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<PAGE> PAGE 2
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<PAGE> PAGE 13
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<PAGE> PAGE 14
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<PAGE> PAGE 16
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<PAGE> PAGE 19
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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 23
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<PAGE> PAGE 24
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<PAGE> PAGE 25
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<PAGE> PAGE 26
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<PAGE> PAGE 27
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<PAGE> PAGE 28
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<PAGE> PAGE 29
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<PAGE> PAGE 30
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<PAGE> PAGE 31
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<PAGE> PAGE 32
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<PAGE> PAGE 33
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<PAGE> PAGE 34
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<PAGE> PAGE 35
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<PAGE> PAGE 36
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<PAGE> PAGE 37
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<PAGE> PAGE 38
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<PAGE> PAGE 39
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<PAGE> PAGE 40
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<PAGE> PAGE 41
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<PAGE> PAGE 42
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<PAGE> PAGE 43
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<PAGE> PAGE 44
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<PAGE> PAGE 45
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<PAGE> PAGE 46
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<PAGE> PAGE 47
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<PAGE> PAGE 48
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<PAGE> PAGE 49
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<PAGE> PAGE 50
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<PAGE> PAGE 51
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<PAGE> PAGE 52
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<PAGE> PAGE 53
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<PAGE> PAGE 54
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<PAGE> PAGE 55
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<PAGE> PAGE 56
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<PAGE> PAGE 57
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<PAGE> PAGE 58
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<PAGE> PAGE 59
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<PAGE> PAGE 60
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<PAGE> PAGE 61
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<PAGE> PAGE 62
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<PAGE> PAGE 63
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<PAGE> PAGE 64
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<PAGE> PAGE 65
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<PAGE> PAGE 66
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<PAGE> PAGE 67
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<PAGE> PAGE 68
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<PAGE> PAGE 69
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<PAGE> PAGE 70
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<PAGE> PAGE 71
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<PAGE> PAGE 72
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<PAGE> PAGE 73
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<PAGE> PAGE 74
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<PAGE> PAGE 75
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<PAGE> PAGE 76
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<PAGE> PAGE 77
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<PAGE> PAGE 78
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<PAGE> PAGE 79
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<PAGE> PAGE 80
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<PAGE> PAGE 81
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<PAGE> PAGE 82
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<PAGE> PAGE 83
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<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 102
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<PAGE> PAGE 104
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<PAGE> PAGE 109
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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 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 125
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<PAGE> PAGE 127
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<PAGE> PAGE 129
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<PAGE> PAGE 132
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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 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
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<PAGE> PAGE 161
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<PAGE> PAGE 162
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<PAGE> PAGE 163
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<PAGE> PAGE 164
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<PAGE> PAGE 165
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<PAGE> PAGE 166
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<PAGE> PAGE 167
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<PAGE> PAGE 168
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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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<PAGE> PAGE 173
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<PAGE> PAGE 174
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<PAGE> PAGE 175
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<PAGE> PAGE 176
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<PAGE> PAGE 177
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<PAGE> PAGE 178
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<PAGE> PAGE 179
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<PAGE> PAGE 180
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<PAGE> PAGE 181
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<PAGE> PAGE 182
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<PAGE> PAGE 183
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<PAGE> PAGE 184
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008 A004101 GRANTHAM, MAYO, VAN OTTERLOO, & CO.
008 B004101 A
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012 A004101 INVESTORS BANK & TRUST COMPANY
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<PAGE> PAGE 185
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<PAGE> PAGE 186
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<PAGE> PAGE 187
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SIGNATURE SUSAN RANDALL HARBERT
TITLE ASSISTANT TREASURER
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 014
<NAME> GMO U.S. Core Fund, Class IV
<S> <C>
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</TABLE>
<TABLE> <S> <C>
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<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 012
<NAME> GMO U.S. Core Fund, Class II
<S> <C>
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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 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 013
<NAME> GMO U.S. Core Fund, Class III
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
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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 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 043
<NAME> GMO Growth Fund, Class III
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
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<EXPENSES-NET> (842,640)
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<NUMBER-OF-SHARES-REDEEMED> (22,121,819)
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<ACCUMULATED-GAINS-PRIOR> 10,470,205
<OVERDISTRIB-NII-PRIOR> 0
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<PER-SHARE-NII> 0.02
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<EXPENSE-RATIO> 0.48
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 083
<NAME> GMO Value Fund, Class III
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
<INVESTMENTS-AT-COST> 214,289,661
<INVESTMENTS-AT-VALUE> 183,011,113
<RECEIVABLES> 2,090,611
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<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 185,101,724
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<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 6,420,395
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<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 204,382,896
<SHARES-COMMON-STOCK> 22,348,335
<SHARES-COMMON-PRIOR> 19,509,551
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 5,225,137
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (31,278,548)
<NET-ASSETS> 178,329,485
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<OTHER-INCOME> 0
<EXPENSES-NET> (1,321,637)
<NET-INVESTMENT-INCOME> 4,452,651
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<DISTRIBUTIONS-OF-INCOME> (4,344,843)
<DISTRIBUTIONS-OF-GAINS> (33,002,007)
<DISTRIBUTIONS-OTHER> (520,269)
<NUMBER-OF-SHARES-SOLD> 40,253,289
<NUMBER-OF-SHARES-REDEEMED> (42,817,298)
<SHARES-REINVESTED> 33,971,151
<NET-CHANGE-IN-ASSETS> (23,991,994)
<ACCUMULATED-NII-PRIOR> 6,056
<ACCUMULATED-GAINS-PRIOR> 13,967,719
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 996,644
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,423,694
<AVERAGE-NET-ASSETS> 216,661,799
<PER-SHARE-NAV-BEGIN> 10.40
<PER-SHARE-NII> 0.21
<PER-SHARE-GAIN-APPREC> (0.83)
<PER-SHARE-DIVIDEND> (0.23)
<PER-SHARE-DISTRIBUTIONS> (1.57)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 7.98
<EXPENSE-RATIO> 0.61
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 060
<NAME> GMO Short-Term Income Fund
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
<INVESTMENTS-AT-COST> 44,323,900
<INVESTMENTS-AT-VALUE> 44,549,631
<RECEIVABLES> 2,499,825
<ASSETS-OTHER> 4,015,883
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 51,065,339
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 7,574,176
<TOTAL-LIABILITIES> 7,574,176
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 43,497,151
<SHARES-COMMON-STOCK> 4,520,663
<SHARES-COMMON-PRIOR> 5,543,812
<ACCUMULATED-NII-CURRENT> 108,089
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> (339,808)
<ACCUM-APPREC-OR-DEPREC> 225,731
<NET-ASSETS> 43,491,163
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 2,543,795
<OTHER-INCOME> 0
<EXPENSES-NET> (101,364)
<NET-INVESTMENT-INCOME> 2,442,431
<REALIZED-GAINS-CURRENT> (313,585)
<APPREC-INCREASE-CURRENT> 528,627
<NET-CHANGE-FROM-OPS> 2,657,473
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (2,673,480)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 15,635,155
<NUMBER-OF-SHARES-REDEEMED> (28,120,405)
<SHARES-REINVESTED> 2,605,023
<NET-CHANGE-IN-ASSETS> (9,896,234)
<ACCUMULATED-NII-PRIOR> 339,138
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> (26,223)
<GROSS-ADVISORY-FEES> 25,341
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 143,914
<AVERAGE-NET-ASSETS> 50,679,443
<PER-SHARE-NAV-BEGIN> 9.63
<PER-SHARE-NII> 0.46
<PER-SHARE-GAIN-APPREC> 0.05
<PER-SHARE-DIVIDEND> (0.52)
<PER-SHARE-DISTRIBUTIONS> 0.00
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 9.62
<EXPENSE-RATIO> 0.20
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 032
<NAME> GMO International Core Fund, Class II
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
<INVESTMENTS-AT-COST> 2,301,481,876
<INVESTMENTS-AT-VALUE> 2,201,591,129
<RECEIVABLES> 5,645,436
<ASSETS-OTHER> 5,727,479
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 2,212,964,044
<PAYABLE-FOR-SECURITIES> 451,717
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 99,527,237
<TOTAL-LIABILITIES> 99,978,954
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 2,198,802,687
<SHARES-COMMON-STOCK> 1,015,155
<SHARES-COMMON-PRIOR> 900,016
<ACCUMULATED-NII-CURRENT> 1,142,971
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 26,227,058
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (113,187,626)
<NET-ASSETS> 2,112,985,090
<DIVIDEND-INCOME> 62,073,104
<INTEREST-INCOME> 8,079,222
<OTHER-INCOME> 0
<EXPENSES-NET> (16,845,360)
<NET-INVESTMENT-INCOME> 53,306,966
<REALIZED-GAINS-CURRENT> 66,992,223
<APPREC-INCREASE-CURRENT> 99,958,178
<NET-CHANGE-FROM-OPS> 220,257,367
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (710,851)
<DISTRIBUTIONS-OF-GAINS> (705,987)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 8,290,170
<NUMBER-OF-SHARES-REDEEMED> (6,814,811)
<SHARES-REINVESTED> 1,232,211
<NET-CHANGE-IN-ASSETS> (470,976,492)
<ACCUMULATED-NII-PRIOR> 4,494,422
<ACCUMULATED-GAINS-PRIOR> 25,366,381
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 13,366,668
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 18,989,449
<AVERAGE-NET-ASSETS> 2,475,308,802
<PER-SHARE-NAV-BEGIN> 20.33
<PER-SHARE-NII> 0.41
<PER-SHARE-GAIN-APPREC> 1.33
<PER-SHARE-DIVIDEND> (0.56)
<PER-SHARE-DISTRIBUTIONS> (0.66)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 20.85
<EXPENSE-RATIO> 0.76
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 033
<NAME> GMO International Core Fund, Class III
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
<INVESTMENTS-AT-COST> 2,301,481,876
<INVESTMENTS-AT-VALUE> 2,201,591,129
<RECEIVABLES> 5,645,436
<ASSETS-OTHER> 5,727,479
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 2,212,964,044
<PAYABLE-FOR-SECURITIES> 451,717
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 99,527,237
<TOTAL-LIABILITIES> 99,978,954
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 2,198,802,687
<SHARES-COMMON-STOCK> 86,087,007
<SHARES-COMMON-PRIOR> 98,063,484
<ACCUMULATED-NII-CURRENT> 1,142,971
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 26,227,058
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (113,187,626)
<NET-ASSETS> 2,112,985,090
<DIVIDEND-INCOME> 62,073,104
<INTEREST-INCOME> 8,079,222
<OTHER-INCOME> 0
<EXPENSES-NET> (16,845,360)
<NET-INVESTMENT-INCOME> 53,306,966
<REALIZED-GAINS-CURRENT> 66,992,223
<APPREC-INCREASE-CURRENT> 99,958,178
<NET-CHANGE-FROM-OPS> 220,257,367
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (49,153,936)
<DISTRIBUTIONS-OF-GAINS> (57,973,177)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 236,178,961
<NUMBER-OF-SHARES-REDEEMED> (587,704,164)
<SHARES-REINVESTED> 94,366,903
<NET-CHANGE-IN-ASSETS> (470,976,492)
<ACCUMULATED-NII-PRIOR> 4,494,422
<ACCUMULATED-GAINS-PRIOR> 25,366,381
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 13,366,668
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 18,989,449
<AVERAGE-NET-ASSETS> 2,475,308,802
<PER-SHARE-NAV-BEGIN> 20.38
<PER-SHARE-NII> 0.47
<PER-SHARE-GAIN-APPREC> 1.28
<PER-SHARE-DIVIDEND> (0.56)
<PER-SHARE-DISTRIBUTIONS> (0.66)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 20.91
<EXPENSE-RATIO> 0.69
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 034
<NAME> GMO International Core Fund, Class IV
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
<INVESTMENTS-AT-COST> 2,301,481,876
<INVESTMENTS-AT-VALUE> 2,201,591,129
<RECEIVABLES> 5,645,436
<ASSETS-OTHER> 5,727,479
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 2,212,964,044
<PAYABLE-FOR-SECURITIES> 451,717
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 99,527,237
<TOTAL-LIABILITIES> 99,978,954
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 2,198,802,687
<SHARES-COMMON-STOCK> 13,968,183
<SHARES-COMMON-PRIOR> 27,849,815
<ACCUMULATED-NII-CURRENT> 1,142,971
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 26,227,058
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (113,187,626)
<NET-ASSETS> 2,112,985,090
<DIVIDEND-INCOME> 62,073,104
<INTEREST-INCOME> 8,079,222
<OTHER-INCOME> 0
<EXPENSES-NET> (16,845,360)
<NET-INVESTMENT-INCOME> 53,306,966
<REALIZED-GAINS-CURRENT> 66,992,223
<APPREC-INCREASE-CURRENT> 99,958,178
<NET-CHANGE-FROM-OPS> 220,257,367
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (7,672,181)
<DISTRIBUTIONS-OF-GAINS> (9,597,437)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 114,594,859
<NUMBER-OF-SHARES-REDEEMED> (442,537,067)
<SHARES-REINVESTED> 16,972,648
<NET-CHANGE-IN-ASSETS> (470,976,492)
<ACCUMULATED-NII-PRIOR> 4,494,422
<ACCUMULATED-GAINS-PRIOR> 25,366,381
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 13,366,668
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 18,989,449
<AVERAGE-NET-ASSETS> 2,475,308,802
<PER-SHARE-NAV-BEGIN> 20.37
<PER-SHARE-NII> 0.55
<PER-SHARE-GAIN-APPREC> 1.21
<PER-SHARE-DIVIDEND> (0.57)
<PER-SHARE-DISTRIBUTIONS> (0.66)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 20.90
<EXPENSE-RATIO> 0.63
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 073
<NAME> GMO Japan Fund, Class III
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
<INVESTMENTS-AT-COST> 13,455,463
<INVESTMENTS-AT-VALUE> 13,654,113
<RECEIVABLES> 12,874
<ASSETS-OTHER> 153,347
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 13,820,334
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 51,999
<TOTAL-LIABILITIES> 51,999
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 60,652,709
<SHARES-COMMON-STOCK> 1,766,891
<SHARES-COMMON-PRIOR> 20,716,627
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> (113,032)
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> (46,978,959)
<ACCUM-APPREC-OR-DEPREC> 207,617
<NET-ASSETS> 13,768,335
<DIVIDEND-INCOME> 592,560
<INTEREST-INCOME> 66,027
<OTHER-INCOME> 0
<EXPENSES-NET> (287,647)
<NET-INVESTMENT-INCOME> 370,940
<REALIZED-GAINS-CURRENT> 18,487,302
<APPREC-INCREASE-CURRENT> 5,968,681
<NET-CHANGE-FROM-OPS> 24,826,923
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (370,940)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> (304,432)
<NUMBER-OF-SHARES-SOLD> 6,239,388
<NUMBER-OF-SHARES-REDEEMED> (145,584,391)
<SHARES-REINVESTED> 572,315
<NET-CHANGE-IN-ASSETS> (114,621,137)
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> (23,093)
<OVERDIST-NET-GAINS-PRIOR> (62,482,979)
<GROSS-ADVISORY-FEES> 225,115
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 453,375
<AVERAGE-NET-ASSETS> 41,687,216
<PER-SHARE-NAV-BEGIN> 6.20
<PER-SHARE-NII> 0.07
<PER-SHARE-GAIN-APPREC> 1.92
<PER-SHARE-DIVIDEND> (0.22)
<PER-SHARE-DISTRIBUTIONS> (0.18)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 7.79
<EXPENSE-RATIO> 0.69
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 093
<NAME> GMO Tobacco-Free Core Fund, Class III
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
<INVESTMENTS-AT-COST> 321,350,314
<INVESTMENTS-AT-VALUE> 329,921,454
<RECEIVABLES> 602,131
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 330,523,585
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 8,737,891
<TOTAL-LIABILITIES> 8,737,891
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 301,127,355
<SHARES-COMMON-STOCK> 22,424,824
<SHARES-COMMON-PRIOR> 15,926,141
<ACCUMULATED-NII-CURRENT> 774,890
<OVERDISTRIBUTION-NII> 11,406,835
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 8,476,614
<NET-ASSETS> 321,785,694
<DIVIDEND-INCOME> 3,292,950
<INTEREST-INCOME> 1,417,122
<OTHER-INCOME> 0
<EXPENSES-NET> (1,244,733)
<NET-INVESTMENT-INCOME> 3,465,339
<REALIZED-GAINS-CURRENT> 42,458,647
<APPREC-INCREASE-CURRENT> (10,993,687)
<NET-CHANGE-FROM-OPS> 34,930,299
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (3,120,661)
<DISTRIBUTIONS-OF-GAINS> (34,891,112)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 123,086,297
<NUMBER-OF-SHARES-REDEEMED> (62,471,127)
<SHARES-REINVESTED> 37,093,513
<NET-CHANGE-IN-ASSETS> 94,627,209
<ACCUMULATED-NII-PRIOR> 430,212
<ACCUMULATED-GAINS-PRIOR> 3,839,300
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 855,754
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 991,312
<AVERAGE-NET-ASSETS> 259,318,990
<PER-SHARE-NAV-BEGIN> 14.26
<PER-SHARE-NII> 0.20
<PER-SHARE-GAIN-APPREC> 1.94
<PER-SHARE-DIVIDEND> (0.19)
<PER-SHARE-DISTRIBUTIONS> (1.86)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 14.35
<EXPENSE-RATIO> 0.48
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 103
<NAME> GMO Fundamental Value Fund, Class III
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
<INVESTMENTS-AT-COST> 615,225
<INVESTMENTS-AT-VALUE> 563,431
<RECEIVABLES> 79,232
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 642,663
<PAYABLE-FOR-SECURITIES> 47,348
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 44,826
<TOTAL-LIABILITIES> 92,174
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 481,624
<SHARES-COMMON-STOCK> 81,855
<SHARES-COMMON-PRIOR> 11,614,256
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> (239,226)
<ACCUMULATED-NET-GAINS> 360,314
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (52,223)
<NET-ASSETS> 550,489
<DIVIDEND-INCOME> 690,283
<INTEREST-INCOME> 62,000
<OTHER-INCOME> 0
<EXPENSES-NET> (228,824)
<NET-INVESTMENT-INCOME> 523,459
<REALIZED-GAINS-CURRENT> 21,350,475
<APPREC-INCREASE-CURRENT> (11,812,228)
<NET-CHANGE-FROM-OPS> 10,061,706
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (775,784)
<DISTRIBUTIONS-OF-GAINS> (4,135,387)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 500,376
<NUMBER-OF-SHARES-REDEEMED> (91,341,308)
<SHARES-REINVESTED> 4,179,059
<NET-CHANGE-IN-ASSETS> (81,511,338)
<ACCUMULATED-NII-PRIOR> 179,770
<ACCUMULATED-GAINS-PRIOR> 3,783,492
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 183,059
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 261,735
<AVERAGE-NET-ASSETS> 30,509,772
<PER-SHARE-NAV-BEGIN> 7.07
<PER-SHARE-NII> 0.13
<PER-SHARE-GAIN-APPREC> 1.92
<PER-SHARE-DIVIDEND> (1.49)
<PER-SHARE-DISTRIBUTIONS> (0.90)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 6.73
<EXPENSE-RATIO> 0.75
</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, 1999
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> 6-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> AUG-31-1999
<INVESTMENTS-AT-COST> 156,910,944
<INVESTMENTS-AT-VALUE> 156,994,426
<RECEIVABLES> 503,472
<ASSETS-OTHER> 252,636
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 157,750,534
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 2,208,760
<TOTAL-LIABILITIES> 2,208,760
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 156,559,565
<SHARES-COMMON-STOCK> 12,436,699
<SHARES-COMMON-PRIOR> 14,345,328
<ACCUMULATED-NII-CURRENT> 4,711,835
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> (4,939,995)
<ACCUM-APPREC-OR-DEPREC> (789,631)
<NET-ASSETS> 155,541,774
<DIVIDEND-INCOME> 2,591,538
<INTEREST-INCOME> 270,899
<OTHER-INCOME> 0
<EXPENSES-NET> 600,654
<NET-INVESTMENT-INCOME> 2,261,783
<REALIZED-GAINS-CURRENT> (1,666,101)
<APPREC-INCREASE-CURRENT> 21,408,567
<NET-CHANGE-FROM-OPS> 22,004,249
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (1,936,570)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 4,888
<NUMBER-OF-SHARES-REDEEMED> 2,005,850
<SHARES-REINVESTED> 92,333
<NET-CHANGE-IN-ASSETS> (2,599,760)
<ACCUMULATED-NII-PRIOR> 4,386,622
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> (3,273,894)
<GROSS-ADVISORY-FEES> 480,522
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 782,489
<AVERAGE-NET-ASSETS> 159,303,281
<PER-SHARE-NAV-BEGIN> 11.02
<PER-SHARE-NII> 0.17
<PER-SHARE-GAIN-APPREC> 1.47
<PER-SHARE-DIVIDEND> (0.15)
<PER-SHARE-DISTRIBUTIONS> 0.00
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 12.51
<EXPENSE-RATIO> 0.75
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 113
<NAME> GMO Small Cap Value Fund, Class III
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
<INVESTMENTS-AT-COST> 303,509,926
<INVESTMENTS-AT-VALUE> 280,352,712
<RECEIVABLES> 3,299,796
<ASSETS-OTHER> 6,451,177
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 290,103,685
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 24,326,142
<TOTAL-LIABILITIES> 24,326,142
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 285,540,044
<SHARES-COMMON-STOCK> 21,422,932
<SHARES-COMMON-PRIOR> 29,733,908
<ACCUMULATED-NII-CURRENT> 525,151
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 1,331,045
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (21,618,697)
<NET-ASSETS> 265,777,543
<DIVIDEND-INCOME> 4,591,036
<INTEREST-INCOME> 831,656
<OTHER-INCOME> 0
<EXPENSES-NET> (1,627,684)
<NET-INVESTMENT-INCOME> 3,795,008
<REALIZED-GAINS-CURRENT> 8,100,985
<APPREC-INCREASE-CURRENT> 23,581,962
<NET-CHANGE-FROM-OPS> 35,477,955
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (3,821,691)
<DISTRIBUTIONS-OF-GAINS> (10,205,405)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 27,387,551
<NUMBER-OF-SHARES-REDEEMED> (143,222,234)
<SHARES-REINVESTED> 12,477,700
<NET-CHANGE-IN-ASSETS> (81,906,124)
<ACCUMULATED-NII-PRIOR> 552,066
<ACCUMULATED-GAINS-PRIOR> 2,515,234
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 1,119,033
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,823,849
<AVERAGE-NET-ASSETS> 339,100,928
<PER-SHARE-NAV-BEGIN> 11.69
<PER-SHARE-NII> 0.15
<PER-SHARE-GAIN-APPREC> 1.11
<PER-SHARE-DIVIDEND> (0.14)
<PER-SHARE-DISTRIBUTIONS> (0.40)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 12.41
<EXPENSE-RATIO> 0.48
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 050
<NAME> Pelican Fund
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
<INVESTMENTS-AT-COST> 113,890,879
<INVESTMENTS-AT-VALUE> 116,372,313
<RECEIVABLES> 1,470,727
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 117,843,040
<PAYABLE-FOR-SECURITIES> 276,361
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 533,967
<TOTAL-LIABILITIES> 810,328
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 101,442,760
<SHARES-COMMON-STOCK> 10,493,566
<SHARES-COMMON-PRIOR> 14,235,537
<ACCUMULATED-NII-CURRENT> 245,785
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 12,863,579
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 2,480,588
<NET-ASSETS> 117,032,712
<DIVIDEND-INCOME> 3,307,288
<INTEREST-INCOME> 1,537,928
<OTHER-INCOME> 0
<EXPENSES-NET> (1,666,198)
<NET-INVESTMENT-INCOME> 3,179,018
<REALIZED-GAINS-CURRENT> 45,410,117
<APPREC-INCREASE-CURRENT> (50,354,494)
<NET-CHANGE-FROM-OPS> (1,765,359)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (3,927,061)
<DISTRIBUTIONS-OF-GAINS> (38,462,287)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 9,423,293
<NUMBER-OF-SHARES-REDEEMED> (113,439,710)
<SHARES-REINVESTED> 41,267,246
<NET-CHANGE-IN-ASSETS> (106,903,878)
<ACCUMULATED-NII-PRIOR> 686,825
<ACCUMULATED-GAINS-PRIOR> 6,222,752
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 1,582,393
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,823,047
<AVERAGE-NET-ASSETS> 177,463,269
<PER-SHARE-NAV-BEGIN> 15.73
<PER-SHARE-NII> 0.30
<PER-SHARE-GAIN-APPREC> (0.78)
<PER-SHARE-DIVIDEND> (0.36)
<PER-SHARE-DISTRIBUTIONS> (3.74)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 11.15
<EXPENSE-RATIO> 0.93
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 143
<NAME> GMO U.S. Sector Fund, Class III
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
<INVESTMENTS-AT-COST> 1,796,536
<INVESTMENTS-AT-VALUE> 1,618,365
<RECEIVABLES> 3,318
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 1,621,683
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 19,191
<TOTAL-LIABILITIES> 19,191
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 1,876,105
<SHARES-COMMON-STOCK> 1,602,492
<SHARES-COMMON-PRIOR> 3,636,151
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (95,442)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (178,171)
<NET-ASSETS> 1,602,492
<DIVIDEND-INCOME> 258,780
<INTEREST-INCOME> 764
<OTHER-INCOME> 0
<EXPENSES-NET> 0
<NET-INVESTMENT-INCOME> 259,544
<REALIZED-GAINS-CURRENT> 1,072,292
<APPREC-INCREASE-CURRENT> 1,162,450
<NET-CHANGE-FROM-OPS> 2,494,286
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (259,544)
<DISTRIBUTIONS-OF-GAINS> (601,330)
<DISTRIBUTIONS-OTHER> (429,148)
<NUMBER-OF-SHARES-SOLD> 0
<NUMBER-OF-SHARES-REDEEMED> (17,364,111)
<SHARES-REINVESTED> 932,337
<NET-CHANGE-IN-ASSETS> (15,227,510)
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> (452,598)
<GROSS-ADVISORY-FEES> 46,391
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 72,518
<AVERAGE-NET-ASSETS> 14,058,125
<PER-SHARE-NAV-BEGIN> 4.63
<PER-SHARE-NII> 0.09
<PER-SHARE-GAIN-APPREC> 0.54
<PER-SHARE-DIVIDEND> (0.09)
<PER-SHARE-DISTRIBUTIONS> (0.33)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 4.84
<EXPENSE-RATIO> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 163
<NAME> GMO International Bond Fund, Class III
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
<INVESTMENTS-AT-COST> 156,164,858
<INVESTMENTS-AT-VALUE> 146,321,296
<RECEIVABLES> 2,385,156
<ASSETS-OTHER> 1,841,096
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 150,547,548
<PAYABLE-FOR-SECURITIES> 545,133
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 4,629,227
<TOTAL-LIABILITIES> 5,174,360
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 161,827,531
<SHARES-COMMON-STOCK> 15,816,518
<SHARES-COMMON-PRIOR> 18,065,517
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> (2,483,990)
<ACCUMULATED-NET-GAINS> 469,227
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (14,439,580)
<NET-ASSETS> 145,373,188
<DIVIDEND-INCOME> 165,875
<INTEREST-INCOME> 11,423,732
<OTHER-INCOME> 0
<EXPENSES-NET> (721,377)
<NET-INVESTMENT-INCOME> 10,868,230
<REALIZED-GAINS-CURRENT> (10,728,763)
<APPREC-INCREASE-CURRENT> (4,636,311)
<NET-CHANGE-FROM-OPS> (4,496,844)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (6,522,666)
<DISTRIBUTIONS-OF-GAINS> (3,231,690)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 5,058,435
<NUMBER-OF-SHARES-REDEEMED> (35,022,431)
<SHARES-REINVESTED> 7,759,488
<NET-CHANGE-IN-ASSETS> (36,455,708)
<ACCUMULATED-NII-PRIOR> 4,362,615
<ACCUMULATED-GAINS-PRIOR> 3,257,721
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 417,278
<INTEREST-EXPENSE> 53,732
<GROSS-EXPENSE> 886,792
<AVERAGE-NET-ASSETS> 166,912,983
<PER-SHARE-NAV-BEGIN> 10.06
<PER-SHARE-NII> 0.70
<PER-SHARE-GAIN-APPREC> (0.99)
<PER-SHARE-DIVIDEND> (0.39)
<PER-SHARE-DISTRIBUTIONS> (0.19)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 9.19
<EXPENSE-RATIO> 0.43
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 273
<NAME> GMO Small Cap Growth Fund, Class III
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
<INVESTMENTS-AT-COST> 98,450,631
<INVESTMENTS-AT-VALUE> 149,831,281
<RECEIVABLES> 321,537
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 150,152,818
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 12,863,009
<TOTAL-LIABILITIES> 12,863,009
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 78,147,374
<SHARES-COMMON-STOCK> 8,138,248
<SHARES-COMMON-PRIOR> 11,941,849
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 7,461,400
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 51,681,035
<NET-ASSETS> 137,289,809
<DIVIDEND-INCOME> 425,232
<INTEREST-INCOME> 318,817
<OTHER-INCOME> 0
<EXPENSES-NET> (626,324)
<NET-INVESTMENT-INCOME> 117,725
<REALIZED-GAINS-CURRENT> 17,894,394
<APPREC-INCREASE-CURRENT> 46,843,826
<NET-CHANGE-FROM-OPS> 64,855,945
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (266,924)
<DISTRIBUTIONS-OF-GAINS> (9,060,286)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 6,993,580
<NUMBER-OF-SHARES-REDEEMED> (64,362,173)
<SHARES-REINVESTED> 9,146,296
<NET-CHANGE-IN-ASSETS> 7,306,438
<ACCUMULATED-NII-PRIOR> 109,236
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> (1,332,745)
<GROSS-ADVISORY-FEES> 430,598
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 768,801
<AVERAGE-NET-ASSETS> 130,484,320
<PER-SHARE-NAV-BEGIN> 10.88
<PER-SHARE-NII> 0.01
<PER-SHARE-GAIN-APPREC> 7.02
<PER-SHARE-DIVIDEND> (0.03)
<PER-SHARE-DISTRIBUTIONS> (1.01)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 16.87
<EXPENSE-RATIO> 0.48
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 153
<NAME> GMO Emerging Markets Fund, Class III
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
<INVESTMENTS-AT-COST> 1,181,834,221
<INVESTMENTS-AT-VALUE> 1,206,270,815
<RECEIVABLES> 31,700,957
<ASSETS-OTHER> 21,368,432
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 1,259,340,204
<PAYABLE-FOR-SECURITIES> 21,272,153
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 30,663,036
<TOTAL-LIABILITIES> 51,935,189
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 1,389,345,769
<SHARES-COMMON-STOCK> 65,146,773
<SHARES-COMMON-PRIOR> 83,107,843
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> (2,330,282)
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> (202,505,234)
<ACCUM-APPREC-OR-DEPREC> 22,894,762
<NET-ASSETS> 1,207,405,015
<DIVIDEND-INCOME> 23,435,371
<INTEREST-INCOME> 4,492,716
<OTHER-INCOME> 0
<EXPENSES-NET> (12,572,225)
<NET-INVESTMENT-INCOME> 15,355,862
<REALIZED-GAINS-CURRENT> 136,500,357
<APPREC-INCREASE-CURRENT> 419,116,046
<NET-CHANGE-FROM-OPS> 570,972,265
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (1,880,001)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> (1,583,628)
<NUMBER-OF-SHARES-SOLD> 75,191,088
<NUMBER-OF-SHARES-REDEEMED> (261,224,958)
<SHARES-REINVESTED> 2,615,828
<NET-CHANGE-IN-ASSETS> 421,476,822
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> (3,684,069)
<OVERDIST-NET-GAINS-PRIOR> (359,889,449)
<GROSS-ADVISORY-FEES> 8,754,687
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 12,868,692
<AVERAGE-NET-ASSETS> 1,080,825,560
<PER-SHARE-NAV-BEGIN> 6.31
<PER-SHARE-NII> 0.13
<PER-SHARE-GAIN-APPREC> 4.77
<PER-SHARE-DIVIDEND> (0.05)
<PER-SHARE-DISTRIBUTIONS> 0.00
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 11.16
<EXPENSE-RATIO> 1.18
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 154
<NAME> GMO Emerging Markets Fund, Class IV
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
<INVESTMENTS-AT-COST> 1,181,834,221
<INVESTMENTS-AT-VALUE> 1,206,270,815
<RECEIVABLES> 31,700,957
<ASSETS-OTHER> 21,368,432
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 1,259,340,204
<PAYABLE-FOR-SECURITIES> 21,272,153
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 30,663,036
<TOTAL-LIABILITIES> 51,935,189
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 1,389,345,769
<SHARES-COMMON-STOCK> 43,047,210
<SHARES-COMMON-PRIOR> 41,401,009
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> (2,330,282)
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> (202,505,234)
<ACCUM-APPREC-OR-DEPREC> 22,894,762
<NET-ASSETS> 1,207,405,015
<DIVIDEND-INCOME> 23,435,371
<INTEREST-INCOME> 4,492,716
<OTHER-INCOME> 0
<EXPENSES-NET> (12,572,225)
<NET-INVESTMENT-INCOME> 15,355,862
<REALIZED-GAINS-CURRENT> 136,500,357
<APPREC-INCREASE-CURRENT> 419,116,046
<NET-CHANGE-FROM-OPS> 570,972,265
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (886,390)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> (746,654)
<NUMBER-OF-SHARES-SOLD> 146,997,411
<NUMBER-OF-SHARES-REDEEMED> (108,208,373)
<SHARES-REINVESTED> 230,234
<NET-CHANGE-IN-ASSETS> 421,476,822
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> (3,684,069)
<OVERDIST-NET-GAINS-PRIOR> (359,889,449)
<GROSS-ADVISORY-FEES> 8,754,687
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 12,868,692
<AVERAGE-NET-ASSETS> 1,080,825,560
<PER-SHARE-NAV-BEGIN> 6.31
<PER-SHARE-NII> 0.13
<PER-SHARE-GAIN-APPREC> 4.77
<PER-SHARE-DIVIDEND> (0.05)
<PER-SHARE-DISTRIBUTIONS> 0.00
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 11.16
<EXPENSE-RATIO> 1.13
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 173
<NAME> GMO Emerging Country Debt Fund, Class III
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
<INVESTMENTS-AT-COST> 1,009,784,736
<INVESTMENTS-AT-VALUE> 939,936,152
<RECEIVABLES> 75,215,211
<ASSETS-OTHER> 5,049,706
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 1,020,201,069
<PAYABLE-FOR-SECURITIES> 76,361,496
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 19,377,579
<TOTAL-LIABILITIES> 95,739,075
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 940,720,322
<SHARES-COMMON-STOCK> 43,309,512
<SHARES-COMMON-PRIOR> 65,316,585
<ACCUMULATED-NII-CURRENT> 28,595,715
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> (18,802,077)
<ACCUM-APPREC-OR-DEPREC> (26,051,966)
<NET-ASSETS> 924,461,994
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 95,641,508
<OTHER-INCOME> 0
<EXPENSES-NET> (4,457,983)
<NET-INVESTMENT-INCOME> 91,183,525
<REALIZED-GAINS-CURRENT> 32,158,816
<APPREC-INCREASE-CURRENT> 204,077,093
<NET-CHANGE-FROM-OPS> 327,419,434
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (51,599,442)
<DISTRIBUTIONS-OF-GAINS> (5,234,784)
<DISTRIBUTIONS-OTHER> (46,638)
<NUMBER-OF-SHARES-SOLD> 64,234,029
<NUMBER-OF-SHARES-REDEEMED> (281,219,404)
<SHARES-REINVESTED> 41,374,128
<NET-CHANGE-IN-ASSETS> 150,841,034
<ACCUMULATED-NII-PRIOR> 14,414,488
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> (174,326)
<GROSS-ADVISORY-FEES> 2,943,719
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 4,710,095
<AVERAGE-NET-ASSETS> 841,062,596
<PER-SHARE-NAV-BEGIN> 6.89
<PER-SHARE-NII> 0.84
<PER-SHARE-GAIN-APPREC> 2.20
<PER-SHARE-DIVIDEND> (1.07)
<PER-SHARE-DISTRIBUTIONS> (0.12)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 8.74
<EXPENSE-RATIO> 0.56
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 174
<NAME> GMO Emerging Country Debt Fund, Class IV
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
<INVESTMENTS-AT-COST> 1,009,784,736
<INVESTMENTS-AT-VALUE> 939,936,152
<RECEIVABLES> 75,215,211
<ASSETS-OTHER> 5,049,706
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 1,020,201,069
<PAYABLE-FOR-SECURITIES> 76,361,496
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 19,377,579
<TOTAL-LIABILITIES> 95,739,075
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 940,720,322
<SHARES-COMMON-STOCK> 62,483,099
<SHARES-COMMON-PRIOR> 46,885,196
<ACCUMULATED-NII-CURRENT> 28,595,715
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> (18,802,077)
<ACCUM-APPREC-OR-DEPREC> (26,051,966)
<NET-ASSETS> 924,461,994
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 95,641,508
<OTHER-INCOME> 0
<EXPENSES-NET> (4,457,983)
<NET-INVESTMENT-INCOME> 91,183,525
<REALIZED-GAINS-CURRENT> 32,158,816
<APPREC-INCREASE-CURRENT> 204,077,093
<NET-CHANGE-FROM-OPS> 327,419,434
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (57,663,578)
<DISTRIBUTIONS-OF-GAINS> (6,680,035)
<DISTRIBUTIONS-OTHER> (59,515)
<NUMBER-OF-SHARES-SOLD> 171,859,561
<NUMBER-OF-SHARES-REDEEMED> (113,798,092)
<SHARES-REINVESTED> 62,255,370
<NET-CHANGE-IN-ASSETS> 150,841,034
<ACCUMULATED-NII-PRIOR> 14,414,488
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> (174,326)
<GROSS-ADVISORY-FEES> 2,943,719
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 4,710,095
<AVERAGE-NET-ASSETS> 841,062,596
<PER-SHARE-NAV-BEGIN> 6.90
<PER-SHARE-NII> 0.84
<PER-SHARE-GAIN-APPREC> 2.20
<PER-SHARE-DIVIDEND> (1.08)
<PER-SHARE-DISTRIBUTIONS> (0.12)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 8.74
<EXPENSE-RATIO> 0.51
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 183
<NAME> GMO Global Hedged Equity Fund, Class III
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
<INVESTMENTS-AT-COST> 47,115,759
<INVESTMENTS-AT-VALUE> 45,921,721
<RECEIVABLES> 1,368,731
<ASSETS-OTHER> 61,894
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 47,352,346
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 633,915
<TOTAL-LIABILITIES> 633,915
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 83,029,403
<SHARES-COMMON-STOCK> 6,051,274
<SHARES-COMMON-PRIOR> 6,678,751
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 451,652
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> (36,536,102)
<ACCUM-APPREC-OR-DEPREC> (226,522)
<NET-ASSETS> 46,718,431
<DIVIDEND-INCOME> 722,838
<INTEREST-INCOME> 341,886
<OTHER-INCOME> 0
<EXPENSES-NET> (107,473)
<NET-INVESTMENT-INCOME> 957,251
<REALIZED-GAINS-CURRENT> (5,784,984)
<APPREC-INCREASE-CURRENT> 7,152,159
<NET-CHANGE-FROM-OPS> 2,324,426
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (1,419,125)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 386,191
<NUMBER-OF-SHARES-REDEEMED> (6,365,436)
<SHARES-REINVESTED> 1,121,673
<NET-CHANGE-IN-ASSETS> (3,952,271)
<ACCUMULATED-NII-PRIOR> 322,600
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> (30,115,257)
<GROSS-ADVISORY-FEES> 253,727
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 379,714
<AVERAGE-NET-ASSETS> 50,745,695
<PER-SHARE-NAV-BEGIN> 7.59
<PER-SHARE-NII> 0.16
<PER-SHARE-GAIN-APPREC> 0.20
<PER-SHARE-DIVIDEND> (0.23)
<PER-SHARE-DISTRIBUTIONS> 0.00
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 7.72
<EXPENSE-RATIO> 0.21
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 193
<NAME> GMO Domestic Bond Fund, Class III
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
<INVESTMENTS-AT-COST> 170,250,929
<INVESTMENTS-AT-VALUE> 166,752,722
<RECEIVABLES> 2,749,139
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 169,501,861
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 5,044,630
<TOTAL-LIABILITIES> 5,044,630
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 172,021,639
<SHARES-COMMON-STOCK> 17,825,718
<SHARES-COMMON-PRIOR> 18,150,835
<ACCUMULATED-NII-CURRENT> 895,261
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> (5,912,734)
<ACCUM-APPREC-OR-DEPREC> (2,546,935)
<NET-ASSETS> 164,457,231
<DIVIDEND-INCOME> 953,630
<INTEREST-INCOME> 9,773,691
<OTHER-INCOME> 0
<EXPENSES-NET> (749,535)
<NET-INVESTMENT-INCOME> 9,977,786
<REALIZED-GAINS-CURRENT> (511,643)
<APPREC-INCREASE-CURRENT> (6,297,378)
<NET-CHANGE-FROM-OPS> 3,168,765
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (10,394,028)
<DISTRIBUTIONS-OF-GAINS> (318,238)
<DISTRIBUTIONS-OTHER> (8,745)
<NUMBER-OF-SHARES-SOLD> 23,173,404
<NUMBER-OF-SHARES-REDEEMED> (34,285,798)
<SHARES-REINVESTED> 8,051,201
<NET-CHANGE-IN-ASSETS> (10,613,439)
<ACCUMULATED-NII-PRIOR> 1,320,248
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> (5,082,853)
<GROSS-ADVISORY-FEES> 170,540
<INTEREST-EXPENSE> 323,186
<GROSS-EXPENSE> 829,568
<AVERAGE-NET-ASSETS> 170,548,038
<PER-SHARE-NAV-BEGIN> 9.65
<PER-SHARE-NII> 0.60
<PER-SHARE-GAIN-APPREC> (0.42)
<PER-SHARE-DIVIDEND> (0.58)
<PER-SHARE-DISTRIBUTIONS> (0.02)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 9.23
<EXPENSE-RATIO> 0.44
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 203
<NAME> GMO Currency Hedged International Bond Fund,
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
<INVESTMENTS-AT-COST> 305,156,321
<INVESTMENTS-AT-VALUE> 285,753,393
<RECEIVABLES> 9,612,875
<ASSETS-OTHER> 2,652,354
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 298,018,622
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 14,678,956
<TOTAL-LIABILITIES> 14,678,956
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 291,897,319
<SHARES-COMMON-STOCK> 29,210,729
<SHARES-COMMON-PRIOR> 30,919,079
<ACCUMULATED-NII-CURRENT> 7,564,367
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 2,954,477
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (19,076,497)
<NET-ASSETS> 283,339,666
<DIVIDEND-INCOME> 331,750
<INTEREST-INCOME> 21,283,097
<OTHER-INCOME> 0
<EXPENSES-NET> (1,250,379)
<NET-INVESTMENT-INCOME> 20,364,468
<REALIZED-GAINS-CURRENT> 2,370,822
<APPREC-INCREASE-CURRENT> (6,187,230)
<NET-CHANGE-FROM-OPS> 16,548,060
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (32,068,429)
<DISTRIBUTIONS-OF-GAINS> (3,809,147)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 74,727,562
<NUMBER-OF-SHARES-REDEEMED> (130,694,243)
<SHARES-REINVESTED> 34,924,563
<NET-CHANGE-IN-ASSETS> (40,371,634)
<ACCUMULATED-NII-PRIOR> 19,566,701
<ACCUMULATED-GAINS-PRIOR> 3,345,278
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 781,487
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,488,963
<AVERAGE-NET-ASSETS> 312,598,971
<PER-SHARE-NAV-BEGIN> 10.47
<PER-SHARE-NII> 0.65
<PER-SHARE-GAIN-APPREC> (0.17)
<PER-SHARE-DIVIDEND> (1.11)
<PER-SHARE-DISTRIBUTIONS> (0.14)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 9.70
<EXPENSE-RATIO> 0.40
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 313
<NAME> GMO Inflation Indexed Bond Fund, Class III
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
<INVESTMENTS-AT-COST> 54,575,823
<INVESTMENTS-AT-VALUE> 53,442,213
<RECEIVABLES> 467,908
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 53,910,121
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 1,959,280
<TOTAL-LIABILITIES> 1,959,280
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 53,451,686
<SHARES-COMMON-STOCK> 5,344,578
<SHARES-COMMON-PRIOR> 2,544,042
<ACCUMULATED-NII-CURRENT> 407,403
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> (796,981)
<ACCUM-APPREC-OR-DEPREC> (1,111,267)
<NET-ASSETS> 51,950,841
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 3,004,277
<OTHER-INCOME> 0
<EXPENSES-NET> (292,636)
<NET-INVESTMENT-INCOME> 2,711,641
<REALIZED-GAINS-CURRENT> (510,474)
<APPREC-INCREASE-CURRENT> (867,389)
<NET-CHANGE-FROM-OPS> 1,333,778
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (2,424,991)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 29,494,235
<NUMBER-OF-SHARES-REDEEMED> (3,218,463)
<SHARES-REINVESTED> 1,618,872
<NET-CHANGE-IN-ASSETS> 26,803,431
<ACCUMULATED-NII-PRIOR> 93,454
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> (259,208)
<GROSS-ADVISORY-FEES> 41,797
<INTEREST-EXPENSE> 188,144
<GROSS-EXPENSE> 347,482
<AVERAGE-NET-ASSETS> 41,795,885
<PER-SHARE-NAV-BEGIN> 9.88
<PER-SHARE-NII> 0.65
<PER-SHARE-GAIN-APPREC> (0.30)
<PER-SHARE-DIVIDEND> (0.51)
<PER-SHARE-DISTRIBUTIONS> 0.00
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 9.72
<EXPENSE-RATIO> 0.70
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 213
<NAME> GMO Currency Hedged International Core Fund,
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
<INVESTMENTS-AT-COST> 133,937,915
<INVESTMENTS-AT-VALUE> 127,838,739
<RECEIVABLES> 1,319,232
<ASSETS-OTHER> 683,203
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 129,841,174
<PAYABLE-FOR-SECURITIES> 311,075
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 1,950,015
<TOTAL-LIABILITIES> 2,261,090
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 127,006,663
<SHARES-COMMON-STOCK> 7,474,417
<SHARES-COMMON-PRIOR> 10,505,539
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> (2,037,299)
<ACCUMULATED-NET-GAINS> 7,386,807
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (4,776,087)
<NET-ASSETS> 127,580,084
<DIVIDEND-INCOME> 4,636,796
<INTEREST-INCOME> 591,697
<OTHER-INCOME> 0
<EXPENSES-NET> (1,085,346)
<NET-INVESTMENT-INCOME> 4,143,147
<REALIZED-GAINS-CURRENT> 20,010,581
<APPREC-INCREASE-CURRENT> 8,774,898
<NET-CHANGE-FROM-OPS> 32,928,626
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (2,479,440)
<DISTRIBUTIONS-OF-GAINS> (2,379,277)
<DISTRIBUTIONS-OTHER> (703,048)
<NUMBER-OF-SHARES-SOLD> 10,842,254
<NUMBER-OF-SHARES-REDEEMED> (45,881,263)
<SHARES-REINVESTED> 4,817,120
<NET-CHANGE-IN-ASSETS> (78,825,976)
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> (982,318)
<OVERDIST-NET-GAINS-PRIOR> (4,429,944)
<GROSS-ADVISORY-FEES> 886,758
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,621,658
<AVERAGE-NET-ASSETS> 164,215,841
<PER-SHARE-NAV-BEGIN> 9.28
<PER-SHARE-NII> 0.23
<PER-SHARE-GAIN-APPREC> 1.26
<PER-SHARE-DIVIDEND> (0.42)
<PER-SHARE-DISTRIBUTIONS> (0.31)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 10.04
<EXPENSE-RATIO> 0.69
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 214
<NAME> GMO Currency Hedged International Core Fund,
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
<INVESTMENTS-AT-COST> 133,937,915
<INVESTMENTS-AT-VALUE> 127,838,739
<RECEIVABLES> 1,319,232
<ASSETS-OTHER> 683,203
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 129,841,174
<PAYABLE-FOR-SECURITIES> 311,075
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 1,950,015
<TOTAL-LIABILITIES> 2,261,090
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 127,006,663
<SHARES-COMMON-STOCK> 5,235,942
<SHARES-COMMON-PRIOR> 11,752,364
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> (2,037,299)
<ACCUMULATED-NET-GAINS> 7,386,807
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (4,776,087)
<NET-ASSETS> 127,580,084
<DIVIDEND-INCOME> 4,636,796
<INTEREST-INCOME> 591,697
<OTHER-INCOME> 0
<EXPENSES-NET> (1,085,346)
<NET-INVESTMENT-INCOME> 4,143,147
<REALIZED-GAINS-CURRENT> 20,010,581
<APPREC-INCREASE-CURRENT> 8,774,898
<NET-CHANGE-FROM-OPS> 32,928,626
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (1,769,224)
<DISTRIBUTIONS-OF-GAINS> (3,607,975)
<DISTRIBUTIONS-OTHER> (501,666)
<NUMBER-OF-SHARES-SOLD> 0
<NUMBER-OF-SHARES-REDEEMED> (73,741,873)
<SHARES-REINVESTED> 3,649,790
<NET-CHANGE-IN-ASSETS> (78,825,976)
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> (982,318)
<OVERDIST-NET-GAINS-PRIOR> (4,429,944)
<GROSS-ADVISORY-FEES> 886,758
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,621,658
<AVERAGE-NET-ASSETS> 164,215,841
<PER-SHARE-NAV-BEGIN> 9.27
<PER-SHARE-NII> 0.29
<PER-SHARE-GAIN-APPREC> 1.21
<PER-SHARE-DIVIDEND> (0.43)
<PER-SHARE-DISTRIBUTIONS> (0.31)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 10.03
<EXPENSE-RATIO> 0.63
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 223
<NAME> GMO Global Bond Fund, Class III
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
<INVESTMENTS-AT-COST> 186,654,243
<INVESTMENTS-AT-VALUE> 185,974,932
<RECEIVABLES> 478,344
<ASSETS-OTHER> 1,386,122
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 187,839,398
<PAYABLE-FOR-SECURITIES> 545,133
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 4,564,150
<TOTAL-LIABILITIES> 5,109,283
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 197,784,398
<SHARES-COMMON-STOCK> 19,426,265
<SHARES-COMMON-PRIOR> 16,536,313
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> (6,013,314)
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> (4,071,540)
<ACCUM-APPREC-OR-DEPREC> (4,969,429)
<NET-ASSETS> 182,730,115
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 10,776,989
<OTHER-INCOME> 0
<EXPENSES-NET> (968,575)
<NET-INVESTMENT-INCOME> 9,808,414
<REALIZED-GAINS-CURRENT> (14,577,871)
<APPREC-INCREASE-CURRENT> 779,167
<NET-CHANGE-FROM-OPS> (3,990,290)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (4,475,228)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> (639,858)
<NUMBER-OF-SHARES-SOLD> 55,187,578
<NUMBER-OF-SHARES-REDEEMED> (31,450,926)
<SHARES-REINVESTED> 4,888,345
<NET-CHANGE-IN-ASSETS> 19,519,621
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 198,929
<OVERDISTRIB-NII-PRIOR> (504,944)
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 365,979
<INTEREST-EXPENSE> 313,665
<GROSS-EXPENSE> 1,113,235
<AVERAGE-NET-ASSETS> 192,622,464
<PER-SHARE-NAV-BEGIN> 9.87
<PER-SHARE-NII> 0.51
<PER-SHARE-GAIN-APPREC> (0.71)
<PER-SHARE-DIVIDEND> (0.26)
<PER-SHARE-DISTRIBUTIONS> 0.00
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 9.41
<EXPENSE-RATIO> 0.50
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 233
<NAME> GMO REIT Fund, Class III
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
<INVESTMENTS-AT-COST> 168,103,956
<INVESTMENTS-AT-VALUE> 123,958,671
<RECEIVABLES> 103,267
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 124,061,938
<PAYABLE-FOR-SECURITIES> 3,204,600
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 349,756
<TOTAL-LIABILITIES> 3,554,356
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 182,982,556
<SHARES-COMMON-STOCK> 14,581,930
<SHARES-COMMON-PRIOR> 15,679,339
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 6,717,589
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> (25,047,278)
<ACCUM-APPREC-OR-DEPREC> (44,145,285)
<NET-ASSETS> 120,507,582
<DIVIDEND-INCOME> 8,112,284
<INTEREST-INCOME> 163,011
<OTHER-INCOME> 0
<EXPENSES-NET> (901,971)
<NET-INVESTMENT-INCOME> 7,373,324
<REALIZED-GAINS-CURRENT> (9,292,667)
<APPREC-INCREASE-CURRENT> (2,861,315)
<NET-CHANGE-FROM-OPS> (4,780,658)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (7,382,589)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 33,381,589
<NUMBER-OF-SHARES-REDEEMED> (48,434,770)
<SHARES-REINVESTED> 4,594,949
<NET-CHANGE-IN-ASSETS> (22,621,479)
<ACCUMULATED-NII-PRIOR> 7,233,108
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> (16,260,865)
<GROSS-ADVISORY-FEES> 705,890
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 975,038
<AVERAGE-NET-ASSETS> 130,720,340
<PER-SHARE-NAV-BEGIN> 9.13
<PER-SHARE-NII> 0.51
<PER-SHARE-GAIN-APPREC> (0.87)
<PER-SHARE-DIVIDEND> (0.51)
<PER-SHARE-DISTRIBUTIONS> 0.00
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 8.26
<EXPENSE-RATIO> 0.69
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 242
<NAME> GMO Foreign Fund, Class II
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
<INVESTMENTS-AT-COST> 1,031,938,245
<INVESTMENTS-AT-VALUE> 1,241,109,711
<RECEIVABLES> 9,972,027
<ASSETS-OTHER> 36,964,173
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 1,288,045,911
<PAYABLE-FOR-SECURITIES> 12,068,870
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 52,025,050
<TOTAL-LIABILITIES> 64,093,920
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 983,661,450
<SHARES-COMMON-STOCK> 4,586,703
<SHARES-COMMON-PRIOR> 2,864,266
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> (5,741,231)
<ACCUMULATED-NET-GAINS> 38,633,069
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 207,398,703
<NET-ASSETS> 1,223,951,991
<DIVIDEND-INCOME> 24,685,134
<INTEREST-INCOME> 2,217,997
<OTHER-INCOME> 0
<EXPENSES-NET> (9,034,828)
<NET-INVESTMENT-INCOME> 17,868,303
<REALIZED-GAINS-CURRENT> 148,181,152
<APPREC-INCREASE-CURRENT> 106,542,390
<NET-CHANGE-FROM-OPS> 272,591,845
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (821,414)
<DISTRIBUTIONS-OF-GAINS> (5,886,575)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 17,980,116
<NUMBER-OF-SHARES-REDEEMED> (1,750,554)
<SHARES-REINVESTED> 6,671,247
<NET-CHANGE-IN-ASSETS> 132,304,218
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 17,702,240
<OVERDISTRIB-NII-PRIOR> (5,330,621)
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 7,261,054
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 10,231,040
<AVERAGE-NET-ASSETS> 1,210,175,680
<PER-SHARE-NAV-BEGIN> 11.79
<PER-SHARE-NII> 0.17
<PER-SHARE-GAIN-APPREC> 2.89
<PER-SHARE-DIVIDEND> (0.21)
<PER-SHARE-DISTRIBUTIONS> (1.50)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 13.14
<EXPENSE-RATIO> 0.82
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 243
<NAME> GMO Foreign Fund, Class III
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
<INVESTMENTS-AT-COST> 1,031,938,245
<INVESTMENTS-AT-VALUE> 1,241,109,711
<RECEIVABLES> 9,972,027
<ASSETS-OTHER> 36,964,173
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 1,288,045,911
<PAYABLE-FOR-SECURITIES> 12,068,870
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 52,025,050
<TOTAL-LIABILITIES> 64,093,920
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 983,661,450
<SHARES-COMMON-STOCK> 77,702,492
<SHARES-COMMON-PRIOR> 78,531,599
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> (5,741,231)
<ACCUMULATED-NET-GAINS> 38,633,069
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 207,398,703
<NET-ASSETS> 1,223,951,991
<DIVIDEND-INCOME> 24,685,134
<INTEREST-INCOME> 2,217,997
<OTHER-INCOME> 0
<EXPENSES-NET> (9,034,828)
<NET-INVESTMENT-INCOME> 17,868,303
<REALIZED-GAINS-CURRENT> 148,181,152
<APPREC-INCREASE-CURRENT> 106,542,390
<NET-CHANGE-FROM-OPS> 272,591,845
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (15,074,302)
<DISTRIBUTIONS-OF-GAINS> (106,929,723)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 42,410,128
<NUMBER-OF-SHARES-REDEEMED> (170,216,388)
<SHARES-REINVESTED> 115,039,709
<NET-CHANGE-IN-ASSETS> 132,304,218
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 17,702,240
<OVERDISTRIB-NII-PRIOR> (5,330,621)
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 7,261,054
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 10,231,040
<AVERAGE-NET-ASSETS> 1,210,175,680
<PER-SHARE-NAV-BEGIN> 11.81
<PER-SHARE-NII> 0.20
<PER-SHARE-GAIN-APPREC> 2.86
<PER-SHARE-DIVIDEND> (0.21)
<PER-SHARE-DISTRIBUTIONS> (1.50)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 13.16
<EXPENSE-RATIO> 0.75
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 244
<NAME> GMO Foreign Fund, Class IV
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
<INVESTMENTS-AT-COST> 1,031,938,245
<INVESTMENTS-AT-VALUE> 1,241,109,711
<RECEIVABLES> 9,972,027
<ASSETS-OTHER> 36,964,173
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 1,288,045,911
<PAYABLE-FOR-SECURITIES> 12,068,870
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 52,025,050
<TOTAL-LIABILITIES> 64,093,920
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 983,661,450
<SHARES-COMMON-STOCK> 10,726,851
<SHARES-COMMON-PRIOR> 11,072,392
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> (5,741,231)
<ACCUMULATED-NET-GAINS> 38,633,069
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 207,398,703
<NET-ASSETS> 1,223,951,991
<DIVIDEND-INCOME> 24,685,134
<INTEREST-INCOME> 2,217,997
<OTHER-INCOME> 0
<EXPENSES-NET> (9,034,828)
<NET-INVESTMENT-INCOME> 17,868,303
<REALIZED-GAINS-CURRENT> 148,181,152
<APPREC-INCREASE-CURRENT> 106,542,390
<NET-CHANGE-FROM-OPS> 272,591,845
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (2,182,701)
<DISTRIBUTIONS-OF-GAINS> (14,634,521)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 41,207,751
<NUMBER-OF-SHARES-REDEEMED> (61,585,745)
<SHARES-REINVESTED> 15,485,345
<NET-CHANGE-IN-ASSETS> 132,304,218
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 17,702,240
<OVERDISTRIB-NII-PRIOR> (5,330,621)
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 7,261,054
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 10,231,040
<AVERAGE-NET-ASSETS> 1,210,175,680
<PER-SHARE-NAV-BEGIN> 11.81
<PER-SHARE-NII> 0.21
<PER-SHARE-GAIN-APPREC> 2.86
<PER-SHARE-DIVIDEND> (0.22)
<PER-SHARE-DISTRIBUTIONS> (1.50)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 13.16
<EXPENSE-RATIO> 0.69
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 283
<NAME> GMO International Equity Allocation Fund, Cl
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
<INVESTMENTS-AT-COST> 70,149,084
<INVESTMENTS-AT-VALUE> 76,054,949
<RECEIVABLES> 71,935
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 76,126,884
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 80,036
<TOTAL-LIABILITIES> 80,036
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 75,018,749
<SHARES-COMMON-STOCK> 7,703,655
<SHARES-COMMON-PRIOR> 10,891,670
<ACCUMULATED-NII-CURRENT> 2,339,736
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> (7,217,502)
<ACCUM-APPREC-OR-DEPREC> 5,905,865
<NET-ASSETS> 76,046,848
<DIVIDEND-INCOME> 1,902,062
<INTEREST-INCOME> 456
<OTHER-INCOME> 0
<EXPENSES-NET> 0
<NET-INVESTMENT-INCOME> 1,902,518
<REALIZED-GAINS-CURRENT> (4,394,784)
<APPREC-INCREASE-CURRENT> 22,936,622
<NET-CHANGE-FROM-OPS> 20,444,356
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (624,175)
<DISTRIBUTIONS-OF-GAINS> (2,308,096)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 788,869
<NUMBER-OF-SHARES-REDEEMED> (35,279,502)
<SHARES-REINVESTED> 2,864,228
<NET-CHANGE-IN-ASSETS> (14,114,320)
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 710,352
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 0
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 37,092
<AVERAGE-NET-ASSETS> 84,755,328
<PER-SHARE-NAV-BEGIN> 8.28
<PER-SHARE-NII> 0.22
<PER-SHARE-GAIN-APPREC> 1.73
<PER-SHARE-DIVIDEND> (0.08)
<PER-SHARE-DISTRIBUTIONS> (0.28)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 9.87
<EXPENSE-RATIO> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 253
<NAME> GMO World Equity Allocation Fund, Class III
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
<INVESTMENTS-AT-COST> 10,626,629
<INVESTMENTS-AT-VALUE> 10,845,250
<RECEIVABLES> 2,538
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 10,847,788
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 13,659
<TOTAL-LIABILITIES> 13,659
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 15,960,806
<SHARES-COMMON-STOCK> 1,209,140
<SHARES-COMMON-PRIOR> 3,472,311
<ACCUMULATED-NII-CURRENT> 432,639
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> (5,777,937)
<ACCUM-APPREC-OR-DEPREC> 218,621
<NET-ASSETS> 10,834,129
<DIVIDEND-INCOME> 271,970
<INTEREST-INCOME> 619
<OTHER-INCOME> 0
<EXPENSES-NET> 0
<NET-INVESTMENT-INCOME> 272,589
<REALIZED-GAINS-CURRENT> (5,068,655)
<APPREC-INCREASE-CURRENT> 7,580,313
<NET-CHANGE-FROM-OPS> 2,784,247
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> (1,505,715)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 565,696
<NUMBER-OF-SHARES-REDEEMED> (22,097,620)
<SHARES-REINVESTED> 1,505,715
<NET-CHANGE-IN-ASSETS> (18,747,677)
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 969,384
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 0
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 23,334
<AVERAGE-NET-ASSETS> 12,152,763
<PER-SHARE-NAV-BEGIN> 8.52
<PER-SHARE-NII> 0.20
<PER-SHARE-GAIN-APPREC> 1.69
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (1.45)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 8.96
<EXPENSE-RATIO> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 293
<NAME> GMO Global (U.S.+) Equity Allocation Fund, C
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
<INVESTMENTS-AT-COST> 39,450,265
<INVESTMENTS-AT-VALUE> 36,679,573
<RECEIVABLES> 3,521
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 36,683,094
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 14,250
<TOTAL-LIABILITIES> 14,250
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 39,039,144
<SHARES-COMMON-STOCK> 3,863,392
<SHARES-COMMON-PRIOR> 3,670,478
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 400,392
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (2,770,692)
<NET-ASSETS> 36,668,844
<DIVIDEND-INCOME> 938,133
<INTEREST-INCOME> 690
<OTHER-INCOME> 0
<EXPENSES-NET> 0
<NET-INVESTMENT-INCOME> 938,823
<REALIZED-GAINS-CURRENT> 2,677,867
<APPREC-INCREASE-CURRENT> 2,595,656
<NET-CHANGE-FROM-OPS> 6,212,346
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (938,823)
<DISTRIBUTIONS-OF-GAINS> (2,295,053)
<DISTRIBUTIONS-OTHER> (709,581)
<NUMBER-OF-SHARES-SOLD> 3,382,445
<NUMBER-OF-SHARES-REDEEMED> (2,156,084)
<SHARES-REINVESTED> 699,986
<NET-CHANGE-IN-ASSETS> 4,195,236
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 750,096
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 0
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 30,935
<AVERAGE-NET-ASSETS> 35,729,850
<PER-SHARE-NAV-BEGIN> 8.85
<PER-SHARE-NII> 0.25
<PER-SHARE-GAIN-APPREC> 1.45
<PER-SHARE-DIVIDEND> (0.43)
<PER-SHARE-DISTRIBUTIONS> (0.63)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 9.49
<EXPENSE-RATIO> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 263
<NAME> GMO Global Balanced Allocation Fund, Class I
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
<INVESTMENTS-AT-COST> 126,882,624
<INVESTMENTS-AT-VALUE> 119,086,102
<RECEIVABLES> 4,961
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 119,091,063
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 16,474
<TOTAL-LIABILITIES> 16,474
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 127,127,984
<SHARES-COMMON-STOCK> 11,050,953
<SHARES-COMMON-PRIOR> 12,144,101
<ACCUMULATED-NII-CURRENT> 1,382,361
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> (1,639,234)
<ACCUM-APPREC-OR-DEPREC> (7,796,522)
<NET-ASSETS> 119,074,589
<DIVIDEND-INCOME> 4,884,402
<INTEREST-INCOME> 3,606
<OTHER-INCOME> 0
<EXPENSES-NET> 0
<NET-INVESTMENT-INCOME> 4,888,008
<REALIZED-GAINS-CURRENT> (61,135)
<APPREC-INCREASE-CURRENT> 10,164,723
<NET-CHANGE-FROM-OPS> 14,991,596
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (4,730,381)
<DISTRIBUTIONS-OF-GAINS> (6,097,300)
<DISTRIBUTIONS-OTHER> (7,803)
<NUMBER-OF-SHARES-SOLD> 16,122,366
<NUMBER-OF-SHARES-REDEEMED> (39,052,221)
<SHARES-REINVESTED> 10,247,908
<NET-CHANGE-IN-ASSETS> (8,525,835)
<ACCUMULATED-NII-PRIOR> 14,964
<ACCUMULATED-GAINS-PRIOR> 5,774,406
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 0
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 43,966
<AVERAGE-NET-ASSETS> 116,924,610
<PER-SHARE-NAV-BEGIN> 10.51
<PER-SHARE-NII> 0.44
<PER-SHARE-GAIN-APPREC> 0.91
<PER-SHARE-DIVIDEND> (0.43)
<PER-SHARE-DISTRIBUTIONS> (0.65)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 10.78
<EXPENSE-RATIO> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 303
<NAME> GMO Global Properties Fund, Class III
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
<INVESTMENTS-AT-COST> 0
<INVESTMENTS-AT-VALUE> 0
<RECEIVABLES> 0
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 0
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 0
<TOTAL-LIABILITIES> 0
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 0
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 984,265
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 0
<NET-ASSETS> 0
<DIVIDEND-INCOME> 374,387
<INTEREST-INCOME> 29,460
<OTHER-INCOME> 0
<EXPENSES-NET> (123,412)
<NET-INVESTMENT-INCOME> 280,435
<REALIZED-GAINS-CURRENT> (2,771,445)
<APPREC-INCREASE-CURRENT> 2,076,118
<NET-CHANGE-FROM-OPS> (414,892)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (359,592)
<DISTRIBUTIONS-OF-GAINS> (367,147)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 0
<NUMBER-OF-SHARES-REDEEMED> (7,397,870)
<SHARES-REINVESTED> 707,670
<NET-CHANGE-IN-ASSETS> (7,831,831)
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 121,631
<OVERDISTRIB-NII-PRIOR> (134,280)
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 48,710
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 175,728
<AVERAGE-NET-ASSETS> 8,138,116
<PER-SHARE-NAV-BEGIN> 7.96
<PER-SHARE-NII> 0.28
<PER-SHARE-GAIN-APPREC> (0.66)
<PER-SHARE-DIVIDEND> (0.36)
<PER-SHARE-DISTRIBUTIONS> (0.37)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 6.85
<EXPENSE-RATIO> 1.52
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 323
<NAME> GMO U.S. Bond/Global Alpha A Fund, Class III
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
<INVESTMENTS-AT-COST> 134,535,379
<INVESTMENTS-AT-VALUE> 126,225,646
<RECEIVABLES> 1,739,503
<ASSETS-OTHER> 2,558,083
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 130,523,232
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 10,247,059
<TOTAL-LIABILITIES> 10,247,059
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 127,486,320
<SHARES-COMMON-STOCK> 12,472,150
<SHARES-COMMON-PRIOR> 14,047,932
<ACCUMULATED-NII-CURRENT> 2,497,480
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> (2,448,254)
<ACCUM-APPREC-OR-DEPREC> (7,259,373)
<NET-ASSETS> 120,276,173
<DIVIDEND-INCOME> 132,700
<INTEREST-INCOME> 8,039,245
<OTHER-INCOME> 0
<EXPENSES-NET> (511,227)
<NET-INVESTMENT-INCOME> 7,660,718
<REALIZED-GAINS-CURRENT> (3,455,636)
<APPREC-INCREASE-CURRENT> (1,306,325)
<NET-CHANGE-FROM-OPS> 2,898,757
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (8,388,446)
<DISTRIBUTIONS-OF-GAINS> (1,232,734)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 15,511,210
<NUMBER-OF-SHARES-REDEEMED> (38,795,746)
<SHARES-REINVESTED> 6,580,233
<NET-CHANGE-IN-ASSETS> (23,426,726)
<ACCUMULATED-NII-PRIOR> 3,289,449
<ACCUMULATED-GAINS-PRIOR> 2,184,298
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 309,352
<INTEREST-EXPENSE> 16,266
<GROSS-EXPENSE> 634,145
<AVERAGE-NET-ASSETS> 123,768,527
<PER-SHARE-NAV-BEGIN> 10.23
<PER-SHARE-NII> 0.62
<PER-SHARE-GAIN-APPREC> (0.40)
<PER-SHARE-DIVIDEND> (0.70)
<PER-SHARE-DISTRIBUTIONS> (0.11)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 9.64
<EXPENSE-RATIO> 0.41
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 333
<NAME> GMO U.S. Bond/Global Alpha B Fund, Class III
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
<INVESTMENTS-AT-COST> 166,342,561
<INVESTMENTS-AT-VALUE> 167,128,973
<RECEIVABLES> 446,231
<ASSETS-OTHER> 434,093
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 168,009,297
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 9,855,763
<TOTAL-LIABILITIES> 9,855,763
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 166,646,324
<SHARES-COMMON-STOCK> 22,907,101
<SHARES-COMMON-PRIOR> 19,250,632
<ACCUMULATED-NII-CURRENT> 624,162
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> (9,961,355)
<ACCUM-APPREC-OR-DEPREC> 844,403
<NET-ASSETS> 158,153,534
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 8,480,593
<OTHER-INCOME> 0
<EXPENSES-NET> (569,913)
<NET-INVESTMENT-INCOME> 7,910,680
<REALIZED-GAINS-CURRENT> (10,096,920)
<APPREC-INCREASE-CURRENT> 2,381,375
<NET-CHANGE-FROM-OPS> 195,135
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (6,265,992)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 30,136,852
<NUMBER-OF-SHARES-REDEEMED> (10,324,693)
<SHARES-REINVESTED> 6,265,992
<NET-CHANGE-IN-ASSETS> 20,007,294
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> (873,945)
<OVERDIST-NET-GAINS-PRIOR> (11,422)
<GROSS-ADVISORY-FEES> 317,901
<INTEREST-EXPENSE> 13,589
<GROSS-EXPENSE> 703,075
<AVERAGE-NET-ASSETS> 158,949,965
<PER-SHARE-NAV-BEGIN> 7.18
<PER-SHARE-NII> 0.35
<PER-SHARE-GAIN-APPREC> (0.34)
<PER-SHARE-DIVIDEND> (0.29)
<PER-SHARE-DISTRIBUTIONS> 0.00
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 6.90
<EXPENSE-RATIO> 0.36
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 343
<NAME> GMO Evolving Countries Fund, Class III
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
<INVESTMENTS-AT-COST> 56,022,054
<INVESTMENTS-AT-VALUE> 62,671,738
<RECEIVABLES> 603,021
<ASSETS-OTHER> 2,489,668
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 65,764,427
<PAYABLE-FOR-SECURITIES> 390,000
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 183,556
<TOTAL-LIABILITIES> 573,556
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 58,258,811
<SHARES-COMMON-STOCK> 5,714,403
<SHARES-COMMON-PRIOR> 5,527,608
<ACCUMULATED-NII-CURRENT> 29,179
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 38,097
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 6,864,784
<NET-ASSETS> 65,190,871
<DIVIDEND-INCOME> 802,945
<INTEREST-INCOME> 141,003
<OTHER-INCOME> 0
<EXPENSES-NET> (663,716)
<NET-INVESTMENT-INCOME> 280,232
<REALIZED-GAINS-CURRENT> 14,413,594
<APPREC-INCREASE-CURRENT> 15,392,646
<NET-CHANGE-FROM-OPS> 30,086,472
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> (56,869)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 9,227,832
<NUMBER-OF-SHARES-REDEEMED> (5,838,870)
<SHARES-REINVESTED> 54,017
<NET-CHANGE-IN-ASSETS> 33,472,582
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> (41,489)
<OVERDIST-NET-GAINS-PRIOR> (14,529,528)
<GROSS-ADVISORY-FEES> 336,947
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 749,838
<AVERAGE-NET-ASSETS> 51,838,451
<PER-SHARE-NAV-BEGIN> 5.74
<PER-SHARE-NII> 0.05
<PER-SHARE-GAIN-APPREC> 5.63
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.01)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 11.41
<EXPENSE-RATIO> 1.28
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 353
<NAME> GMO Asia Fund, Class III
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
<INVESTMENTS-AT-COST> 120,517,633
<INVESTMENTS-AT-VALUE> 126,869,653
<RECEIVABLES> 396,664
<ASSETS-OTHER> 837,561
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 128,103,878
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 8,885,829
<TOTAL-LIABILITIES> 8,885,829
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 101,407,413
<SHARES-COMMON-STOCK> 9,650,804
<SHARES-COMMON-PRIOR> 10,094,391
<ACCUMULATED-NII-CURRENT> 73,119
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 12,104,026
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 5,633,491
<NET-ASSETS> 119,218,049
<DIVIDEND-INCOME> 1,176,403
<INTEREST-INCOME> 505,658
<OTHER-INCOME> 0
<EXPENSES-NET> (1,434,756)
<NET-INVESTMENT-INCOME> 247,305
<REALIZED-GAINS-CURRENT> 26,435,103
<APPREC-INCREASE-CURRENT> 20,620,338
<NET-CHANGE-FROM-OPS> 47,302,746
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (220,569)
<DISTRIBUTIONS-OF-GAINS> (3,424,176)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 10,585,446
<NUMBER-OF-SHARES-REDEEMED> (15,849,306)
<SHARES-REINVESTED> 3,419,887
<NET-CHANGE-IN-ASSETS> 41,814,028
<ACCUMULATED-NII-PRIOR> 157,775
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> (10,148,159)
<GROSS-ADVISORY-FEES> 928,350
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,518,954
<AVERAGE-NET-ASSETS> 114,611,054
<PER-SHARE-NAV-BEGIN> 7.67
<PER-SHARE-NII> 0.03
<PER-SHARE-GAIN-APPREC> 5.01
<PER-SHARE-DIVIDEND> (0.02)
<PER-SHARE-DISTRIBUTIONS> (0.34)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 12.35
<EXPENSE-RATIO> 1.25
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 363
<NAME> GMO Tax-Managed U.S. Equities Fund, Class II
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
<INVESTMENTS-AT-COST> 11,290,751
<INVESTMENTS-AT-VALUE> 13,291,646
<RECEIVABLES> 17,963
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 13,309,609
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 34,514
<TOTAL-LIABILITIES> 34,514
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 11,444,408
<SHARES-COMMON-STOCK> 1,050,117
<SHARES-COMMON-PRIOR> 760,573
<ACCUMULATED-NII-CURRENT> 11,954
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> (182,162)
<ACCUM-APPREC-OR-DEPREC> 2,000,895
<NET-ASSETS> 13,275,095
<DIVIDEND-INCOME> 153,611
<INTEREST-INCOME> 23,323
<OTHER-INCOME> 0
<EXPENSES-NET> (53,331)
<NET-INVESTMENT-INCOME> 123,603
<REALIZED-GAINS-CURRENT> (183,244)
<APPREC-INCREASE-CURRENT> 2,070,332
<NET-CHANGE-FROM-OPS> 2,010,691
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (122,085)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 3,214,362
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 56,610
<NET-CHANGE-IN-ASSETS> 5,159,578
<ACCUMULATED-NII-PRIOR> 11,518
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 36,665
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 85,043
<AVERAGE-NET-ASSETS> 11,110,590
<PER-SHARE-NAV-BEGIN> 10.67
<PER-SHARE-NII> 0.13
<PER-SHARE-GAIN-APPREC> 1.97
<PER-SHARE-DIVIDEND> (0.13)
<PER-SHARE-DISTRIBUTIONS> 0.00
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 12.64
<EXPENSE-RATIO> 0.48
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 373
<NAME> GMO Tax-Managed International Equities Fund,
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
<INVESTMENTS-AT-COST> 114,859,655
<INVESTMENTS-AT-VALUE> 110,687,969
<RECEIVABLES> 169,828
<ASSETS-OTHER> 2,046,548
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 112,904,345
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 281,095
<TOTAL-LIABILITIES> 281,095
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 117,974,022
<SHARES-COMMON-STOCK> 10,802,456
<SHARES-COMMON-PRIOR> 1,907,929
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> (598,543)
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> (353,044)
<ACCUM-APPREC-OR-DEPREC> (4,399,185)
<NET-ASSETS> 112,623,250
<DIVIDEND-INCOME> 1,450,802
<INTEREST-INCOME> 117,775
<OTHER-INCOME> 0
<EXPENSES-NET> (527,838)
<NET-INVESTMENT-INCOME> 1,040,739
<REALIZED-GAINS-CURRENT> (631,685)
<APPREC-INCREASE-CURRENT> (4,350,518)
<NET-CHANGE-FROM-OPS> (3,941,464)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (1,040,739)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> (324,705)
<NUMBER-OF-SHARES-SOLD> 98,659,192
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 741,893
<NET-CHANGE-IN-ASSETS> 94,094,177
<ACCUMULATED-NII-PRIOR> 27,931
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> (23,215)
<GROSS-ADVISORY-FEES> 411,732
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 789,698
<AVERAGE-NET-ASSETS> 76,246,063
<PER-SHARE-NAV-BEGIN> 9.71
<PER-SHARE-NII> 0.15
<PER-SHARE-GAIN-APPREC> 0.70
<PER-SHARE-DIVIDEND> (0.10)
<PER-SHARE-DISTRIBUTIONS> (0.03)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 10.43
<EXPENSE-RATIO> 0.69
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 383
<NAME> GMO Emerging Country Debt Share Fund, Class
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
<INVESTMENTS-AT-COST> 90,609,505
<INVESTMENTS-AT-VALUE> 86,289,077
<RECEIVABLES> 3,167
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 86,292,244
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 12,168
<TOTAL-LIABILITIES> 12,168
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 90,601,820
<SHARES-COMMON-STOCK> 9,918,037
<SHARES-COMMON-PRIOR> 6,024,383
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> (1,316)
<ACCUM-APPREC-OR-DEPREC> (4,320,428)
<NET-ASSETS> 86,280,076
<DIVIDEND-INCOME> 9,369,314
<INTEREST-INCOME> 2,443
<OTHER-INCOME> 0
<EXPENSES-NET> 0
<NET-INVESTMENT-INCOME> 9,371,757
<REALIZED-GAINS-CURRENT> 1,061,474
<APPREC-INCREASE-CURRENT> 14,631,128
<NET-CHANGE-FROM-OPS> 25,064,359
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (9,371,757)
<DISTRIBUTIONS-OF-GAINS> (103,181)
<DISTRIBUTIONS-OTHER> (963,503)
<NUMBER-OF-SHARES-SOLD> 20,000,000
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 10,438,441
<NET-CHANGE-IN-ASSETS> 45,064,359
<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> 26,284
<AVERAGE-NET-ASSETS> 65,914,140
<PER-SHARE-NAV-BEGIN> 6.84
<PER-SHARE-NII> 1.10
<PER-SHARE-GAIN-APPREC> 1.97
<PER-SHARE-DIVIDEND> (1.20)
<PER-SHARE-DISTRIBUTIONS> (0.01)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 8.70
<EXPENSE-RATIO> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 393
<NAME> GMO Intrinsic Value Fund, Class III
<S> <C>
<PERIOD-TYPE> 7-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
<INVESTMENTS-AT-COST> 47,118,523
<INVESTMENTS-AT-VALUE> 40,470,567
<RECEIVABLES> 111,102
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 40,581,669
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 1,931,781
<TOTAL-LIABILITIES> 1,931,781
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 44,937,664
<SHARES-COMMON-STOCK> 4,396,330
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 108,358
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 277,663
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (6,673,797)
<NET-ASSETS> 38,649,888
<DIVIDEND-INCOME> 517,844
<INTEREST-INCOME> 40,925
<OTHER-INCOME> 0
<EXPENSES-NET> (110,783)
<NET-INVESTMENT-INCOME> 447,986
<REALIZED-GAINS-CURRENT> 273,877
<APPREC-INCREASE-CURRENT> (5,506,385)
<NET-CHANGE-FROM-OPS> (4,784,522)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (335,842)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 43,761,197
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 9,055
<NET-CHANGE-IN-ASSETS> 38,649,888
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 76,163
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 168,701
<AVERAGE-NET-ASSETS> 40,224,815
<PER-SHARE-NAV-BEGIN> 10.00
<PER-SHARE-NII> 0.11
<PER-SHARE-GAIN-APPREC> (1.24)
<PER-SHARE-DIVIDEND> (0.08)
<PER-SHARE-DISTRIBUTIONS> 0.00
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 8.79
<EXPENSE-RATIO> 0.48
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 2000
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 403
<NAME> GMO Tax-Managed Small Companies Fund, Class
<S> <C>
<PERIOD-TYPE> 9-MOS
<FISCAL-YEAR-END> FEB-29-2000
<PERIOD-END> FEB-29-2000
<INVESTMENTS-AT-COST> 41,356,229
<INVESTMENTS-AT-VALUE> 38,742,652
<RECEIVABLES> 310,666
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 39,053,318
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 53,359
<TOTAL-LIABILITIES> 53,359
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 42,188,144
<SHARES-COMMON-STOCK> 4,098,174
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 65,701
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> (640,309)
<ACCUM-APPREC-OR-DEPREC> (2,613,577)
<NET-ASSETS> 38,999,959
<DIVIDEND-INCOME> 373,872
<INTEREST-INCOME> 104,320
<OTHER-INCOME> 0
<EXPENSES-NET> (188,418)
<NET-INVESTMENT-INCOME> 289,774
<REALIZED-GAINS-CURRENT> (640,309)
<APPREC-INCREASE-CURRENT> (2,613,577)
<NET-CHANGE-FROM-OPS> (2,964,112)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (224,073)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 42,171,883
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 16,261
<NET-CHANGE-IN-ASSETS> 38,999,959
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 148,043
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 244,198
<AVERAGE-NET-ASSETS> 36,219,095
<PER-SHARE-NAV-BEGIN> 10.00
<PER-SHARE-NII> 0.08
<PER-SHARE-GAIN-APPREC> (0.50)
<PER-SHARE-DIVIDEND> (0.06)
<PER-SHARE-DISTRIBUTIONS> 0.00
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 9.52
<EXPENSE-RATIO> 0.70
</TABLE>
To the Trustees of GMO Trust
Page 2
April 18, 2000
April 18, 2000
To the Trustees of GMO Trust
In planning and performing our audits of the financial statements of the GMO
U.S. Sector Fund, GMO Emerging Country Debt Share Fund, GMO Tobacco-Free Core
Fund, GMO Growth Fund, GMO Tax-Managed U.S. Equities Fund, GMO Tax-Managed Small
Companies Fund, GMO Inflation Indexed Bond Fund, GMO Short-Term Income Fund, GMO
Alpha LIBOR Fund, GMO U.S. Core Fund, GMO Small Cap Growth Fund, GMO Intrinsic
Value Fund, GMO World Equity Allocation Fund, GMO Global (U.S. +) Equity
Allocation Fund, GMO International Equity Allocation Fund, GMO Global Balanced
Allocation Fund, GMO REIT Fund, GMO Domestic Bond Fund, GMO Pelican Fund, GMO
Value Fund, GMO Fundamental Value Fund, GMO Small Cap Value Fund, GMO U.S.
Bond/Global Alpha A Fund, GMO U.S. Bond/Global Alpha B Fund, GMO Currency Hedged
International Core Fund, GMO Asia Fund, GMO International Core Fund, GMO Japan
Fund, GMO Tax-Managed International Equities Fund, GMO Emerging Country Debt
Fund, GMO Currency Hedged International Bond Fund, GMO Foreign Fund, GMO Global
Bond Fund, GMO International Bond Fund, GMO Global Hedged Equity Fund, GMO
International Small Companies Fund, GMO Emerging Markets Fund, and GMO Evolving
Countries Fund (each a portfolio of the GMO Trust, hereafter referred to as the
"Trust") for the year ended February 29, 2000, 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 controls may become inadequate
because of changes in conditions or that the effectiveness of their 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 29, 2000.
This report is intended solely for the information and use of management and the
Trustees of the Trust and the Securities and Exchange Commission and is not
intended to be and should not be used by anyone other than these specified
parties.
GMO TRUST
Item 77C
(a) A special meeting of shareholders of GMO Fundamental Value Fund, a series of
GMO Trust, was held on November 3, 1999.
(c) The following proposal was submitted to shareholders:
To consider a change in the Fund's subclassification under the Investment
Company Act of 1940 from a "diversified company" to a "non-diversified
company" as described in Part I of the accompanying Proxy Statement.
Of the votes cast: 81,855.38 were in favor of the proposal and 0 were
opposed.
Item 77Q1
(a) The registrant's declaration of trust was amended to add an additional
series, GMO Alpha LIBOR Fund, and was filed as Exhibit No. 1 to post-effective
amendment no. 60 to the registrant's registration statement under the Investment
Company Act of 1940 on Form N-1A on December 30, 1999 (PEA # 60) and is
incorporated herein by reference to that filing (Accession # 0000950135-005756).
(e) An investment advisory agreement on behalf of GMO Alpha LIBOR Fund was filed
as Exhibit No. 2 to PEA # 60 and is incorporated herein by reference to that
filing (Accession # 0000950135-005756).
Responses to Form N-SAR Sub-Item 77D (for 2/29/00):
February 2000
For all International Equity Funds
Removed the following restriction: The aggregate absolute face value of all
currency forward, currency futures and currency swap contracts (without regard
to sign and assuming no offset of long and short positions, and counting both
components of any contract for differences) will not exceed 50% of the fund's
assets.
For all Fixed Income Funds
Removed the following restriction: The net long exposure of the fund, including
direct investments in securities and long derivative positions, will not exceed
100% of the fund's net assets.
For Global Hedged Equity Fund
Revised the fund's diversification limit as follows: Except for U.S. government
securities, shares of other investment companies, cash, money market instruments
and shares of Underlying Funds, the fund will not invest in any one security to
an extent greater than 5% over the security's weighting the fund's benchmark.
For Emerging Country Debt Fund
The following provisions were deleted from the fund's investment guidelines (in
the statement of additional information) on December 31, 1999.
The face value of derivatives used for investment purposes will be
limited to 25% of the fund's assets.
When long futures contracts and long equity swaps are used for
investment, an amount of cash or high quality debt securities equal to
the face value of all such long derivative positions will be segregated
against such exposure.
The aggregate absolute face value of all futures contracts and swap
contracts (...) will not exceed 100% of the fund's assets.
Certain fixed income funds
The following changes were made to the funds' investment guidelines (in the
statement of additional information) on December 31, 1999.
International Bond and Global Bond Funds: Each fund may invest 25% of
assets in below investment grade securities.
Emerging Country Debt Fund: May invest without limit in below
investment grade securities.
Short-Term Income Fund: May invest in below investment grade
securities (to conform to investment in Alpha LIBOR Fund).
U.S. Global Bond/Alpha B Fund: May invest 5% of assets in below
investment grade securities.
For all GMO Trust Funds
Removed the following restriction: "The Fund will not own other Funds of GMO
Trust."
November 1999
Fixed Income and Emerging Markets Funds
GMO removed the following non-fundamental operating policy from each of the
Fixed Income Funds and each of the Emerging Markets Funds: "The Fund will not
purchase more than 10% of the outstanding securities of any issuer."
Emerging Markets Funds
GMO amended the Emerging Markets Funds' non-fundamental operating policies
regarding cash exposure. Prior to the change, each of the Emerging Markets Funds
were permitted to expose up to 5% of its net assets to cash and money market
instruments. The new policy allows each Emerging Markets Fund to expose up to
10% of its assets to cash and money market instruments. The new limitation is:
"The Fund will not normally have greater than 10% of its net assets exposed to
cash and money market instruments."
GMO TRUST
SUB-ITEM 77H
The following shareholders held greater than 25% of the outstanding shares of a
series of the Trust as of February 29, 2000:
Fund Shareholder
GMO Growth Fund Surdna Foundation Inc
GMO Growth Fund The Northern Trust Company, Trustee of
The Aerospace Cor
GMO Value Fund Leland Stanford Junior University II
GMO Short-Term Income Fund Marshall Jones - GTE IMC
GMO Japan Fund Boston Safe Deposit & Trust Company as
Trustee for the K
GMO Fundamental Value Fund Spelman College
GMO Fundamental Value Fund Spelman College - FVAF
GMO International Small Companies Fund Princeton University TR
GMO U.S. Sector Fund The Herb Society of America Inc
GMO International Bond Fund Saturn & Co A/C 4600712 c/o Investors Bank & Trust
Compa GMO Small Company Growth Fund Bost & Co A/C WFHF6202002 - FBO The Hewlett
Foundation GMO Global Hedged Equity Fund Partners Healthcare System Pooled
Investment Accounts GMO Currency Hedged International Bond FunBost & Co A/C
NYXF1783842 - FBO Bell Atlantic-Fixed Inco GMO Global Bond Fund Fresno County
Employees' Retirement Association GMO World Equity Allocation Fund Mars & Co GMO
World Equity Allocation Fund Longwood College Foundation Inc GMO Global (U.S.+)
Equity Allocation Fund Bost & Co, Yale Trusts GMO U.S. Bond/Global Alpha B Fund
Bost & Co A/C NYXF1783842 - FBO Bell Atlantic-Fixed Inco GMO Asia Fund Princeton
University TR GMO Tax-Managed U.S. Equities Fund Bob & Co - FBO Metcalf c/o
BankBoston GMO Tax-Managed U.S. Equities Fund Dovecote Fund LLC GMO Tax-Managed
International Equities FunGordon Family Trust GMO Intrinsic Value Fund Princeton
University TR GMO Emerging Country Debt Share Fund Sprint Corporate Master Trust
GMO Tax-Managed Small Companies Fund Mac & Co A/C 10260102934 GMO Alpha LIBOR
Fund GMO Global Bond Fund GMO Alpha LIBOR Fund GMO U.S. Bond/Global Alpha B Fund
GMO Currency Hedged International Core FunTrustees of Columbia University in the
City of New York
The following shareholders ceased to hold greater than 25% of the outstanding
shares of a series of the Trust during the period March 1, 1999 through February
29, 2000:
Fund Shareholder
GMO Fundamental Value Fund Leland Stanford Junior University II GMO Fundamental
Value Fund Berea College GMO U.S. Sector Fund Regenstrief Foundation, Inc -
Global Equity Fund GMO World Equity Allocation Fund RJR Nabisco Canada Master
Trust GMO Global Properties Fund Eyk Van Otterloo c/o GMO GMO U.S. Bond/Global
Alpha B Fund Bankers Trust Company Master Custody - FBO Mayo Foundati GMO U.S.
Bond/Global Alpha B Fund Bankers Trust Company Master Custody - FBO Mayo
Foundati GMO Asia Fund Bankers Trust Company TR, GTE Service Corp Pension Trust
GMO Tax-Managed International Equities FunDumaines Trust c/o Gerard Sarnie, CPA
GMO Currency Hedged International Core FunBost & Co A/C NYXF1783862 - FBO Bell
Atlantic-Int'l Equi GMO Evolving Countries Fund Duke University Long-Term
(Endowment) Pool
GMO Trust
FYE 2/29/2000
Monthly Average Assets
Fund Name March April May
Core Fund $ 3,486,735,363 $ 3,593,850,692 $ 3,510,348,932
Growth Fund 164,512,482 170,502,387 165,688,225
Value Fund 207,238,083 213,102,318 219,980,282
Short Term Income Fund 53,590,739 53,192,208 52,798,598
International Core Fund 2,617,695,608 2,661,479,348 2,632,669,295
Japan Fund 135,922,608 114,263,833 70,219,398
Tobacco Free Core Fund 238,767,461 259,856,757 262,688,587
Fundamental Value Fund 83,498,324 86,135,294 91,365,836
International Small Companies Fund 160,381,300 352,989,879 161,000,973
Small Cap Value Fund 343,729,368 164,187,292 377,469,738
Pelican Fund 226,752,403 208,955,433 203,396,020
US Sector Fund 16,218,072 15,141,237 15,647,404
International Bond Fund 183,433,056 179,440,511 175,960,486
Small Cap Growth Fund 128,479,694 130,467,175 132,649,097
Emerging Markets Fund 842,944,151 937,637,698 1,037,980,879
Emerging Country Debt Fund 795,641,584 865,869,525 864,298,190
Global Hedged Equity Fund 50,584,101 50,416,332 52,357,663
Domestic Bond Fund 171,261,815 168,967,354 171,013,572
Currency Hedged International Bond 327,242,546 389,772,753 316,798,999
Inflation Indexed Bond Fund 27,543,445 27,500,929 27,932,351
Currency Hedged International Core 208,339,511 212,022,128 208,414,679
Global Bond Fund 189,320,072 207,635,404 19,648,100
REIT Fund 139,044,007 142,758,683 149,087,820
Foreign Fund 1,127,505,757 1,184,922,509 1,180,688,069
International Equity Allocation Fu 90,647,710 96,654,216 101,248,984
World Equity Allocation Fund 30,524,653 10,022,654 9,734,215
Global (US+) Equity Allocation Fun 33,192,170 34,680,429 36,150,270
Global Balanced Allocation Fund 127,045,870 130,840,144 126,191,992
Global Properties Fund 7,958,130 8,182,509 8,656,650
US Bond/Global Alpha A Fund 138,099,411 134,080,223 122,624,226
US Bond/Global Alpha B Fund 138,429,207 161,205,639 161,144,387
Evolving Countries Fund 34,048,860 37,826,542 43,905,509
Asia Fund 80,532,907 87,935,688 104,674,661
Tax-Managed U.S. Equities Fund 8,342,547 9,032,412 10,962,296
Tax-Managed Small Companies Fund 0 0 0
Intrinsic Value Fund 0 0 0
Alpha LIBOR Fund 0 0 0
Tax-Managed International Equities 18,912,685 20,645,420 23,547,160
Emerging Country Debt Share Fund 427,471,762 45,468,628 63,427,098
Fund Name June July August
Core Fund $ 3,446,479,242 $ 3,576,374,309 $ 3,424,225,344
Growth Fund 162,721,976 172,420,336 167,757,439
Value Fund 218,910,710 244,912,540 235,353,296
Short Term Income Fund 53,541,933 53,314,008 52,727,861
International Core Fund 2,383,425,497 2,443,930,149 2,472,491,891
Japan Fund 59,412,107 14,452,162 14,539,441
Tobacco Free Core Fund 224,827,298 231,065,288 223,456,160
Fundamental Value Fund 87,217,013 14,594,880 208,531
International Small Companies Fund 156,718,387 157,142,475 156,463,422
Small Cap Value Fund 378,905,694 372,004,793 356,379,830
Pelican Fund 194,875,275 185,793,989 177,926,956
US Sector Fund 15,600,898 16,067,813 15,466,700
International Bond Fund 170,330,631 165,686,956 168,766,241
Small Cap Growth Fund 133,162,218 140,856,062 135,087,485
Emerging Markets Fund 1,068,013,157 1,134,026,474 1,058,743,839
Emerging Country Debt Fund 846,295,717 793,908,031 769,766,602
Global Hedged Equity Fund 52,968,009 52,983,581 52,959,075
Domestic Bond Fund 172,041,105 171,907,122 168,475,352
Currency Hedged International Bond 299,546,324 300,947,023 302,196,600
Inflation Indexed Bond Fund 39,542,540 41,510,390 45,106,070
Currency Hedged International Core 206,535,880 172,388,118 144,514,916
Global Bond Fund 190,085,564 188,978,039 190,574,055
REIT Fund 147,806,563 140,251,284 126,075,622
Foreign Fund 1,186,639,518 1,230,362,350 1,248,667,040
International Equity Allocation Fu 97,447,054 82,129,220 81,312,635
World Equity Allocation Fund 10,089,548 10,543,910 10,359,314
Global (US+) Equity Allocation Fun 36,310,442 36,104,742 34,895,423
Global Balanced Allocation Fund 110,984,930 109,141,965 108,524,654
Global Properties Fund 8,544,720 8,426,510 8,323,391
US Bond/Global Alpha A Fund 118,117,730 118,395,047 123,653,507
US Bond/Global Alpha B Fund 160,934,363 164,602,274 165,408,445
Evolving Countries Fund 47,524,508 52,653,141 48,542,043
Asia Fund 115,014,148 122,756,757 114,090,838
Tax-Managed U.S. Equities Fund 10,920,663 11,262,144 10,839,392
Tax-Managed Small Companies Fund 16,838,053 34,460,736 40,407,806
Intrinsic Value Fund 0 0 39,562,112
Alpha LIBOR Fund 0 0 0
Tax-Managed International Equities 29,691,763 81,212,090 83,265,289
Emerging Country Debt Share Fund 64,137,476 64,797,120 63,525,231
Fund Name September October November
Core Fund $ 3,385,872,630 $ 3,207,460,028 $ 3,433,493,190
Growth Fund 171,311,645 163,721,890 178,982,804
Value Fund 229,801,778 211,193,549 216,005,144
Short Term Income Fund 52,272,142 52,523,167 50,698,507
International Core Fund 2,551,746,415 2,498,347,029 2,449,052,658
Japan Fund 15,764,505 15,766,175 15,442,098
Tobacco Free Core Fund 222,543,210 229,151,619 263,434,202
Fundamental Value Fund 217,690 384,460 548,767
International Small Companies Fund 169,587,188 176,263,203 173,960,211
Small Cap Value Fund 352,243,559 315,440,550 331,827,710
Pelican Fund 173,395,274 165,316,803 166,316,890
US Sector Fund 15,318,727 14,774,024 15,554,844
International Bond Fund 17,097,411 164,898,894 164,845,160
Small Cap Growth Fund 138,130,210 119,916,241 133,548,673
Emerging Markets Fund 1,063,207,096 1,010,918,661 1,076,194,442
Emerging Country Debt Fund 793,570,047 819,579,601 880,573,099
Global Hedged Equity Fund 52,791,139 51,197,199 50,206,731
Domestic Bond Fund 167,535,120 165,093,341 173,265,815
Currency Hedged International Bond 302,677,938 304,291,236 310,796,083
Inflation Indexed Bond Fund 45,798,059 46,524,194 48,601,637
Currency Hedged International Core 142,377,613 135,011,018 137,487,181
Global Bond Fund 192,726,052 194,664,937 195,334,487
REIT Fund 126,569,059 116,220,867 116,134,412
Foreign Fund 1,200,770,657 1,186,141,556 1,218,538,282
International Equity Allocation Fu 80,882,936 74,647,393 76,068,949
World Equity Allocation Fund 10,400,588 10,210,185 10,590,655
Global (US+) Equity Allocation Fun 34,862,693 33,908,253 36,244,059
Global Balanced Allocation Fund 108,651,565 107,284,099 110,926,758
Global Properties Fund 8,250,857 8,008,801 7,880,881
US Bond/Global Alpha A Fund 122,590,770 122,563,244 123,027,080
US Bond/Global Alpha B Fund 166,513,300 162,054,370 157,960,520
Evolving Countries Fund 53,215,542 51,545,861 56,654,525
Asia Fund 114,954,582 111,098,635 122,195,102
Tax-Managed U.S. Equities Fund 10,783,217 10,576,862 12,175,360
Tax-Managed Small Companies Fund 39,349,258 37,104,122 39,030,512
Intrinsic Value Fund 38,660,990 37,391,237 41,840,137
Alpha LIBOR Fund 0 0 0
Tax-Managed International Equities 86,579,270 101,581,052 116,357,780
Emerging Country Debt Share Fund 65,704,816 68,703,321 73,972,399
Fund Name December January February
Core Fund $ 3,243,668,372 $ 3,196,416,295 $ 3,073,427,422
Growth Fund 190,876,966 199,714,432 199,327,862
Value Fund 208,129,764 206,469,981 187,310,940
Short Term Income Fund 43,728,301 44,714,487 44,904,150
International Core Fund 2,415,784,548 2,374,594,400 2,188,655,287
Japan Fund 15,035,800 14,686,072 14,199,089
Tobacco Free Core Fund 309,619,715 328,044,303 320,158,937
Fundamental Value Fund 547,805 580,470 566,350
International Small Companies Fund 170,093,739 170,877,338 184,750,938
Small Cap Value Fund 316,704,958 293,551,557 275,801,020
Pelican Fund 158,233,249 141,925,628 124,330,136
US Sector Fund 15,655,214 11,026,211 1,596,001
International Bond Fund 161,536,424 149,893,527 146,444,732
Small Cap Growth Fund 125,245,217 123,237,491 125,117,349
Emerging Markets Fund 1,179,281,234 1,293,046,891 1,274,668,181
Emerging Country Debt Fund 880,613,970 872,659,916 915,488,059
Global Hedged Equity Fund 47,561,400 47,695,207 47,102,512
Domestic Bond Fund 175,816,141 171,751,280 169,359,406
Currency Hedged International Bond 305,940,905 295,015,413 296,621,241
Inflation Indexed Bond Fund 49,636,695 50,760,543 51,537,059
Currency Hedged International Core 136,678,448 135,455,780 130,532,314
Global Bond Fund 193,604,113 188,140,909 184,956,537
REIT Fund 113,722,283 128,961,126 121,769,960
Foreign Fund 1,253,149,401 1,270,559,214 1,234,099,824
International Equity Allocation Fu 78,208,317 80,233,290 77,501,351
World Equity Allocation Fund 10,866,075 11,215,590 10,956,399
Global (US+) Equity Allocation Fun 38,023,705 37,603,064 36,827,236
Global Balanced Allocation Fund 122,373,860 121,971,657 119,094,766
Global Properties Fund 7,907,785 8,008,997 7,475,292
US Bond/Global Alpha A Fund 123,726,402 118,582,876 119,580,025
US Bond/Global Alpha B Fund 156,615,923 155,669,594 157,090,425
Evolving Countries Fund 61,698,285 67,563,807 67,501,966
Asia Fund 130,546,675 137,133,365 135,131,423
Tax-Managed U.S. Equities Fund 12,719,872 12,964,659 12,807,768
Tax-Managed Small Companies Fund 38,960,282 39,963,561 38,308,395
Intrinsic Value Fund 42,176,428 42,271,406 39,566,451
Alpha LIBOR Fund 0 327,792,577 366,621,998
Tax-Managed International Equities 118,945,753 120,668,036 114,335,798
Emerging Country Debt Share Fund 76,432,787 79,341,570 83,669,315
GMO Trust
FYE 2/29/00
Annual Expense Ratios
Fund Name Class 3
U.S. 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 Fu 0.75%
Small Cap Value Fund 0.48%
Pelican Fund 0.93%
U.S. Sector Fund 0.00%
International Bond Fund 0.43%
Small Cap Growth Fund 0.48%
Emerging Markets Fund 1.18%
Emerging Country Debt Fund 0.56%
Global Hedged Equity Fund 0.21%
Domestic Bond Fund 0.44%
Currency Hedged International Bo 0.40%
Inflation Indexed Bond Fund 0.70%
Currency Hedged International Co 0.69%
Global Bond Fund 0.50%
REIT Fund 0.69%
Foreign Fund 0.75%
International Equity Allocation 0.00%
World Equity Allocation Fund 0.00%
Global (U.S.+) Equity Allocation 0.00%
Global Balanced Allocation Fund 0.00%
US Bond/Global Alpha A Fund 0.41%
US Bond/Global Alpha B Fund 0.36%
Evolving Countries Fund 1.28%
Asia Fund 1.25%
Tax-Managed U.S. Equities Fund 0.48%
Emerging Country Debt Share Fund 0.00%
Tax-Managed International Equiti 0.69%
Intrinsic Value Fund 0.48%
Tax-Managed Small Companies Fund 0.70%
Alpha LIBOR Fund 0.40%
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>
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Exchanges Exchanges
March Purchases In Redemptio Out Purchases Redemptions
Fund Name 6 month totals Series #
Core Fund 53,611 0 31,484 8,189 53,611 39,673 261,000 492,831 1
International Core Fund 0 17,848 91,260 100 17,848 91,360 234,836 712,778 3
Growth Fund 0 561 5,368 0 561 5,368 1,570 9,713 4
Pelican Fund 2,273 0 26,667 0 2,273 26,667 6,248 68,849 5
Short Term Income Fund 72 590 828 12 662 840 4,844 7,291 6
Japan Fund 207 1,206 24,126 0 1,413 24,126 6,178 145,028 7
Value Fund 0 234 2,377 0 234 2,377 39,854 23,962 8
Tobacco Free Core Fund 15,060 0 300 0 15,060 300 35,514 58,155 9
Fundamental Value Fund 0 0 0 0 0 0 0 91,112 10
Small Cap Value Fund 189 0 3,965 0 189 3,965 10,011 38,192 11
International Small Companie 55 0 2,342 1,351 55 3,693 55 23,842 13
US Sector Fund 0 0 0 0 0 0 0 2,635 14
Emerging Markets Fund 2,598 0 13,152 14,626 2,598 27,778 78,209 149,051 15
International Bond Fund 1,604 815 549 0 2,419 549 4,434 13,136 16
Emerging Country Debt Fund 47 525 4,518 15 572 4,533 94,287 157,937 17
Global Hedged Equity Fund 0 0 100 0 0 100 141 1,689 18
Domestic Bond Fund 138 1,400 7,087 1,134 1,538 8,221 10,572 15,379 19
Currency Hedged Internationa 16 758 200 0 774 200 69,022 92,126 20
Currency Hedged Internationa 0 0 15,191 834 0 16,025 9,741 103,689 21
Global Bond Fund 50,025 0 125 0 50,025 125 54,144 23,139 22
REIT Fund 0 0 3,223 0 0 3,223 12,282 27,164 23
Foreign Fund 16,565 0 14,971 0 16,565 14,971 75,717 111,800 24
World Equity Allocation Fund 215 0 0 0 215 0 566 22,098 25
Global Balanced Allocation F 0 0 3,157 0 0 3,157 2,608 31,588 26
Small Cap Growth Fund 100 0 2,278 0 100 2,278 1,958 9,357 27
International Equity Allocat 39 0 2,623 0 39 2,623 39 27,680 28
Global (US+) Equity Allocati 82 0 341 0 82 341 768 1,093 29
Global Properties Fund 0 0 6 0 0 6 0 81 30
Inflation Indexed Bond Fund 1 2,576 5 0 2,577 5 21,391 1,460 31
US Bond/Global Alpha A Fund 24 100 8,429 0 124 8,429 11,361 30,790 32
US Bond/Global Alpha B Fund 0 0 0 0 0 0 30,137 4 33
Evolving Countries Fund 2 0 1,301 0 2 1,301 6,534 5,233 34
Asia Fund 250 0 7,857 0 250 7,857 10,371 7,857 35
Tax-Managed U.S. Equities Fu 0 0 0 0 0 0 2,189 0 36
Tax-Managed International Eq 0 0 0 0 0 0 60,998 0 37
Emerging Country Debt Share 0 0 0 0 0 0 20,000 0 38
~
Exchanges Exchanges
April Purchases In Redemptio Out Purchases RedemptioSeries #
Fund Name
~
Core Fund 44,960 38,821 174,059 237 83,781 174,296 1
International Core Fund 65,369 892 116,682 274 66,261 116,956 3
Growth Fund 1 1 847 1,826 2 2,673 4
Pelican Fund 779 0 4,582 0 779 4,582 5
Short Term Income Fund 449 150 598 214 599 812 6
Japan Fund 3,958 0 63,905 38 3,958 63,943 7
Value Fund 0 0 3,940 3,245 0 7,185 8
Tobacco Free Core Fund 0 0 114 0 0 114 9
Fundamental Value Fund 0 0 0 0 0 0 10
Small Cap Value Fund 96 0 3,075 6,679 96 9,754 11
International Small Companie 0 0 8,810 0 0 8,810 13
US Sector Fund 0 0 0 0 0 0 14
Emerging Markets Fund 15,684 27,286 42,021 1,334 42,970 43,355 15
International Bond Fund 188 996 8,954 0 1,184 8,954 16
Emerging Country Debt Fund 27,005 1,713 12,582 0 28,718 12,582 17
Global Hedged Equity Fund 0 0 1,203 0 0 1,203 18
Domestic Bond Fund 3,437 1,757 0 1,360 5,194 1,360 19
Currency Hedged Internationa 57,661 0 734 0 57,661 734 20
Currency Hedged Internationa 8,600 274 14,137 0 8,874 14,137 21
Global Bond Fund 4,000 0 21,876 4 4,000 21,880 22
REIT Fund 0 5 2,437 4,746 5 7,183 23
Foreign Fund 0 37,958 72,148 51 37,958 72,199 24
World Equity Allocation Fund 0 0 22,098 0 0 22,098 25
Global Balanced Allocation F 282 14 71 536 296 607 26
Small Cap Growth Fund 0 0 1,746 2,949 0 4,695 27
International Equity Allocat 0 0 60 0 0 60 28
Global (US+) Equity Allocati 5 0 0 0 5 0 29
Global Properties Fund 0 0 65 0 0 65 30
Inflation Indexed Bond Fund 124 1 490 2 125 492 31
US Bond/Global Alpha A Fund 833 0 606 12,455 833 13,061 32
US Bond/Global Alpha B Fund 22,500 0 0 0 22,500 0 33
Evolving Countries Fund 1 5 800 0 6 800 34
Asia Fund 0 4 0 0 4 0 35
Tax-Managed U.S. Equities Fu 2,000 0 0 0 2,000 0 36
Tax-Managed International Eq 3,000 0 0 0 3,000 0 37
Emerging Country Debt Share 0 0 0 0 0 0 38
~
Exchanges Exchanges
May Purchases In Redemptio Out Purchases RedemptioSeries #
Fund Name
~
Core Fund 12,174 2,183 95,706 1,500 14,357 97,206 1
International Core Fund 3,439 431 241,492 0 3,870 241,492 3
Growth Fund 0 0 1,637 0 0 1,637 4
Pelican Fund 640 0 21,846 0 640 21,846 5
Short Term Income Fund 809 0 1,599 221 809 1,820 6
Japan Fund 0 0 1,977 0 0 1,977 7
Value Fund 0 0 950 0 0 950 8
Tobacco Free Core Fund 0 453 114 0 453 114 9
Fundamental Value Fund 0 0 0 0 0 0 10
Small Cap Value Fund 229 356 7,207 0 585 7,207 11
International Small Companie 0 0 3,807 0 0 3,807 13
US Sector Fund 0 0 0 0 0 0 14
Emerging Markets Fund 3,489 183 23,547 0 3,672 23,547 15
International Bond Fund 10 0 567 0 10 567 16
Emerging Country Debt Fund 28,099 75 11,648 27,241 28,174 38,889 17
Global Hedged Equity Fund 0 0 0 0 0 0 18
Domestic Bond Fund 0 1,901 0 0 1,901 0 19
Currency Hedged Internationa 201 0 79,650 7,708 201 87,358 20
Currency Hedged Internationa 0 0 1,526 0 0 1,526 21
Global Bond Fund 119 0 106 0 119 106 22
REIT Fund 345 300 350 0 645 350 23
Foreign Fund (32,976) 33,121 1,094 145 145 1,239 24
World Equity Allocation Fund 0 0 0 0 0 0 25
Global Balanced Allocation F 0 0 11,588 10,594 0 22,182 26
Small Cap Growth Fund 0 143 175 0 143 175 27
International Equity Allocat 0 0 60 0 0 60 28
Global (US+) Equity Allocati 10 0 0 0 10 0 29
Global Properties Fund 0 0 0 0 0 0 30
Inflation Indexed Bond Fund 0 669 2 0 669 2 31
US Bond/Global Alpha A Fund 250 0 4,227 0 250 4,227 32
US Bond/Global Alpha B Fund 0 2,745 0 0 2,745 0 33
Evolving Countries Fund 1 0 1,000 0 1 1,000 34
Asia Fund 1 108 0 0 109 0 35
Tax-Managed U.S. Equities Fu 100 0 0 0 100 0 36
Tax-Managed International Eq 0 0 0 0 0 0 37
Emerging Country Debt Share 20,000 0 0 0 20,000 0 38
~
Exchanges Exchanges
June Purchases In Redemptio Out Purchases RedemptioSeries #
Fund Name
~
Core Fund 4,906 2,020 35,178 7,688 6,926 42,866 1
International Core Fund 61,384 4,271 174,179 27,698 65,655 201,877 3
Growth Fund 0 0 0 0 0 0 4
Pelican Fund 1,094 0 11,089 0 1,094 11,089 5
Short Term Income Fund 0 1,538 633 590 1,538 1,223 6
Japan Fund 1 0 44,389 38 1 44,427 7
Value Fund 30,742 8,078 13,400 0 38,820 13,400 8
Tobacco Free Core Fund 0 0 57,085 142 0 57,227 9
Fundamental Value Fund 0 0 48,698 7,279 0 55,977 10
Small Cap Value Fund 1,246 1,736 0 1,978 2,982 1,978 11
International Small Companie 0 0 1,588 46 0 1,634 13
US Sector Fund 0 0 0 0 0 0 14
Emerging Markets Fund 1,726 105 0 27,674 1,831 27,674 15
International Bond Fund 100 168 1,287 1,187 268 2,474 16
Emerging Country Debt Fund 29,874 1,472 58,193 0 31,346 58,193 17
Global Hedged Equity Fund 0 0 192 94 0 286 18
Domestic Bond Fund (1,024) 1,982 1,211 630 958 1,841 19
Currency Hedged Internationa 0 141 1,745 51 141 1,796 20
Currency Hedged Internationa 864 3 866 4,672 867 5,538 21
Global Bond Fund 0 0 975 0 0 975 22
REIT Fund 1 0 494 0 1 494 23
Foreign Fund 0 6,653 18,540 0 6,653 18,540 24
World Equity Allocation Fund 350 0 0 0 350 0 25
Global Balanced Allocation F 314 42 5,458 0 356 5,458 26
Small Cap Growth Fund 0 1,540 726 1,000 1,540 1,726 27
International Equity Allocat 0 0 0 24,757 0 24,757 28
Global (US+) Equity Allocati 0 0 347 0 0 347 29
Global Properties Fund 0 0 10 0 0 10 30
Inflation Indexed Bond Fund 960 11,569 702 0 12,529 702 31
US Bond/Global Alpha A Fund 0 4 241 1,215 4 1,456 32
US Bond/Global Alpha B Fund 0 0 4 0 0 4 33
Evolving Countries Fund 1 0 500 0 1 500 34
Asia Fund 3 0 0 0 3 0 35
Tax-Managed U.S. Equities Fu 0 0 0 0 0 0 36
Tax-Managed International Eq 15,302 41,682 0 0 56,984 0 37
Emerging Country Debt Share 0 0 0 0 0 0 383 month totals
Tax-Managed Small Companies 0 6,251 0 0 16,887 0 40 41,147 0
~
Exchanges Exchanges
July Purchases In Redemptio Out Purchases RedemptioSeries #
Fund Name
~
Core Fund 71,276 0 10,490 14,954 71,276 25,444 1
International Core Fund 59,207 14,944 10,044 691 74,151 10,735 3
Growth Fund 0 1,007 0 0 1,007 0 4
Pelican Fund 889 0 13 2,084 889 2,097 5
Short Term Income Fund 125 1,079 1,060 15 1,204 1,075 6
Japan Fund 806 0 10,555 0 806 10,555 7
Value Fund 800 0 0 0 800 0 8
Tobacco Free Core Fund 20,001 0 172 0 20,001 172 9
Fundamental Value Fund 0 0 35,135 0 0 35,135 10
Small Cap Value Fund 128 10 11,267 3,273 138 14,540 11
International Small Companie 0 0 3,008 0 0 3,008 13
US Sector Fund 0 0 0 0 0 0 14
Emerging Markets Fund 17,505 942 0 20,279 18,447 20,279 15
International Bond Fund 505 0 450 1 505 451 16
Emerging Country Debt Fund 0 1,403 38,296 503 1,403 38,799 17
Global Hedged Equity Fund 0 0 0 0 0 0 18
Domestic Bond Fund 690 0 672 31 690 703 19
Currency Hedged Internationa 10,111 3 999 1 10,114 1,000 20
Currency Hedged Internationa 0 0 56,600 9,524 0 66,124 21
Global Bond Fund 0 0 0 0 0 0 22
REIT Fund 7,600 70 15,764 0 7,670 15,764 23
Foreign Fund 786 15 453 1 801 454 24
World Equity Allocation Fund 0 0 0 0 0 0 25
Global Balanced Allocation F 1,956 0 104 0 1,956 104 26
Small Cap Growth Fund 0 175 253 0 175 253 27
International Equity Allocat 0 0 60 0 0 60 28
Global (US+) Equity Allocati 27 28 78 0 55 78 29
Global Properties Fund 0 0 0 0 0 0 30
Inflation Indexed Bond Fund 5,000 0 259 0 5,000 259 31
US Bond/Global Alpha A Fund 10,000 0 1,220 20 10,000 1,240 32
US Bond/Global Alpha B Fund 4,892 0 0 0 4,892 0 33
Evolving Countries Fund 0 250 0 1,570 250 1,570 34
Asia Fund 2 0 0 0 2 0 35
Tax-Managed U.S. Equities Fu 0 5 0 0 5 0 36
Tax-Managed International Eq 2 12 0 0 14 0 37
Emerging Country Debt Share 0 0 0 0 0 0 38
Tax-Managed Small Companies 0 0 0 0 24,260 0 40
~
Exchanges Exchanges
August Purchases In Redemptio Out Purchases RedemptioSeries #
Fund Name
~
Core Fund 31,049 0 113,346 0 31,049 113,346 1
International Core Fund 7,051 0 48,504 1,854 7,051 50,358 3
Growth Fund 0 0 35 0 0 35 4
Pelican Fund 573 0 2,568 0 573 2,568 5
Short Term Income Fund 32 0 1,396 125 32 1,521 6
Japan Fund 0 0 0 0 0 0 7
Value Fund 0 0 50 0 0 50 8
Tobacco Free Core Fund 0 0 228 0 0 228 9
Fundamental Value Fund 0 0 0 0 0 0 10
Small Cap Value Fund 6,021 0 748 0 6,021 748 11
International Small Companie 0 0 2,890 0 0 2,890 13
US Sector Fund 0 0 2,635 0 0 2,635 14
Emerging Markets Fund 8,191 500 0 6,418 8,691 6,418 15
International Bond Fund 48 0 141 0 48 141 16
Emerging Country Debt Fund 1,825 2,249 3,941 1,000 4,074 4,941 17
Global Hedged Equity Fund 125 16 100 0 141 100 18
Domestic Bond Fund 291 0 3,254 0 291 3,254 19
Currency Hedged Internationa 131 0 1,038 0 131 1,038 20
Currency Hedged Internationa 0 0 339 0 0 339 21
Global Bond Fund 0 0 53 0 0 53 22
REIT Fund 3,961 0 150 0 3,961 150 23
Foreign Fund 11,741 1,854 4,397 0 13,595 4,397 24
World Equity Allocation Fund 1 0 0 0 1 0 25
Global Balanced Allocation F 0 0 80 0 0 80 26
Small Cap Growth Fund 0 0 230 0 0 230 27
International Equity Allocat 0 0 120 0 0 120 28
Global (US+) Equity Allocati 616 0 327 0 616 327 29
Global Properties Fund 0 0 0 0 0 0 30
Inflation Indexed Bond Fund 0 491 0 0 491 0 31
US Bond/Global Alpha A Fund 150 0 1,886 491 150 2,377 32
US Bond/Global Alpha B Fund 0 0 0 0 0 0 33
Evolving Countries Fund 2,788 3,486 62 0 6,274 62 34
Asia Fund 10,003 0 0 0 10,003 0 35
Tax-Managed U.S. Equities Fu 84 0 0 0 84 0 36
Tax-Managed International Eq 1,000 0 0 0 1,000 0 37
Emerging Country Debt Share 0 0 0 0 0 0 381 month total
Intrinsic Value Fund 0 0 0 0 39,768 0 39 39,768 0
Tax-Managed Small Companies 0 0 0 0 0 0 40
~
Exchanges Exchanges
September Purchases In Redemptio Out Purchases RedemptioSeries # 6 month totals
Fund Name
~
Core Fund 3,134 212 21,763 0 3,346 21,763 1 109,221 604,144
International Core Fund 15,272 75,863 21,492 20,973 91,135 42,465 3 124,228 324,276
Growth Fund 0 0 195 0 0 195 4 287 12,409
Pelican Fund 609 0 1,701 0 609 1,701 5 3,175 44,590
Short Term Income Fund 220 0 4 0 220 4 6 10,791 20,829
Japan Fund 0 0 90 0 0 90 7 61 557
Value Fund 100 0 400 676 100 1,076 8 399 18,855
Tobacco Free Core Fund 3,278 0 0 0 3,278 0 9 87,572 4,316
Fundamental Value Fund 0 0 0 0 0 0 10 500 229
Small Cap Value Fund 127 0 3,569 0 127 3,569 11 17,376 105,030
International Small Companie 1 26,015 47 0 26,016 47 13 51,023 23,756
US Sector Fund 0 0 0 0 0 0 14 0 14,729
Emerging Markets Fund 2,086 500 0 2,277 2,586 2,277 15 143,979 220,382
International Bond Fund 10 0 8,861 70 10 8,931 16 624 21,886
Emerging Country Debt Fund 572 0 3,533 1,000 572 4,533 17 94,287 157,937
Global Hedged Equity Fund 0 0 700 0 0 700 18 245 4,676
Domestic Bond Fund 388 0 2,843 0 388 2,843 19 12,602 18,907
Currency Hedged Internationa 4 0 2,234 790 4 3,024 20 5,706 38,568
Currency Hedged Internationa 300 0 0 9,133 300 9,133 21 1,101 15,933
Global Bond Fund 0 0 0 0 0 0 22 1,043 8,312
REIT Fund 151 0 250 0 151 250 23 21,100 21,271
Foreign Fund 4,272 0 15,521 75,863 4,272 91,384 24 25,882 121,753
World Equity Allocation Fund 0 0 0 0 0 0 25 0 0
Global Balanced Allocation F 22 0 0 0 22 0 26 13,514 7,464
Small Cap Growth Fund 0 0 1,596 0 0 1,596 27 5,036 55,005
International Equity Allocat 0 0 5,000 0 0 5,000 28 750 7,599
Global (US+) Equity Allocati 51 0 185 0 51 185 29 2,614 1,064
Global Properties Fund 0 0 6 0 0 6 30 0 81
Inflation Indexed Bond Fund 11 819 0 0 830 0 31 8,103 1,758
US Bond/Global Alpha A Fund 0 0 178 171 0 349 32 4,151 8,006
US Bond/Global Alpha B Fund 0 0 0 0 0 0 33 0 10,321
Evolving Countries Fund 0 500 0 0 500 0 34 2,694 606
Asia Fund 0 0 0 0 0 0 35 214 7,992
Tax-Managed U.S. Equities Fu 0 0 0 0 0 0 36 1,026 0
Tax-Managed International Eq 3,281 2,575 0 0 5,856 0 37 37,661 0
Emerging Country Debt Share 0 0 0 0 0 0 38 0 0
Intrinsic Value Fund 0 107,161 0 0 676 0 39 3,993 0
Tax-Managed Small Companies 0 0 0 0 0 0 40 1,025 0
~
Exchanges Exchanges
October Purchases In Redemptio Out Purchases RedemptioSeries #
Fund Name
~
Core Fund 0 4,223 57,585 32,125 4,223 89,710 1
International Core Fund 2,916 6 49,125 20,846 2,922 69,971 3
Growth Fund 1 74 2,480 0 75 2,480 4
Pelican Fund 725 0 1,952 0 725 1,952 5
Short Term Income Fund 22 19 20 458 41 478 6
Japan Fund 0 3 387 0 3 387 7
Value Fund 0 201 7,141 0 201 7,141 8
Tobacco Free Core Fund 12,186 0 60 0 12,186 60 9
Fundamental Value Fund 500 0 0 229 500 229 10
Small Cap Value Fund 0 0 20,733 65 0 20,798 11
International Small Companie 0 0 2,169 0 0 2,169 13
US Sector Fund 0 0 0 0 0 0 14
Emerging Markets Fund 73 576 0 32,959 649 32,959 15
International Bond Fund 8 0 126 0 8 126 16
Emerging Country Debt Fund 28,688 30 11,582 1,000 28,718 12,582 17
Global Hedged Equity Fund 0 0 6 136 0 142 18
Domestic Bond Fund 2,876 0 940 3 2,876 943 19
Currency Hedged Internationa 1 5,426 1,017 1,266 5,427 2,283 20
Currency Hedged Internationa 0 0 0 73 0 73 21
Global Bond Fund 0 0 72 0 0 72 22
REIT Fund 0 0 5,507 3 0 5,510 23
Foreign Fund 1,379 3 919 0 1,382 919 24
World Equity Allocation Fund 0 0 0 0 0 0 25
Global Balanced Allocation F 60 0 0 0 60 0 26
Small Cap Growth Fund 0 0 15,809 0 0 15,809 27
International Equity Allocat 0 0 2,065 0 0 2,065 28
Global (US+) Equity Allocati 5 0 0 0 5 0 29
Global Properties Fund 0 0 65 0 0 65 30
Inflation Indexed Bond Fund 49 1,261 200 0 1,310 200 31
US Bond/Global Alpha A Fund 0 0 34 2,143 0 2,177 32
US Bond/Global Alpha B Fund 0 0 0 5,426 0 5,426 33
Evolving Countries Fund 0 563 0 506 563 506 34
Asia Fund 0 0 0 0 0 0 35
Tax-Managed U.S. Equities Fu 1 1,025 0 0 1,026 0 36
Tax-Managed International Eq 5,077 20,388 0 0 25,465 0 37
Emerging Country Debt Share 0 0 0 0 0 0 38
Intrinsic Value Fund 0 0 0 0 0 0 39
Tax-Managed Small Companies 0 1,025 0 0 1,025 0 40
~
Exchanges Exchanges
November Purchases In Redemptio Out Purchases RedemptioSeries #
Fund Name
~
Core Fund 20,140 29,238 25,878 1,680 49,378 27,558 1
International Core Fund 2,289 223 46,073 0 2,512 46,073 3
Growth Fund 0 0 40 0 0 40 4
Pelican Fund 285 0 6,125 0 285 6,125 5
Short Term Income Fund 36 0 5,039 841 36 5,880 6
Japan Fund 1 0 3 3 1 6 7
Value Fund 0 0 340 687 0 1,027 8
Tobacco Free Core Fund 22,569 75 528 0 22,644 528 9
Fundamental Value Fund 0 0 0 0 0 0 10
Small Cap Value Fund 10,855 1,120 3,362 0 11,975 3,362 11
International Small Companie 0 0 26 0 0 26 13
US Sector Fund 0 0 0 106 0 106 14
Emerging Markets Fund 55 500 0 1,528 555 1,528 15
International Bond Fund 7 0 506 0 7 506 16
Emerging Country Debt Fund 27,193 981 37,889 1,000 28,174 38,889 17
Global Hedged Equity Fund 0 0 0 0 0 0 18
Domestic Bond Fund 586 4,114 19 0 4,700 19 19
Currency Hedged Internationa 69 0 627 0 69 627 20
Currency Hedged Internationa 300 0 0 190 300 190 21
Global Bond Fund 0 0 11 0 0 11 22
REIT Fund 775 482 100 2 1,257 102 23
Foreign Fund 0 5,914 6,086 11,703 5,914 17,789 24
World Equity Allocation Fund 0 0 0 0 0 0 25
Global Balanced Allocation F 5,531 0 10 1,697 5,531 1,707 26
Small Cap Growth Fund 4,329 560 502 0 4,889 502 27
International Equity Allocat 0 0 70 0 0 70 28
Global (US+) Equity Allocati 1,015 1,018 201 0 2,033 201 29
Global Properties Fund 0 0 0 0 0 0 30
Inflation Indexed Bond Fund 421 1,470 301 0 1,891 301 31
US Bond/Global Alpha A Fund 1,680 0 957 0 1,680 957 32
US Bond/Global Alpha B Fund 0 0 0 4,867 0 4,867 33
Evolving Countries Fund 0 500 0 0 500 0 34
Asia Fund 1 0 0 0 1 0 35
Tax-Managed U.S. Equities Fu 0 0 0 0 0 0 36
Tax-Managed International Eq 4,400 0 0 0 4,400 0 37
Emerging Country Debt Share 0 0 0 0 0 0 38
Intrinsic Value Fund 0 687 0 0 3,317 0 39
Tax-Managed Small Companies 0 0 0 0 0 0 40
~
Exchanges Exchanges
December Purchases In Redemptio Out Purchases RedemptioSeries #
Fund Name
~
Core Fund 13,423 5,586 285,467 38,442 19,009 323,909 1
International Core Fund 10,386 5,978 70,989 739 16,364 71,728 3
Growth Fund 10 0 2,767 386 10 3,153 4
Pelican Fund 491 0 20,506 0 491 20,506 5
Short Term Income Fund 1,033 320 5,441 196 1,353 5,637 6
Japan Fund 19 3 74 0 22 74 7
Value Fund 8 0 1,516 1,668 8 3,184 8
Tobacco Free Core Fund 40,632 150 3,614 0 40,782 3,614 9
Fundamental Value Fund 0 0 0 0 0 0 10
Small Cap Value Fund 1,762 352 23,351 11,739 2,114 35,090 11
International Small Companie 7 0 4,499 2,225 7 6,724 13
US Sector Fund 0 0 51 92 0 143 14
Emerging Markets Fund 5,469 1,520 10,465 6,400 6,989 16,865 15
International Bond Fund 416 0 7,869 3,419 416 11,288 16
Emerging Country Debt Fund 31,045 301 54,795 3,398 31,346 58,193 17
Global Hedged Equity Fund 0 0 795 2,336 0 3,131 18
Domestic Bond Fund 1,172 3,069 2,191 648 4,241 2,839 19
Currency Hedged Internationa 34 166 12,139 3,908 200 16,047 20
Currency Hedged Internationa 500 0 0 3,056 500 3,056 21
Global Bond Fund 1,016 0 4,348 703 1,016 5,051 22
REIT Fund 756 18,261 3,642 2,726 19,017 6,368 23
Foreign Fund 0 11,745 7,768 33 11,745 7,801 24
World Equity Allocation Fund 0 0 0 0 0 0 25
Global Balanced Allocation F 7,789 0 531 3 7,789 534 26
Small Cap Growth Fund 28 0 17,908 1,154 28 19,062 27
International Equity Allocat 0 0 62 0 0 62 28
Global (US+) Equity Allocati 450 0 420 0 450 420 29
Global Properties Fund 0 0 10 0 0 10 30
Inflation Indexed Bond Fund 2,321 853 1,092 26 3,174 1,118 31
US Bond/Global Alpha A Fund 2,123 1 2,149 1,290 2,124 3,439 32
US Bond/Global Alpha B Fund 0 0 26 2 0 28 33
Evolving Countries Fund 24 1,006 0 0 1,030 0 34
Asia Fund 2 208 1 1 210 1 35
Tax-Managed U.S. Equities Fu 0 0 0 0 0 0 36
Tax-Managed International Eq 0 234 0 0 234 0 37
Emerging Country Debt Share 0 0 0 0 0 0 38
Intrinsic Value Fund 0 0 0 0 0 0 39
Tax-Managed Small Companies 0 0 0 0 0 0 40
~
Exchanges Exchanges
January Purchases In Redemptio Out Purchases RedemptioSeries #
Fund Name
~
Core Fund 15,526 2,643 96,754 5 18,169 96,759 1
International Core Fund 7,726 0 52,416 0 7,726 52,416 3
Growth Fund 10 16 130 0 26 130 4
Pelican Fund 557 0 7,980 0 557 7,980 5
Short Term Income Fund 2,560 0 214 9 2,560 223 6
Japan Fund 31 3 0 0 34 0 7
Value Fund 1 0 5,822 0 1 5,822 8
Tobacco Free Core Fund 8,182 0 114 0 8,182 114 9
Fundamental Value Fund 0 0 0 0 0 0 10
Small Cap Value Fund 345 2 26,854 0 347 26,854 11
International Small Companie 0 25,000 667 0 25,000 667 13
US Sector Fund 0 0 11,824 2,643 0 14,467 14
Emerging Markets Fund 99,796 32,341 133,653 27,901 132,137 161,554 15
International Bond Fund 0 0 926 9 0 935 16
Emerging Country Debt Fund 1,400 3 38,589 210 1,403 38,799 17
Global Hedged Equity Fund 245 0 226 0 245 226 18
Domestic Bond Fund 26 0 1,139 5 26 1,144 19
Currency Hedged Internationa 6 0 0 5 6 5 20
Currency Hedged Internationa 1 0 600 2 1 602 21
Global Bond Fund 27 0 0 0 27 0 22
REIT Fund 359 1 8,793 0 360 8,793 23
Foreign Fund 2,217 54 559 0 2,271 559 24
World Equity Allocation Fund 0 0 0 0 0 0 25
Global Balanced Allocation F 72 0 5,121 0 72 5,121 26
Small Cap Growth Fund 76 0 16,825 0 76 16,825 27
International Equity Allocat 0 0 65 0 0 65 28
Global (US+) Equity Allocati 74 0 95 0 74 95 29
Global Properties Fund 0 0 0 0 0 0 30
Inflation Indexed Bond Fund 476 13 54 0 489 54 31
US Bond/Global Alpha A Fund 322 25 1,003 1 347 1,004 32
US Bond/Global Alpha B Fund 0 0 0 0 0 0 33
Evolving Countries Fund 0 83 0 100 83 100 34
Asia Fund 1 0 0 10 1 10 35
Tax-Managed U.S. Equities Fu 0 0 0 0 0 0 36
Tax-Managed International Eq 1,500 0 0 0 1,500 0 37
Emerging Country Debt Share 0 0 0 0 0 0 38
Intrinsic Value Fund 0 0 0 0 0 0 39
Tax-Managed Small Companies 0 0 0 0 0 0 402 month totals
Alpha LIBOR Fund 0 0 0 0 328,844 4,000 41 349,244 15,000
~
February Exchanges Exchanges
Fund Name Purchases In Redemptio Out Purchases RedemptioSeries #
~
Core Fund 15,096 0 43,389 1,056 15,096 44,445 1
International Core Fund 3,569 0 41,623 0 3,569 41,623 3
Growth Fund 1 175 6,322 89 176 6,411 4
Pelican Fund 508 0 6,326 0 508 6,326 5
Short Term Income Fund 6,581 0 8,498 109 6,581 8,607 6
Japan Fund 1 0 0 0 1 0 7
Value Fund 0 89 605 0 89 605 8
Tobacco Free Core Fund 500 0 0 0 500 0 9
Fundamental Value Fund 0 0 0 0 0 0 10
Small Cap Value Fund 2,806 7 15,354 3 2,813 15,357 11
International Small Companie 0 0 14,123 0 0 14,123 13
US Sector Fund 0 0 13 0 0 13 14
Emerging Markets Fund 44 1,019 5,199 0 1,063 5,199 15
International Bond Fund 0 183 34 66 183 100 16
Emerging Country Debt Fund 4,010 64 4,940 1 4,074 4,941 17
Global Hedged Equity Fund 0 0 438 39 0 477 18
Domestic Bond Fund 256 115 11,019 100 371 11,119 19
Currency Hedged Internationa 0 0 16,573 9 0 16,582 20
Currency Hedged Internationa 0 0 2,879 0 0 2,879 21
Global Bond Fund 0 0 3,178 0 0 3,178 22
REIT Fund 272 43 248 0 315 248 23
Foreign Fund 272 26 3,293 8 298 3,301 24
World Equity Allocation Fund 0 0 0 0 0 0 25
Global Balanced Allocation F 40 0 102 0 40 102 26
Small Cap Growth Fund 0 43 1,211 0 43 1,211 27
International Equity Allocat 750 0 135 202 750 337 28
Global (US+) Equity Allocati 1 0 163 0 1 163 29
Global Properties Fund 0 0 0 0 0 0 30
Inflation Indexed Bond Fund 409 0 68 17 409 85 31
US Bond/Global Alpha A Fund 0 0 0 80 0 80 32
US Bond/Global Alpha B Fund 0 0 0 0 0 0 33
Evolving Countries Fund 0 18 0 0 18 0 34
Asia Fund 2 0 7,981 0 2 7,981 35
Tax-Managed U.S. Equities Fu 0 0 0 0 0 0 36
Tax-Managed International Eq 206 0 0 0 206 0 37
Emerging Country Debt Share 0 0 0 0 0 0 38
Intrinsic Value Fund 0 0 0 0 0 0 39
Tax-Managed Small Companies 0 0 0 0 0 0 40
Alpha Libor 0 0 0 0 20,400 11,000 41
</TABLE>
GMO Trust
FYE 2/29/00
Attachment Filed in Response to Form N-SAR Sub-Item 77P
GMO Fund of Fund Allocation %
March, 1999
International Equity Alloc
Name of Fund Owned Market Value % of Total MV
U.S.Core Fund
Currency Hedged International Bond Fund
Currency Hedged International Core Fund
Domestic Bond Fund $124,553 0.14%
Emerging Country Debt Fund $3,549,104 3.85%
Emerging Markets Fund $13,294,812 14.44%
Growth Fund
International Bond Fund $2,656,281 2.88%
International Core Fund $59,136,981 64.22%
International Small Companies Fund $3,497,548 3.80%
REIT Fund
Small Cap Growth Fund
Small Cap Value Fund
Value Fund
Inflation Indexed Bond Fund $1,151,092 1.25%
U.S. Bond/Global Alpha A Fund $1,451,491 1.58%
Evolving Countries Fund $7,224,743 7.85%
Total Market Value $92,086,605 100.00%
GMO Fund of Fund Allocation %
April, 1999
International Equity Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund
Currency Hedged International Bond Fund
Currency Hedged International Core Fund
Domestic Bond Fund $124,674 0.12%
Emerging Country Debt Fund $3,812,000 3.77%
Emerging Markets Fund $15,604,245 15.45%
Growth Fund
Inflation Indexed Bond Fund $1,158,061 1.15%
International Bond Fund $2,672,046 2.65%
International Core Fund $63,365,078 62.75%
International Small Companies Fund $3,755,715 3.72%
REIT Fund
Small Cap Growth Fund
Small Cap Value Fund
Value Fund
Inflation Indexed Bond Fund
U.S. Bond/Global Alpha A Fund $1,459,938 1.45%
Evolving Countries Fund $9,030,929 8.94%
Total Market Value $100,982,685 100.00%
GMO Fund of Fund Allocation %
May, 1999
International Equity Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund
Currency Hedged International Bond Fund
Currency Hedged International Core Fund
Domestic Bond Fund $124,411 0.13%
Emerging Country Debt Fund $3,597,788 3.67%
Emerging Markets Fund $15,401,592 15.70%
Growth Fund
Inflation Indexed Bond Fund $1,167,353 1.19%
International Bond Fund $2,608,988 2.66%
International Core Fund $61,024,068 62.22%
International Small Companies Fund $3,605,117 3.68%
REIT Fund
Small Cap Growth Fund
Small Cap Value Fund
US Bond/Global Alpha A $1,436,004 1.46%
Value Fund
Evolving Countries Fund $9,120,123 9.30%
Total Market Value $98,085,447 100.00%
GMO Fund of Fund Allocation %
June, 1999
International Equity Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund
Currency Hedged International Bond Fund
Currency Hedged International Core Fund
Domestic Bond Fund $124,543 0.15%
Emerging Country Debt Fund $3,377,690 4.16%
Emerging Markets Fund $8,265,631 10.18%
Growth Fund
Inflation Indexed Bond Fund $1,947,123 2.40%
International Bond Fund $1,713,485 2.11%
International Core Fund $49,859,934 61.40%
International Small Companies Fund $2,862,653 3.52%
REIT Fund
Small Cap Growth Fund
Small Cap Value Fund
US Bond/Global Alpha A $1,443,044 1.78%
Value Fund
Evolving Countries $11,617,566 14.31%
Total Market Value $81,211,668 100.00%
GMO Fund of Fund Allocation %
July, 1999
International Equity Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund
Currency Hedged International Bond Fund
Currency Hedged International Core Fund
Domestic Bond Fund $124,096 0.15%
Emerging Country Debt Fund $3,237,678 3.95%
Emerging Markets Fund $8,060,061 9.84%
Growth Fund
Inflation Indexed Bond Fund $1,942,651 2.37%
International Bond Fund $1,752,242 2.14%
International Core Fund $51,258,399 62.58%
International Small Companies Fund $2,955,211 3.61%
REIT Fund
Small Cap Growth Fund
Small Cap Value Fund
US Bond/Global Alpha A $1,418,266 1.73%
Value Fund
Evolving Countries $11,160,444 13.63%
Total Market Value $81,909,047 100.00%
GMO Fund of Fund Allocation %
August, 1999
International Equity Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund
Currency Hedged International Bond Fund
Currency Hedged International Core Fund
Domestic Bond Fund $63,820 0.08%
Emerging Country Debt Fund $3,228,708 3.92%
Emerging Markets Fund $7,991,537 9.71%
Evolving Countries Fund $10,948,607 13.30%
Growth Fund
Inflation Indexed Bond Fund $1,946,536 2.37%
International Bond Fund $1,754,072 2.13%
International Core Fund $51,976,246 63.16%
International Small Companies Fund $2,967,069 3.61%
REIT Fund
Small Cap Growth Fund
Small Cap Value Fund
US Bond/Global Alpha A $1,418,265 1.72%
Value Fund
Total Market Value $82,294,860 100.00%
GMO Fund of Fund Allocation %
September, 1999
International Equity Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund
Currency Hedged International Bond Fund
Currency Hedged International Core $48,417,444 63.74%
Domestic Bond Fund
Emerging Country Debt Fund $3,053,409 4.02%
Emerging Markets Fund $6,428,041 8.46%
Evolving Countries Fund $10,157,008 13.37%
Growth Fund
Inflation Indexed Bond Fund $1,952,364 2.57%
International Bond Fund $1,792,523 2.36%
International Core Fund
International Small Companies Fund $2,924,378 3.85%
REIT Fund
Small Cap Growth Fund
Small Cap Value Fund
US Bond/Global Alpha A $1,238,607 1.63%
Value Fund
Total Market Value $75,963,774 100.00%
GMO Fund of Fund Allocation %
October, 1999
International Equity Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund
Currency Hedged International Bond Fund
Currency Hedged International Core Fund
Domestic Bond Fund
Emerging Country Debt Fund $3,028,211 4.05%
Emerging Markets Fund $6,662,855 8.91%
Evolving Countries Fund $10,189,509 13.62%
Growth Fund
Inflation Indexed Bond Fund $1,962,078 2.62%
International Bond Fund $1,741,959 2.33%
International Core Fund $47,117,645 62.98%
International Small Companies Fund $2,865,084 3.83%
REIT Fund
Small Cap Growth Fund
Small Cap Value Fund
US Bond/Global Alpha A $1,251,157 1.67%
Value Fund
Total Market Value $74,818,496 100.00%
GMO Fund of Fund Allocation %
November, 1999
International Equity Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund $46,852,251 61.55%
Currency Hedged International Bond Fund
Currency Hedged International Core Fund
Domestic Bond Fund
Emerging Country Debt Fund $3,172,051 4.17%
Emerging Markets Fund $7,308,594 9.60%
Evolving Countries Fund $10,973,573 14.42%
Growth Fund
Inflation Indexed Bond Fund $1,979,562 2.60%
International Bond Fund $1,727,768 2.27%
International Core Fund
International Small Companies Fund $2,857,102 3.75%
REIT Fund
Small Cap Growth Fund
Small Cap Value Fund
US Bond/Global Alpha A $1,254,921 1.65%
Value Fund
Total Market Value $76,125,822 100.00%
GMO Fund of Fund Allocation %
December, 1999
International Equity Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund $48,799,306 60.34%
Currency Hedged International Bond Fund
Currency Hedged International Core Fund
Domestic Bond Fund
Emerging Country Debt Fund $3,293,498 4.07%
Emerging Markets Fund $8,445,220 10.44%
Evolving Countries Fund $12,426,626 15.37%
Growth Fund
Inflation Indexed Bond Fund $1,955,958 2.42%
International Bond Fund $1,735,750 2.15%
International Core Fund
International Small Companies Fund $2,963,958 3.67%
REIT Fund
Small Cap Growth Fund
Small Cap Value Fund
US Bond/Global Alpha A $1,246,937 1.54%
Value Fund
Total Market Value $80,867,255 100.00%
GMO Fund of Fund Allocation %
January, 2000
International Equity Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund
Currency Hedged International Bond Fund
Currency Hedged International Core Fund
Domestic Bond Fund
Emerging Country Debt Fund $3,305,865 4.29%
Emerging Markets Fund $8,451,111 10.96%
Evolving Countries Fund $12,118,879 15.72%
Growth Fund
Inflation Indexed Bond Fund $1,966,156 2.55%
International Bond Fund $1,677,589 2.18%
International Core Fund $45,497,036 59.00%
International Small Companies Fund $2,849,019 3.69%
REIT Fund
Small Cap Growth Fund
Small Cap Value Fund
US Bond/Global Alpha A $1,244,312 1.61%
Value Fund
Total Market Value $77,109,967 100.00%
GMO Fund of Fund Allocation %
February, 2000
International Equity Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund
Currency Hedged International Bond Fund
Currency Hedged International Core Fund
Domestic Bond Fund
Emerging Country Debt Fund $3,302,326 4.34%
Emerging Markets Fund $8,215,334 10.80%
Evolving Countries Fund $12,108,268 15.92%
Growth Fund
Inflation Indexed Bond Fund $1,914,405 2.52%
International Bond Fund $1,665,361 2.19%
International Core Fund $44,754,441 58.85%
International Small Companies Fund $2,822,119 3.71%
REIT Fund
Small Cap Growth Fund
Small Cap Value Fund
US Bond/Global Alpha A $1,265,313 1.66%
Value Fund
Total Market Value $76,047,567 100.00%
World Equity Alloc
Name of Fund Owned Market Value % of Total MV
U.S.Core Fund $4,617,582 14.89%
Currency Hedged International Bond $0 0.00%
Currency Hedged International Core $507,057 1.63%
Domestic Bond Fund
Emerging Country Debt Fund $1,581,933 5.10%
Emerging Markets Fund $2,802,303 9.03%
Growth Fund $207,794 0.67%
International Bond Fund $401,455 1.29%
International Core Fund $10,777,447 34.75%
International Small Companies Fund $1,414,683 4.56%
REIT Fund $1,554,815 5.01%
Small Cap Growth Fund $838,908 2.70%
Small Cap Value Fund $1,623,027 5.23%
Value Fund $924,703 2.98%
Inflation Indexed Bond Fund $910,243 2.93%
U.S. Bond/Global Alpha A Fund $843,441 2.72%
Evolving Countries Fund $2,012,181 6.49%
Total Market Value $31,017,571 100.00%
GMO Fund of Fund Allocation %
April, 1999
World Equity Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund $1,384,790 14.34%
Currency Hedged International Bond
Currency Hedged International Core $153,508 1.59%
Domestic Bond Fund
Emerging Country Debt Fund $408,677 4.23%
Emerging Markets Fund $818,573 8.47%
Growth Fund $57,389 0.59%
Inflation Indexed Bond Fund $422,294 4.37%
International Bond Fund $157,384 1.63%
International Core Fund $3,341,406 34.59%
International Small Companies Fund $204,434 2.12%
REIT Fund $494,662 5.12%
Small Cap Growth Fund $252,356 2.61%
Small Cap Value Fund $557,302 5.77%
Value Fund $278,696 2.89%
Inflation Indexed Bond Fund
U.S. Bond/Global Alpha A Fund $244,857 2.54%
Evolving Countries Fund $882,472 9.14%
Total Market Value $9,658,799 100.00%
GMO Fund of Fund Allocation %
May, 1999
World Equity Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund $1,361,330 14.32%
Currency Hedged International Bond
Currency Hedged International Core $150,103 1.58%
Domestic Bond Fund
Emerging Country Debt Fund $385,712 4.06%
Emerging Markets Fund $807,942 8.50%
Growth Fund $56,612 0.60%
Inflation Indexed Bond Fund $425,682 4.48%
International Bond Fund $153,670 1.62%
International Core Fund $3,221,008 33.89%
International Small Companies Fund $196,236 2.06%
REIT Fund $503,055 5.29%
Small Cap Growth Fund $255,644 2.69%
Small Cap Value Fund $577,717 6.08%
US Bond/Global Alpha A $240,843 2.53%
Value Fund $277,739 2.92%
Evolving Countries Fund $891,187 9.38%
Total Market Value $9,504,483 100.00%
GMO Fund of Fund Allocation %
June, 1999
World Equity Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund $1,581,802 15.06%
Currency Hedged International Bond Fund
Currency Hedged International Core $158,689 1.51%
Domestic Bond Fund
Emerging Country Debt Fund $454,167 4.32%
Emerging Markets Fund $877,627 8.35%
Growth Fund $60,628 0.58%
Inflation Indexed Bond Fund $425,682 4.05%
International Bond Fund $247,648 2.36%
International Core Fund $3,474,674 33.08%
International Small Companies Fund $204,434 1.95%
REIT Fund $494,662 4.71%
Small Cap Growth Fund $268,361 2.55%
Small Cap Value Fund $594,658 5.66%
US Bond/Global Alpha A $242,024 2.30%
Value Fund $284,437 2.71%
Evolving Countries $1,135,229 10.81%
Total Market Value $10,504,721 100.00%
GMO Fund of Fund Allocation %
July, 1999
World Equity Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund $1,539,871 14.74%
Currency Hedged International Bond Fund
Currency Hedged International Core $157,557 1.51%
Domestic Bond Fund
Emerging Country Debt Fund $442,292 4.23%
Emerging Markets Fund $855,800 8.19%
Growth Fund $59,608 0.57%
Inflation Indexed Bond Fund $424,705 4.07%
International Bond Fund $253,249 2.42%
International Core Fund $3,575,428 34.23%
International Small Companies Fund $211,044 2.02%
REIT Fund $473,192 4.53%
Small Cap Growth Fund $268,869 2.57%
Small Cap Value Fund $583,672 5.59%
US Bond/Global Alpha A $237,868 2.28%
Value Fund $270,561 2.59%
Evolving Countries $1,090,561 10.44%
Total Market Value $10,444,278 100.00%
GMO Fund of Fund Allocation %
August, 1999
World Equity Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund $1,522,725 14.63%
Currency Hedged International Bond Fund
Currency Hedged International Core $160,452 1.54%
Domestic Bond Fund
Emerging Country Debt Fund $441,067 4.24%
Emerging Markets Fund $848,524 8.15%
Evolving Countries Fund $1,069,865 10.28%
Growth Fund $60,299 0.58%
Inflation Indexed Bond Fund $425,554 4.09%
International Bond Fund $253,513 2.44%
International Core Fund $3,625,500 34.84%
International Small Companies Fund $211,890 2.04%
REIT Fund $463,323 4.45%
Small Cap Growth Fund $261,584 2.51%
Small Cap Value Fund $556,319 5.35%
US Bond/Global Alpha A $237,868 2.29%
Value Fund $267,486 2.57%
Total Market Value $10,405,969 100.00%
GMO Fund of Fund Allocation %
September, 1999
World Equity Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund $1,473,737 14.47%
Currency Hedged International Bond
Currency Hedged International Core $158,319 1.55%
Domestic Bond Fund
Emerging Country Debt Fund $460,057 4.52%
Emerging Markets Fund $796,685 7.82%
Evolving Countries Fund $992,508 9.74%
Growth Fund $58,916 0.58%
Inflation Indexed Bond Fund $426,828 4.19%
International Bond Fund $259,071 2.54%
International Core Fund $3,608,288 35.42%
International Small Companies Fund $208,842 2.05%
REIT Fund $442,027 4.34%
Small Cap Growth Fund $262,247 2.57%
Small Cap Value Fund $541,319 5.31%
US Bond/Global Alpha A $241,788 2.37%
Value Fund $255,189 2.51%
Total Market Value $10,185,821 100.00%
GMO Fund of Fund Allocation %
October, 1999
World Equity Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund $1,537,813 14.84%
Currency Hedged International Bond Fund
Currency Hedged International Core $158,624 1.53%
Domestic Bond Fund
Emerging Country Debt Fund $490,075 4.73%
Emerging Markets Fund $825,788 7.97%
Evolving Countries Fund $1,040,445 10.04%
Growth Fund $61,354 0.59%
Inflation Indexed Bond Fund $428,952 4.14%
International Bond Fund $259,865 2.51%
International Core Fund $3,611,417 34.86%
International Small Companies Fund $204,607 1.97%
REIT Fund $433,197 4.18%
Small Cap Growth Fund $271,541 2.62%
Small Cap Value Fund $533,412 5.15%
US Bond/Global Alpha A $244,238 2.36%
Value Fund $258,544 2.50%
Total Market Value $10,359,871 100.00%
GMO Fund of Fund Allocation %
November, 1999
World Equity Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund $1,581,646 14.92%
Currency Hedged International Bond Fund
Currency Hedged International Core $159,995 1.51%
Domestic Bond Fund
Emerging Country Debt Fund $513,353 4.84%
Emerging Markets Fund $905,820 8.54%
Evolving Countries Fund $1,127,603 10.63%
Growth Fund $65,509 0.62%
Inflation Indexed Bond Fund $432,774 4.08%
International Bond Fund $257,748 2.43%
International Core Fund $3,591,076 33.87%
International Small Companies Fund $204,607 1.93%
REIT Fund $425,925 4.02%
Small Cap Growth Fund $291,631 2.75%
Small Cap Value Fund $544,912 5.14%
US Bond/Global Alpha A $244,972 2.31%
Value Fund $256,482 2.42%
Total Market Value $10,604,052 100.00%
GMO Fund of Fund Allocation %
December, 1999
World Equity Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund $1,687,166 14.95%
Currency Hedged International Bond Fund
Currency Hedged International Core $166,451 1.47%
Domestic Bond Fund
Emerging Country Debt Fund $543,297 4.81%
Emerging Markets Fund $1,046,692 9.27%
Evolving Countries Fund $1,276,913 11.31%
Growth Fund $74,648 0.66%
Inflation Indexed Bond Fund $427,614 3.79%
International Bond Fund $258,938 2.29%
International Core Fund $3,742,003 33.15%
International Small Companies Fund $212,260 1.88%
REIT Fund $441,009 3.91%
Small Cap Growth Fund $333,000 2.95%
Small Cap Value Fund $573,503 5.08%
US Bond/Global Alpha A $243,414 2.16%
Value Fund $261,766 2.32%
Total Market Value $11,288,673 100.00%
GMO Fund of Fund Allocation %
January, 2000
World Equity Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund $1,611,491 14.83%
Currency Hedged International Bond Fund
Currency Hedged International Core $160,427 1.48%
Domestic Bond Fund
Emerging Country Debt Fund $545,336 5.02%
Emerging Markets Fund $1,047,423 9.64%
Evolving Countries Fund $1,245,290 11.46%
Growth Fund $71,348 0.66%
Inflation Indexed Bond Fund $429,844 3.96%
International Bond Fund $198,176 1.82%
International Core Fund $3,493,075 32.15%
International Small Companies Fund $204,029 1.88%
REIT Fund $549,926 5.06%
Small Cap Growth Fund $322,357 2.97%
Small Cap Value Fund $493,956 4.55%
US Bond/Global Alpha A $242,901 2.24%
Value Fund $250,681 2.31%
Total Market Value $10,866,258 100.00%
GMO Fund of Fund Allocation %
February, 2000
World Equity Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund $1,613,430 14.89%
Currency Hedged International Bond
Currency Hedged International Core $159,158 1.47%
Domestic Bond Fund
Emerging Country Debt Fund $591,574 5.46%
Emerging Markets Fund $1,018,201 9.40%
Evolving Countries Fund $1,244,200 11.49%
Growth Fund $77,792 0.72%
Inflation Indexed Bond Fund $433,410 4.00%
International Bond Fund $197,316 1.82%
International Core Fund $3,379,925 31.20%
International Small Companies Fund $202,102 1.87%
REIT Fund $537,560 4.96%
Small Cap Growth Fund $398,984 3.68%
Small Cap Value Fund $505,367 4.67%
US Bond/Global Alpha A $247,001 2.28%
Value Fund $226,811 2.09%
Total Market Value $10,832,831 100.00%
Global (US+) Equity Alloc
Name of Fund Owned Market Value % of Total MV
U.S.Core Fund $10,932,307 32.82%
Currency Hedged International Bond
Currency Hedged International Core $1,199,104 3.60%
Domestic Bond Fund $4,203 0.01%
Emerging Country Debt Fund $1,198,264 3.60%
Emerging Markets Fund $1,658,457 4.98%
Growth Fund $413,637 1.24%
International Bond Fund $734,632 2.21%
International Core Fund $4,880,972 14.65%
International Small Companies Fund $373,439 1.12%
REIT Fund $2,457,244 7.38%
Small Cap Growth Fund $1,327,905 3.99%
Small Cap Value Fund $2,712,466 8.14%
Value Fund $1,493,704 4.48%
Inflation Indexed Bond Fund $837,021 2.51%
U.S. Bond/Global Alpha A Fund $1,477,386 4.43%
Evolving Countries Fund $1,611,468 4.84%
Total Market Value $33,312,208 100.00%
GMO Fund of Fund Allocation %
April, 1999
Global (US+) Equity Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund $11,396,638 31.79%
Currency Hedged International Bond
Currency Hedged International Core $1,300,702 3.63%
Domestic Bond Fund $4,207 0.01%
Emerging Country Debt Fund $1,287,024 3.59%
Emerging Markets Fund $1,956,425 5.46%
Growth Fund $413,300 1.15%
Inflation Indexed Bond Fund $842,088 2.35%
International Bond Fund $738,992 2.06%
International Core Fund $5,229,945 14.59%
International Small Companies Fund $401,004 1.12%
REIT Fund $2,729,665 7.62%
Small Cap Growth Fund $1,390,862 3.88%
Small Cap Value Fund $3,013,537 8.41%
Value Fund $1,640,849 4.58%
Inflation Indexed Bond Fund
U.S. Bond/Global Alpha A Fund $1,485,984 4.15%
Evolving Countries Fund $2,014,335 5.62%
Total Market Value $35,845,557 100.00%
GMO Fund of Fund Allocation %
May, 1999
Global (US+) Equity Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund $11,203,571 31.58%
Currency Hedged International Bond
Currency Hedged International Core $1,271,853 3.58%
Domestic Bond Fund $4,199 0.01%
Emerging Country Debt Fund $1,214,701 3.42%
Emerging Markets Fund $1,931,017 5.44%
Growth Fund $407,703 1.15%
Inflation Indexed Bond Fund $848,845 2.39%
International Bond Fund $732,079 2.06%
International Core Fund $5,041,500 14.21%
International Small Companies Fund $384,924 1.08%
REIT Fund $2,775,977 7.82%
Small Cap Growth Fund $1,408,988 3.97%
Small Cap Value Fund $3,123,931 8.80%
US Bond/Global Alpha A $1,461,623 4.12%
Value Fund $1,635,215 4.61%
Evolving Countries Fund $2,034,229 5.73%
Total Market Value $35,480,355 100.00%
GMO Fund of Fund Allocation %
June, 1999
Global (US+) Equity Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund $11,748,701 31.72%
Currency Hedged International Bond
Currency Hedged International Core $603,180 1.63%
Domestic Bond Fund
Emerging Country Debt Fund $1,455,976 3.93%
Emerging Markets Fund $2,228,985 6.02%
Growth Fund $220,598 0.60%
Inflation Indexed Bond Fund $1,381,578 3.73%
International Bond Fund $715,123 1.93%
International Core Fund $5,231,319 14.12%
International Small Companies Fund $401,004 1.08%
REIT Fund $2,729,665 7.37%
Small Cap Growth Fund $1,479,075 3.99%
Small Cap Value Fund $3,215,535 8.68%
US Bond/Global Alpha A $1,473,001 3.98%
Value Fund $1,623,753 4.38%
Evolving Countries $2,533,353 6.84%
Total Market Value $37,040,845 100.00%
GMO Fund of Fund Allocation %
July, 1999
Global (US+) Equity Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund $10,940,023 31.27%
Currency Hedged International Bond
Currency Hedged International Core $598,878 1.71%
Domestic Bond Fund
Emerging Country Debt Fund $1,417,909 4.05%
Emerging Markets Fund $1,987,205 5.68%
Growth Fund $216,886 0.62%
Inflation Indexed Bond Fund $1,378,405 3.94%
International Bond Fund $447,819 1.28%
International Core Fund $5,052,080 14.44%
International Small Companies Fund $413,969 1.18%
REIT Fund $2,611,188 7.46%
Small Cap Growth Fund $1,432,715 4.10%
Small Cap Value Fund $3,057,859 8.74%
US Bond/Global Alpha A $1,447,708 4.14%
Value Fund $1,544,541 4.42%
Evolving Countries $2,433,672 6.96%
Total Market Value $34,980,858 100.00%
GMO Fund of Fund Allocation %
August, 1999
Global (US+) Equity Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund $11,320,879 32.43%
Currency Hedged International Bond Fund
Currency Hedged International Core $536,974 1.54%
Domestic Bond Fund
Emerging Country Debt Fund $1,413,981 4.05%
Emerging Markets Fund $1,970,310 5.64%
Evolving Countries Fund $2,340,962 6.71%
Growth Fund $219,402 0.63%
Inflation Indexed Bond Fund $1,381,162 3.96%
International Bond Fund $347,124 0.99%
International Core Fund $5,122,839 14.67%
International Small Companies Fund $415,630 1.19%
REIT Fund $2,556,728 7.32%
Small Cap Growth Fund $1,393,897 3.99%
Small Cap Value Fund $2,914,557 8.35%
US Bond/Global Alpha A $1,447,708 4.15%
Value Fund $1,526,989 4.37%
Total Market Value $34,909,142 100.00%
GMO Fund of Fund Allocation %
September, 1999
Global (US+) Equity Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund $10,956,668 32.31%
Currency Hedged International Bond Fund
Currency Hedged International Core $529,835 1.56%
Domestic Bond Fund
Emerging Country Debt Fund $1,474,861 4.35%
Emerging Markets Fund $1,849,938 5.46%
Evolving Countries Fund $2,171,708 6.40%
Growth Fund $214,370 0.63%
Inflation Indexed Bond Fund $1,385,297 4.09%
International Bond Fund $169,874 0.50%
International Core Fund $5,098,511 15.03%
International Small Companies Fund $409,650 1.21%
REIT Fund $2,489,313 7.34%
Small Cap Growth Fund $1,397,427 4.12%
Small Cap Value Fund $2,835,973 8.36%
US Bond/Global Alpha A $1,471,563 4.34%
Value Fund $1,456,783 4.30%
Total Market Value $33,911,772 100.00%
GMO Fund of Fund Allocation %
October, 1999
Global (US+) Equity Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund $11,437,595 32.99%
Currency Hedged International Bond
Currency Hedged International Core $530,855 1.53%
Domestic Bond Fund
Emerging Country Debt Fund $1,571,090 4.53%
Emerging Markets Fund $1,917,515 5.53%
Evolving Countries Fund $2,276,598 6.57%
Growth Fund $223,239 0.64%
Inflation Indexed Bond Fund $1,392,189 4.02%
International Bond Fund $170,394 0.49%
International Core Fund $5,102,933 14.72%
International Small Companies Fund $401,344 1.16%
REIT Fund $2,439,585 7.04%
Small Cap Growth Fund $1,446,954 4.17%
Small Cap Value Fund $2,794,548 8.06%
US Bond/Global Alpha A $1,486,473 4.29%
Value Fund $1,475,940 4.26%
Total Market Value $34,667,252 100.00%
GMO Fund of Fund Allocation %
November, 1999
Global (US+) Equity Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund $12,027,337 32.21%
Currency Hedged International Bond Fund
Currency Hedged International Core $535,445 1.43%
Domestic Bond Fund
Emerging Country Debt Fund $1,645,717 4.41%
Emerging Markets Fund $2,103,354 5.63%
Evolving Countries Fund $2,467,308 6.61%
Growth Fund $238,356 0.64%
Inflation Indexed Bond Fund $1,404,595 3.76%
International Bond Fund $169,006 0.45%
International Core Fund $6,373,939 17.07%
International Small Companies Fund $401,344 1.07%
REIT Fund $2,467,443 6.61%
Small Cap Growth Fund $1,554,005 4.16%
Small Cap Value Fund $2,971,542 7.96%
US Bond/Global Alpha A $1,516,470 4.06%
Value Fund $1,464,167 3.92%
Total Market Value $37,340,029 100.00%
GMO Fund of Fund Allocation %
December, 1999
Global (US+) Equity Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund $12,684,210 33.44%
Currency Hedged International Bond Fund
Currency Hedged International Core $557,050 1.47%
Domestic Bond Fund
Emerging Country Debt Fund $1,635,887 4.31%
Emerging Markets Fund $2,430,466 6.41%
Evolving Countries Fund $2,794,014 7.37%
Growth Fund $271,613 0.72%
Inflation Indexed Bond Fund $1,387,847 3.66%
International Bond Fund
International Core Fund $5,379,903 14.18%
International Small Companies Fund $416,355 1.10%
REIT Fund $2,554,828 6.74%
Small Cap Growth Fund $1,774,447 4.68%
Small Cap Value Fund $3,127,455 8.24%
US Bond/Global Alpha A $1,424,627 3.76%
Value Fund $1,494,328 3.94%
Total Market Value $37,933,030 100.00%
GMO Fund of Fund Allocation %
January, 2000
Global (US+) Equity Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund $12,115,281 33.08%
Currency Hedged International Bond Fund
Currency Hedged International Core $536,890 1.47%
Domestic Bond Fund
Emerging Country Debt Fund $1,570,852 4.29%
Emerging Markets Fund $2,432,161 6.64%
Evolving Countries Fund $2,724,819 7.44%
Growth Fund $259,605 0.71%
Inflation Indexed Bond Fund $1,395,083 3.81%
International Bond Fund
International Core Fund $5,022,017 13.71%
International Small Companies Fund $400,209 1.09%
REIT Fund $2,931,599 8.01%
Small Cap Growth Fund $1,717,736 4.69%
Small Cap Value Fund $2,850,413 7.78%
US Bond/Global Alpha A $1,233,230 3.37%
Value Fund $1,431,051 3.91%
Total Market Value $36,620,945 100.00%
GMO Fund of Fund Allocation %
February, 2000
Global (US+) Equity Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund $12,129,869 33.08%
Currency Hedged International Bond Fund
Currency Hedged International Core $532,646 1.45%
Domestic Bond Fund
Emerging Country Debt Fund $1,704,041 4.65%
Emerging Markets Fund $2,364,306 6.45%
Evolving Countries Fund $2,722,433 7.42%
Growth Fund $283,049 0.77%
Inflation Indexed Bond Fund $1,406,661 3.84%
International Bond Fund
International Core Fund $4,859,342 13.25%
International Small Companies Fund $396,430 1.08%
REIT Fund $2,865,682 7.81%
Small Cap Growth Fund $1,941,623 5.29%
Small Cap Value Fund $2,916,264 7.95%
US Bond/Global Alpha A $1,254,044 3.42%
Value Fund $1,294,760 3.53%
Total Market Value $36,671,150 100.00%
Global Balanced Alloc
Name of Fund Owned Market Value % of Total MV
U.S.Core Fund $20,467,093 16.08%
Currency Hedged International Bond $349,825 0.27%
Currency Hedged International Core $7,325,101 5.76%
Domestic Bond Fund $16,986,077 13.35%
Emerging Country Debt Fund $4,414,433 3.47%
Emerging Markets Fund $4,194,736 3.30%
Growth Fund $854,582 0.67%
International Bond Fund $4,452,201 3.50%
International Core Fund $8,650,865 6.80%
International Small Companies Fund $1,060,652 0.83%
REIT Fund $6,526,687 5.13%
Small Cap Growth Fund $3,543,783 2.78%
Small Cap Value Fund $7,089,543 5.57%
Value Fund $3,200,845 2.51%
Inflation Indexed Bond Fund $3,379,725 2.66%
U.S. Bond/Global Alpha A Fund $30,596,204 24.04%
Evolving Countries Fund $4,182,470 3.29%
Total Market Value $127,274,820 100.00%
GMO Fund of Fund Allocation %
April, 1999
Global Balanced Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund $20,979,004 15.72%
Currency Hedged International Bond $357,380 0.27%
Currency Hedged International Core $7,826,523 5.86%
Domestic Bond Fund $17,002,567 12.74%
Emerging Country Debt Fund $4,741,428 3.55%
Emerging Markets Fund $4,948,386 3.71%
Growth Fund $863,542 0.65%
Inflation Indexed Bond Fund
International Bond Fund $4,478,623 3.36%
International Core Fund $9,136,838 6.84%
International Small Companies Fund $1,138,943 0.85%
REIT Fund $7,250,267 5.43%
Small Cap Growth Fund $3,711,797 2.78%
Small Cap Value Fund $7,856,175 5.89%
Value Fund $3,516,161 2.63%
Inflation Indexed Bond Fund $3,400,187 2.55%
U.S. Bond/Global Alpha A Fund $31,054,347 23.26%
Evolving Countries Fund $5,228,087 3.92%
Total Market Value $133,490,254 100.00%
GMO Fund of Fund Allocation %
May, 1999
Global Balanced Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund $16,831,119 15.26%
Currency Hedged International Bond $764 0.00%
Currency Hedged International Core $6,176,192 5.60%
Domestic Bond Fund $15,663,983 14.20%
Emerging Country Debt Fund $2,327,071 2.11%
Emerging Markets Fund $4,304,597 3.90%
Growth Fund $463,185 0.42%
Inflation Indexed Bond Fund $3,126,873 2.83%
International Bond Fund $3,809,902 3.45%
International Core Fund $7,438,443 6.74%
International Small Companies Fund $855,063 0.78%
REIT Fund $6,121,870 5.55%
Small Cap Growth Fund $3,094,074 2.81%
Small Cap Value Fund $6,522,502 5.91%
US Bond/Global Alpha A $26,331,130 23.87%
Value Fund $2,915,246 2.64%
Evolving Countries Fund $4,317,570 3.91%
Total Market Value $110,299,584 100.00%
GMO Fund of Fund Allocation %
June, 1999
Global Balanced Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund $15,530,575 14.26%
Currency Hedged International Bond
Currency Hedged International Core $5,472,880 5.03%
Domestic Bond Fund $15,083,972 13.85%
Emerging Country Debt Fund $2,434,136 2.24%
Emerging Markets Fund $4,558,843 4.19%
Growth Fund $225,316 0.21%
Inflation Indexed Bond Fund $5,335,053 4.90%
International Bond Fund $3,285,455 3.02%
International Core Fund $7,452,030 6.84%
International Small Companies Fund $890,782 0.82%
REIT Fund $5,788,522 5.32%
Small Cap Growth Fund $3,123,622 2.87%
Small Cap Value Fund $6,456,049 5.93%
US Bond/Global Alpha A $24,988,585 22.95%
Value Fund $2,884,620 2.65%
Evolving Countries $5,382,472 4.94%
Total Market Value $108,892,911 100.00%
GMO Fund of Fund Allocation %
July, 1999
Global Balanced Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund $15,602,103 14.29%
Currency Hedged International Bond
Currency Hedged International Core $5,433,846 4.98%
Domestic Bond Fund $15,444,096 14.14%
Emerging Country Debt Fund $2,570,248 2.35%
Emerging Markets Fund $4,445,462 4.07%
Growth Fund $221,524 0.20%
Inflation Indexed Bond Fund $5,322,801 4.87%
International Bond Fund $3,760,843 3.44%
International Core Fund $8,013,172 7.34%
International Small Companies Fund $919,583 0.84%
REIT Fund $5,636,670 5.16%
Small Cap Growth Fund $3,029,251 2.77%
Small Cap Value Fund $6,336,778 5.80%
US Bond/Global Alpha A $24,559,518 22.49%
Value Fund $2,743,899 2.51%
Evolving Countries $5,170,686 4.73%
Total Market Value $109,210,479 100.00%
GMO Fund of Fund Allocation %
August, 1999
Global Balanced Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund $15,428,377 14.23%
Currency Hedged International Bond Fund
Currency Hedged International Core $5,453,574 5.03%
Domestic Bond Fund $15,377,812 14.18%
Emerging Country Debt Fund $2,563,128 2.36%
Emerging Markets Fund $4,407,668 4.06%
Evolving Countries Fund $5,072,540 4.68%
Growth Fund $224,094 0.21%
Inflation Indexed Bond Fund $5,333,446 4.92%
International Bond Fund $3,764,772 3.47%
International Core Fund $8,125,391 7.49%
International Small Companies Fund $923,273 0.85%
REIT Fund $5,519,110 5.09%
Small Cap Growth Fund $2,947,177 2.72%
Small Cap Value Fund $6,039,816 5.57%
US Bond/Global Alpha A $24,559,525 22.65%
Value Fund $2,712,718 2.50%
Total Market Value $108,452,421 100.00%
GMO Fund of Fund Allocation %
September, 1999
Global Balanced Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund $14,954,844 13.92%
Currency Hedged International Bond
Currency Hedged International Core $5,381,068 5.01%
Domestic Bond Fund $15,493,809 14.43%
Emerging Country Debt Fund $2,673,485 2.49%
Emerging Markets Fund $4,138,390 3.85%
Evolving Countries Fund $4,705,789 4.38%
Growth Fund $218,954 0.20%
Inflation Indexed Bond Fund $5,349,415 4.98%
International Bond Fund $3,847,299 3.58%
International Core Fund $8,086,816 7.53%
International Small Companies Fund $909,989 0.85%
REIT Fund $5,265,430 4.90%
Small Cap Growth Fund $2,954,639 2.75%
Small Cap Value Fund $5,876,966 5.47%
US Bond/Global Alpha A $24,964,206 23.24%
Value Fund $2,587,995 2.41%
Total Market Value $107,409,093 100.00%
GMO Fund of Fund Allocation %
October, 1999
Global Balanced Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund $15,669,979 14.38%
Currency Hedged International Bond
Currency Hedged International Core $5,391,426 4.95%
Domestic Bond Fund $15,569,513 14.28%
Emerging Country Debt Fund $2,847,920 2.61%
Emerging Markets Fund $4,289,564 3.94%
Evolving Countries Fund $4,933,072 4.53%
Growth Fund $228,013 0.21%
Inflation Indexed Bond Fund $5,376,029 4.93%
International Bond Fund $3,859,089 3.54%
International Core Fund $8,093,830 7.43%
International Small Companies Fund $891,538 0.82%
REIT Fund $5,160,245 4.73%
Small Cap Growth Fund $3,059,355 2.81%
Small Cap Value Fund $5,791,121 5.31%
US Bond/Global Alpha A $25,217,136 23.14%
Value Fund $2,622,027 2.41%
Total Market Value $108,999,855 100.00%
GMO Fund of Fund Allocation %
November, 1999
Global Balanced Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund $16,955,979 14.81%
Currency Hedged International Bond
Currency Hedged International Core $5,547,676 4.85%
Domestic Bond Fund $15,847,708 13.84%
Emerging Country Debt Fund $3,867,493 3.38%
Emerging Markets Fund $4,705,292 4.11%
Evolving Countries Fund $5,346,313 4.67%
Growth Fund $243,454 0.21%
Inflation Indexed Bond Fund $5,323,489 4.65%
International Bond Fund $3,325,297 2.90%
International Core Fund $8,542,227 7.46%
International Small Companies Fund $891,538 0.78%
REIT Fund $5,670,622 4.95%
Small Cap Growth Fund $3,285,698 2.87%
Small Cap Value Fund $5,918,437 5.17%
US Bond/Global Alpha A $26,464,207 23.11%
Value Fund $2,562,398 2.24%
Total Market Value $114,497,830 100.00%
GMO Fund of Fund Allocation %
December, 1999
Global Balanced Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund $19,611,847 15.63%
Currency Hedged International Bond
Currency Hedged International Core $6,283,696 5.01%
Domestic Bond Fund $16,467,017 13.12%
Emerging Country Debt Fund $4,041,290 3.22%
Emerging Markets Fund $5,775,447 4.60%
Evolving Countries Fund $6,054,239 4.82%
Growth Fund $277,421 0.22%
Inflation Indexed Bond Fund $5,557,308 4.43%
International Bond Fund $3,472,234 2.77%
International Core Fund $9,724,127 7.75%
International Small Companies Fund $924,882 0.74%
REIT Fund $6,286,072 5.01%
Small Cap Growth Fund $3,751,790 2.99%
Small Cap Value Fund $6,956,699 5.54%
US Bond/Global Alpha A $27,700,728 22.07%
Value Fund $2,615,181 2.08%
Total Market Value $125,499,977 100.00%
GMO Fund of Fund Allocation %
January, 2000
Global Balanced Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund $17,560,985 14.87%
Currency Hedged International Bond
Currency Hedged International Core $5,409,869 4.58%
Domestic Bond Fund $16,320,940 13.82%
Emerging Country Debt Fund $3,659,914 3.10%
Emerging Markets Fund $5,779,475 4.90%
Evolving Countries Fund $5,805,548 4.92%
Growth Fund $265,156 0.22%
Inflation Indexed Bond Fund $5,586,283 4.73%
International Bond Fund $2,765,870 2.34%
International Core Fund $8,937,230 7.57%
International Small Companies Fund $889,016 0.75%
REIT Fund $6,814,270 5.77%
Small Cap Growth Fund $3,064,835 2.60%
Small Cap Value Fund $6,049,508 5.12%
US Bond/Global Alpha A $26,644,516 22.57%
Value Fund $2,504,441 2.12%
Total Market Value $118,057,856 100.00%
GMO Fund of Fund Allocation %
February, 2000
Global Balanced Alloc
Name of Fund Owned Market Value % of Total MV
Core Fund $17,623,622 14.80%
Currency Hedged International Bond
Currency Hedged International Core $5,267,893 4.42%
Domestic Bond Fund $16,590,559 13.93%
Emerging Country Debt Fund $3,970,230 3.33%
Emerging Markets Fund $5,618,234 4.72%
Evolving Countries Fund $5,800,464 4.87%
Growth Fund $289,102 0.24%
Inflation Indexed Bond Fund $5,632,641 4.73%
International Bond Fund $2,753,883 2.31%
International Core Fund $8,647,731 7.26%
International Small Companies Fund $880,621 0.74%
REIT Fund $6,661,049 5.59%
Small Cap Growth Fund $3,793,380 3.19%
Small Cap Value Fund $6,189,265 5.20%
US Bond/Global Alpha A $27,094,212 22.75%
Value Fund $2,265,930 1.90%
Total Market Value $119,078,816 100.00%
