As of September 30, 2022

GMO QUALITY FUND

OVERVIEW FACTS: Share Class III
The GMO Quality Fund seeks to deliver total return by investing in equities of
companies that the GMO Focused Equity team believes to be of high quality. Fund Inception Date February 6, 2004

Total Assets as of 09/30/22 $6.4bn USD

Ticker Symbol GQETX

PORTFOLIO MANAGEMENT CUSIP 362008260
Tom Hancock Ty Cobb, CFA
Net Expense Ratio 0.49
▪ Joined GMO in 1995 ▪ Joined GMO in 1997
▪ 27 yrs industry experience ▪ 29 yrs industry experience
Gross Expense Ratio 0.50
▪ Ph.D. from Harvard University ▪ M.S. from Suffolk University
Net Expense Ratio reflects the reduction of expenses from fee reimbursements. The
Anthony Hene, CFA fee reimbursements will continue until at least June 30, 2023. Elimination of this
▪ Joined GMO in 1995 reimbursement will result in higher fees and lower performance. Gross Expense
▪ 27 yrs industry experience Ratio is equal to the Funds Total Annual Operating Expenses set forth in the Funds
▪ MSc from the University of most recent prospectus dated June 30, 2022.
Oxford

Performance Net of Fees (USD) - Share Class III

TOTAL RETURN (%)
ANNUALIZED RETURNS (%) AS OF 09/30/2022
Portfolio S&P 500 MSCI World
MTD -8.35 -9.21 -9.30
15.00
10.39 9.24 11.67 11.70
QTD -6.54 -4.88 -6.19 8.11 8.44 8.47 6.45
10.00
5.30
YTD -22.95 -23.87 -25.42 5.00
0.00
-5.00
ANNUAL TOTAL RETURN (%) -10.00
2021 26.20 28.71 21.82 -15.00
- -15.47
-20.00 -16.09
2020 18.46 18.40 15.90 -19.63
-25.00
2019 31.69 31.49 27.67
2018 0.46 -4.38 -8.71 1 Year 5 Years 10 Years ITD

2017 29.06 21.83 22.40 Portfolio S&P 500 MSCI World

2016 9.72 11.96 7.51 Inception Date: February 6, 2004
2015 1.50 1.38 -0.87
2014 12.50 13.69 4.94
2013 25.36 32.39 26.68
2012 12.00 16.00 15.83

Returns shown for periods greater than one year are on an annualized basis.
If certain expenses were not reimbursed, performance would be lower. Transaction costs, if any, are paid to the fund to offset the cost of portfolio transactions to invest or raise
cash.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that
an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided
herein. To obtain performance information to the most recent month-end, visit www.gmo.com.
An investor should consider the fund's investment objectives, risks, charges and expenses before investing. This and other important information can be found in the funds
prospectus. To obtain a prospectus please visit www.gmo.com. Read the prospectus carefully before investing. The GMO Trust funds are distributed in the United States by
Funds Distributor LLC. GMO and Funds Distributor LLC are not affiliated.

Risks associated with investing in the Fund may include: (1) Market Risk - Equities: The market price of an equity may decline due to factors affecting the issuer or its industry or
the economy and equity markets generally. Declines in stock market prices generally are likely to reduce the net asset value of the Fund's shares. (2) Management and Operational
Risk: The risk that GMO's investment techniques will fail to produce desired results. (3) Focused Investment Risk: The Fund invests its assets in the securities of a limited number
of issuers, and a decline in the market price of a particular security held by the Fund may affect the Fund's performance more than if the Fund invested in the securities of a larger
number of issuers. For a more complete discussion of these risks and others, please consult the Fund's prospectus.

40 Rowes Wharf | Boston, Massachusetts 02110

(617) 330-7500 | www.gmo.com
GMO LLC © 2022
 As of September 30, 2022

GMO QUALITY FUND

CHARACTERISTICS RISK PROFILE - 5-YEAR TRAILING
Portfolio S&P 500 Portfolio S&P 500
Price/Earnings - Forecast 1 Yr Wtd Mdn 17.1x 18.1x Alpha (Jensen's) 2.04 N/A
Return on Equity - Forecast 1 Yr Wtd Mdn 28.1% 24.6%
Beta 0.89 N/A
Market Cap - Wtd Mdn Bil 152.4 USD 135.5 USD
R Squared 0.95 N/A
Number of Equity Holdings 45 503
Sharpe Ratio 0.57 0.45
Net Debt/EBITDA - Hist 1 Yr Wtd Mdn 0.3x 0.6x
Standard Deviation 16.40 17.92
SECTORS (%) Alpha is a measure of risk-adjusted return. Beta is a measure of a portfolio's
sensitivity to the market. R-Squared is a measure of how well a portfolio tracks the
Communication Services 5.0 market. Sharpe Ratio is the return over the risk free rate per unit of risk. Std Deviation
8.1 is a measure of the volatility of a portfolio. Risk profile data is net.
Consumer Discretionary 10.2
11.7
Consumer Staples 8.2
6.9
Energy 0.0
4.5
Financials 8.6
11.0
TOP HOLDINGS
Health Care 26.9 Company Sector %
15.1
Industrials 4.8 Microsoft Corp Information Technology 6.6
7.9
Information Technology 36.4 UnitedHealth Group Inc Health Care 5.1
26.4
Materials 0.0 Johnson & Johnson Health Care 4.3
2.5
Real Estate 0.0 Apple Inc Information Technology 3.9
2.8
Utilities 0.0 Wells Fargo & Co Financials 3.6
3.1
Texas Instruments Inc Information Technology 3.4
0.0 10.0 20.0 30.0 40.0
US Bancorp Financials 3.4
Portfolio S&P 500 Alphabet Inc Communication Services 3.0
The Global Industry Classification Standard (GICS) is the exclusive intellectual Coca-Cola Co/The Consumer Staples 3.0
property of MSCI Inc. (MSCI) and Standard & Poor's, a division of The McGraw-Hill
Companies, Inc. (S&P). Neither MSCI, S&P, nor any third party makes any Accenture PLC Information Technology 2.9
representations or warranties, express or implied, with respect to GICS or the results
to be obtained by the use thereof, and expressly disclaim all warranties, including of Total 39.2
merchantability and fitness for a particular purpose. Neither MSCI, S&P, nor any third GICS Sector. Portfolio holdings are percent of equity. Where applicable, the top
party shall have any liability for any damages of any kind relating to the use of GICS. holdings are derived by looking through to the underlying funds in which the asset
allocation funds invest and, where appropriate, individual security positions are
TOP COUNTRIES (%) aggregated. They are subject to change and should not be considered a
recommendation to buy individual securities.
77.1
United States
100.0

4.8
United Kingdom
0.0

3.7
France
0.0

3.5
Switzerland
0.0

2.9
Germany
0.0

0.0 20.0 40.0 60.0 80.0 100.0 120.0

Portfolio S&P 500

The S&P 500 Index is an independently maintained and widely published index comprised of U.S. large capitalization stocks. S&P does not guarantee the accuracy, adequacy,
completeness or availability of any data or information and is not responsible for any errors or omissions from the use of such data or information. Reproduction of the data or
information in any form is prohibited except with the prior written permission of S&P or its third party licensors. The MSCI World Index (MSCI Standard Index Series, net of
withholding tax) is an independently maintained and widely published index comprised of global developed markets. MSCI data may not be reproduced or used for any other
purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

About GMO: Founded in 1977, GMO is a private partnership whose sole business is investment management. The firm manages global portfolios with
offices and clients around the world. Investment offerings include equity, fixed income, multi-asset class, and alternative strategies. GMO is known for
blended fundamental and quantitative investment research expertise and a long-term orientation toward value opportunities.