 2,766,202
<TOTAL-LIABILITIES> 2,766,202
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 169,265,105
<SHARES-COMMON-STOCK> 16,536,313
<SHARES-COMMON-PRIOR> 10,349,491
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> (504,944)
<ACCUMULATED-NET-GAINS> 198,929
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (5,748,596)
<NET-ASSETS> 163,210,494
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 8,621,541
<OTHER-INCOME> 0
<EXPENSES-NET> 472,846
<NET-INVESTMENT-INCOME> 8,148,695
<REALIZED-GAINS-CURRENT> 362,534
<APPREC-INCREASE-CURRENT> (6,074,290)
<NET-CHANGE-FROM-OPS> 2,436,939
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (6,884,753)
<DISTRIBUTIONS-OF-GAINS> (1,701,875)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 8,321,672
<NUMBER-OF-SHARES-REDEEMED> 2,915,212
<SHARES-REINVESTED> 780,362
<NET-CHANGE-IN-ASSETS> 58,158,418
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 318,404
<OVERDISTRIB-NII-PRIOR> (428,876)
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 486,743
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 864,880
<AVERAGE-NET-ASSETS> 139,064,589
<PER-SHARE-NAV-BEGIN> 10.15
<PER-SHARE-NII> 0.55
<PER-SHARE-GAIN-APPREC> (0.25)
<PER-SHARE-DIVIDEND> (0.46)
<PER-SHARE-DISTRIBUTIONS> (0.12)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 9.87
<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 February 28, 1999
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 233
<NAME> REIT Fund, Class III
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 188,667,183
<INVESTMENTS-AT-VALUE> 147,397,269
<RECEIVABLES> 234,661
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 147,631,930
<PAYABLE-FOR-SECURITIES> 195,600
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 4,307,269
<TOTAL-LIABILITIES> 4,502,869
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 193,440,788
<SHARES-COMMON-STOCK> 15,679,339
<SHARES-COMMON-PRIOR> 29,015,600
<ACCUMULATED-NII-CURRENT> 7,233,108
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (16,260,865)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (41,283,970)
<NET-ASSETS> 143,129,061
<DIVIDEND-INCOME> 11,898,294
<INTEREST-INCOME> 431,291
<OTHER-INCOME> 0
<EXPENSES-NET> 1,608,459
<NET-INVESTMENT-INCOME> 10,721,126
<REALIZED-GAINS-CURRENT> (12,500,837)
<APPREC-INCREASE-CURRENT> (60,036,287)
<NET-CHANGE-FROM-OPS> (61,815,998)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (3,197,384)
<DISTRIBUTIONS-OF-GAINS> (15,126,689)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 2,311,420
<NUMBER-OF-SHARES-REDEEMED> 17,130,461
<SHARES-REINVESTED> 1,482,780
<NET-CHANGE-IN-ASSETS> (231,645,092)
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 14,480,459
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 1,748,325
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 2,222,506
<AVERAGE-NET-ASSETS> 233,113,196
<PER-SHARE-NAV-BEGIN> 12.92
<PER-SHARE-NII> 0.51
<PER-SHARE-GAIN-APPREC> (3.36)
<PER-SHARE-DIVIDEND> (0.19)
<PER-SHARE-DISTRIBUTIONS> (0.75)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 9.13
<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 28, 1999
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 242
<NAME> Foreign Fund, Class II
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 1,010,702,236
<INVESTMENTS-AT-VALUE> 1,112,546,511
<RECEIVABLES> 12,500,168
<ASSETS-OTHER> 15,724,507
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 1,140,771,186
<PAYABLE-FOR-SECURITIES> 4,300,074
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 44,823,339
<TOTAL-LIABILITIES> 49,123,413
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 978,419,841
<SHARES-COMMON-STOCK> 2,864,266
<SHARES-COMMON-PRIOR> 4,460,629
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> (5,330,621)
<ACCUMULATED-NET-GAINS> 17,702,240
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 100,856,313
<NET-ASSETS> 33,779,775
<DIVIDEND-INCOME> 1,204,692
<INTEREST-INCOME> 180,815
<OTHER-INCOME> 0
<EXPENSES-NET> 461,357
<NET-INVESTMENT-INCOME> 924,150
<REALIZED-GAINS-CURRENT> 1,520,157
<APPREC-INCREASE-CURRENT> (4,026,458)
<NET-CHANGE-FROM-OPS> (1,582,151)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (1,237,030)
<DISTRIBUTIONS-OF-GAINS> (536,347)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 854,704
<NUMBER-OF-SHARES-REDEEMED> 2,597,721
<SHARES-REINVESTED> 146,654
<NET-CHANGE-IN-ASSETS> (20,169,433)
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> (157,028)
<OVERDIST-NET-GAINS-PRIOR> (28,349)
<GROSS-ADVISORY-FEES> 8,363,703
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 11,034,813
<AVERAGE-NET-ASSETS> 56,298,505
<PER-SHARE-NAV-BEGIN> 12.09
<PER-SHARE-NII> 0.20
<PER-SHARE-GAIN-APPREC> (0.14)
<PER-SHARE-DIVIDEND> (0.25)
<PER-SHARE-DISTRIBUTIONS> (0.11)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 11.79
<EXPENSE-RATIO> 0.82
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 28, 1999
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> YEAR
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 1,010,702,236
<INVESTMENTS-AT-VALUE> 1,112,546,511
<RECEIVABLES> 12,500,168
<ASSETS-OTHER> 15,724,507
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 1,140,771,186
<PAYABLE-FOR-SECURITIES> 4,300,074
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 44,823,339
<TOTAL-LIABILITIES> 49,123,413
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 978,419,841
<SHARES-COMMON-STOCK> 78,531,599
<SHARES-COMMON-PRIOR> 70,009,604
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> (5,330,621)
<ACCUMULATED-NET-GAINS> 17,702,240
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 100,856,313
<NET-ASSETS> 927,108,342
<DIVIDEND-INCOME> 17,874,520
<INTEREST-INCOME> 2,757,106
<OTHER-INCOME> 0
<EXPENSES-NET> 6,572,469
<NET-INVESTMENT-INCOME> 14,059,157
<REALIZED-GAINS-CURRENT> 25,455,963
<APPREC-INCREASE-CURRENT> (26,614,841)
<NET-CHANGE-FROM-OPS> 12,900,279
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (18,110,163)
<DISTRIBUTIONS-OF-GAINS> (7,886,316)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 17,082,138
<NUMBER-OF-SHARES-REDEEMED> 10,176,725
<SHARES-REINVESTED> 1,616,582
<NET-CHANGE-IN-ASSETS> 79,680,993
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> (207,895)
<OVERDIST-NET-GAINS-PRIOR> (5,696,780)
<GROSS-ADVISORY-FEES> 8,363,703
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 11,034,813
<AVERAGE-NET-ASSETS> 876,076,253
<PER-SHARE-NAV-BEGIN> 12.10
<PER-SHARE-NII> 0.20
<PER-SHARE-GAIN-APPREC> (0.12)
<PER-SHARE-DIVIDEND> (0.26)
<PER-SHARE-DISTRIBUTIONS> (0.11)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 11.81
<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 February 28, 1999
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 244
<NAME> Foreign Fund, Class IV
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 1,010,702,236
<INVESTMENTS-AT-VALUE> 1,112,546,511
<RECEIVABLES> 12,500,168
<ASSETS-OTHER> 15,724,507
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 1,140,771,186
<PAYABLE-FOR-SECURITIES> 4,300,074
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 44,823,339
<TOTAL-LIABILITIES> 49,123,413
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 978,419,841
<SHARES-COMMON-STOCK> 11,072,392
<SHARES-COMMON-PRIOR> 18,152,694
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> (5,330,621)
<ACCUMULATED-NET-GAINS> 17,702,240
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 100,856,313
<NET-ASSETS> 130,759,656
<DIVIDEND-INCOME> 3,980,339
<INTEREST-INCOME> 593,086
<OTHER-INCOME> 0
<EXPENSES-NET> 1,259,682
<NET-INVESTMENT-INCOME> 3,313,743
<REALIZED-GAINS-CURRENT> 4,633,785
<APPREC-INCREASE-CURRENT> (17,036,916)
<NET-CHANGE-FROM-OPS> (9,089,388)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (3,254,066)
<DISTRIBUTIONS-OF-GAINS> (1,226,681)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 445,359
<NUMBER-OF-SHARES-REDEEMED> 7,653,734
<SHARES-REINVESTED> 128,073
<NET-CHANGE-IN-ASSETS> (89,025,011)
<ACCUMULATED-NII-PRIOR> 102,084
<ACCUMULATED-GAINS-PRIOR> 873,837
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 8,363,703
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 11,034,813
<AVERAGE-NET-ASSETS> 182,785,653
<PER-SHARE-NAV-BEGIN> 12.11
<PER-SHARE-NII> 0.22
<PER-SHARE-GAIN-APPREC> (0.15)
<PER-SHARE-DIVIDEND> (0.26)
<PER-SHARE-DISTRIBUTIONS> (0.11)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 11.81
<EXPENSE-RATIO> 0.690
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 28, 1999
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 283
<NAME> International Equity Allocation Fund, Class
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 107,205,943
<INVESTMENTS-AT-VALUE> 90,175,186
<RECEIVABLES> 62,771
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 90,237,957
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 76,789
<TOTAL-LIABILITIES> 76,789
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 106,481,573
<SHARES-COMMON-STOCK> 10,891,670
<SHARES-COMMON-PRIOR> 8,435,792
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 710,352
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (17,030,757)
<NET-ASSETS> 90,161,168
<DIVIDEND-INCOME> 1,655,342
<INTEREST-INCOME> 807
<OTHER-INCOME> 0
<EXPENSES-NET> 0
<NET-INVESTMENT-INCOME> 1,656,149
<REALIZED-GAINS-CURRENT> 1,219,443
<APPREC-INCREASE-CURRENT> (10,858,440)
<NET-CHANGE-FROM-OPS> (7,982,848)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (3,770,359)
<DISTRIBUTIONS-OF-GAINS> (4,795,515)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 4,350,530
<NUMBER-OF-SHARES-REDEEMED> 2,665,394
<SHARES-REINVESTED> 770,742
<NET-CHANGE-IN-ASSETS> 4,285,661
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 4,217,913
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 0
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 39,834
<AVERAGE-NET-ASSETS> 80,202,622
<PER-SHARE-NAV-BEGIN> 10.18
<PER-SHARE-NII> 0.19
<PER-SHARE-GAIN-APPREC> (1.01)
<PER-SHARE-DIVIDEND> (0.50)
<PER-SHARE-DISTRIBUTIONS> (0.58)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 8.28
<EXPENSE-RATIO> 0.00
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 28, 1999
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 253
<NAME> World Equity Allocation Fund, Class III
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 36,957,456
<INVESTMENTS-AT-VALUE> 29,595,764
<RECEIVABLES> 1,822
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 29,597,586
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 15,780
<TOTAL-LIABILITIES> 15,780
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 35,974,114
<SHARES-COMMON-STOCK> 3,472,311
<SHARES-COMMON-PRIOR> 4,904,301
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 969,384
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (7,361,692)
<NET-ASSETS> 29,581,806
<DIVIDEND-INCOME> 885,115
<INTEREST-INCOME> 584
<OTHER-INCOME> 0
<EXPENSES-NET> 0
<NET-INVESTMENT-INCOME> 885,699
<REALIZED-GAINS-CURRENT> 1,737,055
<APPREC-INCREASE-CURRENT> (5,741,678)
<NET-CHANGE-FROM-OPS> (3,118,924)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (2,263,660)
<DISTRIBUTIONS-OF-GAINS> (3,441,070)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 497
<NUMBER-OF-SHARES-REDEEMED> 1,968,349
<SHARES-REINVESTED> 535,862
<NET-CHANGE-IN-ASSETS> (21,369,849)
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 2,262,883
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 0
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 27,200
<AVERAGE-NET-ASSETS> 46,278,942
<PER-SHARE-NAV-BEGIN> 10.39
<PER-SHARE-NII> 0.18
<PER-SHARE-GAIN-APPREC> (0.82)
<PER-SHARE-DIVIDEND> (0.51)
<PER-SHARE-DISTRIBUTIONS> (0.72)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 8.52
<EXPENSE-RATIO> 0.00
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 28, 1999
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 293
<NAME> Global (US+) Equity Allocation Fund Class II
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 37,853,007
<INVESTMENTS-AT-VALUE> 32,486,659
<RECEIVABLES> 2,180
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 32,488,839
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 15,231
<TOTAL-LIABILITIES> 15,231
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 37,089,860
<SHARES-COMMON-STOCK> 3,670,478
<SHARES-COMMON-PRIOR> 4,301,488
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 750,096
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (5,366,348)
<NET-ASSETS> 32,473,608
<DIVIDEND-INCOME> 695,920
<INTEREST-INCOME> 1,577
<OTHER-INCOME> 0
<EXPENSES-NET> 0
<NET-INVESTMENT-INCOME> 697,497
<REALIZED-GAINS-CURRENT> 3,942,235
<APPREC-INCREASE-CURRENT> (6,146,786)
<NET-CHANGE-FROM-OPS> (1,507,054)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (1,908,938)
<DISTRIBUTIONS-OF-GAINS> (3,274,986)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 531,374
<NUMBER-OF-SHARES-REDEEMED> 1,298,592
<SHARES-REINVESTED> 136,208
<NET-CHANGE-IN-ASSETS> (12,627,392)
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 1,116,741
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 0
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 29,519
<AVERAGE-NET-ASSETS> 42,487,006
<PER-SHARE-NAV-BEGIN> 10.48
<PER-SHARE-NII> 0.16
<PER-SHARE-GAIN-APPREC> (0.40)
<PER-SHARE-DIVIDEND> (0.56)
<PER-SHARE-DISTRIBUTIONS> (0.83)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 8.85
<EXPENSE-RATIO> 0.00
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 28, 1999
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 263
<NAME> Global Balanced Allocation Fund, Class III
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 145,576,820
<INVESTMENTS-AT-VALUE> 127,615,575
<RECEIVABLES> 3,332
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 127,618,907
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 18,483
<TOTAL-LIABILITIES> 18,483
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 139,772,299
<SHARES-COMMON-STOCK> 12,144,101
<SHARES-COMMON-PRIOR> 9,707,961
<ACCUMULATED-NII-CURRENT> 14,964
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 5,774,406
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (17,961,245)
<NET-ASSETS> 127,600,424
<DIVIDEND-INCOME> 3,053,883
<INTEREST-INCOME> 824
<OTHER-INCOME> 0
<EXPENSES-NET> 0
<NET-INVESTMENT-INCOME> 3,054,707
<REALIZED-GAINS-CURRENT> 11,000,413
<APPREC-INCREASE-CURRENT> (17,495,459)
<NET-CHANGE-FROM-OPS> (3,440,339)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (6,153,028)
<DISTRIBUTIONS-OF-GAINS> (5,840,251)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 2,130,109
<NUMBER-OF-SHARES-REDEEMED> 695,474
<SHARES-REINVESTED> 1,001,505
<NET-CHANGE-IN-ASSETS> 12,320,858
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 3,297,024
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 0
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 57,147
<AVERAGE-NET-ASSETS> 122,201,672
<PER-SHARE-NAV-BEGIN> 11.87
<PER-SHARE-NII> 0.31
<PER-SHARE-GAIN-APPREC> (0.54)
<PER-SHARE-DIVIDEND> (0.57)
<PER-SHARE-DISTRIBUTIONS> (0.56)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 10.51
<EXPENSE-RATIO> 0.00
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 28, 1999
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 303
<NAME> Global Properties Fund, Class III
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 9,748,600
<INVESTMENTS-AT-VALUE> 7,669,894
<RECEIVABLES> 117,632
<ASSETS-OTHER> 88,415
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 7,875,941
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 44,110
<TOTAL-LIABILITIES> 44,110
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 9,920,598
<SHARES-COMMON-STOCK> 984,265
<SHARES-COMMON-PRIOR> 992,142
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> (134,280)
<ACCUMULATED-NET-GAINS> 121,631
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (2,076,118)
<NET-ASSETS> 7,831,831
<DIVIDEND-INCOME> 421,130
<INTEREST-INCOME> 16,379
<OTHER-INCOME> 0
<EXPENSES-NET> 128,326
<NET-INVESTMENT-INCOME> 309,183
<REALIZED-GAINS-CURRENT> 158,277
<APPREC-INCREASE-CURRENT> (2,047,672)
<NET-CHANGE-FROM-OPS> (1,580,212)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (367,724)
<DISTRIBUTIONS-OF-GAINS> (221,135)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 6,092
<NUMBER-OF-SHARES-REDEEMED> 79,398
<SHARES-REINVESTED> 65,429
<NET-CHANGE-IN-ASSETS> (2,229,228)
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 219,695
<OVERDISTRIB-NII-PRIOR> (111,901)
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 67,365
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 202,704
<AVERAGE-NET-ASSETS> 8,982,011
<PER-SHARE-NAV-BEGIN> 10.14
<PER-SHARE-NII> 0.40
<PER-SHARE-GAIN-APPREC> (1.97)
<PER-SHARE-DIVIDEND> (0.39)
<PER-SHARE-DISTRIBUTIONS> (0.22)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 7.96
<EXPENSE-RATIO> 1.43
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 28, 1999
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 323
<NAME> US Bond/Global Alpha A Fund, Class III
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 147,900,114
<INVESTMENTS-AT-VALUE> 144,118,397
<RECEIVABLES> 1,072,592
<ASSETS-OTHER> 3,491,271
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 148,682,260
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 4,979,361
<TOTAL-LIABILITIES> 4,979,361
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 144,182,200
<SHARES-COMMON-STOCK> 14,047,932
<SHARES-COMMON-PRIOR> 21,548,708
<ACCUMULATED-NII-CURRENT> 3,289,449
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 2,184,298
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (5,953,048)
<NET-ASSETS> 143,702,899
<DIVIDEND-INCOME> 530,800
<INTEREST-INCOME> 14,328,124
<OTHER-INCOME> 0
<EXPENSES-NET> 931,080
<NET-INVESTMENT-INCOME> 13,927,844
<REALIZED-GAINS-CURRENT> (4,990,111)
<APPREC-INCREASE-CURRENT> (6,000,013)
<NET-CHANGE-FROM-OPS> 2,937,720
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (2,920,291)
<DISTRIBUTIONS-OF-GAINS> (5,164,180)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 7,957,888
<NUMBER-OF-SHARES-REDEEMED> 16,055,030
<SHARES-REINVESTED> 596,366
<NET-CHANGE-IN-ASSETS> (84,683,127)
<ACCUMULATED-NII-PRIOR> 2,266,216
<ACCUMULATED-GAINS-PRIOR> 2,354,269
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 932,468
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,519,282
<AVERAGE-NET-ASSETS> 233,122,632
<PER-SHARE-NAV-BEGIN> 10.60
<PER-SHARE-NII> 0.64
<PER-SHARE-GAIN-APPREC> (0.58)
<PER-SHARE-DIVIDEND> (0.12)
<PER-SHARE-DISTRIBUTIONS> (0.31)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 10.23
<EXPENSE-RATIO> 0.40
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 28, 1999
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 333
<NAME> US Bond/Global Alpha B Fund, Class III
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 138,555,909
<INVESTMENTS-AT-VALUE> 137,903,377
<RECEIVABLES> 1,083,235
<ASSETS-OTHER> 663,409
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 139,650,021
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 1,503,781
<TOTAL-LIABILITIES> 1,503,781
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 140,568,579
<SHARES-COMMON-STOCK> 19,250,632
<SHARES-COMMON-PRIOR> 37,541,918
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> (873,945)
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> (11,422)
<ACCUM-APPREC-OR-DEPREC> (1,536,972)
<NET-ASSETS> 138,146,240
<DIVIDEND-INCOME> 333,450
<INTEREST-INCOME> 10,885,661
<OTHER-INCOME> 0
<EXPENSES-NET> 622,393
<NET-INVESTMENT-INCOME> 10,596,718
<REALIZED-GAINS-CURRENT> 514,377
<APPREC-INCREASE-CURRENT> (2,439,559)
<NET-CHANGE-FROM-OPS> 8,671,536
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (18,863,636)
<DISTRIBUTIONS-OF-GAINS> (2,586,923)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 18,651,438
<NUMBER-OF-SHARES-REDEEMED> 39,582,432
<SHARES-REINVESTED> 2,639,708
<NET-CHANGE-IN-ASSETS> (242,458,341)
<ACCUMULATED-NII-PRIOR> 1,144,792
<ACCUMULATED-GAINS-PRIOR> 3,450,365
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 711,308
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,190,404
<AVERAGE-NET-ASSETS> 177,827,418
<PER-SHARE-NAV-BEGIN> 10.14
<PER-SHARE-NII> 0.59
<PER-SHARE-GAIN-APPREC> (0.19)
<PER-SHARE-DIVIDEND> (2.95)
<PER-SHARE-DISTRIBUTIONS> (0.41)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 7.18
<EXPENSE-RATIO> 0.35
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 28, 1999
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 343
<NAME> Evolving Countries Fund, Class III
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 40,403,620
<INVESTMENTS-AT-VALUE> 32,143,497
<RECEIVABLES> 812,427
<ASSETS-OTHER> 434,074
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 33,389,998
<PAYABLE-FOR-SECURITIES> 791,926
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 879,783
<TOTAL-LIABILITIES> 1,671,709
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 54,817,168
<SHARES-COMMON-STOCK> 5,527,608
<SHARES-COMMON-PRIOR> 4,612,685
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> (41,489)
<ACCUMULATED-NET-GAINS> (14,529,528)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (8,527,862)
<NET-ASSETS> 31,718,289
<DIVIDEND-INCOME> 1,813,293
<INTEREST-INCOME> 301,190
<OTHER-INCOME> 0
<EXPENSES-NET> 545,416
<NET-INVESTMENT-INCOME> 1,569,067
<REALIZED-GAINS-CURRENT> (13,606,696)
<APPREC-INCREASE-CURRENT> (7,524,498)
<NET-CHANGE-FROM-OPS> (19,562,127)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (1,117,606)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 3,158,638
<NUMBER-OF-SHARES-REDEEMED> 2,378,020
<SHARES-REINVESTED> 134,305
<NET-CHANGE-IN-ASSETS> (7,980,063)
<ACCUMULATED-NII-PRIOR> 137,543
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> (1,553,325)
<GROSS-ADVISORY-FEES> 343,836
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 690,879
<AVERAGE-NET-ASSETS> 42,935,406
<PER-SHARE-NAV-BEGIN> 8.61
<PER-SHARE-NII> 0.23
<PER-SHARE-GAIN-APPREC> (2.94)
<PER-SHARE-DIVIDEND> (0.16)
<PER-SHARE-DISTRIBUTIONS> 0.00
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 5.74
<EXPENSE-RATIO> 1.27
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 28, 1999
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 353
<NAME> Asia Fund, Class III
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 92,350,656
<INVESTMENTS-AT-VALUE> 77,839,836
<RECEIVABLES> 1,890,439
<ASSETS-OTHER> 606,642
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 80,336,917
<PAYABLE-FOR-SECURITIES> 666,155
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 2,266,741
<TOTAL-LIABILITIES> 2,932,896
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 102,381,252
<SHARES-COMMON-STOCK> 10,094,391
<SHARES-COMMON-PRIOR> 3,845,283
<ACCUMULATED-NII-CURRENT> 157,775
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (10,148,159)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (14,986,847)
<NET-ASSETS> 77,404,021
<DIVIDEND-INCOME> 1,264,034
<INTEREST-INCOME> 434,917
<OTHER-INCOME> 0
<EXPENSES-NET> 931,614
<NET-INVESTMENT-INCOME> 767,337
<REALIZED-GAINS-CURRENT> (10,861,319)
<APPREC-INCREASE-CURRENT> (15,400,922)
<NET-CHANGE-FROM-OPS> (25,494,904)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (1,551,194)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 6,185,511
<NUMBER-OF-SHARES-REDEEMED> 49,533
<SHARES-REINVESTED> 113,130
<NET-CHANGE-IN-ASSETS> 37,243,136
<ACCUMULATED-NII-PRIOR> 110,171
<ACCUMULATED-GAINS-PRIOR> (17,997)
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 740,141
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,152,762
<AVERAGE-NET-ASSETS> 74,014,130
<PER-SHARE-NAV-BEGIN> 10.44
<PER-SHARE-NII> 0.08
<PER-SHARE-GAIN-APPREC> (2.69)
<PER-SHARE-DIVIDEND> (0.16)
<PER-SHARE-DISTRIBUTIONS> 0.00
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 7.67
<EXPENSE-RATIO> 1.26
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 28, 1999
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 363
<NAME> Tax-Managed U.S. Equities Fund, Class III
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 8,209,794
<INVESTMENTS-AT-VALUE> 8,140,357
<RECEIVABLES> 9,967
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 8,150,324
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 34,807
<TOTAL-LIABILITIES> 34,807
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 8,173,436
<SHARES-COMMON-STOCK> 760,573
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 11,518
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (69,437)
<NET-ASSETS> 8,115,517
<DIVIDEND-INCOME> 50,561
<INTEREST-INCOME> 6,921
<OTHER-INCOME> 0
<EXPENSES-NET> 15,508
<NET-INVESTMENT-INCOME> 41,974
<REALIZED-GAINS-CURRENT> 274,006
<APPREC-INCREASE-CURRENT> (151,997)
<NET-CHANGE-FROM-OPS> 163,983
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (30,456)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 928,320
<NUMBER-OF-SHARES-REDEEMED> 167,747
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 8,115,517
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 16,961
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 63,331
<AVERAGE-NET-ASSETS> 5,384,514
<PER-SHARE-NAV-BEGIN> 10.00
<PER-SHARE-NII> 0.09
<PER-SHARE-GAIN-APPREC> 0.65
<PER-SHARE-DIVIDEND> (0.07)
<PER-SHARE-DISTRIBUTIONS> 0.00
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 10.67
<EXPENSE-RATIO> 0.48
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 28, 1999
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 373
<NAME> Tax-Managed International Equities Fund, Cla
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 17,786,229
<INVESTMENTS-AT-VALUE> 17,816,889
<RECEIVABLES> 49,583
<ASSETS-OTHER> 769,328
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 18,635,800
<PAYABLE-FOR-SECURITIES> 5,614
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 101,113
<TOTAL-LIABILITIES> 106,727
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 18,573,024
<SHARES-COMMON-STOCK> 1,907,929
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 27,931
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (23,215)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (48,667)
<NET-ASSETS> 18,529,073
<DIVIDEND-INCOME> 75,753
<INTEREST-INCOME> 30,064
<OTHER-INCOME> 0
<EXPENSES-NET> 46,786
<NET-INVESTMENT-INCOME> 59,031
<REALIZED-GAINS-CURRENT> (44,913)
<APPREC-INCREASE-CURRENT> (48,667)
<NET-CHANGE-FROM-OPS> (34,549)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (67,257)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 2,083,735
<NUMBER-OF-SHARES-REDEEMED> 176,641
<SHARES-REINVESTED> 835
<NET-CHANGE-IN-ASSETS> 18,529,073
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 50,861
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 207,438
<AVERAGE-NET-ASSETS> 11,620,863
<PER-SHARE-NAV-BEGIN> 10.00
<PER-SHARE-NII> 0.04
<PER-SHARE-GAIN-APPREC> (0.28)
<PER-SHARE-DIVIDEND> (0.05)
<PER-SHARE-DISTRIBUTIONS> 0.00
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 9.71
<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 28, 1999
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 383
<NAME> Emerging Country Debt Share Fund, Class III
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1999
<PERIOD-END> FEB-28-1999
<INVESTMENTS-AT-COST> 60,172,343
<INVESTMENTS-AT-VALUE> 41,220,787
<RECEIVABLES> 4,798
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 41,225,585
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 9,868
<TOTAL-LIABILITIES> 9,868
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 60,167,273
<SHARES-COMMON-STOCK> 6,024,383
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (18,951,556)
<NET-ASSETS> 41,215,717
<DIVIDEND-INCOME> 160,868
<INTEREST-INCOME> 6,405
<OTHER-INCOME> 0
<EXPENSES-NET> 0
<NET-INVESTMENT-INCOME> 167,273
<REALIZED-GAINS-CURRENT> 0
<APPREC-INCREASE-CURRENT> (18,951,556)
<NET-CHANGE-FROM-OPS> (18,784,283)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (168,000)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 6,000,000
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 24,383
<NET-CHANGE-IN-ASSETS> 41,215,717
<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> 23,044
<AVERAGE-NET-ASSETS> 41,572,681
<PER-SHARE-NAV-BEGIN> 10.00
<PER-SHARE-NII> 0.03
<PER-SHARE-GAIN-APPREC> (3.16)
<PER-SHARE-DIVIDEND> (0.03)
<PER-SHARE-DISTRIBUTIONS> 0.00
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 6.84
<EXPENSE-RATIO> 0.00
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
GMO Trust
FYE 2/28/99
Monthly Average Assets
<TABLE>
<S> <C> <C> <C>
Fund Name March April May
Core Fund $ 3,757,337,577 $ 3,842,629,846 $ 3,648,070,976
Growth Fund 204,386,685 208,610,321 201,047,748
Value Fund 337,326,080 339,571,588 330,439,277
Short Term Income Fund 38,299,360 38,946,486 36,357,993
International Core Fund 3,803,664,833 3,909,893,482 3,886,436,365
Japan Fund 151,505,091 155,307,001 155,228,161
Tobacco Free Core Fund 112,190,127 122,374,754 125,728,999
Fundamental Value Fund 129,719,310 125,560,176 123,915,468
International Small Companies Fund 240,406,681 243,280,446 243,833,026
Small Cap Value Fund 763,018,255 732,925,149 671,640,733
Pelican Fund 241,045,407 245,685,723 242,412,999
US Sector Fund 72,163,621 46,481,206 18,611,232
International Bond Fund 294,899,805 278,093,781 250,922,191
Small Cap Growth Fund 419,396,492 436,739,535 428,991,359
Emerging Markets Fund 1,614,024,182 1,666,218,207 1,565,642,453
Emerging Country Debt Fund 814,578,120 861,434,484 839,641,387
Global Hedged Equity Fund 172,027,381 170,255,398 168,020,515
Domestic Bond Fund 425,946,025 383,068,919 275,191,047
Currency Hedged International Bond Fund 319,532,511 340,684,980 409,756,749
Inflation Indexed Bond Fund 28,443,844 30,352,773 30,255,831
Currency Hedged International Core Fund 579,962,288 479,368,190 430,865,082
Global Bond Fund 105,741,060 115,079,890 122,156,919
REIT Fund 352,994,412 317,671,100 307,209,732
Foreign Fund 1,150,115,649 1,191,895,988 1,173,031,476
International Equity Allocation Fund 89,526,560 95,180,678 94,225,458
World Equity Allocation Fund 52,240,112 53,954,533 53,313,801
Global (US+) Equity Allocation Fund 46,148,626 48,086,565 49,357,861
Global Balanced Allocation Fund 117,034,134 120,059,480 121,626,167
Global Properties Fund 9,965,711 9,891,735 9,831,090
US Bond/Global Alpha A Fund 242,187,471 257,820,972 260,602,813
US Bond/Global Alpha B Fund 381,418,088 377,483,012 425,087,177
Evolving Countries Fund 42,103,837 46,742,027 57,060,330
Asia Fund 72,116,942 95,536,232 85,741,040
Tax-Managed U.S. Equities Fund 0 0 0
Tax-Managed International Equities Fund 0 0 0
Emerging Country Debt Share Fund 0 0 0
Fund Name June July August
Core Fund $ 3,599,272,577 $ 3,673,422,461 $ 3,463,287,522
Growth Fund 189,436,593 164,746,504 153,374,645
Value Fund 305,441,624 266,810,156 238,017,578
Short Term Income Fund 30,012,438 30,301,372 30,238,397
International Core Fund 3,795,857,346 3,763,101,037 3,416,319,707
Japan Fund 145,682,068 151,674,014 138,755,014
Tobacco Free Core Fund 124,628,772 128,422,136 119,208,569
Fundamental Value Fund 121,928,906 117,527,227 80,972,068
International Small Companies Fund 236,115,553 224,346,741 204,252,618
Small Cap Value Fund 627,309,841 523,293,528 468,570,350
Pelican Fund 237,449,762 242,574,543 225,243,477
US Sector Fund 18,304,056 18,401,263 17,118,476
International Bond Fund 271,034,554 271,015,629 262,321,132
Small Cap Growth Fund 408,208,050 329,281,129 288,963,705
Emerging Markets Fund 1,284,437,338 1,208,184,804 949,750,316
Emerging Country Debt Fund 807,807,069 814,996,271 699,183,463
Global Hedged Equity Fund 164,912,410 152,649,117 147,611,269
Domestic Bond Fund 293,569,579 280,436,630 253,892,366
Currency Hedged International Bond Fund 427,698,879 418,959,436 410,229,337
Inflation Indexed Bond Fund 34,721,515 33,309,195 32,665,854
Currency Hedged International Core Fund 403,659,785 377,334,668 338,566,089
Global Bond Fund 126,677,039 121,899,224 116,357,541
REIT Fund 294,867,331 250,304,597 226,064,186
Foreign Fund 1,134,695,695 1,162,415,555 1,093,993,366
International Equity Allocation Fund 88,944,386 83,956,886 75,956,104
World Equity Allocation Fund 51,024,097 51,206,502 46,579,587
Global (US+) Equity Allocation Fund 47,586,056 47,301,723 42,830,277
Global Balanced Allocation Fund 120,270,802 125,810,818 123,500,975
Global Properties Fund 9,546,259 9,531,982 8,838,973
US Bond/Global Alpha A Fund 277,623,071 268,499,070 255,832,711
US Bond/Global Alpha B Fund 434,830,158 72,793,282 61,072,181
Evolving Countries Fund 48,976,200 47,007,087 39,710,076
Asia Fund 68,545,839 68,417,556 60,187,178
Tax-Managed U.S. Equities Fund 0 5,112,033 4,885,855
Tax-Managed International Equities Fund 0 5,418,721 5,424,819
Emerging Country Debt Share Fund 0 57,459,760 46,976,788
Fund Name September October November
Core Fund $ 3,241,539,970 $ 3,239,510,506 $ 3,543,732,276
Growth Fund 143,448,285 141,327,818 158,112,345
Value Fund 222,210,234 224,300,438 237,779,363
Short Term Income Fund 28,043,180 28,865,690 26,443,746
International Core Fund 3,066,316,901 2,994,025,878 3,099,253,802
Japan Fund 137,310,433 141,991,290 138,237,391
Tobacco Free Core Fund 111,092,383 110,992,194 122,536,334
Fundamental Value Fund 76,314,802 76,480,398 83,529,448
International Small Companies Fund 191,178,247 188,558,209 193,042,400
Small Cap Value Fund 418,944,053 398,854,905 399,689,685
Pelican Fund 210,402,385 210,754,413 227,533,796
US Sector Fund 15,923,411 15,792,600 16,157,963
International Bond Fund 281,703,707 292,311,709 276,959,842
Small Cap Growth Fund 251,124,956 240,403,256 262,459,219
Emerging Markets Fund 805,740,393 824,981,943 886,431,790
Emerging Country Debt Fund 559,255,232 588,605,190 660,402,502
Global Hedged Equity Fund 142,848,625 137,923,920 129,360,657
Domestic Bond Fund 257,928,794 259,095,111 245,502,378
Currency Hedged International Bond Fund 397,263,862 390,947,845 388,402,201
Inflation Indexed Bond Fund 31,909,158 32,347,867 29,283,358
Currency Hedged International Core Fund 286,653,959 271,332,966 284,279,871
Global Bond Fund 146,010,011 160,679,296 157,983,527
REIT Fund 198,917,409 190,856,837 183,815,348
Foreign Fund 1,018,314,624 1,016,296,063 1,079,631,468
International Equity Allocation Fund 69,664,035 70,283,645 73,480,047
World Equity Allocation Fund 42,843,424 43,169,541 47,166,184
Global (US+) Equity Allocation Fund 39,587,622 39,761,542 42,720,471
Global Balanced Allocation Fund 118,053,983 118,981,198 124,532,963
Global Properties Fund 8,396,839 8,413,810 8,770,958
US Bond/Global Alpha A Fund 261,742,069 264,945,345 230,911,621
US Bond/Global Alpha B Fund 62,166,348 62,982,628 56,408,695
Evolving Countries Fund 34,363,029 37,982,896 43,838,166
Asia Fund 52,330,791 62,896,839 76,384,446
Tax-Managed U.S. Equities Fund 4,759,074 4,926,195 4,545,161
Tax-Managed International Equities Fund 5,718,790 10,251,670 10,466,979
Emerging Country Debt Share Fund 35,411,071 37,749,692 42,368,215
Fund Name December January February
Core Fund $ 3,542,325,418 $ 3,606,982,842 $ 3,490,866,134
Growth Fund 157,206,557 167,662,056 167,623,338
Value Fund 219,469,470 220,137,753 207,928,407
Short Term Income Fund 27,802,085 29,371,485 53,566,297
International Core Fund 2,951,086,508 2,807,825,485 2,663,742,595
Japan Fund 134,442,104 132,660,021 130,845,909
Tobacco Free Core Fund 126,943,070 188,173,442 212,598,619
Fundamental Value Fund 82,630,528 85,623,189 83,106,528
International Small Companies Fund 187,254,302 181,001,682 168,030,020
Small Cap Value Fund 335,708,861 361,672,724 359,840,336
Pelican Fund 224,905,919 235,207,212 227,384,768
US Sector Fund 16,459,153 17,407,976 17,051,579
International Bond Fund 254,815,030 230,536,082 215,652,782
Small Cap Growth Fund 228,944,287 216,323,808 143,946,078
Emerging Markets Fund 855,926,486 843,226,087 807,806,467
Emerging Country Debt Fund 680,758,339 690,227,745 788,317,895
Global Hedged Equity Fund 112,384,665 89,651,268 54,223,432
Domestic Bond Fund 205,958,206 186,347,388 182,024,799
Currency Hedged International Bond Fund 378,376,906 366,937,804 358,922,156
Inflation Indexed Bond Fund 25,856,810 27,711,693 27,722,168
Currency Hedged International Core Fund 267,405,741 233,688,688 205,728,876
Global Bond Fund 163,879,664 167,198,738 167,527,691
REIT Fund 163,260,620 156,559,219 148,694,401
Foreign Fund 1,085,145,788 1,154,868,870 1,120,912,397
International Equity Allocation Fund 68,678,537 69,486,626 83,584,084
World Equity Allocation Fund 42,543,927 40,090,880 29,953,286
Global (US+) Equity Allocation Fund 39,863,702 33,012,224 32,920,752
Global Balanced Allocation Fund 124,687,705 124,493,833 127,711,205
Global Properties Fund 8,363,331 8,194,327 7,962,292
US Bond/Global Alpha A Fund 160,785,187 158,143,609 153,783,795
US Bond/Global Alpha B Fund 60,845,615 61,222,709 74,724,613
Evolving Countries Fund 43,514,383 40,859,836 32,087,459
Asia Fund 81,926,087 86,380,741 77,985,014
Tax-Managed U.S. Equities Fund 3,629,883 7,065,877 8,162,687
Tax-Managed International Equities Fund 13,195,753 18,233,286 18,713,592
Emerging Country Debt Share Fund 41,634,939 40,252,900 41,489,115
</TABLE>
GMO Trust
FYE 2/28/99
Attachment Filed in Response to Form N-SAR Sub-Item 77P
Monthly Purchases, Redemptions, and Exchanges (000's omitted)
<TABLE>
<S> <C> <C> <C> <C>
Exchanges Exchanges
March Purchases In Redemptions Out
Fund Name
Core Fund 4,574 3,581 69,877 11,992
Growth Fund 0 0 2,749 172
Value Fund 0 200 4,085 2,114
Short Term Income Fund 1,353 200 0 2
International Core Fund 7,430 0 113,437 48,982
Japan Fund 0 15,000 837 4,388
Tobacco Free Core Fund 12,013 0 980 0
Fundamental Value Fund 0 0 0 0
International Small Companies Fund 48 0 4,135 429
Small Cap Value Fund 2,000 4,200 39,232 11,126
Pelican Fund 2,383 0 5,457 0
US Sector Fund 0 0 11 104
International Bond Fund 12 1,897 586 0
Small Cap Growth Fund 11,999 8,295 4,062 0
Emerging Markets Fund 7,170 11,000 28,393 5,200
Emerging Country Debt Fund 71,019 0 13,126 0
Global Hedged Equity Fund 3,479 0 3,880 0
Domestic Bond Fund 979 104 1,541 13,307
Currency Hedged International Bond Fund 11,182 300 2,288 10,361
Inflation Indexed Bond Fund 1,404 3,366 0 0
Currency Hedged International Core Fund 100 0 11,895 6,626
Global Bond Fund 3,000 0 200 0
REIT Fund 1,307 10,641 48,516 0
Foreign Fund 4,003 23,677 15,073 0
International Equity Allocation Fund 2,750 0 0 0
World Equity Allocation Fund 0 0 150 0
Global (US+) Equity Allocation Fund 722 0 242 0
Global Balanced Allocation Fund 0 0 0 0
Global Properties Fund 0 0 5 0
US Bond/Global Alpha A Fund 3,089 27,542 5,000 0
US Bond/Global Alpha B Fund 0 0 0 0
Evolving Countries Fund 3,358 0 0 0
Asia Fund 50,063 5,000 0 0
Tax-Managed U.S. Equities Fund 0 0 0 0
Tax-Managed International Equities Fund 0 0 0 0
Emerging Country Debt Share Fund 0 0 0 0
Exchanges Exchanges
April Purchases In Redemptions Out
Fund Name
Core Fund 92,631 13,935 154,182 0
Growth Fund 481 0 3,085 369
Value Fund 1,042 0 11,864 1,887
Short Term Income Fund 478 1,907 641 4
International Core Fund 188,468 0 214,256 7,914
Japan Fund 6,362 0 130 0
Tobacco Free Core Fund 115 8,358 0 0
Fundamental Value Fund 0 0 10,000 0
International Small Companies Fund 1,359 0 7,794 448
Small Cap Value Fund 5,297 569 80,955 10,460
Pelican Fund 1,692 0 4,467 0
US Sector Fund 0 0 55,391 0
International Bond Fund 156 777 16,763 33,615
Small Cap Growth Fund 1,276 0 5,919 0
Emerging Markets Fund 12,514 12,651 18,626 731
Emerging Country Debt Fund 200,807 10 164,762 25,042
Global Hedged Equity Fund 314 0 2,286 0
Domestic Bond Fund 1,640 0 87,620 61,115
Currency Hedged International Bond Fund 423 94,729 830 4,111
Inflation Indexed Bond Fund 101 0 127 0
Currency Hedged International Core Fund 253 0 167,037 0
Global Bond Fund 6,500 0 1,033 0
REIT Fund 489 114 27,372 2,010
Foreign Fund 5,535 0 22,845 0
International Equity Allocation Fund 800 0 0 0
World Equity Allocation Fund 0 0 0 0
Global (US+) Equity Allocation Fund 2,465 0 167 0
Global Balanced Allocation Fund 617 0 129 0
Global Properties Fund 0 0 0 0
US Bond/Global Alpha A Fund 1,345 4 1,323 0
US Bond/Global Alpha B Fund 66,618 0 25,469 0
Evolving Countries Fund 1,552 14,650 0 0
Asia Fund 3,900 0 0 0
Tax-Managed U.S. Equities Fund 0 0 0 0
Tax-Managed International Equities Fund 0 0 0 0
Emerging Country Debt Share Fund 0 0 0 0
Exchanges Exchanges
May Purchases In Redemptions Out
Fund Name
Core Fund 17,393 527 146,717 19,650
Growth Fund 400 0 6,614 1,764
Value Fund 0 0 484 5,032
Short Term Income Fund 439 67 11,958 183
International Core Fund 72,913 25,896 50,305 1,727
Japan Fund 4,757 0 0 0
Tobacco Free Core Fund 0 0 1,000 0
Fundamental Value Fund 0 0 0 0
International Small Companies Fund 2,919 0 2,626 0
Small Cap Value Fund 3,426 1,522 13,870 234
Pelican Fund 1,146 0 3,794 0
US Sector Fund 0 0 20 0
International Bond Fund 1,105 0 547 259
Small Cap Growth Fund 62 0 11 193
Emerging Markets Fund 12,978 351 8,285 1
Emerging Country Debt Fund 50 0 1,346 300
Global Hedged Equity Fund 0 0 183 0
Domestic Bond Fund 26,417 0 53 898
Currency Hedged International Bond Fund 3,750 0 347 711
Inflation Indexed Bond Fund 79 0 326 114
Currency Hedged International Core Fund 0 0 352 2
Global Bond Fund 11,075 75 904 0
REIT Fund 3,225 117 375 1
Foreign Fund 5,831 455 14,030 6
International Equity Allocation Fund 0 0 174 0
World Equity Allocation Fund 0 0 0 0
Global (US+) Equity Allocation Fund 0 0 329 0
Global Balanced Allocation Fund 1,741 1,629 90 0
Global Properties Fund 0 0 0 0
US Bond/Global Alpha A Fund 6,212 184 127 0
US Bond/Global Alpha B Fund 0 0 0 0
Evolving Countries Fund 1,589 0 0 0
Asia Fund 750 75 0 0
Tax-Managed U.S. Equities Fund 0 0 0 0
Tax-Managed International Equities Fund 0 0 0 0
Emerging Country Debt Share Fund 0 0 0 0
Exchanges Exchanges
June Purchases In Redemptions Out
Fund Name
Core Fund 16,862 5,229 59,992 10,907
Growth Fund 0 18 36,311 2,406
Value Fund 0 0 20,201 16,396
Short Term Income Fund 20 1,209 326 504
International Core Fund 16,537 7,491 115,176 19,554
Japan Fund 85 54 938 5,313
Tobacco Free Core Fund 0 0 (256) 256
Fundamental Value Fund 0 0 2,500 0
International Small Companies Fund 209 0 11,701 1,922
Small Cap Value Fund 1,089 54 9,213 6,253
Pelican Fund 2,621 0 1,788 0
US Sector Fund 0 0 304 0
International Bond Fund 14,009 20,743 3,653 201
Small Cap Growth Fund 0 6,814 11,374 81
Emerging Markets Fund 26,506 1,471 28,910 3,154
Emerging Country Debt Fund 24,116 5,021 3,189 427
Global Hedged Equity Fund 817 3,634 6,580 3,929
Domestic Bond Fund 676 8,983 29,356 255
Currency Hedged International Bond Fund 4,502 10,591 (216) 3,980
Inflation Indexed Bond Fund 1,434 4,279 321 0
Currency Hedged International Core Fund 0 0 37,915 17,600
Global Bond Fund 500 2,189 1,700 0
REIT Fund 500 200 3,430 0
Foreign Fund 692 0 32,795 348
International Equity Allocation Fund 1,450 0 6,629 0
World Equity Allocation Fund 0 0 0 0
Global (US+) Equity Allocation Fund 173 0 643 38
Global Balanced Allocation Fund 120 370 157 0
Global Properties Fund 0 0 0 0
US Bond/Global Alpha A Fund 112 15,065 2,487 0
US Bond/Global Alpha B Fund 7,100 0 0 0
Evolving Countries Fund 1,088 0 0 0
Asia Fund 0 0 0 0
Tax-Managed U.S. Equities Fund 0 0 0 0
Tax-Managed International Equities Fund 0 0 0 0
Emerging Country Debt Share Fund 0 0 0 0
Exchanges Exchanges
July Purchases In Redemptions Out
Fund Name
Core Fund 2,432 58,087 29,723 1,260
Growth Fund 0 0 2,561 577
Value Fund 12 0 27,069 2,758
Short Term Income Fund 180 593 496 0
International Core Fund 3,037 4,718 23,561 54,874
Japan Fund 2,330 0 483 656
Tobacco Free Core Fund 0 0 0 0
Fundamental Value Fund 0 0 35,000 0
International Small Companies Fund 0 0 593 1,739
Small Cap Value Fund 547 3,184 96,944 4,676
Pelican Fund 787 0 2,084 0
US Sector Fund 0 0 15 1
International Bond Fund 910 0 8,833 654
Small Cap Growth Fund 300 3,197 93,552 2,035
Emerging Markets Fund 538 1,683 87,952 8,906
Emerging Country Debt Fund 62,447 35 3,600 427
Global Hedged Equity Fund 0 0 0 6,611
Domestic Bond Fund 129 1,075 56 25,108
Currency Hedged International Bond Fund 0 0 14,344 1,230
Inflation Indexed Bond Fund 0 0 1,851 1,193
Currency Hedged International Core Fund 0 0 335 10,745
Global Bond Fund 5,289 0 15,495 0
REIT Fund 676 1,928 46,041 3,380
Foreign Fund 3,909 41,861 5,980 0
International Equity Allocation Fund 0 0 0 0
World Equity Allocation Fund 0 0 0 0
Global (US+) Equity Allocation Fund 0 0 0 0
Global Balanced Allocation Fund 4,980 4,570 310 0
Global Properties Fund 0 0 0 0
US Bond/Global Alpha A Fund 775 5,796 16,130 0
US Bond/Global Alpha B Fund 0 0 376,859 0
Evolving Countries Fund (41,241) 41,748 3 0
Asia Fund 3,242 0 1 0
Tax-Managed U.S. Equities Fund 5,114 0 0 0
Tax-Managed International Equities Fund 5,418 0 0 0
Emerging Country Debt Share Fund 60,000 0 0 0
Exchanges Exchanges
August Purchases In Redemptions Out
Fund Name
Core Fund 36,764 1,188 50,896 3,212
Growth Fund 0 0 450 212
Value Fund 112 0 1,192 573
Short Term Income Fund 29 278 234 560
International Core Fund 5,981 3,198 51,457 12,567
Japan Fund 300 0 2,164 0
Tobacco Free Core Fund 0 0 30 876
Fundamental Value Fund 0 0 0 0
International Small Companies Fund 0 0 1,855 0
Small Cap Value Fund 341 0 1,616 949
Pelican Fund 869 0 3,241 0
US Sector Fund 0 0 0 0
International Bond Fund 209 108 3,173 29
Small Cap Growth Fund 814 0 187 581
Emerging Markets Fund 3,501 0 29,510 99
Emerging Country Debt Fund 15,164 21,254 2,590 198
Global Hedged Equity Fund 241 0 890 77
Domestic Bond Fund 10 39 15,348 0
Currency Hedged International Bond Fund 0 557 9,356 0
Inflation Indexed Bond Fund (629) 629 0 0
Currency Hedged International Core Fund 0 0 0 8,300
Global Bond Fund 3,633 0 564 0
REIT Fund 532 0 1,194 284
Foreign Fund 775 0 13,190 895
International Equity Allocation Fund 0 34 0 0
World Equity Allocation Fund 0 0 0 0
Global (US+) Equity Allocation Fund 0 0 296 0
Global Balanced Allocation Fund 64 60 97 0
Global Properties Fund 0 0 0 0
US Bond/Global Alpha A Fund 0 1,483 19,665 0
US Bond/Global Alpha B Fund 0 0 0 0
Evolving Countries Fund 63 0 0 0
Asia Fund 0 0 0 0
Tax-Managed U.S. Equities Fund 0 0 0 0
Tax-Managed International Equities Fund 1,000 0 0 0
Emerging Country Debt Share Fund 0 0 0 0
Exchanges Exchanges
September Purchases In Redemptions Out
Fund Name
Core Fund 2,880 1,484 32,869 1,927
Growth Fund 2 0 224 0
Value Fund 500 0 2,074 0
Short Term Income Fund 48 2,255 350 4,413
International Core Fund 3,198 2,306 40,408 43,213
Japan Fund 5,000 0 3,295 0
Tobacco Free Core Fund 1 0 1,701 0
Fundamental Value Fund 0 0 0 0
International Small Companies Fund 5,033 0 2,539 493
Small Cap Value Fund 1 532 6,421 1,359
Pelican Fund 1,105 0 1,903 0
US Sector Fund 0 0 0 0
International Bond Fund 27 10,902 1,989 193
Small Cap Growth Fund (1,469) 2,060 5,200 0
Emerging Markets Fund 57 18 9,559 3,291
Emerging Country Debt Fund 5,452 70 4,872 55
Global Hedged Equity Fund 0 0 5,236 4
Domestic Bond Fund 0 17,533 553 11,524
Currency Hedged International Bond Fund 0 2,863 12,403 1,375
Inflation Indexed Bond Fund 25 0 1,500 0
Currency Hedged International Core Fund 4,481 0 7,567 2,088
Global Bond Fund 27,084 0 500 0
REIT Fund (1,639) 2,197 6,114 0
Foreign Fund 116 10,777 209 0
International Equity Allocation Fund 0 0 580 0
World Equity Allocation Fund 0 0 0 0
Global (US+) Equity Allocation Fund 0 0 0 0
Global Balanced Allocation Fund 0 0 178 58
Global Properties Fund 0 0 0 0
US Bond/Global Alpha A Fund (1,362) 17,211 489 100
US Bond/Global Alpha B Fund 0 0 0 0
Evolving Countries Fund 221 0 0 0
Asia Fund 0 0 0 115
Tax-Managed U.S. Equities Fund 0 0 0 0
Tax-Managed International Equities Fund 4,450 0 0 0
Emerging Country Debt Share Fund 0 0 0 0
Exchanges Exchanges
October Purchases In Redemptions Out
Fund Name
Core Fund 41,058 843 56,174 791
Growth Fund 0 0 2,506 0
Value Fund 731 0 2,972 145
Short Term Income Fund 1,532 8,213 6,302 8,113
International Core Fund 821 4,435 144,591 762
Japan Fund 0 0 18,395 0
Tobacco Free Core Fund 0 119 0 0
Fundamental Value Fund 0 0 0 0
International Small Companies Fund 0 0 4,762 129
Small Cap Value Fund 2,623 70 33,076 304
Pelican Fund 906 0 3,828 0
US Sector Fund 0 0 1,306 0
International Bond Fund 6 0 4,107 2,742
Small Cap Growth Fund 5,444 122 1,416 0
Emerging Markets Fund 83 0 64,477 4,403
Emerging Country Debt Fund 18 6,755 4,917 14,013
Global Hedged Equity Fund 0 0 3,412 2,044
Domestic Bond Fund 65 6,872 4,904 149
Currency Hedged International Bond Fund 3 420 9,207 1,261
Inflation Indexed Bond Fund 0 298 0 0
Currency Hedged International Core Fund 26 111 5,829 0
Global Bond Fund 9,943 0 735 2,114
REIT Fund 1,891 243 11,374 0
Foreign Fund 145 0 20,881 0
International Equity Allocation Fund 0 0 0 0
World Equity Allocation Fund 0 0 0 0
Global (US+) Equity Allocation Fund 17 0 50 0
Global Balanced Allocation Fund 19 0 97 149
Global Properties Fund 0 0 0 0
US Bond/Global Alpha A Fund 1,375 0 3,768 5,501
US Bond/Global Alpha B Fund 0 0 0 0
Evolving Countries Fund 0 0 0 0
Asia Fund 0 0 0 0
Tax-Managed U.S. Equities Fund 0 0 0 0
Tax-Managed International Equities Fund 0 0 0 0
Emerging Country Debt Share Fund 0 0 0 0
Exchanges Exchanges
November Purchases In Redemptions Out
Fund Name
Core Fund 7,512 8,160 118,705 3,548
Growth Fund 1 0 5,915 1,223
Value Fund 520 0 20,243 423
Short Term Income Fund 2,492 2,057 396 0
International Core Fund 7,091 9,000 170,628 14,000
Japan Fund 306 0 7,134 0
Tobacco Free Core Fund 0 0 742 0
Fundamental Value Fund 0 0 0 0
International Small Companies Fund 0 0 6,678 0
Small Cap Value Fund 301 0 64,062 731
Pelican Fund 1,039 0 3,353 0
US Sector Fund 0 0 0 0
International Bond Fund 278 0 29,709 446
Small Cap Growth Fund 101 0 53,719 1,216
Emerging Markets Fund 7 1,005 32,120 0
Emerging Country Debt Fund 23,330 15,287 5,427 0
Global Hedged Equity Fund 0 0 16,348 1,600
Domestic Bond Fund 0 2,908 45,312 1,138
Currency Hedged International Bond Fund 0 6,350 11,931 1,287
Inflation Indexed Bond Fund 0 2,578 9,484 0
Currency Hedged International Core Fund 0 0 17,380 9,200
Global Bond Fund 0 0 4,540 0
REIT Fund 10 200 17,667 6,106
Foreign Fund 11,786 0 43,969 160
International Equity Allocation Fund 0 0 7,851 0
World Equity Allocation Fund 0 0 0 0
Global (US+) Equity Allocation Fund 0 0 958 0
Global Balanced Allocation Fund 20 0 153 0
Global Properties Fund 0 0 0 77
US Bond/Global Alpha A Fund 0 0 87,253 40
US Bond/Global Alpha B Fund 0 0 0 6,350
Evolving Countries Fund 0 0 296 0
Asia Fund 0 0 202 0
Tax-Managed U.S. Equities Fund 0 0 1,741 0
Tax-Managed International Equities Fund 0 0 1,715 0
Emerging Country Debt Share Fund 0 0 0 0
Exchanges Exchanges
December Purchases In Redemptions Out
Fund Name
Core Fund 3,787 3,457 126,682 2,013
Growth Fund 25 0 7,298 0
Value Fund 8 0 4,154 678
Short Term Income Fund 5,970 5,126 4,081 0
International Core Fund 6,961 2,382 176,968 32,804
Japan Fund 53 172 100 4,600
Tobacco Free Core Fund 17 0 20 0
Fundamental Value Fund 0 0 0 0
International Small Companies Fund 16 119 5,328 130
Small Cap Value Fund 1,607 0 30,699 0
Pelican Fund 6,538 0 3,877 0
US Sector Fund 0 0 20 0
International Bond Fund 348 5 19,248 250
Small Cap Growth Fund 169 0 8,275 0
Emerging Markets Fund 15,472 1,221 16,505 877
Emerging Country Debt Fund 28,448 30 23,866 359
Global Hedged Equity Fund 0 0 12,332 200
Domestic Bond Fund 91 4,792 27,149 1,777
Currency Hedged International Bond Fund 4 0 11,413 1,920
Inflation Indexed Bond Fund 2,527 0 177 0
Currency Hedged International Core Fund 1 0 20,315 0
Global Bond Fund 11,014 0 930 0
REIT Fund 1,651 0 8,257 0
Foreign Fund 2,013 39,000 6,696 0
International Equity Allocation Fund 7,660 0 9,006 0
World Equity Allocation Fund 4 0 2,214 4,500
Global (US+) Equity Allocation Fund 431 0 6,000 3,919
Global Balanced Allocation Fund 67 0 2,568 0
Global Properties Fund 41 0 0 600
US Bond/Global Alpha A Fund 1,618 0 2,110 10,299
US Bond/Global Alpha B Fund (5,855) 5,864 0 0
Evolving Countries Fund 556 0 0 0
Asia Fund 119 541 0 0
Tax-Managed U.S. Equities Fund 0 0 0 0
Tax-Managed International Equities Fund 792 4,500 0 0
Emerging Country Debt Share Fund 0 0 0 0
Exchanges Exchanges
January Purchases In Redemptions Out
Fund Name
Core Fund 273,501 2,724 386,937 355
Growth Fund 17 0 675 139
Value Fund 74 0 2,048 550
Short Term Income Fund 10,047 32,035 798 20,292
International Core Fund 19,658 4,318 68,611 53,165
Japan Fund 108 7,500 999 4,412
Tobacco Free Core Fund 65,649 4,400 999 0
Fundamental Value Fund 0 0 0 0
International Small Companies Fund 199 0 5,486 3,690
Small Cap Value Fund 411 37,976 5,269 898
Pelican Fund 1,013 0 3,806 0
US Sector Fund 0 0 0 0
International Bond Fund 894 4,700 12,503 2,072
Small Cap Growth Fund 2 2 6,441 36,252
Emerging Markets Fund 157 7,340 35,606 492
Emerging Country Debt Fund 114,481 2,260 2,994 64
Global Hedged Equity Fund 0 0 12,259 31,978
Domestic Bond Fund 1,141 143 7,361 0
Currency Hedged International Bond Fund 224 0 3,774 309
Inflation Indexed Bond Fund 130 306 0 0
Currency Hedged International Core Fund 172 0 46,944 2,980
Global Bond Fund 6,133 0 490 0
REIT Fund 123 648 3,166 449
Foreign Fund 26,622 43,349 34,776 7
International Equity Allocation Fund 12,532 0 0 0
World Equity Allocation Fund 0 0 10,682 0
Global (US+) Equity Allocation Fund 1,674 0 0 0
Global Balanced Allocation Fund 42 0 350 0
Global Properties Fund 4 6 0 0
US Bond/Global Alpha A Fund 710 695 3,849 0
US Bond/Global Alpha B Fund 5,858 0 0 0
Evolving Countries Fund 1,249 918 13,966 0
Asia Fund 2 0 0 0
Tax-Managed U.S. Equities Fund 0 4,609 0 0
Tax-Managed International Equities Fund 0 4,177 0 0
Emerging Country Debt Share Fund 0 0 0 0
February Exchanges Exchanges
Fund Name Purchases In Redemptions Out
Core Fund 8,315 56 143,626 2,867
Growth Fund 36 2,224 8,096 0
Value Fund 100 10 6,519 1,200
Short Term Income Fund 901 6 1,853 1,024
International Core Fund 47,575 21 111,514 0
Japan Fund 0 0 3,604 0
Tobacco Free Core Fund 28,000 0 1,227 0
Fundamental Value Fund 0 0 0 0
International Small Companies Fund 2 0 12,775 0
Small Cap Value Fund 1,448 17,573 10,744 0
Pelican Fund 761 0 3,700 0
US Sector Fund 0 0 0 0
International Bond Fund 610 0 36,411 11
Small Cap Growth Fund 599 13 42,501 17,561
Emerging Markets Fund 19,979 10 43,320 0
Emerging Country Debt Fund 10,859 0 23,860 10
Global Hedged Equity Fund 0 0 6,199 0
Domestic Bond Fund 191 2,867 8,202 52
Currency Hedged International Bond Fund 0 0 40,849 0
Inflation Indexed Bond Fund 402 0 3,149 9
Currency Hedged International Core Fund 202 19 1,541 0
Global Bond Fund 2 0 973 0
REIT Fund 1,708 12 9,324 0
Foreign Fund 5,379 0 36,406 0
International Equity Allocation Fund 12,770 0 60 0
World Equity Allocation Fund 0 0 0 0
Global (US+) Equity Allocation Fund 0 0 100 0
Global Balanced Allocation Fund 10,043 0 3,311 0
Global Properties Fund 1 0 0 0
US Bond/Global Alpha A Fund 3,074 0 12,542 81
US Bond/Global Alpha B Fund 78,793 0 0 0
Evolving Countries Fund 406 10 0 6
Asia Fund 0 0 0 0
Tax-Managed U.S. Equities Fund 0 0 0 0
Tax-Managed International Equities Fund 1 0 0 0
Emerging Country Debt Share Fund 0 0 0 0
</TABLE>
GMO Trust
FYE 2/28/99
Annual Expense Ratios
Fund Name Class 3
Core Fund 0.48%
Growth Fund 0.48%
Value Fund 0.61%
Short Term Income Fund 0.20%
International Core Fund 0.69%
Japan Fund 0.69%
Tobacco Free Core Fund 0.48%
Fundamental Value Fund 0.75%
International Small Companies Fund 0.75%
Small Cap Value Fund 0.48%
Pelican Fund 0.95%
US Sector Fund 0.00%
International Bond Fund 0.40%
Small Cap Growth Fund 0.48%
Emerging Markets Fund 1.16%
Emerging Country Debt Fund 0.56%
Global Hedged Equity Fund 0.17%
Domestic Bond Fund 0.27%
Currency Hedged International Bond Fund 0.40%
Inflation Indexed Bond Fund 0.25%
Currency Hedged International Core Fund 0.69%
Global Bond Fund 0.34%
REIT Fund 0.69%
Foreign Fund 0.75%
International Equity Allocation Fund 0.00%
World Equity Allocation Fund 0.00%
Global (US+) Equity Allocation Fund 0.00%
Global Balanced Allocation Fund 0.00%
Global Properties Fund 1.43%
US Bond/Global Alpha A Fund 0.40%
US Bond/Global Alpha B Fund 0.35%
Evolving Countries Fund 1.27%
Asia Fund 1.26%
Tax-Managed U.S. Equities Fund 0.48%
Emerging Country Debt Share Fund 0.00%
Tax-Managed International Equities Fund 0.69%
<PAGE>
<TABLE>
GMO Fund of Fund Allocation %
March, 1998
<CAPTION>
International Equity Alloc Global (US+) Equity Alloc
Name of Fund Owned Market Value % of Total MV Market Value % of Total MV
<S> <C> <C> <C> <C>
Core Fund $14,928,928 31.34%
Currency Hedged International Bond Fund
Currency Hedged International Core Fund $2,925,997 6.14%
Domestic Bond Fund
Emerging Country Debt Fund $2,977,348 3.18% $1,844,654 3.87%
Emerging Markets Fund $14,162,080 15.12% $2,714,019 5.70%
Growth Fund $567,470 1.19%
International Bond Fund $1,258,839 1.34% $589,237 1.24%
International Core Fund $64,717,928 69.10% $7,191,698 15.10%
International Small Companies Fund $3,422,086 3.65% $613,084 1.29%
REIT Fund $3,625,629 7.61%
Small Cap Growth Fund $3,198,618 6.71%
Small Cap Value Fund $3,119,908 6.55%
Value Fund $2,136,035 4.48%
Inflation Indexed Bond Fund $640,855 0.68% $768,052 1.61%
U.S. Bond/Global Alpha A Fund $521,686 0.56% $1,576,192 3.31%
Evolving Countries Fund $5,951,042 6.35% $1,835,949 3.85%
Total Market Value $93,651,863 100.00% $47,635,470 100.00%
</TABLE>
<TABLE>
GMO Fund of Fund Allocation %
March, 1998
<CAPTION>
World Equity Alloc Global Balanced Alloc
Name of Fund Owned Market Value % of Total MV Market Value % of Total MV
<S> <C> <C> <C> <C>
Core Fund $7,441,544 13.90% $18,629,281 15.66%
Currency Hedged International Bond Fund $0 0.00% $570,311 0.48%
Currency Hedged International Core Fund $2,267,868 4.24% $9,977,390 8.39%
Domestic Bond Fund $14,814,874 12.45%
Emerging Country Debt Fund $2,119,236 3.96% $4,821,440 4.05%
Emerging Markets Fund $6,010,697 11.23% $4,104,692 3.45%
Growth Fund $289,343 0.54% $794,569 0.67%
International Bond Fund $526,657 0.98% $2,255,241 1.90%
International Core Fund $20,316,625 37.94% $9,020,032 7.58%
International Small Companies Fund $1,533,934 2.86% $1,111,547 0.93%
REIT Fund $2,612,551 4.88% $6,176,256 5.19%
Small Cap Growth Fund $2,151,655 4.02% $5,148,730 4.33%
Small Cap Value Fund $2,155,519 4.03% $5,114,349 4.30%
Value Fund $1,527,716 2.85% $3,047,121 2.56%
Inflation Indexed Bond Fund $816,273 1.52% $2,854,822 2.40%
U.S. Bond/Global Alpha A Fund $1,059,139 1.98% $26,440,006 22.23%
Evolving Countries Fund $2,714,924 5.07% $4,079,031 3.43%
Total Market Value $53,543,679 100.00% $118,959,692 100.00%
</TABLE>
<TABLE>
GMO Fund of Fund Allocation %
April, 1998
<CAPTION>
International Equity Alloc Global (US+) Equity Alloc
Name of Fund Owned Market Value % of Total MV Market Value % of Total MV
<S> <C> <C> <C> <C>
Core Fund $15,908,113 31.77%
Currency Hedged International Bond Fund $0 0.00%
Currency Hedged International Core Fund $3,149,225 6.29%
Domestic Bond Fund
Emerging Country Debt Fund $2,982,773 3.13% $1,848,292 3.69%
Emerging Markets Fund $14,560,611 15.30% $2,790,393 5.57%
Growth Fund $575,887 1.15%
Inflation Indexed Bond Fund
International Bond Fund $1,283,024 1.35% $699,753 1.40%
International Core Fund $64,927,201 68.23% $7,369,740 14.72%
International Small Companies Fund $3,448,430 3.62% $617,804 1.23%
REIT Fund $3,805,049 7.60%
Small Cap Growth Fund $3,263,560 6.52%
Small Cap Value Fund $3,237,019 6.46%
Value Fund $2,255,131 4.50%
Inflation Indexed Bond Fund $642,772 0.68% $870,051 1.74%
U.S. Bond/Global Alpha A Fund $513,594 0.54% $1,616,902 3.23%
Evolving Countries Fund $6,797,453 7.14% $2,063,080 4.12%
Total Market Value $95,155,859 100.00% $50,070,001 100.00%
</TABLE>
<TABLE>
GMO Fund of Fund Allocation %
April, 1998
<CAPTION>
World Equity Alloc Global Balanced Alloc
Name of Fund Owned Market Value % of Total MV Market Value % of Total MV
<S> <C> <C> <C> <C>
Core Fund $7,462,458 13.87% $18,681,636 15.60%
Currency Hedged International Bond Fund $0 0.00% $572,412 0.48%
Currency Hedged International Core Fund $2,244,889 4.17% $9,876,294 8.25%
Domestic Bond Fund $15,252,610 12.74%
Emerging Country Debt Fund $2,121,632 3.94% $4,830,877 4.04%
Emerging Markets Fund $6,179,842 11.49% $4,220,201 3.53%
Growth Fund $293,635 0.55% $806,355 0.67%
Inflation Indexed Bond Fund
International Bond Fund $536,775 1.00% $2,298,569 1.92%
International Core Fund $20,373,257 37.86% $8,904,856 7.44%
International Small Companies Fund $1,545,742 2.87% $1,120,104 0.94%
REIT Fund $2,511,688 4.67% $5,937,809 4.96%
Small Cap Growth Fund $2,195,341 4.08% $5,253,266 4.39%
Small Cap Value Fund $2,179,074 4.05% $5,170,238 4.32%
Value Fund $1,544,240 2.87% $3,080,078 2.57%
Inflation Indexed Bond Fund $818,714 1.52% $2,863,361 2.39%
U.S. Bond/Global Alpha A Fund $1,061,117 1.97% $26,736,472 22.33%
Evolving Countries Fund $2,739,137 5.09% $4,115,410 3.44%
Total Market Value $53,807,539 100.00% $119,720,550 100.00%
</TABLE>
<TABLE>
GMO Fund of Fund Allocation %
May, 1998
<CAPTION>
International Equity Alloc Global (US+) Equity Alloc
Name of Fund Owned Market Value % of Total MV Market Value % of Total MV
<S> <C> <C> <C> <C>
Core Fund $15,619,483 32.35%
Currency Hedged International Bond Fund
Currency Hedged International Core Fund $3,195,294 6.62%
Domestic Bond Fund
Emerging Country Debt Fund $2,805,139 3.06% $1,634,512 3.38%
Emerging Markets Fund $12,112,493 13.21% $2,279,477 4.72%
Growth Fund $558,284 1.16%
Inflation Indexed Bond Fund $647,245 0.71% $876,105 1.81%
International Bond Fund $1,193,713 1.30% $696,455 1.44%
International Core Fund $65,371,908 71.32% $7,393,033 15.31%
International Small Companies Fund $3,522,193 3.84% $631,019 1.31%
REIT Fund $3,705,486 7.67%
Small Cap Growth Fund $3,079,347 6.38%
Small Cap Value Fund $3,112,324 6.45%
US Bond/Global Alpha A $420,532 0.46% $1,597,648 3.31%
Value Fund $2,214,861 4.59%
Evolving Countries Fund $5,588,182 6.10% $1,696,057 3.51%
Total Market Value $91,661,405 100.00% $48,289,385 100.00%
</TABLE>
<TABLE>
GMO Fund of Fund Allocation %
May, 1998
<CAPTION>
World Equity Alloc Global Balanced Alloc
Name of Fund Owned Market Value % of Total MV Market Value % of Total MV
<S> <C> <C> <C> <C>
Core Fund $7,351,718 14.14% $18,515,284 15.32%
Currency Hedged International Bond Fund $578,188 0.48%
Currency Hedged International Core Fund $2,282,009 4.39% $10,039,603 8.31%
Domestic Bond Fund $16,254,428 13.45%
Emerging Country Debt Fund $1,995,281 3.84% $4,543,183 3.76%
Emerging Markets Fund $5,140,807 9.89% $3,731,877 3.09%
Growth Fund $284,659 0.55% $781,707 0.65%
Inflation Indexed Bond Fund $824,411 1.59% $2,883,285 2.39%
International Bond Fund $534,246 1.03% $2,287,737 1.89%
International Core Fund $20,510,358 39.45% $8,929,893 7.39%
International Small Companies Fund $1,578,806 3.04% $1,144,064 0.95%
REIT Fund $2,482,022 4.77% $6,403,224 5.30%
Small Cap Growth Fund $2,071,424 3.98% $5,015,537 4.15%
Small Cap Value Fund $2,095,133 4.03% $5,040,001 4.17%
US Bond/Global Alpha A $1,068,040 2.05% $28,012,994 23.18%
Value Fund $1,516,664 2.92% $3,025,076 2.50%
Evolving Countries Fund $2,251,843 4.33% $3,685,743 3.05%
Total Market Value $51,987,419 100.00% $120,871,823 100.00%
</TABLE>
<TABLE>
GMO Fund of Fund Allocation %
June, 1998
<CAPTION>
International Equity Alloc Global (US+) Equity Alloc
Name of Fund Owned Market Value % of Total MV Market Value % of Total MV
<S> <C> <C> <C> <C>
Core Fund $15,372,430 32.37%
Currency Hedged International Bond Fund
Currency Hedged International Core Fund $2,890,259 6.09%
Domestic Bond Fund
Emerging Country Debt Fund $2,745,026 3.34% $1,545,383 3.25%
Emerging Markets Fund $10,162,538 12.35% $1,912,510 4.03%
Growth Fund $588,461 1.24%
Inflation Indexed Bond Fund $1,113,671 1.35% $1,010,532 2.13%
International Bond Fund $1,798,462 2.19% $940,099 1.98%
International Core Fund $56,653,676 68.85% $7,096,389 14.94%
International Small Companies Fund $3,390,473 4.12% $607,421 1.28%
REIT Fund $3,684,818 7.76%
Small Cap Growth Fund $3,146,560 6.63%
Small Cap Value Fund $3,093,789 6.51%
US Bond/Global Alpha A $785,037 0.95% $1,823,054 3.84%
Value Fund $2,229,776 4.70%
Evolving Countries $5,633,892 6.85% $1,546,466 3.26%
Total Market Value $82,282,775 100.00% $47,487,946 100.00%
</TABLE>
<TABLE>
GMO Fund of Fund Allocation %
June, 1998
<CAPTION>
World Equity Alloc Global Balanced Alloc
Name of Fund Owned Market Value % of Total MV Market Value % of Total MV
<S> <C> <C> <C> <C>
Core Fund $7,594,632 15.04% $19,024,062 15.78%
Currency Hedged International Bond Fund $675,913 0.56%
Currency Hedged International Core Fund $2,055,501 4.07% $9,140,499 7.58%
Domestic Bond Fund $17,182,698 14.25%
Emerging Country Debt Fund $1,886,480 3.74% $4,295,445 3.56%
Emerging Markets Fund $4,313,203 8.54% $3,131,093 2.60%
Growth Fund $300,046 0.59% $823,961 0.68%
Inflation Indexed Bond Fund $880,652 1.74% $2,929,681 2.43%
International Bond Fund $772,497 1.53% $2,662,074 2.21%
International Core Fund $19,807,841 39.22% $8,422,410 6.98%
International Small Companies Fund $1,519,763 3.01% $1,101,279 0.91%
REIT Fund $2,468,178 4.89% $6,367,508 5.28%
Small Cap Growth Fund $2,116,636 4.19% $5,125,011 4.25%
Small Cap Value Fund $2,082,655 4.12% $5,009,984 4.15%
US Bond/Global Alpha A $1,242,433 2.46% $28,483,671 23.62%
Value Fund $1,526,877 3.02% $3,045,447 2.53%
Evolving Countries $1,931,016 3.82% $3,160,623 2.62%
Total Market Value $50,498,410 100.00% $120,581,361 100.00%
</TABLE>
<TABLE>
GMO Fund of Fund Allocation %
July, 1998
<CAPTION>
International Equity Alloc Global (US+) Equity Alloc
Name of Fund Owned Market Value % of Total MV Market Value % of Total MV
<S> <C> <C> <C> <C>
Core Fund $14,547,435 32.03%
Currency Hedged International Bond Fund
Currency Hedged International Core Fund $2,783,161 6.13%
Domestic Bond Fund
Emerging Country Debt Fund $2,752,139 3.34% $1,549,388 3.41%
Emerging Markets Fund $10,273,557 12.47% $1,933,403 4.26%
Growth Fund $579,065 1.27%
Inflation Indexed Bond Fund $1,118,056 1.36% $1,014,510 2.23%
International Bond Fund $1,787,072 2.17% $934,145 2.06%
International Core Fund $56,665,059 68.77% $7,108,095 15.65%
International Small Companies Fund $3,365,605 4.08% $602,966 1.33%
REIT Fund $3,302,549 7.27%
Small Cap Growth Fund $2,836,615 6.24%
Small Cap Value Fund $2,835,537 6.24%
US Bond/Global Alpha A $779,279 0.95% $1,809,681 3.98%
Value Fund $2,032,419 4.47%
Evolving Countries $5,660,301 6.87% $1,553,715 3.42%
Total Market Value $82,401,068 100.00% $45,422,685 100.00%
</TABLE>
<TABLE>
GMO Fund of Fund Allocation %
July, 1998
<CAPTION>
World Equity Alloc Global Balanced Alloc
Name of Fund Owned Market Value % of Total MV Market Value % of Total MV
<S> <C> <C> <C> <C>
Core Fund $7,471,026 15.01% $19,934,291 15.59%
Currency Hedged International Bond Fund $625,780 0.49%
Currency Hedged International Core Fund $1,918,155 3.85% $9,163,735 7.17%
Domestic Bond Fund $19,764,915 15.46%
Emerging Country Debt Fund $1,891,368 3.80% $4,306,576 3.37%
Emerging Markets Fund $4,360,322 8.76% $3,804,726 2.98%
Growth Fund $295,255 0.59% $810,805 0.63%
Inflation Indexed Bond Fund $884,119 1.78% $2,941,215 2.30%
International Bond Fund $767,604 1.54% $3,843,414 3.01%
International Core Fund $19,840,515 39.85% $9,206,926 7.20%
International Small Companies Fund $1,508,617 3.03% $1,159,116 0.91%
REIT Fund $2,272,762 4.57% $6,225,793 4.87%
Small Cap Growth Fund $1,969,733 3.96% $5,038,889 3.94%
Small Cap Value Fund $1,939,891 3.90% $5,124,268 4.01%
US Bond/Global Alpha A $1,233,320 2.48% $29,046,390 22.72%
Value Fund $1,490,062 2.99% $3,200,809 2.50%
Evolving Countries $1,940,068 3.90% $3,641,199 2.85%
Total Market Value $49,782,817 100.00% $127,838,847 100.00%
</TABLE>
<TABLE>
GMO Fund of Fund Allocation %
August, 1998
<CAPTION>
International Equity Alloc Global (US+) Equity Alloc
Name of Fund Owned Market Value % of Total MV Market Value % of Total MV
<S> <C> <C> <C> <C>
Core Fund $12,361,162 32.32%
Currency Hedged International Bond Fund
Currency Hedged International Core Fund $1,903,889 4.98%
Domestic Bond Fund
Emerging Country Debt Fund $2,373,042 3.43% $1,347,239 3.52%
Emerging Markets Fund $7,676,147 11.11% $1,444,591 3.78%
Evolving Countries Fund $4,048,134 5.86% $1,111,186 2.91%
Growth Fund $489,351 1.28%
Inflation Indexed Bond Fund $1,120,248 1.62% $1,016,500 2.66%
International Bond Fund $1,764,560 2.55% $922,378 2.41%
International Core Fund $48,408,130 70.07% $6,095,780 15.94%
International Small Companies Fund $2,923,603 4.23% $523,779 1.37%
REIT Fund $2,926,425 7.65%
Small Cap Growth Fund $2,237,857 5.85%
Small Cap Value Fund $2,369,946 6.20%
US Bond/Global Alpha A $771,927 1.12% $1,743,080 4.56%
Value Fund $1,757,261 4.59%
Total Market Value $69,085,791 100.00% $38,250,424 100.00%
</TABLE>
<TABLE>
GMO Fund of Fund Allocation %
August, 1998
<CAPTION>
World Equity Alloc Global Balanced Alloc
Name of Fund Owned Market Value % of Total MV Market Value % of Total MV
<S> <C> <C> <C> <C>
Core Fund $6,392,178 15.25% $16,997,203 14.70%
Currency Hedged International Bond Fund $613,312 0.53%
Currency Hedged International Core Fund $1,619,266 3.86% $7,656,037 6.62%
Domestic Bond Fund $20,258,856 17.52%
Emerging Country Debt Fund $1,440,651 3.44% $3,071,183 2.66%
Emerging Markets Fund $3,257,925 7.77% $2,842,796 2.46%
Evolving Countries Fund $1,387,497 3.31% $2,654,357 2.30%
Growth Fund $249,511 0.60% $685,187 0.59%
Inflation Indexed Bond Fund $885,852 2.11% $2,946,982 2.55%
International Bond Fund $757,935 1.81% $3,794,999 3.28%
International Core Fund $16,913,930 40.35% $7,767,784 6.72%
International Small Companies Fund $1,310,491 3.13% $1,006,890 0.87%
REIT Fund $2,013,920 4.80% $5,516,745 4.77%
Small Cap Growth Fund $1,553,958 3.71% $3,975,271 3.44%
Small Cap Value Fund $1,621,364 3.87% $4,282,872 3.70%
US Bond/Global Alpha A $1,221,685 2.91% $28,772,367 24.89%
Value Fund $1,288,330 3.07% $2,767,469 2.39%
Total Market Value $41,914,493 100.00% $115,610,310 100.00%
</TABLE>
<TABLE>
GMO Fund of Fund Allocation %
September, 1998
<CAPTION>
International Equity Alloc Global (US+) Equity Alloc
Name of Fund Owned Market Value % of Total MV Market Value % of Total MV
<S> <C> <C> <C> <C>
Core Fund $13,277,633 33.34%
Currency Hedged International Bond Fund
Currency Hedged International Core Fund $1,785,254 4.48%
Domestic Bond Fund $536,500 0.78% $308,953 0.78%
Emerging Country Debt Fund $2,549,889 3.72% $1,447,640 3.63%
Emerging Markets Fund $8,082,445 11.79% $1,521,053 3.82%
Evolving Countries Fund $4,393,599 6.41% $1,206,014 3.03%
Growth Fund $531,489 1.33%
Inflation Indexed Bond Fund $1,139,978 1.66% $1,034,403 2.60%
International Bond Fund $2,454,702 3.58% $1,312,630 3.30%
International Core Fund $45,781,752 66.78% $5,366,198 13.47%
International Small Companies Fund $2,891,651 4.22% $518,054 1.30%
REIT Fund $3,002,873 7.54%
Small Cap Growth Fund $2,375,072 5.96%
Small Cap Value Fund $2,486,800 6.24%
US Bond/Global Alpha A $722,690 1.05% $1,799,523 4.52%
Value Fund $1,855,755 4.66%
Total Market Value $68,553,207 100.00% $39,829,344 100.00%
</TABLE>
<TABLE>
GMO Fund of Fund Allocation %
September, 1998
<CAPTION>
World Equity Alloc Global Balanced Alloc
Name of Fund Owned Market Value % of Total MV Market Value % of Total MV
<S> <C> <C> <C> <C>
Core Fund $6,866,100 16.06% $18,257,393 15.31%
Currency Hedged International Bond Fund $633,498 0.53%
Currency Hedged International Core Fund $1,518,367 3.55% $7,178,977 6.02%
Domestic Bond Fund $332,584 0.78% $20,576,359 17.26%
Emerging Country Debt Fund $1,548,013 3.62% $3,300,058 2.77%
Emerging Markets Fund $3,430,367 8.02% $2,993,266 2.51%
Evolving Countries Fund $1,505,905 3.52% $2,880,878 2.42%
Growth Fund $270,997 0.63% $744,190 0.62%
Inflation Indexed Bond Fund $901,455 2.11% $2,998,886 2.52%
International Bond Fund $1,160,049 2.71% $4,085,439 3.43%
International Core Fund $15,893,045 37.17% $7,582,235 6.36%
International Small Companies Fund $1,296,169 3.03% $995,886 0.84%
REIT Fund $2,066,530 4.83% $5,660,860 4.75%
Small Cap Growth Fund $1,649,240 3.86% $4,219,017 3.54%
Small Cap Value Fund $1,701,308 3.98% $4,494,046 3.77%
US Bond/Global Alpha A $1,261,244 2.95% $29,704,044 24.91%
Value Fund $1,360,541 3.18% $2,922,585 2.45%
Total Market Value $42,761,914 100.00% $119,227,616 100.00%
</TABLE>
<TABLE>
GMO Fund of Fund Allocation %
October, 1998
<CAPTION>
International Equity Alloc Global (US+) Equity Alloc
Name of Fund Owned Market Value % of Total MV Market Value % of Total MV
<S> <C> <C> <C> <C>
Core Fund $14,142,071 33.58%
Currency Hedged International Bond Fund
Currency Hedged International Core Fund $1,886,667 4.48%
Domestic Bond Fund $531,646 0.71% $306,157 0.73%
Emerging Country Debt Fund $2,743,187 3.68% $1,557,380 3.70%
Emerging Markets Fund $9,112,703 12.23% $1,714,940 4.07%
Evolving Countries Fund $5,049,095 6.78% $1,385,943 3.29%
Growth Fund $570,921 1.36%
Inflation Indexed Bond Fund $1,144,363 1.54% $1,038,381 2.47%
International Bond Fund $2,510,644 3.37% $1,342,544 3.19%
International Core Fund $49,648,272 66.63% $5,820,690 13.82%
International Small Companies Fund $3,051,411 4.10% $546,676 1.30%
REIT Fund $2,960,063 7.03%
Small Cap Growth Fund $2,496,050 5.93%
Small Cap Value Fund $2,628,801 6.24%
US Bond/Global Alpha A $716,690 0.96% $1,735,180 4.12%
Value Fund $1,985,170 4.71%
Total Market Value $74,508,011 100.00% $42,117,633 100.00%
</TABLE>
<TABLE>
GMO Fund of Fund Allocation %
October, 1998
<CAPTION>
World Equity Alloc Global Balanced Alloc
Name of Fund Owned Market Value % of Total MV Market Value % of Total MV
<S> <C> <C> <C> <C>
Core Fund $7,313,117 15.98% $19,446,038 15.86%
Currency Hedged International Bond Fund $625,780 0.51%
Currency Hedged International Core Fund $1,604,620 3.51% $7,586,786 6.19%
Domestic Bond Fund $329,575 0.72% $20,212,656 16.48%
Emerging Country Debt Fund $1,665,362 3.64% $3,550,223 2.89%
Emerging Markets Fund $3,867,631 8.45% $3,374,813 2.75%
Evolving Countries Fund $1,730,577 3.78% $3,310,686 2.70%
Growth Fund $291,102 0.64% $799,401 0.65%
Inflation Indexed Bond Fund $904,922 1.98% $3,010,420 2.45%
International Bond Fund $1,186,486 2.59% $4,178,595 3.41%
International Core Fund $17,239,113 37.67% $8,177,103 6.67%
International Small Companies Fund $1,367,781 2.99% $1,050,907 0.86%
REIT Fund $2,037,068 4.45% $5,580,155 4.55%
Small Cap Growth Fund $1,721,405 3.76% $4,403,626 3.59%
Small Cap Value Fund $1,798,456 3.93% $4,750,663 3.87%
US Bond/Global Alpha A $1,250,772 2.73% $29,451,496 24.02%
Value Fund $1,455,421 3.18% $3,126,398 2.55%
Total Market Value $45,763,406 100.00% $122,635,747 100.00%
</TABLE>
<TABLE>
GMO Fund of Fund Allocation %
November, 1998
<CAPTION>
International Equity Alloc Global (US+) Equity Alloc
Name of Fund Owned Market Value % of Total MV Market Value % of Total MV
<S> <C> <C> <C> <C>
Core Fund $14,149,118 32.79%
Currency Hedged International Bond Fund
Currency Hedged International Core Fund $2,020,608 4.68%
Domestic Bond Fund $375,525 0.54% $303,222 0.70%
Emerging Country Debt Fund $2,670,196 3.81% $1,690,470 3.92%
Emerging Markets Fund $8,821,686 12.58% $1,851,479 4.29%
Evolving Countries Fund $4,910,344 7.00% $1,497,791 3.47%
Growth Fund $506,886 1.17%
Inflation Indexed Bond Fund $1,145,459 1.63% $1,039,376 2.41%
International Bond Fund $2,336,666 3.33% $1,330,578 3.08%
International Core Fund $46,016,179 65.62% $5,981,909 13.86%
International Small Companies Fund $3,131,291 4.47% $560,987 1.30%
REIT Fund $3,204,931 7.43%
Small Cap Growth Fund $2,656,923 6.16%
Small Cap Value Fund $2,738,716 6.35%
US Bond/Global Alpha A $718,023 1.02% $1,665,272 3.86%
Value Fund $1,954,460 4.53%
Total Market Value $70,125,369 100.00% $43,152,727 100.00%
</TABLE>
<TABLE>
GMO Fund of Fund Allocation %
November, 1998
<CAPTION>
World Equity Alloc Global Balanced Alloc
Name of Fund Owned Market Value % of Total MV Market Value % of Total MV
<S> <C> <C> <C> <C>
Core Fund $7,734,879 16.12% $20,567,529 16.33%
Currency Hedged International Bond Fund $636,467 0.51%
Currency Hedged International Core Fund $1,718,538 3.58% $8,125,402 6.45%
Domestic Bond Fund $326,415 0.68% $19,970,535 15.85%
Emerging Country Debt Fund $1,807,680 3.77% $3,853,616 3.06%
Emerging Markets Fund $4,175,563 8.70% $3,643,509 2.89%
Evolving Countries Fund $1,870,237 3.90% $3,577,864 2.84%
Growth Fund $313,334 0.65% $860,453 0.68%
Inflation Indexed Bond Fund $905,788 1.89% $3,013,304 2.39%
International Bond Fund $1,175,911 2.45% $4,141,353 3.29%
International Core Fund $18,026,287 37.56% $8,452,048 6.71%
International Small Companies Fund $1,403,586 2.92% $1,078,418 0.86%
REIT Fund $2,068,634 4.31% $5,676,729 4.51%
Small Cap Growth Fund $1,832,352 3.82% $4,687,445 3.72%
Small Cap Value Fund $1,873,653 3.90% $4,949,297 3.93%
US Bond/Global Alpha A $1,253,099 2.61% $29,506,289 23.42%
Value Fund $1,506,165 3.14% $3,235,400 2.57%
Total Market Value $47,992,121 100.00% $125,975,658 100.00%
</TABLE>
<TABLE>
GMO Fund of Fund Allocation %
December, 1998
<CAPTION>
International Equity Alloc Global (US+) Equity Alloc
Name of Fund Owned Market Value % of Total MV Market Value % of Total MV
<S> <C> <C> <C> <C>
Core Fund $10,299,453 32.34%
Currency Hedged International Bond Fund
Currency Hedged International Core Fund $1,040,132 3.27%
Domestic Bond Fund $365,853 0.54% $105,513 0.33%
Emerging Country Debt Fund $2,790,824 4.11% $1,230,707 3.86%
Emerging Markets Fund $8,467,191 12.46% $1,452,900 4.56%
Evolving Countries Fund $5,453,952 8.02% $1,497,074 4.70%
Growth Fund $374,563 1.18%
Inflation Indexed Bond Fund $1,141,799 1.68% $859,058 2.70%
International Bond Fund $1,902,982 2.80% $486,662 1.53%
International Core Fund $43,961,088 64.67% $4,580,424 14.38%
International Small Companies Fund $3,169,914 4.66% $375,079 1.18%
REIT Fund $2,435,683 7.65%
Small Cap Growth Fund $2,122,487 6.66%
Small Cap Value Fund $2,134,021 6.70%
US Bond/Global Alpha A $721,758 1.06% $1,423,947 4.47%
Value Fund $1,429,355 4.49%
Total Market Value $67,975,362 100.00% $31,847,057 100.00%
</TABLE>
<TABLE>
GMO Fund of Fund Allocation %
December, 1998
<CAPTION>
World Equity Alloc Global Balanced Alloc
Name of Fund Owned Market Value % of Total MV Market Value % of Total MV
<S> <C> <C> <C> <C>
Core Fund $6,185,744 14.94% $21,259,318 17.06%
Currency Hedged International Bond Fund $354,794 0.28%
Currency Hedged International Core Fund $528,608 1.28% $7,819,040 6.27%
Domestic Bond Fund $18,278,930 14.66%
Emerging Country Debt Fund $1,516,833 3.66% $3,734,879 3.00%
Emerging Markets Fund $4,094,315 9.89% $3,572,613 2.87%
Evolving Countries Fund $1,869,341 4.51% $3,576,150 2.87%
Growth Fund $345,408 0.83% $817,902 0.66%
Inflation Indexed Bond Fund $902,895 2.18% $3,003,676 2.41%
International Bond Fund $1,200,457 2.90% $4,227,799 3.39%
International Core Fund $15,057,871 36.36% $8,175,188 6.56%
International Small Companies Fund $1,420,899 3.43% $1,091,719 0.88%
REIT Fund $1,990,824 4.81% $5,463,203 4.38%
Small Cap Growth Fund $1,909,366 4.61% $5,190,816 4.16%
Small Cap Value Fund $1,799,997 4.35% $5,124,609 4.11%
US Bond/Global Alpha A $1,205,360 2.91% $29,659,753 23.80%
Value Fund $1,383,196 3.34% $3,295,588 2.64%
Total Market Value $41,411,114 100.00% $124,645,978 100.00%
</TABLE>
<TABLE>
GMO Fund of Fund Allocation %
January, 1999
<CAPTION>
International Equity Alloc Global (US+) Equity Alloc
Name of Fund Owned Market Value % of Total MV Market Value % of Total MV
<S> <C> <C> <C> <C>
Core Fund $11,145,584 33.10%
Currency Hedged International Bond Fund
Currency Hedged International Core Fund $1,170,255 3.48%
Domestic Bond Fund $367,714 0.46% $106,050 0.31%
Emerging Country Debt Fund $2,790,910 3.51% $1,190,211 3.54%
Emerging Markets Fund $10,280,662 12.93% $1,475,981 4.38%
Evolving Countries Fund $6,578,084 8.27% $1,467,232 4.36%
Growth Fund $414,579 1.23%
Inflation Indexed Bond Fund $1,153,415 1.45% $867,797 2.58%
International Bond Fund $2,713,207 3.41% $761,518 2.26%
International Core Fund $51,164,690 64.33% $4,821,444 14.32%
International Small Companies Fund $3,114,447 3.92% $368,516 1.09%
REIT Fund $2,505,385 7.44%
Small Cap Growth Fund $1,745,997 5.19%
Small Cap Value Fund $2,603,051 7.73%
US Bond/Global Alpha A $1,369,103 1.72% $1,524,601 4.53%
Value Fund $1,499,314 4.45%
Total Market Value $79,532,233 100.00% $33,667,515 100.00%
</TABLE>
<TABLE>
GMO Fund of Fund Allocation %
January, 1999
<CAPTION>
World Equity Alloc Global Balanced Alloc
Name of Fund Owned Market Value % of Total MV Market Value % of Total MV
<S> <C> <C> <C> <C>
Core Fund $4,515,904 14.85% $21,885,342 17.59%
Currency Hedged International Bond Fund $355,804 0.29%
Currency Hedged International Core Fund $494,858 1.63% $7,763,918 6.24%
Domestic Bond Fund $18,371,906 14.77%
Emerging Country Debt Fund $1,466,922 4.82% $3,611,986 2.90%
Emerging Markets Fund $2,493,971 8.20% $3,522,994 2.83%
Evolving Countries Fund $1,832,079 6.02% $3,504,865 2.82%
Growth Fund $208,267 0.68% $867,174 0.70%
Inflation Indexed Bond Fund $912,080 3.00% $3,070,489 2.47%
International Bond Fund $416,147 1.37% $4,129,294 3.32%
International Core Fund $10,777,447 35.43% $8,052,368 6.47%
International Small Companies Fund $1,396,036 4.59% $1,072,617 0.86%
REIT Fund $1,572,052 5.17% $5,374,190 4.32%
Small Cap Growth Fund $858,260 2.82% $4,231,962 3.40%
Small Cap Value Fund $1,688,640 5.55% $5,954,199 4.79%
US Bond/Global Alpha A $854,894 2.81% $29,350,797 23.59%
Value Fund $928,176 3.05% $3,292,508 2.65%
Total Market Value $30,415,735 100.00% $124,412,411 100.00%
</TABLE>
<TABLE>
GMO Fund of Fund Allocation %
February, 1999
<CAPTION>
International Equity Alloc Global (US+) Equity Alloc
Name of Fund Owned Market Value % of Total MV Market Value % of Total MV
<S> <C> <C> <C> <C>
Core Fund $10,674,724 32.87%
Currency Hedged International Bond Fund
Currency Hedged International Core Fund $1,163,983 3.58%
Domestic Bond Fund $358,781 0.40% $103,473 0.32%
Emerging Country Debt Fund $3,354,365 3.72% $1,213,099 3.74%
Emerging Markets Fund $11,683,880 12.95% $1,457,501 4.49%
Evolving Countries Fund $6,399,695 7.09% $1,427,442 4.40%
Growth Fund $390,081 1.20%
Inflation Indexed Bond Fund $1,147,607 1.27% $834,486 2.57%
International Bond Fund $2,604,471 2.89% $730,998 2.25%
International Core Fund $59,949,506 66.44% $4,683,557 14.42%
International Small Companies Fund $3,386,904 3.75% $361,625 1.11%
REIT Fund $2,487,210 7.66%
Small Cap Growth Fund $1,314,613 4.05%
Small Cap Value Fund $2,731,156 8.41%
US Bond/Global Alpha A $1,340,280 1.49% $1,443,179 4.44%
Value Fund $1,458,640 4.49%
Total Market Value $90,225,489 100.00% $32,475,767 100.00%
</TABLE>
<TABLE>
GMO Fund of Fund Allocation %
February, 1999
<CAPTION>
World Equity Alloc Global Balanced Alloc
Name of Fund Owned Market Value % of Total MV Market Value % of Total MV
<S> <C> <C> <C> <C>
Core Fund $4,325,124 14.62% $20,577,237 16.13%
Currency Hedged International Bond Fund $343,584 0.27%
Currency Hedged International Core Fund $492,205 1.66% $7,732,267 6.06%
Domestic Bond Fund $17,492,031 13.71%
Emerging Country Debt Fund $1,495,132 5.05% $4,172,214 3.27%
Emerging Markets Fund $2,462,747 8.32% $3,777,092 2.96%
Evolving Countries Fund $1,782,395 6.02% $3,704,842 2.90%
Growth Fund $195,960 0.66% $805,915 0.63%
Inflation Indexed Bond Fund $907,487 3.07% $3,369,493 2.64%
International Bond Fund $399,469 1.35% $4,430,181 3.47%
International Core Fund $10,469,226 35.39% $8,770,538 6.87%
International Small Companies Fund $1,369,930 4.63% $1,027,099 0.80%
REIT Fund $1,573,775 5.32% $6,606,280 5.18%
Small Cap Growth Fund $790,674 2.67% $3,566,656 2.80%
Small Cap Value Fund $1,580,480 5.34% $7,183,619 5.63%
US Bond/Global Alpha A $836,896 2.83% $30,920,992 24.23%
Value Fund $902,996 3.05% $3,125,707 2.45%
Total Market Value $29,584,496 100.00% $127,605,747 100.00%
</TABLE>
April 22, 1999
To the Trustees of GMO Trust
In planning and performing our audit of the financial statements of thirty-six
of the series (GMO U.S. Core Fund, GMO Growth Fund, GMO Value Fund, GMO
Short-Term Income Fund, GMO Tobacco-Free Core Fund, GMO Fundamental Value Fund,
GMO Small Cap Value Fund, GMO U.S. Sector Fund, GMO International Bond Fund, GMO
Small Cap Growth Fund, GMO Emerging Country Debt Fund, GMO Domestic Bond Fund,
GMO Currency Hedged International Bond Fund, GMO Inflation Indexed Bond Fund,
GMO Global Bond Fund, GMO REIT Fund, GMO World Equity Allocation Fund, GMO
Global (U.S.+) Equity Allocation Fund, GMO Global Balanced Allocation Fund, GMO
International Equity Allocation Fund, GMO U.S. Bond/Global Alpha A Fund, GMO
U.S. Bond/Global Alpha B Fund, GMO Emerging Country Debt Shares Fund, GMO
Tax-Managed U.S. Equities Fund, GMO International Core Fund, GMO Japan Fund, GMO
International Small Companies Fund, GMO Emerging Markets Fund, GMO Global Hedged
Equity Fund, GMO Currency Hedged International Core Fund, GMO Foreign Fund, GMO
Global Properties Fund, GMO Evolving Countries Fund, GMO Asia Fund, GMO
Tax-Managed International Equities Fund, and Pelican Fund of the GMO Trust (the
"Trust") for the year ended February 28, 1999 we considered the Trust's internal
control, including control activities for safeguarding securities, in order to
determine our auditing procedures for the purpose of expressing our opinion on
the financial statements and to comply with the requirements of Form N-SAR, not
to provide assurance on internal control.
The management of the Trust is responsible for establishing and maintaining
internal control. In fulfilling this responsibility, estimates and judgments by
management are required to assess the expected benefits and related costs of
controls. Generally, controls that are relevant to an audit pertain to the
entity's objective of preparing financial statements for external purposes that
are fairly presented in conformity with generally accepted accounting
principles. Those controls include the safeguarding of assets against
unauthorized acquisition, use or disposition.
Because of inherent limitations in internal control, errors or fraud may occur
and not be detected. Also, projection of any evaluation of internal control to
future periods is subject to the risk that it may become inadequate because of
changes in conditions or that the effectiveness of the design and operation may
deteriorate.
Our consideration of internal control would not necessarily disclose all matters
in internal control that might be material weaknesses under standards
established by the American Institute of Certified Public Accountants. A
material weakness is a condition in which the design or operation of one or more
of the internal control components does not reduce to a relatively low level the
risk that misstatements caused by error or fraud in amounts that would be
material in relation to the financial statements being audited may occur and not
be detected within a timely period by employees in the normal course of
performing their assigned functions. However, we noted no matters involving
internal control and its operation, including controls for safeguarding
securities, that we consider to be material weaknesses as defined above as of
February 28, 1999.
This report is intended solely for the information and use of management and the
Trustees of the Trust and the Securities and Exchange Commission.
