File Nos. 2-98772
811-4347
AS FILED WITH THE SECURITIES AND EXCHANGE COMMISSION
ON MARCH 13, 1996
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-1A
REGISTRATION STATEMENT UNDER THE SECURITIES ACT OF 1933
Pre-Effective Amendment No. / /
Post-Effective Amendment No. 27 / X /
REGISTRATION STATEMENT UNDER THE INVESTMENT
COMPANY ACT OF 1940
Amendment No. 28 / X /
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GMO TRUST
(Exact Name of Registrant as Specified in Charter)
40 Rowes Wharf, Boston, Massachusetts 02110
(Address of principal executive offices)
617-330-7500
(Registrant's telephone number, including area code)
with a copy to:
R. Jeremy Grantham J.B. Kittredge, Esq. GMO Trust Ropes & Gray 40 Rowes Wharf One International Place Boston, Massachusetts 02110 Boston, Massachusetts 02110 |
(Name and address of agents for service)
Pursuant to Rule 24f-2 under the Investment Company Act of 1940, the Registrant has registered an indefinite number or amount of its shares of beneficial interest. The Registrant has filed a Rule 24f-2 Notice with respect to the Registrant's fiscal year ended February 28, 1995.
It is proposed that this filing will become effective:
/ / Immediately upon filing pursuant to paragraph (b), or
/ / 60 days after filing pursuant to paragraph (a)(1), or
/ / On , 1995 pursuant to paragraph (b), or
/ X / 75 days after filing pursuant to paragraph (a)(2), of Rule 485.
GMO TRUST
(For all Series except Pelican Fund)
CROSS REFERENCE SHEET
N-1A Item No. Location
PART A
Item 1. Cover Page Cover Page
Item 2. Synopsis Schedule of Fees and
Expenses
Item 3. Condensed Financial
Information Financial Highlights
Item 4. General Description of
Registrant Organization and
Capitalization of
the Trust;
Investment Objectives
and Policies; Cover
Page
Item 5. Management of the Fund Management of the
Trust; Back Cover
Item 5A. Management's Discussion
of Fund Performance Financial
Highlights
Item 6. Capital Stock and Other
Securities Organization and
Capitalization of
the Trust; Shareholders
Inquiries
Item 7. Purchase of Securities Being
Offered Purchase of Shares;
Determination of Net
Asset Value
Item 8. Redemption or Repurchase Redemption of
Shares;
Determination of Net
Asset Value
Item 9. Pending Legal Proceedings None
Part B
Item 10. Cover Page Cover Page
Item 11. Table of Contents Table of Contents
Item 12. General Information and
History Not Applicable
Item 13. Investment Objectives
and Policies Investment
Objectives and
Policies; Investment
Restrictions
Item 14. Management of the Fund Management of the
Trust
Item 15. Control Persons and Principal
Holders of Securities Description of the
Trust and Ownership
of Shares
Item 16. Investment Advisory and Other
Services Investment Advisory
and Other Services
Item 17. Brokerage Allocation and Other
Practices Portfolio Transactions
Item 18. Capital Stock and Other
Securities Description of the Trust
and Ownership of Shares
Item 19. Purchase, Redemption and Pricing
of Securities Being Offered See in Part A Purchase of
Shares; Redemption of Shares;
Determination of Net Asset Value;
Specimen Price-Make-Up Sheet
Item 20. Tax Status Income Dividends, Distributions
and Tax Status
Item 21. Underwriters Not Applicable
Item 22. Calculation of Performance
Data Not Applicable
Item 23. Financial Statements Financial Statements
Part C
Information to be included in Part C is set forth under the
appropriate item, so numbered, in Part C of this Registration Statement.
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The following documents are incorporated herein by reference:
(1) The Prospectus relating to the Pelican Fund, a series of GMO Trust, contained in Post-Effective Amendment No. 24 to the Trust's Registration Statement (File Nos. 2-98772, 811-4347) filed on November 2, 1995 (and as revised by a filing pursuant to Rule 497(c) filed on January 5, 1996);
(2) The Statement of Additional Information (including the reports of independent accountants and financial statements contained therein) relating to the Pelican Fund, a series of GMO Trust, contained in Post-Effective Amendment No. 24 to the Trust's Registration Statement (File Nos. 2-98872, 811-4347) filed on November 2, 1995 (and as revised by a filing pursuant to Rule 497(c) filed on January 5, 1996).
GMO TRUST
GMO TRUST (the "Trust"), 40 Rowes Wharf, Boston, Massachusetts 02110, is an open-end management investment company offering a total of thirty-one separate portfolios pursuant to this prospectus (collectively, the "FUNDS"). The Trust offers one additional portfolio, the Pelican Fund, pursuant to a separate prospectus. Each Fund has its own investment objective and strategies. GRANTHAM, MAYO, VAN OTTERLOO & CO. (the "MANAGER" or "GMO") is the investment manager of each Fund. The Manager has a Consulting Agreement with Dancing Elephant, Ltd. (the "Consultant") with respect to management of the GMO Emerging Markets Fund. The Trust offers both diversified and non-diversified portfolios. For a discussion of the significance and/or risks associated with non-diversified portfolios, see "Descriptions and Risks of Fund Investment Practices -- Diversified and Non-Diversified Portfolios." A Table of Contents appears on page 6 of this Prospectus.
Each of the Funds (other than the GMO Short-Term Income Fund and the Allocation Funds) offers at least three classes of shares: TRADITIONAL SHARES, PRIMARY SHARES and SECONDARY SHARES. Of the eight Allocation Funds, four offer Primary and Secondary Shares (the "multiclass Allocation Funds"). The remaining four Allocation Funds offer only Traditional Shares and have the same four asset allocation strategies as the corresponding multiclass Allocation Funds (the "traditional Allocation Funds"). The Short-Term Income Fund offers only Traditional Shares. The eligibility criterion for Traditional, Primary and Secondary Shares is the amount of total assets that a client has under GMO's management, as described more fully below. In addition, the Core Fund, International Core Fund and Emerging Markets Fund each offer three classes of "ACCOUNT LEVEL SHARES" designed to accommodate clients who have very large amounts of total assets under GMO's management. Account Level Shares are described in greater detail beginning on page __ of this Prospectus.
The differences between the classes are solely (i) the level of Shareholder Service Fee borne by the class (with a lower fee for classes that require higher levels of assets under management), reflecting that servicing larger accounts is less expensive when expressed as a percentage of assets, (ii) the level of purchase premium and redemption fee, if any, and the way in which such premiums are assessed and (iii) whether GMO itself or the GMO Funds Division provides service and reporting to the shareholders. These differences are described briefly below and in more detail elsewhere in this Prospectus. ALL CLASSES OF SHARES OF A PARTICULAR FUND OWN THE SAME UNDERLYING ASSETS AND PAY THE SAME INVESTMENT MANAGEMENT FEE TO THE MANAGER.
TRADITIONAL AND ACCOUNT LEVEL SHARES:
GMO provides direct client service and reporting to owners of Traditional Shares and Account Level Shares. Such clients must have at least $30 million under the management of GMO (and substantially more to be eligible for Account Level Shares).
Traditional Shares. Traditional Shares are available to any investor who (i) has at least $30 million under the management of GMO as of May 31, 1996, (ii) contributes at least $30 million to any investment managed by GMO after May 31, 1996, or (iii) after an investment, has a total investment managed by GMO of at least $30 million. See "Multiple Classes - Eligibility for Classes" and "Multiple Classes - Conversions Between Classes" for full details of the of the eligibility criteria for the various classes and for an explanation of how conversions between classes will occur. Investors in Traditional Shares will receive client service and reporting directly from the Manager, and their shares will bear a Shareholder Service Fee equal to 0.15% of Traditional Share assets. Note: Traditional Shares are simply a redesignation of the single class of shares that has been offered by each Fund since inception. Traditional Shares bear the same total operating expenses as they had before the redesignation, but GMO's fees now consist of two components - a management fee for investment advisory and related services and a Shareholder Service Fee for client servicing and reporting activities. See "Schedule of Fees and Expenses."
Account Level Shares. Three additional classes of Account Level Shares are available for each of the Core Fund, International Core Fund and Emerging Markets Fund to accommodate clients who have very large amounts under GMO's management. Account Shares bear substantially lower Shareholder Service Fees than Traditional Shares to reflect the lower cost of servicing such large accounts as a percentage of assets. The eligibility criteria and fees of the Account Level Shares are described beginning on page ___ of this Prospectus.
Purchasers of Traditional or Account Level Shares should follow purchase instructions for such classes described under "Purchase of Shares" and direct questions to GMO Shareholder Services at (617) 330-7500.
PRIMARY AND SECONDARY SHARES:
Recognizing that institutional and individual investors with a total amount under the management of GMO of less than $30 million have different client service and reporting needs than larger client relationships, GMO has created the GMO Funds Division ("GMO Funds"). GMO Funds has been created to offer mutual fund products (including asset allocation funds) to investors with $1 million to $30 million under management, while at the same time delivering institutional quality client services to such investors, including professional and informative reporting, personal and electronic access to Fund information and access to meaningful analysis and explanation.
Primary Shares. Primary Shares are available to any investor who (i) has at least $10 million but less than $30 million under the management of GMO as of May 31, 1996, (ii) contributes between $10 million and $30 million to any investment managed by GMO after May 31, 1996, or (iii) after an investment, has a total investment managed by GMO of between $10 million and $30 million. See "Multiple Classes - Eligibility for Classes" and "Multiple Classes - Conversions Between Classes" for full details of the eligibility criteria for the various classes and an explanation of how conversions between classes will occur. Primary Shares will receive client service and reporting by GMO Funds and will bear a Shareholder Service Fee of 0.22% (or 0.07% higher than such fee for the Traditional Shares) to reflect the costs of servicing accounts of this size.
Secondary Shares. Secondary Shares are available to any investor who (i) has at least $1 million but less than $10 million under the management of GMO as of May 31, 1996, or (ii) contributes between $1 million and $10 million to any investment managed by GMO after May 31, 1996, or (iii) after an investment, has a total investment managed by GMO of between $1 million and $10 million. See "Multiple Classes - Eligibility for Classes" and "Multiple Classes - Conversions Among Classes" for full details of the eligibility criteria for the various classes and an explanation of how conversions between classes will occur. Secondary Shares will receive client service and reporting by GMO Funds and will bear a Shareholder Service Fee of 0.30% (or 0.08% higher than such fee for Primary Shares).
Purchasers of Primary and Secondary Shares should follow purchase instructions for such classes described under "Purchase of Shares" and direct questions to GMO Funds at [(800) ___-____ ].
This Prospectus concisely describes the information which investors
ought to know before investing. Please read this Prospectus carefully and keep
it for further reference. A Statement of Additional Information dated May 27,
1996, as revised from time to time, is available free of charge by writing to
GMO Funds Division, 40 Rowes Wharf, Boston, Massachusetts 02110 or by calling
(617) [ ]. The Statement, which contains more detailed information about each
Fund, has been filed with the Securities and Exchange Commission ("SEC") and is
incorporated by reference in this Prospectus.
THE EMERGING COUNTRY DEBT AND THE CORE EMERGING COUNTRY DEBT FUNDS MAY INVEST WITHOUT LIMIT, THE INTERNATIONAL BOND AND CURRENCY HEDGED INTERNATIONAL BOND FUNDS MAY INVEST UP TO 25% OF THEIR NET ASSETS AND THE DOMESTIC BOND, REIT AND FOREIGN FUNDS MAY INVEST UP TO 5% OF THEIR NET ASSETS IN LOWER-RATED BONDS, COMMONLY KNOWN AS "JUNK BONDS." INVESTMENTS OF THIS TYPE ARE SUBJECT TO A GREATER RISK OF LOSS OF PRINCIPAL AND NON-PAYMENT OF INTEREST. INVESTORS SHOULD
CAREFULLY ASSESS THE RISKS ASSOCIATED WITH AN INVESTMENT IN THESE FUNDS. PLEASE SEE "DESCRIPTION AND RISKS OF FUND INVESTMENT PRACTICES -- LOWER RATED SECURITIES."
THESE SECURITIES HAVE NOT BEEN APPROVED OR DISAPPROVED BY THE SECURITIES AND EXCHANGE COMMISSION OR ANY STATE SECURITIES COMMISSION NOR HAS THE SECURITIES AND EXCHANGE COMMISSION OR ANY STATE SECURITIES COMMISSION PASSED ON THE ACCURACY OR ADEQUACY OF THIS PROSPECTUS. ANY REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENSE.
PROSPECTUS MAY 27, 1996
DOMESTIC EQUITY FUNDS
The Trust offers the following nine domestic equity portfolios which are collectively referred to as the "DOMESTIC EQUITY FUNDS."
GMO CORE FUND (the "CORE FUND") is a diversified portfolio that seeks a total return greater than that of the Standard & Poor's 500 Stock Index (the "S&P 500") through investment in common stocks chosen from among the 1,200 companies with the largest equity capitalization whose securities are listed on a United States national securities exchange (the "Large Cap 1200").
GMO TOBACCO-FREE CORE FUND (the "TOBACCO-FREE CORE FUND") is a diversified portfolio that seeks a total return greater than that of the S&P 500 through investment in common stocks chosen from the Large Cap 1200 which are not Tobacco Producing Issuers. A "Tobacco Producing Issuer" is an issuer which derives more than 10% of its gross revenues from the production of tobacco-related products.
GMO VALUE ALLOCATION FUND (the"VALUE ALLOCATION FUND") is a non-diversified portfolio that seeks a total return greater than that of the S&P 500 through investment in common stocks chosen from the Large Cap 1200. Strong consideration is given to common stocks whose current prices, in the opinion of the Manager, do not adequately reflect the on-going business value of the underlying company.
GMO GROWTH ALLOCATION FUND (the "GROWTH ALLOCATION FUND") is a non-diversified portfolio that seeks long-term growth of capital through investment in the equity securities of companies chosen from the Large Cap 1200. Current income is only an incidental consideration.
GMO U.S. SECTOR ALLOCATION FUND (the "U.S. SECTOR ALLOCATION FUND") is a non-diversified portfolio that seeks a total return greater than that of the S&P 500 through investment in common stocks chosen from among the 1,800 companies with the largest equity capitalization whose securities are listed on a United States national securities exchange.
GMO CORE II SECONDARIES FUND (the "CORE II SECONDARIES FUND") is a diversified portfolio that seeks long-term growth of capital through investment primarily in companies whose equity capitalization ranks in the lower two-thirds of the 1800 companies with the largest equity capitalization whose securities are listed on a United States national securities exchange. Current income is only an incidental consideration.
GMO FUNDAMENTAL VALUE FUND (the "FUNDAMENTAL VALUE FUND") is a diversified portfolio that seeks long-term capital growth through investment primarily in equity securities. Consideration of current income is secondary to this principal objective.
GMO CONSERVATIVE EQUITY FUND (the "CONSERVATIVE EQUITY FUND") is a non-diversified portfolio that seeks a total return greater than that of the S&P 500, with an emphasis on outperforming the S&P 500 during times of adverse economic or market conditions. The Fund pursues its objective by investing in common stocks chosen from among the Large Cap 1200. The Conservative Equity Fund has not yet commenced operations.
GMO REIT FUND (the "REIT FUND") is a non-diversified portfolio that seeks maxim total return through investment primarily in real estate investment trusts ("REITs"). The GMO REIT Fund has not yet commenced operations.
INTERNATIONAL EQUITY FUNDS
The Trust offers the following six international equity portfolios which are collectively referred to as the "INTERNATIONAL EQUITY FUNDS."
GMO INTERNATIONAL CORE FUND (the "INTERNATIONAL CORE FUND") is a diversified portfolio that seeks maximum total return through investment in a portfolio of common stocks of non-U.S. issuers.
GMO CURRENCY HEDGED INTERNATIONAL CORE FUND (the "CURRENCY HEDGED INTERNATIONAL CORE FUND") is a non-diversified portfolio that seeks maximum total return through investment in a portfolio of common stocks of non-U.S. issuers and through management of the Fund's foreign currency positions. The Fund has similar policies to the International Core Fund, except that the Currency Hedged International Core Fund will maintain currency hedges with respect to a substantial portion of the foreign currency exposure represented in the Fund's benchmark while the International Core Fund will generally hedge only a limited portion of the currency exposure of that benchmark.
GMO FOREIGN FUND (the "FOREIGN FUND") is a non-diversified portfolio that seeks maximum total return through investment in a portfolio of equity securities of non-U.S. issuers.
GMO INTERNATIONAL SMALL COMPANIES FUND (the "INTERNATIONAL SMALL COMPANIES FUND") is a diversified portfolio that seeks maximum total return through investment primarily in equity securities of foreign issuers whose equity securities are traded on a major stock exchange of a foreign country ("foreign stock exchange companies") and whose equity capitalization at the time of investment, when aggregated with the equity capitalizations of all foreign stock exchange companies in that country whose equity capitalizations are smaller than that of such company, is less than 50% of the aggregate equity capitalization of all foreign stock exchange companies in such country.
GMO JAPAN FUND (the "JAPAN FUND") is a non-diversified portfolio that seeks maximum total return through investment in Japanese securities, primarily in common stocks of Japanese companies.
GMO EMERGING MARKETS FUND (the "EMERGING MARKETS FUND") is a non-diversified portfolio that seeks long term capital appreciation consistent with what the Manager believes to be a prudent level of risk through investment in equity and equity-related securities traded in the securities markets of newly industrializing countries in Asia, Latin America, the Middle East, Southern Europe, Eastern Europe and Africa.
FIXED INCOME FUNDS
The Trust offers the following eight domestic and international fixed income portfolios which are collectively referred to as the "FIXED INCOME FUNDS."
GMO SHORT-TERM INCOME FUND (the "SHORT-TERM INCOME FUND") is a non-diversified portfolio that seeks current income to the extent consistent with the preservation of capital and liquidity through investment in a portfolio of high quality short-term instruments. The Short-Term Income Fund intends to invest in short-term securities, but it is not a "money market fund."
GMO GLOBAL HEDGED EQUITY FUND (the "GLOBAL HEDGED EQUITY FUND") is a non-diversified portfolio that seeks total return consistent with minimal exposure to general equity market risk.
GMO DOMESTIC BOND FUND (the "DOMESTIC BOND FUND") is a non-diversified portfolio that seeks high total return through investment primarily in U.S. Government Securities. The Fund may also invest a significant portion of its assets in other investment grade bonds (including convertible bonds) denominated in U.S. dollars. The Fund's portfolio will generally have a duration of approximately four to six years (excluding short-term investments).
GMO INTERNATIONAL BOND FUND (the "INTERNATIONAL BOND FUND") is a non-diversified portfolio that seeks high total return by investing primarily in investment grade bonds (including convertible bonds) denominated in various currencies including U.S. dollars or in multicurrency units. The Fund seeks to provide a total return greater than that provided by the international fixed income securities market generally.
GMO CURRENCY HEDGED INTERNATIONAL BOND FUND (the "CURRENCY HEDGED INTERNATIONAL BOND FUND") is a non-diversified portfolio with the same investment objectives and policies as the International Bond Fund except that the Currency Hedged International Bond Fund will generally attempt to hedge substantially all of its foreign currency risk while the International Bond Fund will generally not hedge any of its foreign currency risk. Despite the otherwise identical objectives and policies, the composition of the two portfolios may differ substantially at any given time.
GMO GLOBAL BOND FUND (the "GLOBAL BOND FUND") is a non-diversified portfolio that seeks high total return by investing primarily in investment grade bonds (including convertible bonds) denominated in various currencies including U.S. dollars or in multicurrency units. The Fund seeks to provide a total return greater than that provided by the global fixed income securities market generally.
GMO EMERGING COUNTRY DEBT FUND (the "EMERGING COUNTRY DEBT FUND") is a non-diversified portfolio that seeks high total return by investing primarily in sovereign debt (bonds and loans) of countries in Asia, Latin America, the Middle East, Southern Europe, Eastern Europe and Africa.
GMO CORE EMERGING COUNTRY DEBT FUND (the "CORE EMERGING COUNTRY DEBT FUND") is a non-diversified portfolio that seeks high total return by investing primarily in the most marketable sovereign debt (bonds and loans) of countries in Asia, Latin America, the Middle East, Southern Europe, Eastern Europe and Africa. The Core Emerging Country Debt Fund has not yet commenced operations.
ASSET ALLOCATION FUNDS
The Trust offers the following eight asset allocation portfolios (the "ALLOCATION FUNDS") that represent four different asset allocation strategies. The Allocation Funds operate as "funds-of-funds" in that, pursuant to management provided by the Manager, these Funds make investments in other Funds constituting the Trust. Please see the relevant Fund description under "Investment Objectives and Policies" for greater detail concerning the benchmark indices referenced below.
Each of the Allocation Funds with the word "traditional" in its name offers only Traditional Shares (the "traditional Allocation Funds"); the other Allocation Funds offer only Primary and Secondary Shares (the "multiclass Allocation Funds").
GMO INTERNATIONAL EQUITY ALLOCATION FUND (the "INTERNATIONAL EQUITY ALLOCATION FUND") is a diversified portfolio that seeks a total return greater than the return of the EAFE-lite Extended Index benchmark. The Fund will pursue its objective by investing to varying extents in Primary Shares of the International Core Fund, Currency Hedged International Core Fund, International Small Companies Fund, Japan Fund and Emerging Markets Fund.
GMO TRADITIONAL INTERNATIONAL EQUITY ALLOCATION FUND (the "TRADITIONAL INTERNATIONAL EQUITY ALLOCATION FUND") is a diversified portfolio with the same investment objective and policies as the International Equity Allocation Fund, but will invest in Traditional Shares of the same underlying Funds, and is only available to investors that are eligible to purchase Traditional Shares.
GMO WORLD EQUITY ALLOCATION FUND (THE"WORLD EQUITY ALLOCATION FUND") is a diversified portfolio that seeks a total return greater than the return of the World- lite Extended Index benchmark. The Fund will pursue its objective by investing to varying extents in Primary Shares of the Core Fund, Growth Allocation Fund, Value Allocation Fund, Fundamental Value Fund, Core II Secondaries Fund, International Core Fund, Currency Hedged International Core Fund, International Small Companies Fund, Japan Fund and Emerging Markets Fund.
GMO TRADITIONAL WORLD EQUITY ALLOCATION FUND (the "TRADITIONAL WORLD EQUITY ALLOCATION FUND") is a diversified portfolio with the same investment objective and policies as the World Equity Allocation Fund, but will invest in Traditional Shares of the same underlying Funds, and is only available to investors that are eligible to purchase Traditional Shares.
GMO GLOBAL EQUITY ALLOCATION FUND (the "GLOBAL EQUITY ALLOCATION FUND") is a diversified portfolio that seeks a total return greater than the return of the GMO Global Index benchmark. The Fund will pursue its objective by investing to varying extents in Primary Shares of the Core Fund, Growth Allocation Fund, Value Allocation Fund, Fundamental Value Fund, Core II Secondaries Fund, International Core Fund, Currency Hedged International Core Fund, International Small Companies Fund, Japan Fund and Emerging Markets Fund.
GMO TRADITIONAL GLOBAL EQUITY ALLOCATION FUND (the "TRADITIONAL GLOBAL EQUITY ALLOCATION FUND") is a diversified portfolio with the same investment objective and policies as the Global Equity Allocation Fund, but will invest in Traditional Shares of the same underlying Funds, and is available only to investors eligible to purchase Traditional Shares.
GMO GLOBAL BALANCED ALLOCATION FUND (the "GLOBAL BALANCED ALLOCATION FUND") is a diversified portfolio that seeks a total return greater than the return of the GMO Global Balanced Index benchmark. The Fund will pursue its objective by investing to varying extents in Primary Shares of the Core Fund, Growth Allocation Fund, Value Allocation Fund, Fundamental Value Fund, Core II Secondaries Fund, International Core Fund, Currency Hedged International Core Fund, International Small Companies Fund, Japan Fund, Emerging Markets Fund, Domestic Bond Fund, International Bond Fund, Currency Hedged International Bond Fund and Emerging Country Debt Fund.
GMO TRADITIONAL GLOBAL BALANCED ALLOCATION FUND (the "TRADITIONAL GLOBAL BALANCED ALLOCATION FUND") is a diversified portfolio with the same investment objective and policies as the Global Balanced Allocation Fund, but will invest in Traditional Shares of the same underlying Funds, and is available only to investors eligible to purchase Traditional Shares.
Investors should consider the risks associated with an investment in the Funds. For information concerning the types of investment practices in which a particular Fund may engage, see "Investment Objectives and Policies". For more information concerning such investment practices and their associated risks, see "Descriptions and Risks of Fund Investment Practices."
TABLE OF CONTENTS
SCHEDULE OF FEES AND EXPENSES.............................................................................................4
FINANCIAL HIGHLIGHTS......................................................................................................6
INVESTMENT OBJECTIVES AND POLICIES.......................................................................................15
DOMESTIC EQUITY FUNDS................................................................................................15
Core Fund........................................................................................................15
Tobacco-Free Core Fund...........................................................................................15
Value Allocation Fund............................................................................................16
Growth Allocation Fund...........................................................................................16
U.S. Sector Allocation Fund......................................................................................17
Core II Secondaries Fund.........................................................................................17
Fundamental Value Fund...........................................................................................18
INTERNATIONAL EQUITY FUNDS...........................................................................................19
International Core Fund..........................................................................................19
Currency Hedged International Core Fund..........................................................................19
Foreign Fund.....................................................................................................20
International Small Companies Fund ..............................................................................21
Japan Fund.......................................................................................................21
Emerging Markets Fund............................................................................................22
FIXED INCOME FUNDS...................................................................................................26
Domestic Bond Fund...............................................................................................26
Global Hedged Equity Fund........................................................................................23
Short-Term Income Fund...........................................................................................26
International Bond Fund..........................................................................................27
Currency Hedged International Bond Fund..........................................................................28
Global Bond Fund.................................................................................................28
Emerging Country Debt Fund.......................................................................................29
Core Emerging Country Debt Fund..................................................................................30
ASSET ALLOCATION FUNDS
International Equity Allocation Fund
Traditional International Equity Allocation Fund
World Equity Allocation Fund
Traditional World Equity Allocation Fund
Global Equity Allocation Fund
Traditional Global Equity Allocation Fund
Global Balanced Allocation Fund
Traditional Global Balanced Allocation Fund
DESCRIPTIONS AND RISKS OF FUND
INVESTMENT PRACTICES.................................................................................................30
Portfolio Turnover...................................................................................................30
Diversified and Non-Diversified Portfolios...........................................................................31
Certain Risks of Foreign Investments.................................................................................31
General..........................................................................................................31
Emerging Markets.................................................................................................31
Securities Lending...................................................................................................31
Depository Receipts..............................................................................................32
Convertible Securities...............................................................................................32
Futures and Options..................................................................................................32
Options..........................................................................................................32
Writing Covered Options..........................................................................................32
Futures..........................................................................................................33
Index Futures....................................................................................................34
Interest Rate Futures............................................................................................34
Options on Futures Contracts.....................................................................................34
Uses of Options, Futures and Options on
Futures............................................................................................................34
Risk Management..................................................................................................34
Hedging..........................................................................................................35
Investment Purposes..............................................................................................35
Synthetic Sales and Purchases....................................................................................35
Swap Contracts and Other Two-Party Contracts.........................................................................36
Swap Contracts...................................................................................................36
Interest Rate and Currency Swap Contracts........................................................................36
Equity Swap Contracts and Contracts for
Differences.................................................................................................36
Interest Rate Caps, Floors and Collars...........................................................................37
Foreign Currency Transactions .......................................................................................37
Repurchase Agreements................................................................................................38
Debt and Other Fixed Income Securities
Generally..........................................................................................................38
Temporary High Quality Cash Items....................................................................................38
U.S. Government Securities and Foreign
Government Securities..............................................................................................38
Mortgage-Backed and Other Asset-Backed
Securities.........................................................................................................39
Collateralized Mortgage Obligations
("CMOs"); Strips and Residuals.................................................................................39
Adjustable Rate Securities...........................................................................................39
Lower Rated Securities...............................................................................................40
Brady Bonds..........................................................................................................40
Zero Coupon Securities...............................................................................................40
Indexed Securities...................................................................................................40
Firm Commitments.....................................................................................................41
Loans, Loan Participations and Assignments...........................................................................41
Reverse Repurchase Agreements and Dollar
Roll Agreements....................................................................................................41
Illiquid Securities..................................................................................................42
Special Allocation Fund Considerations...............................................................................42
MULTIPLE CLASSES
Shareholder Service Fees
Eligibility for Classes
Conversions Between Classes
PURCHASE OF SHARES.......................................................................................................42
Purchase Procedures..................................................................................................43
REDEMPTION OF SHARES.....................................................................................................43
DETERMINATION OF NET ASSET VALUE.........................................................................................44
DISTRIBUTIONS............................................................................................................44
TAXES....................................................................................................................45
Withholding on Distributions to Foreign
Investors.........................................................................................................45
Foreign Tax Credits..................................................................................................45
Loss of Regulated Investment Company Status..........................................................................45
MANAGEMENT OF THE TRUST..................................................................................................46
ORGANIZATION AND CAPITALIZATION
OF THE TRUST ........................................................................................................47
Appendix A...............................................................................................................48
RISKS AND LIMITATIONS OF OPTIONS, FUTURES
AND SWAPS............................................................................................................48
Limitations on the Use of Options and Futures
Portfolio Strategies.............................................................................................48
Risk Factors in Options Transactions.................................................................................48
Risk Factors in Futures Transactions.................................................................................48
Risk Factors in Swap Contracts, OTC Options and
other Two-Party Contracts........................................................................................49
Additional Regulatory Limitations on the Use of
Futures and Related Options, Interest Rate
Floors, Caps and Collars and Interest Rate and
Currency Swap Contracts..........................................................................................49
Appendix B...............................................................................................................50
COMMERCIAL PAPER AND CORPORATE DEBT
RATINGS..............................................................................................................50
Commercial Paper Ratings ............................................................................................50
Corporate Debt Ratings...............................................................................................50
Standard & Poor's Corporation........................................................................................50
Moody's Investors Service, Inc.......................................................................................50
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SCHEDULE OF FEES AND EXPENSES
TRADITIONAL SHARES
GMO Fund Name Shareholder Annual Operating Expenses
Transaction Expenses
Cash
Purchase Redemption
Premium Fees (as a Mgmt. Share-
(as a percentage Fees holder Other Total
percentage of amount after Service Expenses3 Operating
of amount redeemed1 Fee Fee2 Expenses3
invested)1 Waiver3
Core Fund .17% None % .15% % .48%
Tobacco-Free Core Fund .17% None % .15% % .48%
Value Allocation Fund .15% None % .15% % .61%
Growth Allocation Fund .17% None % .15% % .48%
U.S. Sector Allocation Fund .17% None % .15% % .48%
Core II Secondaries Fund .75% .75% % .15% % .48%
Fundamental Value Fund .15% None % .15% % .75%
Conservative Equity Fund .17% None % .15% %9 .48%
REIT Fund .17% None % .15% %9 1.21%
International Core Fund .75% None %11 .15% % .69%11
Currency Hedged
International Core Fund .75% None % .15% %9 .69%
Foreign Fund None None % .15% %9 .75%
International Small
Companies Fund 1.25% .75% % .15% % .76%
Japan Fund .40% .70% %8 .15% % .69%8
Emerging Markets Fund 1.60% .40%5 %11 .15% % %11
Short-Term Income Fund None None %10 .15% % .20%10
Global Hedged
Equity Fund .60% 1.40%4 % .15% % %
Domestic Bond Fund None None % .15% % .25%
International Bond Fund .15% None % .15% % .40%
Currency Hedged
International Bond Fund .15% None % .15% % .40%
Global Bond Fund .15% None % .15% %9 .34%
Emerging Country
Debt Fund .50% .25%6 %7 .15% % %7
Core Emerging Country
Debt Fund .40% None % .15% %9 .45%
International Allocation Fund None None 0% 0% %9 %
World Allocation Fund None None 0% 0% %9 %
Global Allocation Fund None None 0% 0% %9 %
Global Balanced Fund None None 0% 0% %9 %
|
Examples
You would pay the
following expenses
on a $1,000 You would pay the
investment assuming following expenses on
5% annual return the same investment
with redemption at assuming no
the end of each redemption:
time period:
1 Yr. 3 Yr. 5 Yr. 10 Yr. 1 Yr. 3 Yr. 5 Yr. 10 Yr.
Core Fund $7 $17 $29 $62 $7 $17 $29 $62
Tobacco-Free Core Fund $7 $17 $29 $62 $7 $17 $29 $62
Value Allocation Fund $8 $21 $35 $78 $8 $21 $35 $78
Growth Allocation Fund $7 $17 $29 $62 $7 $17 $29 $62
U.S. Sector Allocation Fund $7 $17 $29 $62 $7 $17 $29 $62
Core II Secondaries Fund $20 $31 $43 $79 $12 $23 $34 $67
Fundamental Value Fund $9 $25 $43 $94 $9 $25 $43 $94
Conservative Equity Fund $7 $17 $7 $17
REIT Fund $14 $40 $14 $40
International Core Fund $15 $29 $46 $93 $15 $29 $46 $93
Currency Hedged
International Core Fund $15 $29 $15 $29
Foreign Fund $8 $24 $8 $24
International Small
Companies Fund $28 $45 $63 $117 $20 $36 $54 $106
Japan Fund $18 $34 $51 $100 $11 $26 $42 $90
Emerging Markets Fund $ $ $ $ $ $ $ $
Short-Term Income Fund $2 $6 $11 $26 $2 $6 $11 $26
Global Hedged
Equity Fund $ $ $ $ $ $ $ $
Domestic Bond Fund $3 $8 $14 $32 $3 $8 $14 $32
International Bond Fund $6 $14 $24 $52 $6 $14 $24 $52
Currency Hedged
International Bond Fund $6 $14 $24 $52 $6 $14 $24 $52
Global Bond Fund $5 $12 $5 $12
Emerging Country
Debt Fund $ $ $ $ $ $ $ $
Core Emerging Country
Debt Fund $9 $18 $9 $18
International Allocation Fund $ $ $ $ $ $ $ $
World Allocation Fund $ $ $ $ $ $ $ $
Global Allocation Fund $ $ $ $ $ $ $ $
Global Balanced Fund $ $ $ $ $ $ $ $
|
Unless otherwise noted, Annual Operating Expenses shown are actual expenses for the fiscal year ended February 29, 1996.
Footnotes are on pages 13-14.
SCHEDULE OF FEES AND EXPENSES
PRIMARY SHARES
GMO Fund Name Shareholder Annual Operating Expenses
Transaction Expenses
Cash
Purchase Redemption
Premium Fees (as a Mgmt. Share-
(as a percentage Fees holder Other Total
percentage of amount after Service Expenses3 Operating
of amount redeemed1 Fee Fee 2 Expenses3
invested)1 Waiver3
Core Fund .14% None % .22% % .55%
Tobacco-Free Core Fund .14% None % .22% % .55%
Value Allocation Fund .13% None % .22% % .68%
Growth Allocation Fund .14% None % .22% % .55%
U.S. Sector Allocation Fund .14% None % .22% % .55%
Core II Secondaries Fund .64% .64% % .22% % .55%
Fundamental Value Fund .13% None % .22% % .82%
Conservative Equity Fund .14% None % .22% %9 .55%
REIT Fund .14% None % .22% %9 1.28%
International Core Fund .64% None %11 .22% % .76%11
Currency Hedged
International Core Fund .64% None % .22% %9 .76%
Foreign Fund None None % .22% %9 .82%
International Small
Companies Fund 1.06% .64% % .22% % .83%
Japan Fund .34% .60% %8 .22% % .76%8
Emerging Markets Fund 1.36% .34% %11 .22% % %11
Global Hedged
Equity Fund .51% 1.19%4 % .22% % %
Domestic Bond Fund None None % .22% % .32%
International Bond Fund .13% None % .22% % .47%
Currency Hedged
International Bond Fund .13% None % .22% % .47%
Global Bond Fund .13% None % .22% %9 .41%
Emerging Country
Debt Fund .43% .21% %7 .22% % %7
Core Emerging Country
Debt Fund .34% None % .22% %9 .52%
International Allocation Fund None None 0% 0% %9 %
World Allocation Fund None None 0% 0% %9 %
Global Allocation Fund None None 0% 0% %9 %
Global Balanced Fund None None 0% 0% %9 %
|
Examples
You would pay the
following expenses
on a $1,000 You would pay the
investment assuming following expenses on
5% annual return the same investment
with redemption at assuming no
the end of each redemption:
time period:
1 Yr. 3 Yr. 5 Yr. 10 Yr. 1 Yr. 3 Yr. 5 Yr. 10 Yr.
Core Fund $ $ $ $ $ $ $ $
Tobacco-Free Core Fund $ $ $ $ $ $ $ $
Value Allocation Fund $ $ $ $ $ $ $ $
Growth Allocation Fund $ $ $ $ $ $ $ $
U.S. Sector Allocation Fund $ $ $ $ $ $ $ $
Core II Secondaries Fund $ $ $ $ $ $ $ $
Fundamental Value Fund $ $ $ $ $ $ $ $
Conservative Equity Fund $ $ $ $ $ $ $ $
REIT Fund $ $ $ $ $ $ $ $
International Core Fund $ $ $ $ $ $ $ $
Currency Hedged
International Core Fund $ $ $ $ $ $ $ $
Foreign Fund $ $ $ $ $ $ $ $
International Small
Companies Fund $ $ $ $ $ $ $ $
Japan Fund $ $ $ $ $ $ $ $
Emerging Markets Fund $ $ $ $ $ $ $ $
Global Hedged
Equity Fund $ $ $ $ $ $ $ $
Domestic Bond Fund $ $ $ $ $ $ $ $
International Bond Fund $ $ $ $ $ $ $ $
Currency Hedged
International Bond Fund $ $ $ $ $ $ $ $
Global Bond Fund $ $ $ $ $ $ $ $
Emerging Country
Debt Fund $ $ $ $ $ $ $ $
Core Emerging Country
Debt Fund $ $ $ $ $ $ $ $
International Allocation Fund $ $ $ $ $ $ $ $
World Allocation Fund $ $ $ $ $ $ $ $
Global Allocation Fund $ $ $ $ $ $ $ $
Global Balanced Fund $ $ $ $ $ $ $ $
|
Unless otherwise noted, Annual Operating Expenses shown are actual expenses for the fiscal year ended February 29, 1996.
Footnotes are on pages 13-14.
SCHEDULE OF FEES AND EXPENSES
SECONDARY SHARES
GMO Fund Name Shareholder Annual Operating Expenses
Transaction
Expenses
Cash
Purchase Redemption
Premium Fees (as a Mgmt. Share-
(as a percentage Fees holder Other Total
percentage of amount after Service Expenses3 Operating
of amount redeemed1 Fee Fee2 Expenses3
invested)1 Waiver3
Core Fund .14% None % .30% % .63%
Tobacco-Free Core Fund .14% None % .30% % .63%
Value Allocation Fund .13% None % .30% % .76%
Growth Allocation Fund .14% None % .30% % .63%
U.S. Sector Allocation Fund .14% None % .30% % .63%
Core II Secondaries Fund .64% .64% % .30% % .63%
Fundamental Value Fund .13% None % .30% % .90%
Conservative Equity Fund .14% None % .30% %9 .63%
REIT Fund .14% None % .30% %9 1.36%
International Core Fund .64% None %11 .30% % .84%11
Currency Hedged
International Core Fund .64% None % .30% %9 .84%
Foreign Fund None None % .30% %9 .90%
International Small
Companies Fund 1.06% .64% % .30% % .91%
Japan Fund .34% .60% %8 .30% % .84%8
Emerging Markets Fund 1.36% .34% %11 .30% % %11
Global Hedged
Equity Fund .51% 1.19%4 % .30% % %
Domestic Bond Fund None None % .30% % .40%
International Bond Fund .13% None % .30% % .55%
Currency Hedged
International Bond Fund .13% None % .30% % .55%
Global Bond Fund .13% None % .30% %9 .49%
Emerging Country
Debt Fund .43% .21% %7 .30% % %7
Core Emerging Country
Debt Fund .34% None % .30% %9 .60%
International Allocation Fund None None 0% .08% %9 %
World Allocation Fund None None 0% .08% %9 %
Global Allocation Fund None None 0% .08% %9 %
Global Balanced Fund None None 0% .08% %9 %
|
Examples
You would pay the
following expenses
on a $1,000 You would pay the
investment assuming following expenses on
5% annual return the same investment
with redemption at assuming no
the end of each redemption:
time period:
1 Yr. 3 Yr. 5 Yr. 10 Yr. 1 Yr. 3 Yr. 5 Yr. 10 Yr.
Core Fund $ $ $ $ $ $ $ $
Tobacco-Free Core Fund $ $ $ $ $ $ $ $
Value Allocation Fund $ $ $ $ $ $ $ $
Growth Allocation Fund $ $ $ $ $ $ $ $
U.S. Sector Allocation Fund $ $ $ $ $ $ $ $
Core II Secondaries Fund $ $ $ $ $ $ $ $
Fundamental Value Fund $ $ $ $ $ $ $ $
Conservative Equity Fund $ $ $ $ $ $ $ $
REIT Fund $ $ $ $ $ $ $ $
International Core Fund $ $ $ $ $ $ $ $
Currency Hedged
International Core Fund $ $ $ $ $ $ $ $
Foreign Fund $ $ $ $ $ $ $ $
International Small
Companies Fund $ $ $ $ $ $ $ $
Japan Fund $ $ $ $ $ $ $ $
Emerging Markets Fund $ $ $ $ $ $ $ $
Global Hedged
Equity Fund $ $ $ $ $ $ $ $
Domestic Bond Fund $ $ $ $ $ $ $ $
International Bond Fund $ $ $ $ $ $ $ $
Currency Hedged
International Bond Fund $ $ $ $ $ $ $ $
Global Bond Fund $ $ $ $ $ $ $ $
Emerging Country
Debt Fund $ $ $ $ $ $ $ $
Core Emerging Country
Debt Fund $ $ $ $ $ $ $ $
International Allocation Fund $ $ $ $ $ $ $ $
World Allocation Fund $ $ $ $ $ $ $ $
Global Allocation Fund $ $ $ $ $ $ $ $
Global Balanced Fund $ $ $ $ $ $ $ $
|
Unless otherwise noted, Annual Operating Expenses shown are actual expenses for for the fiscal year ended February 29, 1996.
Footnotes are on pages 13-14.
ACCOUNT LEVEL SHARES
ELIGIBILITY AND FEES AND EXPENSES
ACCOUNT LEVEL SHARES
Each of the Core Fund, International Core Fund and Emerging Markets Fund offer these three (3) additional classes of shares for clients that make very large investments in these funds or who make investments in these funds in conjunction with a very large commitment of assets to GMO quantitative management. The Shareholder Servicing Fees on Account Level Shares are substantially lower than for Traditional Shares, reflecting the economies of servicing accounts of this size. The three additional classes are Account Level 1 ("Account 1 Shares") Account Level 2 ("Account 2 Shares") and Account Level 3 ("Account 3 Shares"), with eligibility criteria increasing (and Shareholder Servicing Fees decreasing) from Level 1 to Level 3.
Account 1 Shares
Eligibility Criteria:
To be eligible for Account 1 shares of the Core Fund, International Core Fund or Emerging Markets Fund, an investor must, after his investment, have at least $150 million invested in the Fund ($50 million in the case of Emerging Markets Fund) or at least $300 million invested in all Funds of the Trust or otherwise under quantitative management by GMO.
Fees and Expenses:
GMO Fund Name Shareholder Annual Operating Expenses
Transaction
Expenses
Cash
Purchase Redemption
Premium Fees (as a Mgmt. Share-holder
(as a percentage Fees Service Other Total
percentage of amount after Fee2 Expenses3 Operating
of amount redeemed1 Fee Expenses3
invested)1 Waiver3
Core Fund .17% None % .12% % .45%
International Core Fund .75% None %11 .11% % .65%11
Emerging Markets Fund 1.60% .40% %11 .10% % %11
|
Examples
You would pay the
following expenses
on a $1,000 You would pay the
investment assuming following expenses on
5% annual return the same investment
with redemption at assuming no
the end of each redemption:
time period:
1 Yr. 3 Yr. 5 Yr. 10 Yr. 1 Yr. 3 Yr. 5 Yr. 10 Yr.
Core Fund $ $ $ $ $ $ $ $
International Core Fund $ $ $ $ $ $ $ $
Emerging Markets Fund $ $ $ $ $ $ $ $
|
Account 2 Shares
Eligibility Criteria:
To be eligible for Account 2 Shares of the Core Fund, International Core Fund, or Emerging Markets Fund, an investor must, after the investment, have at least $300 million invested in the Fund ($100 million in the case of Emerging Markets Fund) or at least $500 million invested in all Funds of the Trust or otherwise under quantitative management by GMO.
Fees and Expenses:
GMO Fund Name Shareholder Annual Operating Expenses
Transaction
Expenses
Cash
Purchase Redemption
Premium Fees (as a Mgmt. Share-holder
(as a percentage Fees Service Other Total
percentage of amount after Fee2 Expenses3 Operating
of amount redeemed1 Fee Expenses3
invested)1 Waiver3
Core Fund .17% None % .09% % .42%
International Core Fund .75% None %11 .07% % .61%11
Emerging Markets Fund 1.60% .40% %11 .05% % %11
|
Examples
You would pay the
following expenses
on a $1,000 You would pay the
investment assuming following expenses on
5% annual return the same investment
with redemption at assuming no
the end of each redemption:
time period:
1 Yr. 3 Yr. 5 Yr. 10 Yr. 1 Yr. 3 Yr. 5 Yr. 10 Yr.
Core Fund $ $ $ $ $ $ $ $
International Core Fund $ $ $ $ $ $ $ $
Emerging Markets Fund $ $ $ $ $ $ $ $
|
Unless otherwise noted, Annual Operating Expenses shown are actual expenses for the fiscal year ended February 29, 1996.
Footnotes are on pages 13-14.
ACCOUNT LEVEL SHARES
ELIGIBILITY AND FEES AND EXPENSES
Account 3 Shares
Eligibility Criteria:
To be eligible for Account 3 Shares of the Core Fund, International Core Fund, or Emerging Markets Fund, an investor must, after the investment have at least $500 million invested in the Fund ($200 million in the case of Emerging Markets Fund) or at least $800 million invested in all Funds of the Trust or otherwise under quantitative management by GMO.
Fees and Expenses:
GMO Fund Name Shareholder Annual Operating Expenses
Transaction
Expenses
Cash
Purchase Redemption
Premium Fees (as a Mgmt. Share-
(as a percentage Fees holder Other Total
percentage of amount after Service Expenses3 Operating
of amount redeemed1 Fee Fee2 Expenses3
invested)1 Waiver3
Core Fund .17% None % .07% % .40%
International Core Fund .75% None %11 .04% % .58%11
Emerging Markets Fund 1.60% .40% %11 .02% % %11
|
Examples
You would pay the
following expenses
on a $1,000 You would pay the
investment assuming following expenses on
5% annual return the same investment
with redemption at assuming no
the end of each redemption:
time period:
1 Yr. 3 Yr. 5 Yr. 10 Yr. 1 Yr. 3 Yr. 5 Yr. 10 Yr.
Core Fund $ $ $ $ $ $ $ $
International Core Fund $ $ $ $ $ $ $ $
Emerging Markets Fund $ $ $ $ $ $ $ $
|
Unless otherwise noted, Annual Operating Expenses shown are actual expenses for the fiscal year ended February 29, 1996.
Footnotes are on pages 13-14.
NOTES TO SCHEDULE OF FEES AND EXPENSES
1 Purchase premiums and redemption fees apply only to cash transactions as set forth under "Purchase of Shares" and "Redemption of Shares" respectively. These fees are paid to and retained by the Fund itself and are employed to allocate transaction costs caused by shareholder activity to the shareholder generating the activity, rather than to Fund as a whole. For Traditional Shares and Account Level Shares only, the Manager may waive purchase premiums and/or redemption fees if the Manager determines there are minimum brokerage and/or other transaction costs caused by the purchase or occur under redemption. Waivers are generally due to offsetting purchases and redemptions which reduce or eliminate the net transaction to the Fund or occur under conditions where the relevant Fund is in need of cash and will not invest the cash proceeds from the sale of shares.
The Manager examines each purchase and redemption of Traditional and Account Level Shares to determine if circumstances exist to waive all or a portion of the purchase premium or redemption fee. Absent a clear determination that transactions costs will be reduced or absent for the purchase or redemption, the full premium or fee will be charged.
Purchase premiums and redemption fees are never waived with respect to transactions in Primary or Secondary Shares. Because of the higher volume of transactions and larger number of client accounts anticipated for these classes of shares, it is not practicable to examine the impact of individual share purchases and redemptions on Fund transaction costs. Therefore, the purchase premium or redemption fee will be paid in full for all transactions in Primary or Secondary Shares. However, the amount of the purchase premiums and redemption fees, if any, paid by purchasers and sellers of Primary and Secondary Shares is lower than the corresponding premium or redemption fee paid with respect to Traditional or Account Level Shares. The lower fees allow all purchasers or sellers to benefit equally from anticipated offsetting transactions and other circumstances that limit transaction costs, rather than tracking the savings back to the particular buyers and sellers as is done with larger shareholder accounts that hold Traditional or Account Level Shares.
Normally, no purchase premium is charged with respect to in-kind purchases of Fund shares. However, in the case of in-kind purchases involving transfers of large positions in markets where the costs of re-registration and/or other transfer expenses are high, the International Core Fund, Currency Hedged International Core Fund, International Small Companies Fund, Japan Fund and Global Hedged Equity Fund may each charge a premium of 0.10% and the Emerging Markets Fund may charge a premium of 0.20%.
2 Shareholder Service Fee ("SSF") paid to GMO for providing client services and reporting services. For Traditional Shares, the SSF is .15% of daily net assets. Traditional Shares are simply a redesignation of the single class of shares that has been offered by each Fund since inception. Total Operating Expenses for Traditional Shares are capped at the same levels as for the single class of shares that existed prior to such redesignation and the creation of additional classes. The expense caps are detailed in footnote 3 below. Traditional Shares are the continuation of the original class of GMO Funds, with total expense levels unchanged.
The level of SSF is the sole economic distinction between the various classes of Fund shares. A lower SSF for larger investments reflects that the cost of servicing client accounts is lower for larger accounts when expressed as a percentage of the account.
See "Multiple Classes - Shareholder Service Fees" for more information.
3 The Manager has voluntarily undertaken to reduce its management fees and to bear certain expenses with respect to each Fund until further notice to the extent that a Fund's total annual operating expenses (excluding Shareholder Service Fees, brokerage commissions, extraordinary expenses (including taxes), securities lending fees and expenses and transfer taxes; and, in the case of the Emerging Markets Fund, Emerging Country Debt Fund and Global Hedged Equity Fund, excluding custodial fees; and, in the case of the Global Hedged Equity Fund only, also excluding hedging transaction fees) would otherwise exceed the percentage of that Fund's daily net assets specified below. Therefore, so long as the Manager agrees so to reduce its fees and bear certain expenses, total annual operating expenses (subject to such exclusions) of the Fund will not exceed these stated limitations. The Manager has also voluntarily undertaken, until further notice, to limit its management fee for the Emerging Markets Fund to 0.83% regardless of the total operating expenses of the Fund. Absent such undertakings, management fees for each Fund and the annual operating expenses for each Fund would be as shown below.
Total Fund
Voluntary Management Operating
Expense Fee (Absent Expenses
Fund Limit Waiver) (Absent Waiver)
Core Fund .33% .525%
Tobacco-Free Core Fund .33% .50%
Value Allocation Fund .46% .70%
Growth Allocation Fund .33% .50%
U.S. Sector Allocation Fund .33% .49%
Core II Secondaries Fund .33% .50%
Fundamental Value Fund .60% .75%
International Core Fund .54% .75%
Currency Hedged
International Core Fund .54% .75%
Foreign Fund .60% .75%
International Small
Companies Fund .60% 1.25%
Japan Fund .54% .75%
Emerging Markets Fund 1.05% 1.00%
Global Hedged Equity Fund .50% .65%
Domestic Bond Fund .10% .25%
Short-Term Income Fund .05% .25%
International Bond Fund .25% .40%
Currency Hedged International
Bond Fund .25% .50%
Global Bond Fund .19% .35%
Emerging Country Debt Fund .35% .50%
Core Emerging Country
Debt Fund .30% .45%
|
4 May be reduced if it is not necessary to incur costs relating to the early termination of hedging transactions to meet redemption requests.
5 Applies only to shares acquired on or after June 1, 1995 (including shares acquired by reinvestment of dividends or other distributions on or after such date).
6 Applies only to shares acquired on or after July 1, 1995 (including shares acquired by reinvestment of dividends or other distributions on or after such date).
7 Figure based on actual expenses for the fiscal year ended February 29, 1996, but restated to give effect to a change in the fee waiver and/or expense limitation of the Fund, which change was effective as of March 1, 1996.
8 Figure based on actual expenses for the fiscal year ended February 29, 1996, but restated to give effect to a change in the fee waiver and/or expense limitation of the Fund, which change was effective as of March __, 1996.
9 Based on estimated amounts for the Fund's first fiscal year.
10 Figure based on actual expenses for the fiscal year ended February 29, 1996, but restated to give effect to a change in the fee waiver and/or expense limitation of the Fund, which change was effective as of February 7, 1996.
11 Figure based on actual expenses for the fiscal year ended February 29, 1996, but restated to give effect to a change in the fee waiver and/or expense limitation of the Fund, which change was effective as of June 27, 1995.
Where a purchase premium and/or redemption fee is indicated as being charged by a Fund in certain instances, the foregoing examples assume the payment of such purchase premium and/or redemption fee even though such purchase premium and/or redemption fee is not applicable in all cases. (See "Purchase of Shares" and "Redemption of Shares").
The purpose of the foregoing tables is to assist in understanding the various costs and expenses of each Fund that are borne by holders of Fund shares. THE FIVE PERCENT ANNUAL RETURN AND EXPENSE NUMBERS USED ARE NOT REPRESENTATIONS OF FUTURE PERFORMANCE OR EXPENSES: SUBJECT TO THE MANAGER'S UNDERTAKING TO WAIVE ITS FEE AND/OR BEAR CERTAIN EXPENSES FOR EACH FUND AS DESCRIBED IN THE FOREGOING TABLES, ACTUAL PERFORMANCE AND/OR EXPENSES MAY BE MORE OR LESS THAN SHOWN.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DOMESTIC EQUITY FUNDS
CORE FUND
TRADITIONAL SHARES
Six Months Ended YEAR ENDED FEBRUARY 28/29
August 31, 1995 ------------------------------------------------------------
(Unaudited) 1995 1994 1993 1992 1991 2
------------- ---- ---- ---- ---- ------
Net asset value, beginning of period $15.45 $ 15.78 $ 15.73 $ 15.96 $ 15.13 $ 13.90
------ ------ ------ ------ ------ ------
Income (loss) from investment operations:
Net investment income 3 0.21 0.41 0.42 0.45 0.43 0.43
Net realized and unrealized gain
(loss) on investments 2.82 0.66 1.59 1.13 1.55 1.74
------ ------ ------ ------ ------ ------
Total from investment operations 3.03 1.07 2.01 1.58 1.98 2.17
------ ------ ------ ------ ------ ------
Less distributions to shareholders:
From net investment income (0.18) (0.39) (0.43) (0.46) (0.42) (0.51)
From net realized gains (0.05) (1.01) (1.53) (1.35) (0.73) (0.43)
------ ------ ------ ------ ------ ------
Total distributions (0.23) (1.40) (1.96) (1.81) (1.15) (0.94)
------ ------ ------ ------ ------ ------
Net asset value, end of period $18.25 $ 15.45 $ 15.78 $ 15.73 $ 15.96 $ 15.13
====== ====== ====== ====== ====== ======
Total Return 4 19.73% 7.45% 13.36% 10.57% 13.62% 16.52%
Ratios/Supplemental Data:
Net assets, end of period (000's) $2,895,124 $2,309,248 $1,942,005 $1,892,955 $2,520,710 $1,613,945
Net expenses to average daily
net assets 3 0.48% 5 0.48% 0.48% 0.49% 0.50% 0.50%
Net investment income to average
daily net assets 3 2.44% 5 2.63% 2.56% 2.79% 2.90% 3.37%
Portfolio turnover rate 37% 99% 40% 54% 39% 55%
|
CORE FUND (continued) YEAR ENDED FEBRUARY 28/29
TRADITIONAL SHARES -----------------------------------------------------------------------------
1990 2 1989 2 1988 2 1987 2 1986 1, 2
------ ------ ------ ------ ---------
Net asset value, beginning of period $ 14.47 $ 13.43 $ 15.24 $ 12.64 $ 10.00
------ ------ ------ ------ ------
Income (loss) from investment operations:
Net investment income 3 0.65 0.54 0.45 0.34 0.11
Net realized and unrealized gain
(loss) on investments 2.43 0.96 (0.92) 3.15 2.53
------ ------ ------ ------ ------
Total from investment operations 3.08 1.50 (0.47) 3.49 2.64
------ ------ ------ ------ ------
Less distributions to shareholders:
From net investment income (0.70) (0.46) (0.38) (0.46) --.--
From net realized gains (2.95) --.-- (0.96) (0.43) --.--
------ ------ ------ ------ ------
Total distributions (3.65) (0.46) (1.34) (0.89) --.--
------ ------ ------ ------ ------
Net asset value, end of period $ 13.90 $ 14.47 $ 13.43 $ 15.24 $ 12.64
====== ====== ====== ====== ======
Total Return 4 21.19% 11.49% (3.20%) 28.89% 26.46%
Ratios/Supplemental Data:
Net assets, end of period (000's) $1,016,965 $1,222,115 $1,010,014 $909,394 $266,734
Net expenses to average daily
net assets 3 0.50% 0.50% 0.52% 0.53% 0.53% 5
Net investment income to average
daily net assets 3 3.84% 4.02% 3.23% 3.06% 3.63% 5
Portfolio turnover rate 72% 51% 46% 75% 81%
|
1 For the period from the commencement of operations, September 25, 1985 to
February 28, 1986.
2 The per share amounts and the number of shares outstanding have been restated
to reflect a ten for one split effective December 31, 1990.
3 Net of fees and expenses voluntarily waived or borne by the Manager of $.01
per share for each period presented.
4 Calculation excludes subscription fees. The total returns would have been
lower had certain expenses not been waived during the periods shown.
5 Annualized.
TOBACCO - FREE CORE FUND YEAR ENDED FEBRUARY 28/29
-----------------------------------------------
Traditional Shares Six Month Ended
August 31, 1995
(Unaudited) 1995 1994 1993 1992 1
----------- ---- ---- ---- -----
Net asset value, beginning of period $10.65 $11.07 $11.35 $10.50 $10.00
------ ------ ------ ------ ------
Income (loss) from investment operations:
Net investment income2 0.15 0.23 0.34 0.31 0.12
Net realized and unrealized gain (loss)
on investments 1.92 0.50 1.18 0.84 0.44
---- ---- ---- ---- ----
Total from investment operations 2.07 0.73 1.52 1.15 0.56
---- ---- ---- ---- ----
Less distributions to shareholders:
From net investment income (0.08) (0.28) (0.35) (0.30) (0.06)
From net realized gains (0.20) (0.87) (1.45) -- --
---- ---- ---- ----- ----
Total distributions (0.28) (1.15) (1.80) (0.30) (0.06)
---- ---- ---- ---- ----
Net asset value, end of period $12.44 $10.65 $11.07 $11.35 $10.50
====== ====== ====== ====== ======
Total Return3 19.66% 7.36% 14.12% 11.20% 5.62%
Ratios/Supplemental Data:
Net assets, end of period (000's) $55,374 $47,969 $55,845 $85,232 $75,412
Net expenses to average daily net
assets 20.48%4 0.48% 0.48% 0.49% 0.49%
Net investment income to average
daily net assets2 2.47%4 2.52% 2.42% 2.88% 3.77%4
Portfolio turnover rate 43% 112% 38% 56% 0%
|
1 For the period from the commencement of operations, October 31, 1991 to
February 29, 1992.
2 Net of fees and expenses voluntarily waived or borne by the Manager of
$.02, $.03, $.03, $.02 and $.01 per share for the six months ended August 31,
1995, for the fiscal years 1995, 1994, and 1993 and for the period ended
February 29, 1992, respectively.
3 Calculation excludes subscription fees. The total returns would have been
lower had certain expenses not been waived during the periods shown.
4 Annualized.
Except as otherwise noted, the above information has been audited by Price
Waterhouse LLP, independent accountants. This statement should be read in
conjunction with the other audited financial statements and related notes which
are included in the Trust's Statement of Additional Information. Information is
presented for each Fund, and class thereof, of the Trust which had investment
operations during the reporting periods. Information regarding Traditional
Shares of each Fund reflects the operational history for each such Fund's sole
outstanding class prior to the creation of multiple classes of such Funds on
[May 27, 1996].
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
VALUE ALLOCATION FUND YEAR ENDED FEBRUARY 28/29
------------------------------------------------------
Traditional Shares Six Month Ended
August 31, 1995
(Unaudited) 1995 1994 1993 1992 1991 1
--------- ---- ---- ---- ---- -----
Net asset value, beginning of period $12.05 $13.48 $13.50 $12.94 $12.25 $10.00
------ ------ ------ ------ ------ ------
Income (loss) from investment operations:
Net investment income2 0.21 0.41 0.43 0.38 0.40 0.12
Net realized and unrealized gain (loss)
on investments 1.77 0.32 1.27 0.98 1.11 2.16
---- ---- ---- ---- ---- ----
Total from investment operations 1.98 0.73 1.70 1.36 1.51 2.28
---- ---- ---- ---- ---- ----
Less distributions to shareholders:
From net investment income (0.18) (0.45) (0.40) (0.38) (0.41) (0.03)
From net realized gains (0.20) (1.71) (1.32) (0.42) (0.41) --
---- ---- ---- ---- ---- ----
Total distributions (0.38) (2.16) (1.72) (0.80) (0.82) (0.03)
------ ---- ---- ---- ---- ----
Net asset value, end of period $13.65 $12.05 $13.48 $13.50 $12.94 $12.25
====== ====== ====== ====== ====== ======
Total Return3 16.63% 6.85% 13.02% 11.01% 12.96% 22.85%
Ratios/Supplemental Data:
Net assets, end of period (000's) $311,995 $350,694 $679,532 $1,239,536 $644,136 $190,664
Net expenses to average daily net
assets2 0.61%4 0.61% 0.61% 0.62% 0.67% 0.70%4
Net investment income to average
daily net assets2 2.85%4 2.86% 2.70% 3.15% 3.75% 7.89%4
Portfolio turnover rate 37% 77% 35% 50% 41% 23%
|
1 For the period from the commencement of operations, November 14, 1990 to
February 28, 1991.
2 Net of fees and expenses voluntarily waived or borne by the Manager of $.01,
$.02, $.02, $.01, $.01 and $.01 per share for the six months ended August
31, 1995, for the fiscal years 1995, 1994, 1993, and 1992 and for the period
ended February 28, 1991, respectively.
3 Calculation excludes subscription fees. The total returns would have been
lower had certain expenses not been waived during the periods shown.
4 Annualized.
GROWTH ALLOCATION FUND YEAR ENDED FEBRUARY 28/29
---------------------------------------------------------------
Traditional Shares Six Months Ended
August 31, 1995
(Unaudited) 1995 1994 1993 1992 1991 1990 19891
--------- ---- ---- ---- ---- ---- ---- -----
Net asset value, beginning of period $4.45 $4.14 $4.55 $5.82 $14.54 $12.64 $10.49 $10.00
----- ----- ----- ----- ------ ------ ------ ------
Income (loss) from investment operations:
Net investment income2 0.04 0.06 0.06 0.07 0.19 0.25 0.26 0.03
Net realized and unrealized gain (loss)
on investments 0.74 0.38 0.11 0.17 1.63 2.61 2.40 0.46
---- ---- ---- ---- ---- ---- ---- ----
Total from investment operations 0.78 0.44 0.17 0.24 1.82 2.86 2.66 0.49
---- ---- ---- ---- ---- ---- ---- ----
Less distributions to shareholders:
From net investment income (0.03) (0.06) (0.06) (0.08) (0.23) (0.25) (0.23) --
From net realized gains (0.16) (0.07) (0.52) (1.43) (10.31) (0.71) (0.28) --
---- ---- ---- ---- ----- ---- ---- ----
Total distributions (0.19) (0.13) (0.58) (1.51) (10.54) (0.96) (0.51) --
---- ---- ---- ---- ----- ---- ---- ----
Net asset value, end of period $5.04 $4.45 $4.14 $4.55 $5.82 $14.54 $12.64 $10.49
===== ===== ===== ===== ===== ====== ====== ======
Total Return3 17.67% 10.86% 4.13% 3.71% 20.47% 24.24% 25.35% 4.90%
Ratios/Supplemental Data:
Net assets, end of period (000's) $339,184 $239,006 $230,698 $168,143 $338,439 $1,004,345 $823,891 $291,406
Net expenses to average daily net
assets 20.048%4 0.48% 0.48% 0.49% 0.50% 0.50% 0.50% 0.08%4
Net investment income to average
daily net assets2 1.65%4 1.50% 1.38% 1.15% 1.38% 1.91% 2.34% 0.52%4
Portfolio turnover rate 30% 139% 57% 36% 46% 45% 57% 0%
|
1 For the period from the commencement of operations, December 28, 1988 to
February 28, 1989.
2 Net of fees and expenses voluntarily waived or borne by the Manager of less
than $.01 per share for each period presented.
3 Calculation excludes subscription fees. The total returns would have been
lower had certain expenses not been waived during the periods shown.
4 Annualized.
Except as otherwise noted, the above information has been audited by Price
Waterhouse LLP, independent accountants. This statement should be read in
conjunction with the other audited financial statements and related notes which
are included in the Trust's Statement of Additional Information. Information is
presented for each Fund, and class thereof, of the Trust which had investment
operations during the reporting periods. Information regarding Traditional
Shares of each Fund reflects the operational history for each such Fund's sole
outstanding class prior to the creation of multiple classes of such Funds on
[May 27, 1996].
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. SECTOR ALLOCATION FUND
Traditional Shares YEAR ENDED FEBRUARY 28/29
------------------------------------
Six Months Ended
August 31, 1995
(Unaudited) 1995 1994 19931
--------- ---- ---- -----
Net asset value, beginning of period $11.06 $11.26 $10.38 $10.00
------ ------ ------ ------
Income (loss) from investment operations:
Net investment income2 0.16 0.28 0.29 0.05
Net realized and unrealized
gain (loss) on investments 2.02 0.49 1.21 0.33
---- ---- ---- ----
Total from investment operations 2.18 0.77 1.50 0.38
---- ---- ---- ----
Less distributions to shareholders:
From net investment income (0.12) (0.27) (0.30) --.--
From net realized gains (0.06) (0.70) (0.32) --.--
------ ------ ------ -----
Total distributions (0.18) (0.97) (0.62) --.--
------ ------ ------ -----
Net asset value, end of period $13.06 $11.06 $11.26 $10.38
====== ====== ====== ======
Total Return3 19.81% 7.56% 14.64% 3.80%
Rations/Supplemental Data:
Net assets, end of period (000's) $235,792 207,291 $167,028 $169,208
Net expenses to average
daily net assets2 0.48%4 0.48% 0.48% 0.48%4
Net investment income to
average daily net assets2 2.42%4 2.61% 2.56% 3.20%4
Portfolio turnover rate 37% 101% 53% 9%
|
1 For the period from the commencement of operations, January 4, 1993 to
February 28, 1993.
2 Net of fees and expenses voluntarily waived or borne by the Manager of $.01
per share for each period presented.
3 Calculation excludes subscription fees. The total returns would have been
lower had certain expenses not been waived during the periods shown.
4 Annualized.
CORE II SECONDARIES FUND YEAR ENDED FEBRUARY 28/29
-------------------------------------------
Traditional Shares Six Months Ended
August 31, 1995
(Unaudited) 1995 1994 1993 19921
--------- ---- ---- ---- -----
Net asset value, beginning of period $13.61 $14.31 $12.68 $11.12 $10.00
------ ------ ------ ------ ------
Income (loss) from investment operations:
Net investment income2 0.14 0.20 0.21 0.22 0.04
Net realized and unrealized
gain (loss) on investments 2.11 0.34 2.14 1.59 1.08
---- ---- ---- ---- ----
Total from investment operations 2.24 0.54 2.35 1.81 1.12
---- ---- ---- ---- ----
Less distributions to shareholders:
From net investment income (0.11) (0.20) (0.22) (0.21) --.--
From net realized gains (0.82) (1.04) (0.50) (0.04) --.--
------ ------ ------ ------ -----
Total distributions (0.93) (1.24) (0.72) (0.25) --.--
------ ------ ------ ------ -----
Net asset value, end of period $14.92 $13.61 $14.31 $12.68 $11.12
====== ====== ====== ====== ======
Total Return3 17.03% 4.48% 18.97% 16.46% 11.20%
Ratios/Supplemental Data:
Net assets, end of period (000's) $151,753 $235,781 $151,286 $102,232 $58,258
Net expenses to average
daily net assets2 0.48%4 0.48% 0.48% 0.49% 0.49%4
Net investment income to
average daily net assets2 1.53%4 1.55% 1.66% 2.02% 2.19%4
Portfolio turnover rate 49% 54% 30% 3% 0%
|
1 For the period from the commencement of operations, December 31, 1991 to
February 29, 1992.
2 Net of fees and expenses voluntarily waived or borne by the Manager of $.01,
$.01, $.02, $.02 and $.01 per share for the six months ended August 31, 1995,
for the fiscal years 1995, 1994, and 1993 and for the period ended February
29, 1992, respectively.
3 Calculation excludes subscription and redemption fees. The total returns
would have been lower had certain expenses not been waived during the periods
shown.
4 Annualized.
Except as otherwise noted, the above information has been audited by Price
Waterhouse LLP, independent accountants. This statement should be read in
conjunction with the other audited financial statements and related notes which
are included in the Trust's Statement of Additional Information. Information is
presented for each Fund, and class thereof, of the Trust which had investment
operations during the reporting periods. Information regarding Traditional
Shares of each Fund reflects the operational history for each such Fund's sole
outstanding class prior to the creation of multiple classes of such Funds on
[May 27, 1996].
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
FUNDAMENTAL VALUE FUND YEAR ENDED FEBRUARY 28/29
-------------------------------------------------
Traditional Shares Six Months Ended
August 31, 1995
(Unaudited) 1995 1994 1993 1992 1
--------- ---- ---- ---- -----
Net asset value, beginning of period $12.54 $12.49 $11.71 $10.82 $10.00
------ ------ ------ ------ ------
Income (loss) from investment operations:
Net investment income2 0.19 0.34 0.27 0.30 0.11
Net realized and unrealized gain (loss)
on investments 1.69 0.55 1.64 1.32 0.77
---- ---- ---- ---- ----
Total from investment operations 1.88 0.89 1.91 1.62 0.88
---- ---- ---- ---- ----
Less distributions to shareholders:
From net investment income (0.17) (0.32) (0.28) (0.30) (0.06)
From net realized gains (0.23) (0.52) (0.85) (0.43) --
---- ---- ---- ---- ----
Total distributions (0.40) (0.84) (1.13) (0.73) (0.06)
---- ---- ---- ---- ----
Net asset value, end of period $14.02 $12.54 $12.49 $11.71 $10.82
====== ====== ====== ====== ======
Total Return3 15.17% 7.75% 16.78% 15.66% 8.87%
Ratios/Supplemental Data:
Net assets, end of period (000's) $197,570 $182,871 $147,767 $62,339 $32,252
Net expenses to average daily net
assets 20.75%4 0.75% 0.75% 0.73% 0.62%4
Net investment income to average
daily net assets2 2.81%4 2.84% 2.32% 2.77% 3.43%4
Portfolio turnover rate 15% 49% 65% 83% 33%
|
1 For the period from the commencement of operations, October 31, 1991 to
February 29, 1992.
2 Net of fees and expenses voluntarily waived or borne by the Manager of less
than $.01, $.01, $.01, $.03 and $.03 per share for the six months ended
August 31, 1995, for the fiscal years 1995, 1994, and 1993 and for the
period ended February 29, 1992, respectively.
3 Calculation excludes subscription fees. The total returns would have been
lower had certain expenses not been waived during the periods shown.
4 Annualized.
INTERNATIONAL EQUITY FUNDS
YEAR ENDED FEBRUARY 28/29
-------------------------------------------------------------------------
INTERNATIONAL CORE FUND Six Months
Traditional Shares August 31, 1995
(Unaudited) 1995 1994 1993 1992 1991 1990 1989 1988 1
--------- ---- ---- ---- ---- ---- ---- ---- -----
Net asset value, beginning of period $22.32 $25.56 $18.51 $18.80 $18.73 $18.79 $17.22 $14.76 $15.00
------ ------ ------ ------ ------ ------ ------ ------ ------
Income (loss) from investment operations:
Net investment income2 0.30 0.27 0.29 0.29 0.29 0.55 0.49 0.45 0.18
Net realized and unrealized gain (loss)
on investments 1.72 (1.57) 7.44 (0.04) 0.22 0.69 1.93 3.37 (0.03)
---- ------ ---- ------ ---- ---- ---- ---- ------
Total from investment operations 2.02 (1.30) 7.73 0.25 0.51 1.24 2.42 3.82 0.15
---- ------ ---- ---- ---- ---- ---- ---- ----
Less distributions to shareholders:
From net investment income (0.03) (0.35) (0.27) (0.20) (0.28) (0.54) (0.55) (0.45) (0.05)
From net realized gains (0.66) (1.59) (0.41) (0.34) (0.16) (0.76) (0.30) (0.91) (0.34)
------ ------ ------ ------ ------ ------ ------ ------ ------
Total distributions (0.69) (1.94) (0.68) (0.54) (0.44) (1.30) (0.85) (1.36) (0.39)
---- ------ ------ ------ ------ ------ ------ ------ ------
Net asset value, end of period $23.65 $22.32 $25.56 $18.51 $18.80 $18.73 $18.79 $17.22 $14.76
====== ====== ====== ====== ====== ====== ====== ====== ======
Total Return3 9.05% (5.31%) 42.10% 1.43% 2.84% 7.44% 13.99% 26.35% 1.07%
Ratios/Supplemental Data:
Net assets, end of period (000's) $3.326.025 $2,591,646 $2,286,431 $918,332 $414,341 $173,792 $101,376 $35,636 $11,909
Net expenses to average daily
net assets2 0.70%5 0.70% 0.71%4 0.70% 0.70% 0.78% 0.80% 0.88% 0.70%5
Net investment income to average
daily net assets2 2.81%5 1.48% 1.48% 2.36% 2.36% 3.32% 3.17% 3.19% 1.27%5
Portfolio turnover rate 6% 53% 23% 23% 35% 81% 45% 37% 129%
|
1 For the period from the commencement of operations, April 7, 1987 to February
29, 1988.
2 Net of fees and expenses voluntarily waived or borne by the Manager of $.02,
$.03, $.03, $.03, $.02, $.01, $.02, $.05 and $.08 per share for the six months
ended August 31, 1995, for the fiscal years 1995, 1994, 1993, 1992, 1991,
1990, and 1989 and for the period ended February 29, 1988, respectively.
3 Calculation excludes subscription fees. The total returns would have been
lower had certain expenses not been waived during the periods shown.
4 Includes stamp duties and transfer taxes not waived or borne by the
Manager, which approximate .01% of average daily net assets.
5 Annualized.
Except as otherwise noted, the above information has been audited by Price
Waterhouse LLP, independent accountants. This statement should be read in
conjunction with the other audited financial statements and related notes which
are included in the Trust's Statement of Additional Information. Information is
presented for each Fund, and class thereof, of the Trust which had investment
operations during the reporting periods. Information regarding Traditional
Shares of each Fund reflects the operational history for each such Fund's sole
outstanding class prior to the creation of multiple classes of such Funds on
[May 27, 1996].
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
CURRENCY HEDGED
INTERNATIONAL CORE FUND Period from June 30, 1995
Traditional Shares (commencement of operations)
to August 31, 1995
(Unaudited)
Net asset value, beginning of period $10.00
-----
Income from investment operations:
Net investment income1 _.__
Net realized and unrealized gain (loss) 0.80
on Investments
Total from investment operations 0.80
Net asset value, end of period $10.80
=====
Total Return2 8.00%
Ratios/Supplemental Data:
Net assets, end of period (000's) $189,848
Net expenses to average daily net assets1 0.70%3,4
Net investment income to average daily net assets1 0.91%4
Portfolio turnover rate
|
1 Net of fees and expenses voluntarily waived or borne by the Manager of less
than $.01 per share.
2 Calculation excludes subscription fees. The total return would have been lower
had certain expenses not been waived during the period shown.
3 Includes stamp duties and transfer taxes not waived or borne by the Manager,
which approximate .01% of average daily net assets.
4 Annualized.
INTERNATIONAL SMALL Year Ended February 28/29
-------------------------------------
COMPANIES FUND Six Months Ended
Traditional Shares August 31, 1995
(Unaudited) 1995 1994 1993 1992 1
------------------- ---- ---- ---- -----
Net asset value, beginning of period $11.95 $14.45 $8.91 $9.62 $10.00
------ ------ ----- ----- ------
Income (loss) from investment operations:
Net investment income2 0.15 0.18 0.15 0.35 0.06
Net realized and unrealized gain
(loss) on investments 0.65 (1.52) 5.59 (0.68) (0.43)
---- ------ ---- ------ ------
Total from investment operations 0.80 (1.34) 5.74 (0.33) (0.37)
---- ------ ---- ------ ------
Less distributions to shareholders:
From net investment income --,-- (0.20) (0.12) (0.38) (0.01)
From net realized gains (0.07) (0.96) (0.08) --.-- --.--
------ ------ ------ ----- -----
Total distributions (0.07) (1.16) (0.20) (0.38) (0.01)
------ ------ ------ ------ ------
Net asset value, end of period $12.68 $11.95 $14.45 $8.91 $9.62
====== ====== ====== ===== =====
Total Return3 6.69% (9.66%) 64.67% (3.30%) (3.73%)
Ratios/Supplemental Data:
Net assets, end of period (000's) 199,024 $186,185 $132,645 $35,802 $24,467
Net expenses to average daily net assets2 0.75%5 0.76%4 0.75% 0.75% 0.85%5
Net investment income to average
daily net assets2 2.52%5 1.45% 1.50% 4.02% 1.91%5
Portfolio turnover rate 5% 58% 38% 20% 1%
|
1 For the period from the commencement of operations, October 15, 1991 to
February 29, 1992.
2 Net of fees and expenses voluntarily waived or borne by the Manager of $.05,
$.08, $.09, $.09 and $.05 per share for the six months ended August 31, 1995,
for the fiscal years 1995, 1994, and 1993 and for the period ended
February 29, 1992, respectively.
3 Calculation excludes subscription and redemption fees. The total returns
would have been lower had certain expenses not been waived during the periods
shown.
4 Includes stamp duties and transfer taxes not waived or borne by the
Manager, which approximate .01% of average daily net assets.
5 Annualized.
Except as otherwise noted, the above information has been audited by Price
Waterhouse LLP, independent accountants. This statement should be read in
conjunction with the other audited financial statements and related notes which
are included in the Trust's Statement of Additional Information. Information is
presented for each Fund, and class thereof, of the Trust which had investment
operations during the reporting periods. Information regarding Traditional
Shares of each Fund reflects the operational history for each such Fund's sole
outstanding class prior to the creation of multiple classes of such Funds on
[May 27, 1996].
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
JAPAN FUND YEAR ENDED FEBRUARY 28/29
----------------------------------------------
Traditional Shares Six Months Ended
August 31, 1995
(Unaudited) 1995 1994 1993 1992 19911
------------------ ---- ---- ---- ---- -----
Net asset value, beginning of period $9.12 $11.13 $7.37 $7.73 $ 9.48 $10.00
----- ------ ----- ----- ------ ------
Income (loss) from investment operations:
Net investment income (loss)2 --.-- --.--3 --.-- 0.01 --.-- (0.01)
Net realized and unrealized gain
(loss) on investments 0.57 (1.08) 3.94 (0.36) (1.74) (0.39)
---- ------ ---- ------ ------ ------
Total from investment operations 0.57 (1.08) 3.94 (0.35) (1.74) (0.40)
---- ------ ---- ------ ------ ------
Less distributions to shareholders:
From net investment income --.-- --.-- --.-- (0.01) --.-- --.--
In excess of net investment income --.-- --.-- (0.01) --.-- --.-- --.--
From net realized gains --.-- (0.93) (0.17) --.-- --.-- --.--
From paid-in capital 4 --.-- --.-- --.-- --.-- (0.01) (0.12)
Total distributions --.-- (0.93) (0.18) (0.01) (0.01) (0.12)
----- ------ ------ ------ ------ ------
Net asset value, end of period $9.69 $9.12 $11.13 $7.37 $7.73 $9.48
===== ===== ====== ===== ===== =====
Total Return5 6.25% (10.62%) 53.95% (4.49%) (18.42%) (3.79%)
Ratios/Supplemental Data:
Net assets, end of period (000's) $100,134 $60,123 $450,351 $306,423 $129,560 $60,509
Net expenses to average daily net
assets2 1.00%6 0.83% 0.87% 0.88% 0.93% 0.95%6
Net investment income to average
daily net assets2 (0.03%)6 (0.02%) (0.01%) 0.12% (0.11%) (0.32%)6
Portfolio turnover rate 0% 60% 8% 17% 25% 11%
|
1 For the period from the commencement of operations, June 8, 1990 to February
28, 1991.
2 Net of fees and expenses voluntarily waived or borne by the Manager of
$.01 per share for each period presented.
3 Based on average month end shares outstanding.
4 Return of capital for book purposes only. A distribution was required for
tax purposes to avoid the payment of federal excise tax.
5 Calculation excludes subscription and redemptions fees. The total returns
would have been lower had certain expenses not been waived during the periods
shown.
6 Annualized.
Period from
December 9, 1993
Six Months Ended (commencement of
EMERGING MARKETS FUND August 31, 1995 Year Ended operations) to
Traditional Shares (Unaudited) February 28, 1995 February 28, 1994
Net asset value, beginning of period $9.52 $12.13 $10.00
----- ------ ------
Income (loss) from investment operations:
Net investment income 0.111 0.05 0.021
Net realized and unrealized gain
(loss) on investments 1.03 (2.37) 2.11
---- ------ ----
Total from investment operations 1.14 (2.32) 2.13
---- ------ ----
Less distributions to shareholders:
From net investment income --.-- (0.07) (0.00)2
From net realized gains (0.13) (0.22) (0.00)
------ ------ -------
Total distributions (0.13) (0.29) (0.00)
------ ------ ------
Net asset value, end of period $10.53 $9.52 $12.13
====== ===== ======
Total Return3 12.03% (19.51%) 21.35%
Ratios/Supplemental Data:
Net assets, end of period (000's) $609,630 $384,259 $114, 409
Net expenses to average daily net
assets 1.42%1,4 1.58% 1.64%1,4
Net investment income to average
daily net assets 2.61%1,4 0.85% 0.87%1,4
Portfolio turnover rate 26% 50% 2%
|
1 Net of fees and expenses voluntarily waived or borne by the Manager of less
than $.01 and $.003 per share for the six months ended August 31, 1995 and
for the period ended February 28, 1994, respectively.
2 The per share income distribution was $0.004.
3 Calculation excludes subscription and redemption fees. The total returns for
the period ended February 28, 1994 would have been lower had certain expenses
not been waived during the periods shown.
4 Annualized.
Except as otherwise noted, the above information has been audited by Price
Waterhouse LLP, independent accountants. This statement should be read in
conjunction with the other audited financial statements and related notes which
are included in the Trust's Statement of Additional Information. Information is
presented for each Fund, and class thereof, of the Trust which had investment
operations during the reporting periods. Information regarding Traditional
Shares of each Fund reflects the operational history for each such Fund's sole
outstanding class prior to the creation of multiple classes of such Funds on
[May 27, 1996].
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
FIXED INCOME FUNDS
Period from
July 29, 1994
GLOBAL HEDGED EQUITY Six Months Ended (commencement of
FUND August 31, 1995 operations)
Traditional Shares (Unaudited) to February 28, 1995
Net asset value, beginning of period $10.12 $10.00
------ ------
Income (loss) from investment operations:
Net investment income1 0.12 0.11
Net realized and unrealized gain
(loss) on investments 0.29 0.08
---- ----
Total from investment operations 0.41 0.19
---- ----
Less distributions to shareholders:
From net investment income (0.03) (0.07)
------ ------
Total distributions (0.03) (0.07)
------ ------
Net asset value, end of period $10.50 $10.12
====== ======
Total Return2 4.01% 1.92%
Ratios/Supplemental Data:
Net assets, end of period (000's) $340,697 $214,638
Net expenses to average daily net
assets1 0.77%3 0.92%3
Net investment income to average
daily net assets1 3.07%3 2.85%3
Portfolio turnover rate 67% 194%
|
1 Net of fees and expenses voluntarily waived or borne by the Manager of $.002
and $.006 per share for the six months ended August 31, 1995 and for the
period ended February 28, 1995, respectively.
2 Calculation excludes subscription and redemption fees. The total returns
would have been lower had certain expenses not been waived during the periods
shown.
3 Annualized.
SHORT-TERM INCOME FUND YEAR ENDED FEBRUARY 28/29
---------------------------------------------------------
Six Months Ended
August 31, 1995
(Unaudited) 1995 1994 1993 1992 3 1991 1,2,3
----------- ---- ---- ---- ----- ---------
Net asset value, beginning of period $9.56 $9.79 $10.05 $10.11 $10.00 $10.00
----- ----- ------ ------ ------ ------
Income (loss) from investment operations:
Net investment income4 0.33 0.63 0.44 0.46 0.56 0.67
Net realized and unrealized gain (loss)
on investments 0.10 (0.28) (0.09) 0.30 0.11 --.--
---- ------ ------ ---- ---- -----
Total from investment operations 0.43 0.35 0.35 0.76 0.67 0.67
---- ---- ---- ---- ---- ----
Less distributions to shareholders:
From net investment income (0.34) (0.58) (0.46) (0.38) (0.56) (0.67)
From net realized gains - . -- -- . -- (0.15) (0.44) -- . -- -- . --
------- ------- ---- ---- ------- -------
Total distributions (0.34) (0.58) (0.61) (0.82) (0.56) (0.67)
---- ---- ---- ---- ---- ----
Net asset value, end of period $9.65 $9.56 $9.79 $10.05 $10.11 $10.00
===== ===== ===== ====== ====== ======
Total Return5 4.59% 3.78% 3.54% 8.25% 11.88% 3.83%
Ratios/Supplemental Data:
Net assets, end of period (000's) $6,733 $8,193 $8.095 $10,499 $9,257 $40,850
Net expenses to average daily net
assets4 0.25%6 0.25% 0.25% 0.25% 0.25% 0.25%6
Net investment income to average
daily net assets4 6.51%6 5.02% 4.35% 4.94% 5.83% 7.88%6
Portfolio turnover rate 7% 335% 243% 649% 135% --.--
|
1 For the period from the commencement of operations, April 17, 1990 to
February 28, 1991.
2 The per share amounts and the number of shares outstanding have been restated
to reflect a one for ten reverse stock split effective December 1, 1991.
3 The Fund operated as a money market fund from April 17, 1990 until June 30,
1991. Subsequently, the Fund became a short-term income fund.
4 Net of fees and expenses voluntarily waived or borne by the manager of
$.02, $.02, $.02, $.03, $.03 and $.09 per share for the six months ended
August 31, 1995, for the fiscal years 1995, 1994, 1993, and 1992 and for
the period ended February 28, 1991, respectively.
5 The total returns would have been lower had certain expenses not been waived
during the periods shown.
6 Annualized.
Except as otherwise noted, the above information has been audited by Price
Waterhouse LLP, independent accountants. This statement should be read in
conjunction with the other audited financial statements and related notes which
are included in the Trust's Statement of Additional Information. Information is
presented for each Fund, and class thereof, of the Trust which had investment
operations during the reporting periods. Information regarding Traditional
Shares of each Fund reflects the operational history for each such Fund's sole
outstanding class prior to the creation of multiple classes of such Funds on
[May 27, 1996].
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DOMESTIC BOND FUND Period from
Traditional Shares August 18, 1994
Six Months Ended (commencement of
August 31, 1995 operations) to
(Unaudited) February 28, 1995
Net asset value, beginning of period $10.13 $10.00
------ ------
Income (loss) from investment operations:
Net investment income1 0.33 0.24
Net realized and unrealized gain
(loss) on investments 0.49 0.07
---- ----
Total from investment operations 0.82 0.31
---- ----
Less distributions to shareholders:
From net investment income (0.27) (0.18)
From net realized gains (0.05) _--.--
Total distributions (0.32) (0.18)
------ ------
Net asset value, end of period $10.63 $10.13
====== ======
Total Return2 8.15% 3.16%
Ratios/Supplemental Data:
Net assets, end of period (000's) $293,426 $209,377
Net expenses to average daily net
assets1 0.25%3 0.25%3
Net investment income to average
daily net assets1 6.65%3 6.96%3
Portfolio turnover rate 34% 65%
|
1 Net of fees and expenses voluntarily waived or borne by the Manager of less
than $.01 and $.01 per share for the six months ended August 31, 1995 and for
the period ended February 28, 1994, respectively.
2 The total returns would have been lower had certain expenses not been waived
during the periods shown.
3 Annualized.
INTERNATIONAL BOND FUND Period from
Traditional Shares December 22, 1993
Six Months Ended (commencement of
August 31, 1995 Year Ended operations) to
(Unaudited) February 28, 1995 February 28, 1994
Net asset value, beginning of period $9.64 $9.96 $10.00
----- ----- ------
Income (loss) from investment operations:
Net investment income1 0.41 0.98 0.08
Net realized and unrealized gain (loss)
on investments 0.90 (0.21) (0.12)
---- ------ -----
Total from investment operations 1.31 0.77 (0.04)
----- ---- ------
Less distributions to shareholders:
From net investment income (0.00)3 (0.75) --.--
From net realized gains (0.26) (0.34) --.--
----- ----
Total distributions (0.26) (1.09) --.--
------ ------ -----
Net asset value, end of period $10.69 $9.64 $9.96
====== ===== =====
Total Return2 13.56% 8.23% (0.40%)
Ratios/Supplemental Data:
Net assets, end of period (000's) $190.684 $151,189 $39,450
Net expenses to average daily net
assets 0.40%4 0.40% 0.40%4
Net investment income to average
daily net assets 7.99%4 7.51% 5.34%4
Portfolio turnover rate 40% 141% 14%
|
1 Net of fees and expenses voluntarily waived or borne by the Manager of $.01, $.02 and $.01 per share for the six months ended August 31, 1995, for the fiscal year 1995 and for the period ended February 28, 1994, respectively. 2 Calculation excludes subscription fees. The total returns would have been lower had certain expenses not been waived during the periods shown. 3 The per share income distribution was $0.003. 4 Annualized.
Except as otherwise noted, the above information has been audited by Price
Waterhouse LLP, independent accountants. This statement should be read in
conjunction with the other audited financial statements and related notes which
are included in the Trust's Statement of Additional Information. Information is
presented for each Fund, and class thereof, of the Trust which had investment
operations during the reporting periods. Information regarding Traditional
Shares of each Fund reflects the operational history for each such Fund's sole
outstanding class prior to the creation of multiple classes of such Funds on
[May 27, 1996].
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
CURRENCY HEDGED
INTERNATIONAL BOND FUND Period from
Traditional Shares September 30, 1994
Six Months Ended (commencement of
August 31, 1995 operations)
(Unaudited) to February 28, 1995
Net asset value, beginning of period $9.99 $10.00
----- ------
Income (loss) from investment operations:
Net investment income1 0.56 0.24
Net realized and unrealized gain (loss)
on investments 1.03 (0.09)
---- ------
Total from investment operations 1.59 0.15
---- ----
Less distributions to shareholders:
From net investment income (0.17) (0.16)
From net realized gains (0.00)3 --.--
Total distributions (0.17) (0.16)
------ ------
Net asset value, end of period $11.41 $9.99
====== =====
Total Return2 16.02% 1.49%
Ratios/Supplemental Data:
Net assets, end of period (000's) $223,926 $238,664
Net expenses to average daily net assets1 0.40%4 0.40%3
Net investment income to average
daily net assets1 8.81%4 8.46%3
Portfolio turnover rate 57% 64%
|
1 Net of fees and expenses voluntarily waived or borne by the Manager of $.02
and $.01 per share for the six months ended August 31, 1995 and for the
period ended February 28, 1995, respectively.
2 Calculation excludes subscription fees. The total returns would have been
lower had certain expenses not been waived during the periods shown.
3 The per share capital gain distribution was $.002.
4 Annualized.
Period from
April 19, 1994
Six Months Ended (commencement of
August 31, 1995 operations)
EMERGING COUNTRY DEBT FUND (Unaudited) to February 28, 1995
--------------------- --------------------
Traditional Shares
Net asset value, beginning of period $8.39 $10.00
----- ------
Income (loss) from investment operations:
Net investment income1 0.64 0.48
Net realized and unrealized gain (loss)
on investments 1.96 (1.59)
---- ------
Total from investment operations 2.60 (1.11)
---- ------
Less distributions to shareholders:
From net investment income (0.08) (0.40)
From net realized gains --,-- (0.10)
Total distributions (0.08) (0.50)
------ ------
Net asset value, end of period $10.91 $8.39
====== =====
Total Return2 30.99% (11.65%)
Ratios/Supplemental Data:
Net assets, end of period (000's) $507,804 $243,451
Net expenses to average daily net assets1 0.50%3 0.50%3
Net investment income to average
daily net assets1 14.73%3 10.57%3
Portfolio turnover rate 89% 104%
|
1 Net of fees and expenses voluntarily waived or borne by the Manager of $.01
per share for each period presented.
2 Calculation excludes subscription and redemption fees. The total returns
would have been lower had certain expenses not been waived during the periods
shown.
3 Annualized.
Except as otherwise noted, the above information has been audited by Price
Waterhouse LLP, independent accountants. This statement should be read in
conjunction with the other audited financial statements and related notes which
are included in the Trust's Statement of Additional Information. Information is
presented for each Fund, and class thereof, of the Trust which had investment
operations during the reporting periods. Information regarding Traditional
Shares of each Fund reflects the operational history for each such Fund's sole
outstanding class prior to the creation of multiple classes of such Funds on
[May 27, 1996].
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
Investors in Account, Primary and Secondary Shares should be aware that the above financial highlight tables (except for the Short-Term Income Fund, which offers only a single class of shares) reflect performance based on the Traditional Shares' expense ratios. In the future, investors in Account Shares will experience slightly higher total returns than investors in Traditional Shares of the same Fund as a result of the Account Shares' lower overall expense ratio, while investors in Primary and Secondary Shares will experience slightly lower total returns than investors in Traditional Shares of the same Fund as a result of the Primary and Secondary Shares' higher overall expense ratios.
The Manager's discussion of the performance of each Fund in fiscal 1995, as well as a comparison of each Fund's performance over the life of the Fund with that of a benchmark securities index elected by the Manager, is included in each Fund's Annual Report for the fiscal year ended February 29, 1996. Copies of the Annual Reports are available upon request without charge.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
The following table sets forth the performance of the Foreign Fund's corporate predecessor, The GMO Common Fund Pool (the "Pool"). On [June 30, 1996], The Pool will be reorganized such that 100% of the Pool's remaining assets on that date will be transferred to the Foreign Fund, and on that date such assets will constitute 100% of the Foreign Fund's total assets.
FOREIGN FUND YEAR ENDED FEBRUARY 28/29
-----------------------------------------------------------------------------
1995 1994 1993 1992 1991 1990 1989 1988 1987 1986
---- ---- ---- ---- ---- ---- ---- ---- ---- ----
Net asset value, beginning of
period
Income (loss) from investment
operations:
Net investment income
Net realized and unrealized
gain (loss) on investments
Total from investment operations
Less distributions to shareholders:
From net investment income
From net realized gains
Total distributions
Net asset value, end of period
Total Return
Ratios/Supplemental Data:
Net assets, end of period
(000's)
daily net assets
Net investment income to
average daily net assets
Portfolio turnover rate
|
INVESTMENT OBJECTIVES AND POLICIES
The investment objective of each of the Core Fund, the Value Allocation Fund, the Growth Allocation Fund, the Short-Term Income Fund, the International Core Fund, and the Japan Fund is fundamental and may not be changed without shareholder approval. The investment objective of each other Fund may be changed without shareholder approval. Except for investment policies which are explicitly described as fundamental, the investment policies of each Fund may be changed without shareholder approval. There can be no assurance that the investment objective of any Fund will be achieved.
As is noted below, several of the Funds seek a total return greater than the S&P 500. The S&P 500 is an unmanaged weighted index of the common stock performance of 500 industrial, transportation, utility and financial companies selected for inclusion in the Index by Standard & Poor's Corporation on a statistical basis. For over 25 years, investors have used the S&P 500 against which to measure the performance of their portfolios because it is generally believed by knowledgeable investors that the S&P 500 combines the breadth, weight and statistical integrity needed to reflect overall market activity. Several of the Funds also seek total returns greater than certain other benchmark indices developed by the Manager. Such indices are described herein under the relevant Fund description.
The International Equity Funds, together with the Global Hedged Equity Fund, International Bond Fund, Currency Hedged International Bond Fund, Global Bond Fund, Emerging Country Debt Fund, and Core Emerging Country Debt Fund are sometimes collectively referred to as the "INTERNATIONAL FUNDS."
DOMESTIC EQUITY FUNDS
CORE FUND
The Core Fund seeks a total return greater than that of the S&P 500 through investment in common stocks. The Core Fund expects that substantially all of its assets will be invested in the equity securities of at least 125 companies chosen from among the approximately 1,200 companies with the largest equity capitalization (i.e., number of shares outstanding multiplied by the market price per share) at the time of investment which are also listed on a United States national securities exchange (the "LARGE CAP 1200"). The Core Fund may, from time to time, invest in fewer issuers if, in the opinion of the Manager, there are not at least 125 attractive investment opportunities from among such companies.
The Manager will select which issuers to invest in based on its assessment of whether the common stock of the issuer is likely to perform better than the S&P 500. Since the Core Fund's portfolio investments will not be chosen and proportionately weighted to approximate the total return of the S&P 500, the total return of the Core Fund may be more or less than the total return of the S&P 500. An investment in the Fund involves risks similar to investing in common stocks directly.
In pursuing its objective, the Fund may invest in securities of foreign issuers traded principally on U.S. securities exchanges, invest without limit in depository receipts of foreign issuers, and purchase convertible securities. The Fund may also invest up to 15% of its net assets in illiquid securities, lend portfolio securities valued at up to one-third of total assets, and enter into repurchase agreements.
In addition, the Fund may purchase index futures on the S&P 500 and other domestic indices for investment, anticipatory hedging and risk management and to effect synthetic sales and purchases. The Fund may also buy exchange traded or over-the-counter put and call options, sell (write) covered options and enter into futures contracts and options on futures contracts for hedging and risk management. The Fund may also use equity swap contracts and contracts for differences for these purposes.
It is a policy of the Fund to stay fully invested in common stocks, index futures, equity swap contracts and contracts for differences even when the Manager believes that equity securities generally may underperform other types of investments. The Fund expects that, not including the margin deposits or the segregated accounts created in connection with index futures and other derivatives, less than 5% of its total net assets will be invested in high quality money market instruments such as securities issued by the U.S. government and agencies thereof, bankers' acceptances, commercial paper, and bank certificates of deposit. The Fund will at all times invest at least 65% of its total assets in domestic common stocks. The Fund does not expect to invest in long or short-term fixed income securities for temporary defensive purposes.
For a detailed description of the investment practices described in the three preceding paragraphs and the risks associated with them, see "Descriptions and Risks of Fund Investment Practices."
TOBACCO-FREE CORE FUND
The Tobacco-Free Core Fund seeks a total return greater than that of the S&P 500 through investment in common stocks chosen from the Large Cap 1200 and which are not Tobacco Producing Issuers. The Tobacco- Free Core Fund expects that substantially all of its assets will be invested in the securities of at least 125 companies chosen from the Large Cap 1200. The Tobacco-Free Core Fund may, from time to time, invest in fewer issues if, in the opinion of the Manager, there are not at least 125 attractive investment opportunities from among such companies.
The Manager will select which issuers to invest in based on its assessment of whether the common stock of the issuer is likely to perform better than the S&P 500. Since the Tobacco-Free Core Fund's portfolio investments will not be chosen and proportionately weighted to approximate the total return of the S&P 500, the total return of the Tobacco-Free Core Fund may be more or less than the total return of the S&P 500. An investment in the Fund involves risks similar to investing in common stocks directly.
The Manager has instituted procedures to avoid investment by the Tobacco-Free Core Fund in the securities of issuers which, at the time of purchase, derive more than 10% of their gross revenues from the production of tobacco-related products ("TOBACCO PRODUCING ISSUERS"). For this purpose the Manager will subscribe to and generally rely on information services provided by third parties, although the Manager may cause the Tobacco-Free Core Fund to purchase securities of issuers which are identified by those third parties as Tobacco Producing Issuers if, at the time of purchase, the Manager has received information from the issuer to the effect that it is no longer a Tobacco Producing Issuer.
The Tobacco-Free Core Fund is required to have a fundamental policy, which cannot be changed without shareholder approval, that under normal market conditions at least 65% of its assets will be invested in the securities of issuers other than Tobacco Producing Issuers. The requirements of this policy are not, however, expected to affect the Manager's overall approach of not investing in Tobacco Producing Issuers.
In pursuing its objective, the Fund may invest in securities of foreign issuers traded principally on U.S. securities exchanges, invest without limit in depository receipts of foreign issuers, and purchase convertible securities. The Fund may also invest up to 15% of its net assets in illiquid securities, lend portfolio securities valued at up to one-third of total assets, and enter into repurchase agreements.
In addition, the Fund may purchase index futures on the S&P 500 and other domestic indices for investment, anticipatory hedging and risk management and to effect synthetic sales and purchases. The Fund may also buy exchange traded or over-the-counter put and call options, sell (write) covered options and enter into futures contracts and options on futures contracts for hedging and risk management. The Fund may also use equity swap contracts and contracts for differences for these purposes.
It is a policy of the Fund to stay fully invested in common stocks, index futures, equity swap contracts and contracts for differences even when the Manager believes that equity securities generally may underperform other types of investments. The Fund expects that, not including the margin deposits or the segregated accounts created in connection with index futures and other derivatives, less than 5% of its total net assets will be invested in high quality money market instruments such as securities issued by the U.S. government and agencies thereof, bankers' acceptances, commercial paper, and bank certificates of deposit. The Fund will at all times invest at least 65% of its total assets in domestic common stocks. The Fund does not expect to invest in long or short-term fixed income securities for temporary defensive purposes.
For a detailed description of the investment practices described in the three preceding paragraphs and the risks associated with them, see "Descriptions and Risks of Fund Investment Practices".
VALUE ALLOCATION FUND
The Value Allocation Fund seeks a total return greater than that of the S&P 500 through investment in a broadly diversified and liquid portfolio of common stocks chosen from the Large Cap 1200. The Fund expects that any income it derives will be from dividends on common stock. The Manager will select which issuers to invest in based on its assessment of whether the common stock of the issuer is likely to perform better than the S&P 500. Strong consideration is given to common stocks whose current prices do not adequately reflect, in the opinion of the Manager, the ongoing business value of the underlying company.
The Fund's investments are made in securities of companies which, in the opinion of the Manager, are of average or above average investment quality. Investment quality is evaluated using fundamental analysis emphasizing each issuer's historic financial performance, balance sheet strength, management capability and competitive position. Various valuation parameters are examined to determine the attractiveness of individual securities. Since the Fund's portfolio investments will not be chosen and proportionately weighted to approximate the total return of the S&P 500, at times the total return of the Value Allocation Fund may be more or less than the total return of the S&P 500.
In pursuing its objective, the Fund may invest in securities of foreign issuers traded principally on U.S. securities exchanges, invest without limit in depository receipts of foreign issuers, and purchase convertible securities. The Fund may also invest up to 15% of its net assets in illiquid securities, lend portfolio securities valued at up to one-third of total assets, and enter into repurchase agreements.
In addition, the Fund may purchase index futures on the S&P 500 and other domestic indices for investment, anticipatory hedging and risk management and to effect synthetic sales and purchases. The Fund may also buy exchange traded or over-the-counter put and call options, sell (write) covered options and enter into futures contracts and options on futures contracts for hedging and risk management. The Fund may also use equity swap contracts and contracts for differences for these purposes.
It is a policy of the Fund to stay fully invested in common stocks, index futures, equity swap contracts and contracts for differences even when the Manager believes that equity securities generally may underperform other types of investments. The Fund expects that, not including the margin deposits or the segregated accounts created in connection with index futures and other derivatives, less than 5% of its total net assets will be invested in high quality money market instruments such as securities issued by the U.S. government and agencies thereof, bankers' acceptances, commercial paper, and bank certificates of deposit. The Fund will at all times invest at least 65% of its total assets in domestic common stocks. The Fund does not expect to invest in long or short-term fixed income securities for temporary defensive purposes.
For a detailed description of the investment practices described in the three preceding paragraphs and the risks associated with them, see "Descriptions and Risks of Fund Investment Practices."
GROWTH ALLOCATION FUND
The Growth Allocation Fund seeks long-term growth of capital. Current income is only an incidental consideration. The Growth Allocation Fund attempts to achieve its objective by investing in companies whose earnings per share are expected by the Manager to grow at a rate faster than the average of the Large Cap 1200. The Fund is designed for investors who wish to allocate a portion of their assets to investment in growth-oriented stocks.
The Fund expects that at least 65% of its assets will be invested in the common stocks (and securities convertible into common stocks) of issuers chosen from the Large Cap 1200. Such companies may include foreign issuers, although the Fund does not intend to invest in securities which are principally traded outside of the United States. The balance of the common stocks (and securities convertible into common stocks) held by the Fund may be less liquid investments since the companies in question will have smaller equity capitalization and/or the securities may not be listed on a national securities exchange.
In pursuing its objective, the Fund may invest in securities of foreign issuers traded principally on U.S. securities exchanges, invest without limit in depository receipts of foreign issuers, and purchase convertible securities. The Fund may also invest up to 15% of its net assets in illiquid securities, lend portfolio securities valued at up to one-third of total assets, and enter into repurchase agreements.
In addition, the Fund may purchase index futures on the S&P 500 and other domestic indices for investment, anticipatory hedging and risk management and to effect synthetic sales and purchases. The Fund may also buy exchange traded or over-the-counter put and call options, sell (write) covered options and enter into futures contracts and options on futures contracts for hedging and risk management. The Fund may also use equity swap contracts and contracts for differences for these purposes.
It is a policy of the Fund to stay fully invested in common stocks, index futures, equity swap contracts and contracts for differences even when the Manager believes that equity securities generally may underperform other types of investments. The Fund expects that, not including the margin deposits or the segregated accounts created in connection with index futures and other derivatives, less than 5% of its total net assets will be invested in the high quality money market instruments such as securities issued by the U.S. government and agencies thereof, bankers' acceptances, commercial paper, and bank certificates of deposit. The Fund will at all times invest at least 65% of its total assets in domestic common stocks. The Fund does not expect to invest in long or short-term fixed income securities for temporary defensive purposes.
For a detailed description of the investment practices described in the three preceding paragraphs and the risks associated with them, see "Descriptions and Risks of Fund Investment Practices."
U.S. SECTOR ALLOCATION FUND
The U.S. Sector Allocation Fund seeks a total return greater than that of the S&P 500 through investment in common stocks chosen from among the 1,800 companies with the largest equity capitalization whose securities are listed on United States national securities exchanges.
The Fund will allocate its assets, as directed by the Manager, among major U.S. sectors (including value, growth, small/large capitalization and defensive stocks, stocks in individual industries, etc.) and will overweight those sectors which the Manager believes may outperform the S&P 500 generally. The Fund may place varying degrees of emphasis on different types of companies depending on the Manager's assessment of economic and market conditions, including companies with superior growth prospects and/or companies whose common stock does not, in the opinion of the Manager, adequately reflect the companies' ongoing business value. The Fund may invest in companies with smaller equity capitalization than the companies whose securities are purchased by the Value Allocation Fund and the Growth Allocation Fund. The securities of small capitalization companies may be less liquid and their market prices more volatile than those issued by companies with larger equity capitalizations. Since the Fund's portfolio investments will not be chosen and proportionately weighted to approximate the S&P 500, the total return of the U.S. Sector Allocation Fund may be more or less than the total return of the S&P 500.
In pursuing its objective, the Fund may invest in securities of foreign issuers traded principally on U.S. securities exchanges, invest without limit in depository receipts of foreign issuers, and purchase convertible securities. The Fund may also invest up to 15% of its net assets in illiquid securities, lend portfolio securities valued at up to one-third of total assets, and enter into repurchase agreements.
In addition, the Fund may purchase index futures on the S&P 500 and other domestic indices for investment, anticipatory hedging and risk management and to effect synthetic sales and purchases. The Fund may also buy exchange traded or over-the-counter put and call options, sell (write) covered options and enter into futures contracts and options on futures contracts for hedging and risk management. The Fund may also use equity swap contracts and contracts for differences for these purposes.
It is a policy of the Fund to stay fully invested in common stocks, index futures, equity swap contracts and contracts for differences even when the Manager believes that equity securities generally may underperform other types of investments. The Fund expects that, not including the margin deposits or the segregated accounts created in connection with index futures and other derivatives, less than 5% of its total net assets will be invested in high quality money market instruments such as securities issued by the U.S. government and agencies thereof, bankers' acceptances, commercial paper, and bank certificates of deposit. The Fund will at all times invest at least 65% of its total assets in domestic common stocks. The Fund does not expect to invest in long or short-term fixed income securities for temporary defensive purposes.
For a detailed description of the investment practices described in the three preceding paragraphs and the risks associated with them, see "Descriptions and Risks of Fund Investment Practices".
CORE II SECONDARIES FUND
The investment objective of the Core II Secondaries Fund is long-term growth of capital. Current income is only an incidental consideration. The Core II Secondaries Fund attempts to achieve its objective by selecting its investments from domestic second tier companies. For these purposes, "second tier companies" are those companies whose equity capitalization at the time of investment by the Core II Secondaries Fund ranks in the lower two-thirds of the 1800 publicly-held issuers with the largest equity capitalization.
The Core II Secondaries Fund invests primarily in common stocks, although the Fund may on rare occasions hold securities convertible into common stocks such as convertible bonds, convertible preferred stocks and warrants. The Fund expects that at least 65% of its assets will be invested in the securities of second tier companies, as defined above. The Fund may also hold the common stocks (and securities convertible into common stocks) of companies with smaller equity capitalizations. Such investments may be less liquid, as the securities may not be listed on a national securities exchange and their market prices may be more volatile than those issued by companies with larger equity capitalizations.
In pursuing its objective, the Fund may invest in securities of foreign issuers traded principally on U.S. securities exchanges, invest without limit in depository receipts of foreign issuers, and purchase convertible securities. The Fund may also invest up to 15% of its net assets in illiquid securities, lend portfolio securities valued at up to one-third of total assets, and enter into repurchase agreements.
In addition, the Fund may purchase index futures on the S&P 500 and other domestic indices for investment, anticipatory hedging and risk management and to effect synthetic sales and purchases. The Fund may also buy exchange traded or over-the-counter put and call options, sell (write) covered options and enter into futures contracts for hedging and risk management. The Fund may also use equity swap contracts and contracts for differences for these purposes.
It is a policy of the Fund to stay fully invested in common stocks, index futures, equity swap contracts and contracts for differences even when the Manager believes that equity securities generally may underperform other types of investments. The Fund expects that, not including the margin deposits or the segregated accounts created in connection with index futures and other derivatives, less than 5% of its total net assets will be invested in high quality money market instruments such as securities issued by the U.S. government and agencies thereof, bankers' acceptances, commercial paper, and bank certificates of deposit. The Fund will at all times invest at least 65% of its total assets in domestic common stocks. The Fund does not expect to invest in long or short-term fixed income securities for temporary defensive purposes.
For a detailed description of the investment practices described in the three preceding paragraphs and the risks associated with them, see "Descriptions and Risks of Fund Investment Practices".
FUNDAMENTAL VALUE FUND
The Fundamental Value Fund seeks long-term capital growth through investment primarily in equity securities. Current income is only a secondary consideration. It is anticipated that at least 90% of the Fund's assets will be invested in common stocks and securities convertible into common stocks. Although the Fund invests primarily in securities traded in the United States, it may invest up to 25% of its assets in securities of foreign issuers and securities traded principally outside of the United States.
The Fund invests primarily in common stocks of domestic corporations that, in the opinion of the Manager, represent favorable values relative to their market prices. Under normal conditions, the Fund generally, but not exclusively, looks for companies with low price/earnings ratios and rising earnings. The Fund focuses on established firms with capitalizations of more than $100 million and generally does not buy issues of companies with less than three years of operating history. The Fund seeks to maintain lower than average equity risk levels relative to the potential for return through a portfolio with an average historic volatility (beta) below 1.0. The S&P 500, which serves as a standard for measuring volatility, always has average volatility (beta) of 1.0. The Fund's beta may change with market conditions.
The Fund's Manager analyzes key economic variables to identify general trends in the stock markets. World economic indicators, which are tracked regularly, include U.S. industry and trade indicators, interest rates, international stock market indices, and currency levels. Under normal conditions, investments are made in a variety of economic sectors, industry segments, and individual securities to reduce the effects of price volatility in any one area.
In making investments, the Manager takes into account, among other things, a company's source of earnings, competitive edge, management strength, and level of industry dominance as measured by market share. At the same time, the Manager analyzes the financial condition of each company. The Manager examines current and historical measures of relative value to find corporations that are selling at discounts relative to both underlying asset values and market pricing. The Manager then selects those companies with financial and business characteristics that it believes will produce above-average growth in earnings. Sell decisions are triggered when, in the opinion of the Manager, the stock price and other fundamental considerations make further appreciation less likely.
The Manager generally selects equities that normally trade in sufficient volume to provide liquidity. Domestic equities are usually traded on the New York Stock Exchange or the American Stock Exchange or in the over-the-counter markets.
The Fund's investments in foreign securities will generally consist of equity securities traded in principal European and Pacific Basin markets. The Manager evaluates the economic strength of a country, which includes its resources, markets, and growth rate. In addition, it examines the political climate of a country as to its stability and business policies. The Manager then assesses the strength of the country's currency and considers foreign exchange issues in general. The Fund aims for diversification not only among countries but also among industries in order to enable shareholders to participate in markets that do not necessarily move in concert with U.S. markets.
Once the Fund has identified a rapidly expanding foreign economy, the Fund attempts to search out growing industries and corporations, focusing on companies with established records. Individual securities are selected based on value indicators, such as low price to earnings ratio. Foreign securities in the portfolio are generally listed on principal overseas exchanges.
In pursuing its objective, the Fund may invest without limit in depository receipts of foreign issuers, and purchase convertible securities. The Fund may also invest up to 15% of its net assets in illiquid securities, lend portfolio securities valued at up to one-third of total assets, and enter into repurchase agreements.
In addition, the Fund may purchase index futures on the S&P 500 and other domestic indices for investment, anticipatory hedging and risk management and to effect synthetic sales and purchases. The Fund may also buy exchange traded or over-the-counter put and call options, sell (write) covered options and enter into futures contracts and options on futures contracts for hedging and risk management. The Fund may also use equity swap contracts and contracts for differences for these purposes.
It is a policy of the Fund to stay fully invested in common stocks, index futures, equity swap contracts and contracts for differences even when the Manager believes that equity securities generally may underperform other types of investments. The Fund expects that, not including the margin deposits or the segregated accounts created in connection with index futures and other derivatives, less than 5% of its total net assets will be invested in high quality money market instruments such as securities issued by the U.S. government and agencies thereof, bankers' acceptances, commercial paper, and bank certificates of deposit. The Fund will at all times invest at least 65% of its total assets in domestic common stocks. The Fund does not expect to invest in long or short-term fixed income securities for temporary defensive purposes.
For a detailed description of the investment practices described in the preceding five paragraphs and the risks associated with them, see "Descriptions and Risks of Fund Investment Practices."
CONSERVATIVE EQUITY FUND
The Conservative Equity Fund seeks a long-term total return greater than that of the S&P 500, with an emphasis on outperforming the S&P 500 during times of adverse economic or market conditions. The Fund seeks to achieve its objective through investment in common stocks. The Conservative Equity Fund is intended for investors seeking an equity investment structured to seek relative preservation of capital during adverse market conditions.
The Fund expects that substantially all of its assets will be invested in the securities of at least 200 companies chosen from among the Large Cap 1200. The Fund may, from time to time, invest in fewer issuers if in the opinion of the Manager there are not at least 200 attractive investment opportunities from among such companies. The Fund may invest without limit in common stocks of foreign issuers which are listed on a U.S. national securities exchange but will not invest in securities which are principally traded outside of the United States.
The Manager selects which issuers to invest in based on its assessment of whether the common stock of the issuer is likely to perform better than the S&P 500. Strong emphasis is given to common stocks which, in the opinion of the Manager, will outperform the S&P 500 during times of adverse economic and market conditions. Because of this emphasis, the Fund may not invest in stocks which offer the best opportunities for a strong performance under favorable economic or market conditions.
Since the Conservative Equity Fund's portfolio investments will not be chosen or proportionately weighted to approximate the total return of the S&P 500, at times the total return of the Conservative Equity Fund may be more or less than the total return of the S&P 500.
In pursuing its objective, the Fund may invest in securities of foreign issuers traded principally on U.S. securities exchanges, invest without limit in depository receipts of foreign issuers, and purchase convertible securities. The fund may also invest up to 15% of net assets in illiquid securities, lend portfolio securities valued at up to one-third of total assets, and enter into repurchase agreements.
In addition, the Fund may purchase index futures on the S&P 500 and other domestic indices for investment, anticipatory hedging and risk management and to effect synthetic sales and purchases. The Fund may also use equity swap contracts and contracts for differences for these purposes.
It is a policy of the Fund to stay fully invested in common stocks, index futures, equity swap contracts and contracts for differences even when the Manager believes that equity securities generally may underperform other types of investments. The Fund expects that, not including the margin deposits or the segregated accounts created in connection with index futures and other derivatives, less than 5% of its total net assets will be invested in high quality money market instruments such as securities issued by the U.S. government and agencies thereof, bankers' acceptances, commercial paper, and bank certificates of deposit. The Fund will at all times invest at least 65% of its total assets in domestic common stocks. The Fund does not expect to invest in long or short-term fixed income securities for temporary defensive purposes.
For a detailed description of the investment practices described in the preceding five paragraphs and the risks associated with them, see "Descriptions and Risks of Fund Investment Practices".
REIT FUND
The investment objective of the REIT Fund is to maximize total return through investment primarily in real estate investment trusts ("REITS"), which are managed vehicles that invest in real estate or real estate-related assets. REITs purchased by the Fund will include equity REITs, which own real estate directly, mortgage REITs, which make construction, development or long-term mortgage loans, and hybrid REITs, which share characteristics of equity REITs and mortgage REITs. Equity REITs will be affected by changes in the value of the underlying property owned by the REITs, while mortgage REITs will be affected by the value of the properties to which they have extended credit.
Since the Fund's investments are concentrated in real estate related securities, the value of its shares can be expected to change in light of factors affecting the real estate industry, and may fluctuate more widely than the value of shares of a portfolio that invests in a broader range of industries. Factors affecting the performance of real estate may include excess supply of real property in certain markets, changes in zoning laws, completion of construction, changes in real estate value and property taxes, sufficient level of occupancy, adequate rent to cover operating expenses, and local and regional markets for competing assets. The performance of real estate may also be affected by changes in interest rates, prudent management of insurance risks and social and economic trends. Also, REITs are dependent upon the skill of each REIT's management.
The Fund could under certain circumstances own real estate directly as a result of a default on debt securities it owns. Risks associated with such ownership could include potential liabilities under environmental laws and the costs of other regulatory compliance. If the Fund has rental income or income from the direct disposition of real property, the receipt of such income may adversely affect its ability to retain its tax status as a regulated investment company. See "TAXES" later in this prospectus. REITs are also subject to substantial cash flow dependency, defaults by borrowers, self-liquidation and the risk of failing to qualify for tax-free pass-through of income under the Internal Revenue Code and/or to maintain exempt status under the 1940 Act. By investing in REITs indirectly through the Fund, a Fund bears not only a proportionate share of the expenses of the Funds, but also, indirectly, similar expenses of the REITs.
Because of its name, the REIT Fund is required to have a policy of investing at least 65% of its assets in securities of REITs under normal conditions, although the Fund intends to invest a greater portion of its assets in REIT securities. The Fund may also invest in common and preferred stock, fixed income securities including lower-rated fixed income securities (commonly known as "junk bonds"), invest in securities principally traded in foreign markets and foreign currency exchange transactions. The Fund may lend portfolio securities valued at up to one-third of total assets, and invest in adjustable rate securities, zero coupon securities and depository receipts of foreign issuers. The Fund may also enter into repurchase agreements, reverse repurchase agreements and dollar roll agreements. In addition, the Fund may invest in mortgage-backed and other non-government issuers, including collateral mortgage obligations ("CMO's"), strips and residuals. The Fund may also invest in indexed securities the redemption values and/or coupons of which are indexed to the prices of other securities, securities indices, currencies, precious metals or other commodities, or other financial indicators. The Fund may also enter into firm commitment agreements with banks or broker-dealers, and may invest up to 15% of its net assets in illiquid securities. The Fund may hold a portion of its assets in high quality money market instruments.
The Fund may buy and sell options and enter into futures contracts and options on futures contracts for hedging, investment and risk management. In addition, the Fund may use interest rate and currency swap contracts, contracts for differences and interest rate caps, floors and collars for hedging and for risk management.
For a detailed description of the investment practices described above and the risks associated with them, see "Descriptions and Risks of Fund Investment Practices" later in this Prospectus.
INTERNATIONAL EQUITY FUNDS
INTERNATIONAL CORE FUND
The investment objective of the International Core Fund is to maximize total return through investment in a portfolio of common stocks of non-U.S. issuers. The Fund will usually invest primarily in common stocks, including dividend-paying common stocks. Capital appreciation may be sought through investment in common stocks, convertible bonds, convertible preferred stocks, warrants or rights. Income may be sought through investment in dividend-paying common stocks, convertible bonds, money market instruments or fixed income securities such as long and medium term corporate and government bonds and preferred stocks. Some of these fixed income securities may have speculative qualities and the values of these securities generally fluctuate more than those of other, less speculative fixed income securities. See "Descriptions and Risks of Fund Investment Practices -- Lower Rated Securities."
The relative emphasis of the Fund on capital appreciation or income will depend upon the views of the Manager with respect to the opportunities for capital appreciation relative to the opportunities for income. There are no prescribed limits on geographic asset distribution and the Fund has the authority to invest in securities traded in securities markets of any country in the world, although under normal market conditions the Fund will invest in securities traded in the securities markets of at least three foreign countries. The responsibility for allocating the Fund's assets among the various securities markets of the world is borne by the Manager. In making these allocations, the Manager will consider such factors as the condition and growth potential of the various economic and securities markets, currency and taxation considerations and other pertinent financial, social, national and political factors. The Fund generally will not invest in securities of U.S. issuers, except that for temporary defensive purposes the Fund may invest up to 100 percent of its assets in United States securities.
The Fund may use forward foreign currency contracts, currency futures contracts, currency swap contracts, options on currencies and buy and sell foreign currencies for hedging and for currency risk management, although the Fund's foreign currency exposure will not generally vary by more than 30% from the foreign currency exposure of a benchmark index (the "EAFE-LITE INDEX"), which is a modification of the Morgan Stanley Capital International EAFE Index (the "EAFE INDEX") developed by the Manager so as to reduce the weighting of Japan in the EAFE Index. The put and call options on currency futures written by the Fund will always be covered. For more information on foreign currency transactions, see "Descriptions and Risks of Fund Investment Practices -- Foreign Currency Transactions." The stocks held by the Fund will not be chosen to approximate the weightings of the EAFE-lite Index.
The Fund may also invest in securities of investment companies, such as closed-end investment management companies which invest in foreign markets or other of the International Equity Funds to the extent permitted under the Investment Company Act of 1940, as amended, and the rules and regulations promulgated thereunder (the "1940 Act"). As a shareholder of an investment company, the Fund may indirectly bear service fees which are in addition to the fees the Fund pays its service providers.
In addition, the Fund may invest in securities of foreign issuers traded on U.S. exchanges and securities traded abroad, American Depositary Receipts, European Depository Receipts and other similar securities convertible into securities of foreign issuers. The Fund may also enter repurchase agreements, lend portfolio securities valued at up to 25% of total assets, and may invest up to 15% of its net assets in illiquid securities. The Fund expects that, not including the margin deposits or the segregated accounts created in connection with index futures and other derivatives, less than 5% of its total net assets will be invested in cash or high quality money market instruments such as securities issued by the U.S. government and agencies thereof, bankers' acceptances, commercial paper, and bank certificates of deposit.
The Fund may also buy put and call options, sell (write) covered options and enter into futures contracts and options on futures contracts for hedging and risk management. The Fund's use of options on particular securities (as opposed to market indices) is limited such that the premiums paid by the Fund on all outstanding options it has purchased may not exceed 5% of its total assets. The Fund may also write options in connection with buy-and-write transactions, and use index futures (on foreign stock indices), options on futures, equity swap contracts and contracts for differences for investment, anticipatory hedging and risk management and to effect synthetic sales and purchases.
For a detailed description of the investment practices described in the four preceding paragraphs and the risks associated with them, see "Descriptions and Risks of Fund Investment Practices."
CURRENCY HEDGED INTERNATIONAL CORE FUND
The investment objective of the Currency Hedged International Core Fund
is to maximize total return through investment in a portfolio of common stocks
of non-U.S. issuers and through management of the Fund's currency positions. The
Fund has policies that are similar to the International Core Fund, except that
the Currency Hedged International Core Fund will employ a different strategy
with respect to foreign currency exposure. While the International Core Fund's
foreign currency exposure will not generally differ from that of the EAFE-lite
Index by more than 30%, the Currency Hedged International Core Fund's foreign
currency exposure will generally vary no more than 30% from the currency
exposure of a fully hedged EAFE-lite Index. That is, the Currency Hedged
International Core Fund will hedge a substantial portion (generally at least
70%) of the EAFE-lite foreign currency exposure while the International Core
Fund will generally hedge only a limited portion (generally less than 30%) of
EAFE-lite currency exposure. The Currency Hedged International Core Fund may use
forward foreign currency contracts, currency futures contracts, currency swap
contracts, options on currencies and buy and sell foreign currencies for hedging
and for currency risk management. The put and call options on currency futures
written by the Fund will always be covered. For more information on foreign
currency transactions, see "Descriptions and Risks of Fund Investment Practices
- -- Foreign Currency Transactions." Because of its name, the Currency Hedged
International Core Fund is required to have a policy that it will maintain short
currency positions with respect to at least 65% of the foreign currency exposure
represented by the common stocks owned by the Fund.
The Fund will usually invest primarily in common stocks, including dividend-paying common stocks. The stocks held by the Fund will not be chosen to approximate the weightings of the EAFE-lite Index. Capital appreciation may be sought through investment in common stocks, convertible bonds, convertible preferred stocks, warrants or rights. Income may be sought through investment in dividend-paying common stocks, convertible bonds, money market instruments or fixed income securities such as long and medium term corporate and government bonds and preferred stocks. Some of these fixed income securities may have speculative qualities and the values of these securities generally fluctuate more than those of other, less speculative fixed income securities. See "Descriptions and Risks of Fund Investment Practices -- Lower Rated Securities."
The relative emphasis of the Fund on capital appreciation or income will depend upon the views of the Manager with respect to the opportunities for capital appreciation relative to the opportunities for income. There are no prescribed limits on geographic asset distribution and the Fund has the authority to invest in securities traded in securities markets of any country in the world, although under normal market conditions the Fund will invest in securities traded in the securities markets of at least three foreign countries. The responsibility for allocating the Fund's assets among the various securities markets of the world is borne by the Manager. In making these allocations, the Manager will consider such factors as the condition and growth potential of the various economic and securities markets, currency and taxation considerations and other pertinent financial, social, national and political factors. The Fund generally will not invest in securities of U.S. issuers, except that for temporary defensive purposes the Fund may invest up to 100 percent of its assets in United States securities.
The Fund may also invest in securities of investment companies, such as closed-end investment management companies which invest in foreign markets or other of the International Equity Funds to the extent permitted under the 1940 Act. As a shareholder of an investment company, the Fund may indirectly bear service fees which are in addition to the fees the Fund pays its service providers.
In addition, the Fund may invest in securities of foreign issuers traded on U.S. exchanges and securities traded abroad, American Depositary Receipts, European Depository Receipts and other similar securities convertible into securities of foreign issuers. The Fund may also enter repurchase agreements, and lend portfolio securities valued at up to 25% of total assets. The Fund may also invest up to 15% of its net assets in illiquid securities and temporarily invest in cash and high quality money market instruments such as securities issued by the U.S. government and agencies thereof, bankers' acceptances, commercial paper, and bank certificates of deposit. The Fund expects that, not including the margin deposits or the segregated accounts created in connection with index futures and other derivatives, less than 5% of its total net assets will be invested in such high quality cash items.
The Fund may also buy put and call options, sell (write) covered options and enter into futures contracts and options on futures contracts for hedging and risk management. The Fund's use of options on particular securities (as opposed to market indices) is limited such that the premiums paid by the Fund on all outstanding options it has purchased may not exceed 5% of its total assets. The Fund may also write options in connection with buy-and-write transactions, and use index futures (on foreign stock indices), options on futures, equity swap contracts and contracts for differences for investment, anticipatory hedging and risk management and to effect synthetic sales and purchases.
For a detailed description of the investment practices described in the three preceding paragraphs and the risks associated with them, see "Descriptions and Risks of Fund Investment Practices."
FOREIGN FUND
The investment objective of the Foreign Fund is to maximize total return through investment primarily in equity securities of non-U.S. issuers. The Fund's investment strategy is based on a fundamental analysis of issuers and country economics. The Fund will usually invest primarily in common stocks, including dividend-paying common stocks. Capital appreciation may be sought through investment in common stocks, convertible bonds, convertible preferred stocks, warrants or rights. Income may be sought through investment in dividend-paying common stocks, convertible bonds, money market instruments or fixed income securities such as long and medium term corporate and government bonds and preferred stocks. Some of these fixed income securities may have speculative qualities and the values of these securities generally fluctuate more than those of other, less speculative fixed income securities. See "Descriptions and Risks of Fund Investment Practices -- Lower Rated Securities".
The relative emphasis of the Fund on capital appreciation or income will depend upon the views of the Manager with respect to the opportunities for capital appreciation relative to the opportunities for income. There are no prescribed limits on geographic asset distribution and the Fund has the authority to invest in securities traded in securities markets of any country in the world other than the United States, although under normal market conditions the Fund will invest in securities principally traded in the securities markets of at least three countries. The responsibility for allocating the Fund's assets among the various securities markets of the world is borne by the Manager. In making these allocations, the Manager will consider such factors as the condition and growth potential of the various economic and securities markets, currency and taxation considerations and other pertinent financial, social, national and political factors.
The Fund may use forward foreign currency contracts, currency futures contracts, options on currencies and buy and sell foreign currencies for the purpose of hedging the currency exposure of its portfolio securities. The Fund is not required to hedge its currency risk and will not normally hedge more than 90% of such risks.
The Fund may also invest in securities of investment companies, such as closed-end investment management companies which invest in foreign markets or other of the International Equity Funds to the extent permitted under the Investment Company Act of 1940, as amended, and the rules and regulations promulgated thereunder (the "1940 Act"). As a shareholder of an investment company, the Fund may indirectly bear service fees which are in addition to the fees the Fund pays its service providers.
In addition, the Fund may invest in securities of foreign issuers traded on U.S. exchanges and securities traded abroad, American Depositary Receipts, European Depository Receipts and other similar securities convertible into securities of foreign issuers. The Fund may also enter into repurchase agreements, lend portfolio securities valued at up to one-third of total assets, and may invest up to 15% of its net assets in illiquid securities. The Fund may invest up to 20% of its assets in securities of issuers in newly industrialized countries of the type invested in by the Emerging Markets Fund.
The Fund may also buy put and call options, sell (write) covered options and enter into futures contracts and options on futures contracts for hedging and risk management. The Fund's use of options on particular securities (as opposed to market indices) is limited such that the premiums paid by the Fund on all outstanding options it has purchased may not exceed 5% of its total assets. The Fund may also write options in connection with buy-and-write transactions and use index futures (on foreign stock).
For a detailed description of the investment practices described in the four preceding paragraphs and the risks associated with the, see "Descriptions and Risks of Fund Investment Practices."
INTERNATIONAL SMALL COMPANIES FUND
The International Small Companies Fund seeks to maximize total return through investment primarily in equity securities of foreign issuers whose equity securities are traded on a major stock exchange of a foreign country ("foreign stock exchange companies") and whose equity capitalization at the time of investment, when aggregated with the equity capitalizations of all foreign stock exchange companies in that country whose equity capitalizations are smaller than that of such company, is less than 50% of the aggregate equity capitalization of all foreign stock exchange companies in such country ("small capitalization foreign companies"). With the exception of the International Small Companies Fund's policy of investing in securities of small capitalization foreign companies, and except as otherwise disclosed in this Prospectus and the related Statement of Additional Information, the International Small Companies Fund's investment objectives and policies are the same as those described above with respect to the International Core Fund.
It is currently expected that at least 65% of the International Small Companies Fund's assets will be invested in common stocks of small capitalization foreign companies. Such companies may present greater opportunities for capital appreciation because of high potential earnings growth, but may also involve greater risk. Small capitalization foreign companies tend to be smaller and newer than other foreign companies and may be dependent upon a single proprietary product or market niche. They may have limited product lines, markets or financial resources, or may depend on a limited management group. Typically, small capitalization foreign companies have fewer securities outstanding and are less liquid than large companies. Their common stock and other securities may trade less frequently and in limited volume. The securities of small capitalization foreign companies are generally more sensitive to purchase and sale transactions and, therefore, the prices of such securities tend to be more volatile than the securities of larger companies.
The Fund also may invest in securities of foreign issuers traded on U.S. exchanges and securities traded abroad, American Depositary Receipts, European Depository Receipts and other similar securities convertible into securities of foreign issuers. The Fund may also enter repurchase agreements, and lend portfolio securities valued at up to one-third of total assets. The Fund may also invest up to 15% of its net assets in illiquid securities and temporarily invest in cash and high quality money market instruments such as securities issued by the U.S. government and agencies thereof, bankers' acceptances, commercial paper, and bank certificates of deposit. The Fund expects that, not including the margin deposits or the segregated accounts created in connection with index futures and other derivatives, less than 5% of its total net assets will be invested in such high quality cash items.
The Fund may also buy put and call options, sell (write) covered options and enter into futures contracts and options on futures contracts for hedging and risk management. The Fund's use of options on particular securities (as opposed to market indices) is limited such that the premiums paid by the Fund on all outstanding options it has purchased may not exceed 5% of its total assets. The Fund may also write options in connection with buy-and-write transactions, and use index futures (on foreign stock indices), options on futures, equity swap contracts and contracts for differences for investment, anticipatory hedging and risk management and to effect synthetic sales and purchases.
The Fund may use forward foreign currency contracts, currency futures contracts, currency swap contracts, options on currencies and buy and sell foreign currencies for hedging and for currency risk management. The put and call options on currency futures written by the Fund will always be covered.
For a detailed description of the investment practices described in the three preceding paragraphs and the risks associated with them, see "Descriptions and Risks of Fund Investment Practices."
JAPAN FUND
The Japan Fund seeks to maximize total return through investment in a portfolio of Japanese securities, consisting primarily of common stocks of Japanese companies. It is currently expected that the Japan Fund will invest at least 90% of its assets in "Japanese Securities," that is, securities issued by entities that are organized under the laws of Japan and that either have 50% or more of their assets in Japan or derive 50% or more of their revenues from Japan ("Japanese Companies"). Although the Japan Fund will invest primarily in common stocks of Japanese Companies, it may also invest in other Japanese Securities, such as convertible preferred stock, warrants or rights as well as short-term government debt securities or other short-term prime obligations (i.e., high quality debt obligations maturing not more than one year from the date of issuance). The Japan Fund expects that any income it derives will be from dividend or interest payments on securities.
Unlike mutual funds which invest in the securities of many other countries, the Japan Fund will be invested almost exclusively in Japanese Securities. No effort will be made by the Manager to assess the Japanese economic, political or regulatory developments or changes in currency exchange rates for purposes of varying the portion of the Fund's assets invested in Japanese Securities. This means that the Fund's performance will be directly affected by political, economic, market and exchange rate conditions in Japan. Also, since the Japanese economy is dependent to a significant extent on foreign trade, the relationships between Japan and its trading partners and between the yen and other currencies are expected to have a significant impact on particular Japanese Companies and on the Japanese economy generally. Also, the Japan Fund's investments are denominated in yen, whose value continually changes in relation to the dollar. This varying relationship will also directly affect the value of the Japan Fund's shares. The Japan Fund is designed for investors who are willing to accept the risks associated with changes in such conditions and relationships.
To achieve its objectives, the Fund may invest in securities of foreign issuers traded on U.S. exchanges and securities traded abroad, American Depositary Receipts, European Depository Receipts and other similar securities convertible into securities of foreign issuers. The Fund may also enter repurchase agreements, and lend portfolio securities valued at up to one-third of total assets. The Fund may also invest up to 15% of its net assets in illiquid securities and temporarily invest in cash and high quality money market instruments such as securities issued by the U.S. government and agencies thereof, bankers' acceptances, commercial paper, and bank certificates of deposit. The Fund expects that, not including the margin deposits or the segregated accounts created in connection with index futures or other derivatives, less than 5% of its total net assets will be invested in such high quality cash items.
The Fund may also buy put and call options, sell (write) covered options and enter into futures contracts and options on futures contracts for hedging and risk management. The Fund's use of options on particular securities (as opposed to market indices) is limited such that the premiums paid by the Fund on all outstanding options it has purchased may not exceed 5% of its total assets. The Fund may also write options in connection with buy-and-write transactions, and use index futures (on foreign stock indices), options on futures, equity swap contracts and contracts for differences for investment, anticipatory hedging and risk management and to effect synthetic sales and purchases.
The Fund may use forward foreign currency contracts, currency futures contracts, currency swap contracts, options on currencies and buy and sell foreign currencies for hedging and for currency risk management. The put and call options on currency futures written by the Fund will always be covered.
For a detailed description of the investment practices described in the three preceding paragraphs and the risks associated with them, see "Descriptions and Risks of Fund Investment Practices."
EMERGING MARKETS FUND
The Emerging Markets Fund seeks long-term capital appreciation consistent with what the Manager believes to be a prudent level of risk through investment in equity and equity-related securities traded in the securities markets of newly industrializing countries in Asia, Latin America, the Middle East, Southern Europe, Eastern Europe and Africa. The Manager has appointed Dancing Elephant, Ltd. to serve as Consultant to the Fund.
The Consultant's efforts focus on asset allocation among the selected emerging markets. (See "Descriptions and Risks of Fund Investment Practices -- Certain Risks of Foreign Investments.") In addition to considerations relating to a particular market's investment restrictions and tax barriers, this asset allocation is based on certain other relevant factors including the outlook for economic growth, currency exchange rates, commodity prices, interest rates, political factors and the stage of the local market cycle in such emerging market. The Consultant expects to allocate the Fund's investments over geographic as well as economic sectors.
There are currently over 50 newly industrializing and developing countries with equity markets. A number of these markets are not yet easily accessible to foreign investors and have unattractive tax barriers or insufficient liquidity to make significant investments by the Fund feasible or attractive. However, many of the largest of the emerging markets have, in recent years, liberalized access and more are expected to do so over the coming few years if the present trend continues.
Emerging markets in which the Fund intends to invest may include the following emerging markets ("EMERGING MARKETS"):
Asia: Bangladesh, China, India, Indonesia, Korea, Malaysia,
Mynanmar, Mongolia, Pakistan, Philippines, Sri Lanka,
Republic of China (Taiwan), Thailand, Vietnam
Latin
America: Argentina, Bolivia, Brazil, Chile, Columbia, Costa Rica,
Ecuador, Jamaica, Mexico, Peru, Uruguay, Venezuela,
Europe/
Middle East/
Africa: Botswana, Czech Republic, Ghana, Greece, Hungary, Israel,
Jordan, Kazakhstan, Kenya, Morocco, Namibia, Nigeria,
Poland, Portugal, Russia, Slovakia, Slovenia, South Africa,
Turkey, Ukraine, Zimbabwe
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The Emerging Markets Fund has a fundamental policy that, under normal conditions, at least 65% of its total assets will be invested in equity and equity-related securities which are predominantly traded on Emerging Market exchanges ("Emerging Market Securities"). The Fund invests predominantly in individual stocks listed on Emerging Market stock exchanges or in depository receipts of such stocks listed on markets in industrialized countries or traded in the international equity market. The Fund may also invest in shares of companies which are not presently listed but are in the process of being privatized by the government and, subject to a maximum aggregate investment equal to 25% of the total assets of the Fund, shares of companies that are traded in unregulated over-the-counter markets or other types of unlisted securities markets. The Fund may also invest through investment funds, pooled accounts or other investment vehicles designed to permit investments in a portfolio of stocks listed in a particular developing country or region subject to obtaining any necessary local regulatory approvals, particularly in the case of countries in which such an investment vehicle is the exclusive or main vehicle for foreign portfolio investment. Such investments may result in additional costs, as the Fund may be required to bear a pro rata share of the expenses of each such fund in which it invests. The Fund may also invest in companies listed on major markets outside of the emerging markets that, based on information obtained by the Consultant, derive at least half of their revenues from trade with or production in developing countries. In addition, the Fund's assets may be invested on a temporary basis in debt securities issued by companies or governments in developing countries or money market securities of high-grade issuers in industrialized countries denominated in various currencies.
The Fund may also invest in bonds and money market instruments in Canada, the United States and other markets of industrialized nations and emerging securities markets, and, for temporary defensive purposes, may invest without limit in cash and high quality money market instruments such as securities issued by the U.S. government and agencies thereof, bankers' acceptances, commercial paper, and bank certificates of deposit. The Fund expects that, not including the margin deposits or the segregated accounts created in connection with index futures and other derivatives, less than 5% of its total net assets will be invested in such high quality cash items. The Fund may also invest in indexed securities, the redemption value and/or coupons of which are indexed to the prices of other securities, securities indices, currencies, precious metal, or other commodities, as well as other technical indicators.
The Fund may also invest up to 10% of its total assets through debt-equity conversion funds established to exchange foreign bank debt of countries whose principal repayments are in arrears into a portfolio of listed and unlisted equities, subject to certain repatriation restrictions. The Fund may also invest in convertible securities, enter repurchase agreements and lend portfolio securities valued at up to one-third of total assets. The Fund may invest up to 15% of its net assets in illiquid securities.
The Fund may also buy put and call options, sell (write) covered options and enter into futures contracts and options on futures contracts for hedging and risk management. The Fund's use of options on particular securities (as opposed to market indices) is limited such that the premiums paid by the Fund on all outstanding options it has purchased may not exceed 5% of its total assets. The Fund may also write options in connection with buy-and-write transactions, and use index futures (on foreign stock indices), options on futures, equity swap contracts and contracts for differences for investment, anticipatory hedging and risk management and to effect synthetic sales and purchases.
The Fund may use forward foreign currency contracts, currency futures contracts, currency swap contracts, options on currencies and buy and sell foreign currencies for hedging and for currency risk management. The put and call options on currency futures written by the Fund will always be covered.
For a detailed description of the investment practices described in the five preceding paragraphs and the risks associated with them, see "Descriptions and Risks of Fund Investment Practices."
FIXED INCOME FUNDS
As used in several of the Fixed Income Funds' investment objectives below, "BOND" means any fixed income obligation with an original maturity of two years or more, as well as "synthetic" bonds created by combining a futures contract or option on a fixed income security with cash, a cash equivalent investment or another fixed income security. (See "Descriptions and Risks of Fund Investment Practices -- Uses of Options, Futures and Options on Futures -- Investment Purposes".) Total return for each Fund will be measured by aggregating capital value changes and income. Under normal market conditions, each of the Emerging Country Debt Fund, the Core Emerging Country Debt Fund, the International Bond Fund, the Currency Hedged International Bond Fund and the Global Bond Fund will invest at least 65% of its assets in bonds of issuers of at least three countries (excluding the United States). However, up to 100% of these Fixed Income Fund's assets may be denominated in U.S. dollars, and for temporary defensive purposes, each such Fixed Income Fund may invest as much as 100% of its assets in issuers from one or two countries, which may include the United States.
SHORT-TERM INCOME FUND
The Short-Term Income Fund seeks current income to the extent consistent with the preservation of capital and liquidity through investment in a portfolio of fixed income instruments rated high quality by Standard & Poor's Corporation ("S&P") or by Moody's Investors Service, Inc. ("MOODY'S") or considered by the Manager to be of comparable quality. While the Short-Term Income Fund intends to invest in short-term securities, it is not a money market fund. Debt securities held by the Fund which have a remaining maturity of 60 days or less will be valued at amortized cost unless circumstances dictate otherwise. See "Determination of Net Asset Value." It is the present policy of the Short-Term Income Fund, which may be changed without shareholder approval, to maintain at least 65% of the Fund's assets invested in securities with remaining maturities of two years or less.
In determining whether a security is a suitable investment for the Short-Term Income Fund, reference will be made to the quality of the security, including its rating, at the time of purchase. The Manager may or may not dispose of a portfolio security as a result of a change in the securities' rating, depending on its evaluation of the security in light of the Fund's investment objectives and policies.
The Fund may invest in prime commercial paper and master demand notes (rated "A-1" by S&P or "Prime-1" by Moody's or, if not rated, issued by companies having an outstanding debt issue rated at least "AA" by S&P or at least "Aa" by Moody's), high-quality corporate debt securities (rated at least "AA" by S&P or at least "Aa" by Moody's), and high-quality debt securities backed by pools of commercial or consumer finance loans (rated at least "AA" by S&P or "Aa" by Moody's) and certificates of deposit, bankers' acceptances and other bank obligations (when and if such other bank obligations become available in the future) issued by banks having total assets of at least $2 billion as of the date of the bank's most recently published financial statement.
In addition to the foregoing, the Short-Term Income Fund may also invest in certificates of deposit of $100,000 or less of domestic banks and savings and loan associations, regardless of total assets, if the certificates of deposit are fully insured as to principal by the Federal Deposit Insurance Corporation or the Federal Savings and Loan Insurance Corporation. The Short-Term Income Fund may invest up to 100% of its assets in obligations issued by banks, and up to 15% of its assets in obligations issued by any one bank. If the bank is a domestic bank, it must be a member of the Federal Deposit Insurance Corporation. This does not prevent the Short-Term Income Fund from investing in obligations issued by foreign branches of domestic banks and there is currently no limit on the Fund's ability to invest in these obligations. If the bank is foreign, the obligation must, in the opinion of the Manager, be of a quality comparable to the other debt securities which may be purchased by the Short- Term Income Fund. There are special risks associated with investments in such foreign bank obligations, including the risks associated with foreign political, economic and legal developments and the fact that foreign banks may not be subject to the same or similar regulatory requirements that apply to domestic banks. (See "Descriptions and Risks of Fund Investment Practices - Certain Risks of Foreign Investments.") The Short-Term Income Fund will invest in these securities only when the Manager believes the risks are minimal. In addition, to the extent the Short-Term Income Fund concentrates its assets in the banking industry, including the domestic banking industry, adverse events affecting the industry may also have an adverse effect on the Fund. Such adverse events include, but are not limited to, rising interest rates which affect a bank's ability to maintain the "spread" between the cost of money and any fixed return earned on money, as well as industry-wide increases in loan default rates and declines in the value of loan collateral such as real estate. The Fund may also invest in U.S. Government Securities.
The Short-Term Income Fund may purchase any of the foregoing instruments through firm commitment arrangements with domestic commercial banks and registered broker-dealers and may enter into repurchase agreements with such banks and broker-dealers with respect to any of the foregoing money market instruments, longer term U.S. Government Securities or corporate debt securities rated at least "AA" by S&P or at least "Aa" by Moody's. The Fund will only enter into firm commitment arrangements and repurchase agreements with banks and broker-dealers which the Manager determines present minimal credit risks.
All of the Short-Term Income Fund's investments will, at the time of investment, have remaining maturities of five years or less and the average maturity of the Short-Term Income Fund's portfolio securities based on their dollar value will not exceed two years at the time of each investment. When the Fund has purchased a security subject to a repurchase agreement, the amount and maturity of the Fund's investment will be determined by reference to the amount and term of the repurchase agreement, not by reference to the underlying security. When the Fund purchases an adjustable rate security, the security's maturity will be determined with reference to the frequency with which the rate is adjusted. If the disposition of a portfolio security results in a dollar-weighted average portfolio maturity in excess of two years for the Fund, it will invest its available cash in such a manner as to reduce its dollar-weighted average maturity to two years or less as soon as reasonably practicable.
The Fund may also invest in foreign securities when the Manager believes the risks are minimal, and lend portfolio securities valued at up to one-third of total assets.
For a detailed description of the investment practices described in the preceding paragraphs and the risks associated with them, see "Descriptions and Risks of Fund Investment Practices."
GLOBAL HEDGED EQUITY FUND
The Global Hedged Equity Fund seeks total return consistent with
minimal exposure to general equity market risk. The Fund will pursue its
investment objective by investing substantially all of its assets in a
combination of (i) equity securities, (ii) derivative instruments intended to
hedge the value of the Fund's equity securities against substantially all of the
general movements in the relevant equity market(s), including hedges against
substantially all of the changes in the value of the U.S. dollar relative to the
currencies represented in the indices used to hedge general equity market risk
and (iii) long interest rate futures contracts intended to adjust the duration
of the theoretical fixed income security embedded in the pricing of the
derivatives used for hedging the Fund's equity securities (the "THEORETICAL
FIXED INCOME SECURITY"). The Fund may also buy exchange traded or
over-the-counter put and call options and sell (write) covered options for
hedging or investment. To the extent that the Fund's portfolio strategy is
successful, the Fund is expected to achieve a total return consisting of (i) the
performance of the Fund's equity securities, relative to the relevant equity
market indices (including appreciation or depreciation of any overweighted
currency relative to the currency weighting of the equity hedge), plus or minus
(ii) short-term capital gains or losses approximately equal to the total return
on the Theoretical Fixed Income Security, plus or minus (iii) capital gains or
losses on the Fund's interest rate futures positions minus (iv) transaction
costs and other Fund expenses. Investors should understand that, as opposed to
conventional equity portfolios, to the extent that the Fund's hedging positions
are effective, the performance of the Fund is not expected to correlate with the
movements of equity markets generally. Rather, the performance of the Fund will
tend to be a function of the total return on fixed income securities and the
performance of the Fund's equity securities relative to broad market indices,
including changes in overweighted currencies relative to the currency weighting
of those indices.
The Global Hedged Equity Fund has a fundamental policy that, under normal market conditions, at least 65% of its total assets will be invested in equity securities. In addition, under normal market conditions, the Fund will invest in securities principally traded in the securities markets of at least three countries. The Global Hedged Equity Fund will generally invest in at least 125 different common stocks chosen from among (i) the Large Cap 1200 and (ii) stocks traded primarily outside of the United States similarly chosen from among issuers with the largest market capitalization that are principally traded on a given foreign securities exchange. The Fund may invest up to 20% of its assets in securities of issuers in newly industrializing countries of the type invested in by the Emerging Markets Fund. The Manager will select which common stocks to purchase based on its assessment of whether the common stock of an issuer (and/or the currency in which the stock is traded) is likely to perform better than the broad global equity market index (the "SELECTED EQUITY INDEX") selected by the Manager to serve as a hedge for the Fund's portfolio as a whole.
As indicated above, the Fund will seek to hedge fully the value of its equity holdings (measured in U.S. dollars) against substantially all movements in the global equity markets (measured in U.S. dollars). This means that, if the hedging strategy is successful, when the world equity markets and/or the U.S. dollar go up or down, the Fund's net asset value will not be materially affected by those movements in the relevant equity or currency markets generally, but will rise or fall based primarily on whether the Fund's selected equity securities perform better or worse than the Selected Equity Index. Those changes will include the changes in any overweighted currency relative to the currency weighting of the Selected Equity Index.
The Fund may use a variety of equity hedging instruments. It is currently anticipated that the Fund will primarily use a combination of short equity swap contracts and Index Futures for the purpose of hedging equity market exposure, including, to the extent permitted by regulations of the Commodity Futures Trading Commission, those traded on foreign markets. Derivative short positions represented by the Fund's equity swap contracts will generally relate to modified versions of the market capitalization weighted U.S., Europe, Australia and Far East Index (or "GLOBAL INDEX") calculated by Morgan Stanley Capital International. These modified indices ("MODIFIED GLOBAL INDEX") generally reduce the size of the Japanese equity markets for purposes of the country weighting by 40% or more. The Fund generally expects to build its currency hedging into its equity swap contracts, although it may also attempt to hedge directly its foreign currency-denominated portfolio securities against an appreciation in the U.S. dollar relative to the foreign currencies in which such securities are denominated.
The Manager expects to select specific equity investments without regard to the country weightings of the Modified Global Index and in some cases may intentionally emphasize holdings in a particular market or traded in a particular currency. Because the country market and currency weighting of the Modified Global Index will generally not precisely mirror the country market weightings represented by the Fund's equity securities, there will be an imperfect correlation between the Fund's equity securities and the hedging position(s). Consequently, the Fund's hedging strategies using those equity swap contracts are expected to be somewhat imperfect. This means there is a risk that if the Fund's equity securities decline in value as a result of general market conditions, the hedging position(s) may not appreciate enough to offset that decline (or may actually depreciate). Likewise, if the Fund's equity securities increase in value, that value may be more than offset by a decline in the value of the hedging position(s). Also, because the Manager may conclude that a particular currency is likely to appreciate relative to the currencies represented by the Selected Equity Index, securities traded in that particular currency may be overweighted relative to the Selected Equity Index. Such an overweighted position may result in a loss or reduced gain to the Fund (even when the security appreciates in local currency) if the relevant currency depreciates relative to the currencies represented by the Modified Global Index.
The Fund's hedging positions are also expected to increase or decrease the Fund's gross total return by an amount approximating the total return on relevant short-term fixed income securities referred to above as the Theoretical Fixed Income Security. For example, as the holder of a short derivative position on an equity index, the Fund will be obligated to pay the holder of the long position (the "counterparty") the total return on that equity index. The Fund's contractual obligation eliminates for the counterparty the opportunity cost that would be associated with actually owning the securities underlying that equity index. That opportunity cost would generally be considered the total return that a counterparty could achieve if the counterparty's capital were invested in a short-term fixed income security (i.e., up to 2 years maturity) rather than in the securities underlying the Relevant Equity Index. Because the counterparty is relieved of this cost, the pricing of the hedging instruments is designed to compensate the holder of the short position (in this case the Fund) by paying to the holder the total return on the Theoretical Fixed Income Security. (Another way of thinking about this is that the holder of the short position must, in theory, be compensated for the cost of borrowing money over some relatively short term (generally up to 2 years) to purchase an equity portfolio matching that holder's obligations under the hedging instrument.)
In practice, the Manager has represented that generally, if there is no movement in the Relevant Equity Index during the term of the derivative instrument, the Fund as the holder of the short (hedging) position would be able to close out that position with a gain or loss equal to the total return on a Theoretical Fixed Income Security with a principal amount equal to the face or notional amount of the hedging instrument.
The total return on the Theoretical Fixed Income Security would be accrued interest plus or minus the capital gain or loss on that security. In the case of Index Futures, the Fund would expect the Theoretical Fixed Income Security would be one with a term equal to the remaining term of the Index Future and bearing interest at a rate approximately equal to the weighted average interest rate for money market obligations denominated in the currency or currencies used to settle the Index Futures (generally LIBOR if settled in U.S. dollars). In the case of equity swap contracts, the Manager can specify the Theoretical Fixed Income Security whose total return will be paid to (or payable by) the Fund. In cases where the Manager believes the implicit "duration" of the Fund's theoretical fixed income securities is too short to provide an acceptable total return, the Fund may enter into long interest rate futures (or purchase call options on longer maturity fixed-income securities) which, together with the Theoretical Fixed Income Security, creates a synthetic Theoretical Fixed Income Security with a longer duration (but never with a duration causing the Fund's overall duration to exceed that of 3-year U.S. Treasury obligations) (See "Descriptions and Risks of Fund Investment Practices -- Use of Options, Futures and Options on Futures -- Investment Purposes"). The Fund will segregate cash, U.S. Treasury obligations and other high grade debt obligations in an amount equal, on a marked-to-market basis, to the Fund's obligations under the interest rate futures. Duration is the average time until payment (or anticipated payment in the case of a callable security) of interest and principal on a fixed income security, weighted according to the present value of each payment.
If interest rates rise, the Fund would expect that the value of any long interest rate future owned by the Fund would decline and that amounts payable to the Fund under an equity swap contract in respect of the Theoretical Fixed Income Security would decrease or that amounts payable by the Fund thereunder would increase. Any such decline (and/or the amount of any such decrease or increase under a short equity swap contract) could be greater than the derivative "interest" received on the Fund's Theoretical Fixed Income Securities. The Fund's gross return is also expected to be reduced by transaction costs and other Fund expenses. Those expenses will generally include currency hedging costs if interest rates outside the U.S. are higher than those in the U.S.
For the equity swap contracts entered into by the Fund, the counterparty will typically be a bank, investment banking firm or broker/dealer. The counterparty will generally agree to pay the Fund (i) interest on the Theoretical Fixed Income Security with a principal amount equal to the notional amount of the equity swap contract plus (ii) the amount, if any, by which that notional amount would have decreased in value (measured in U.S. Dollars) had it been invested in the stocks comprising the equity index agreed to by the Fund (the "Contract Index") in proportion to the composition of the Contract Index. (The Contract Index will be the Modified Global Index except that, to the extent short futures contracts on a particular country's equity securities are also used by the Fund, the Contract Index may be the Modified Global Index with a reduced weighting for that country to reflect the futures position.) The Fund will agree to pay the counterparty (i) any negative total return on the Theoretical Fixed Income Security plus (ii) the amount, if any, by which the notional amount of the equity swap contract would have increased in value (measured in U.S. Dollars) had it been invested in the stocks comprising the Contract Index plus (iii) the dividends that would have been received on those stocks. Therefore, the return to the Fund on any equity swap contract should be the total return on the Theoretical Fixed Income Security reduced by the gain (or increased by the loss) on the notional amount as if invested in the Contract Index and reduced by the dividends on the stocks comprising the Contract Index. The Fund will only enter into equity swap contracts on a net basis, i.e., the two parties' obligations are netted out, with the Fund paying or receiving, as the case may be, only the net amount of any payments. Payments under the equity swap contracts may be made at the conclusion of the contract or periodically during its term.
The Fund may from time to time enter into the opposite side of equity swap contracts (i.e., where the Fund is obligated to pay the decrease (or receive the increase) on the Contract Index increased by any negative total return (and decreased by any positive total return) on the Theoretical Fixed Income Security) to reduce the amount of the Fund's equity market hedging consistent with the Fund's objective. These positions are sometimes referred to as "long equity swap contracts." The Fund may also take long positions in index futures for similar purposes.
The Fund may also take a long position in index futures to reduce the amount of the Fund's equity market hedging consistent with the Fund's objective. When hedging positions are reduced using index futures, the Fund will also be exposed to the risk of imperfect correlations between the index futures and the hedging positions being reduced.
The Fund will use a combination of long and short equity swap contracts and long and short positions in index futures in an attempt to hedge generally its equity securities against substantially all movements in the relevant equity markets generally. The Fund will not use equity swap contracts or Relevant Equity Index Futures to leverage the Fund.
The Fund's actual exposure to an equity market or markets will not be completely hedged if the aggregate of the notional amount of the long equity swap contracts (less the notional amount of any short equity swap contracts) relating to the relevant equity index plus the face amount of the short Index Futures (less the face amount of any long Index Futures) is less than the Fund's total net assets invested in common stocks principally traded on such market or markets and will tend to be overhedged if such aggregate is more than the Fund's total net assets so invested. Under normal conditions, the Manager expects the Fund's total net assets invested in equity securities generally to be up to 5% more or less than this aggregate because purchases and redemptions of Fund shares will change the Fund's total net assets frequently, because Index Futures can only be purchased in integral multiples of an equity index and because the Funds' positions may appreciate or depreciate over time. Also, the ability of the Fund to hedge risk may be diminished by imperfect correlations between price movements of the underlying equity index with the price movements of Index Futures relating to that index and by lack of correlation between the market weightings of the Modified Global Index, on the one hand, and, on the other, the market weightings represented by the common stocks selected for purchase by the Fund.
In theory, the Fund will only be able to achieve its objective with precision if (i) the aggregate face amount of the net short Index Futures plus the notional amount of the long equity swap contracts (less the notional amount of any short equity swap contracts) relating to the Selected Equity Index is precisely equal to a Fund's total net assets, (ii) there is exact price movement correlation between any Index Futures and the relevant equity index, (iii) there is exact price correlation between the Modified Global Index and the overall movements of the relevant equity markets and (iv) the Fund's currency hedging strategies are effective. As noted, in practice there are a number of risks and cash flows which will tend to undercut these assumptions.
The purchase and sale of common stocks and Index Futures involve transaction costs and reverse equity swap contracts require the Fund to pay interest on the notional amount of the contract.
In addition to the practices described above, in order to pursue its objective the Fund may invest in securities of foreign issuers traded on U.S. exchanges and securities traded abroad, American Depositary Receipts, European Depository Receipts and other similar securities convertible into securities of foreign issuers. The Fund may also invest up to 15% of its net assets in illiquid securities and temporarily invest up to 50% of its assets in cash and high quality money market instruments such as securities issued by the U.S. government and agencies thereof, bankers' acceptances, commercial paper, and bank certificates of deposit.
The Fund may also enter repurchase agreements, and lend portfolio securities valued at up to one-third of total assets.
In addition, for hedging purposes only the Fund may use forward foreign currency contracts, currency futures contracts, related options and options on currencies, and buy and sell foreign currencies.
For a detailed description of the investment practices described in the three preceding paragraphs and the risks associated with them, see "Descriptions and Risks of Fund Investment Practices" later in this Prospectus.
DOMESTIC BOND FUND
The Domestic Bond Fund seeks to earn high total return through investment primarily in U.S. Government Securities. The Fund may also invest a significant portion of its assets in other investment grade bonds (including convertible bonds) denominated in U.S. dollars. The Fund's portfolio will generally have a duration of approximately four to six years (excluding short-term investments). The duration of a fixed income security is the weighted average maturity, expressed in years, of the present value of all future cash flows, including coupon payments and principal repayments. The Fund will attempt to provide a total return greater than that generally provided by the U.S. government securities market as measured by an index selected from time to time by the Manager. The Fund may invest in fixed income securities of any maturity, although the Fund expects that at least 65% of its total assets will be comprised of "bonds" (as such term is defined above) of U.S. issuers. Fixed income securities include securities issued by federal, state, local and foreign governments, and a wide range of private issuers.
The Fund may lend portfolio securities valued at up to one-third of total assets, invest up to 5% of its assets in lower rated securities (also known as "junk bonds"), and invest in adjustable rate securities, zero coupon securities and depository receipts. The Fund may also enter into repurchase agreements, reverse repurchase agreements and dollar roll transactions. The Fund may also enter into loan participation agreements and invest in other direct debt instruments. In addition, the Fund may invest in mortgage-backed and other asset-backed securities issued by the U.S. government, its agencies and by non-government issuers, including collateral mortgage obligations ("CMO's"), strips and residuals. The Fund may also invest in indexed securities the redemption values and/or coupons of which are indexed to the prices of other securities, securities indices, currencies, precious metals or other commodities, or other financial indicators. The Fund may also enter into firm commitment agreements with banks or broker-dealers, and may invest up to 15% of its assets in illiquid securities.
In addition, the Fund may buy put and call options, sell (write) covered options, and enter into futures contracts and options on futures contracts for hedging, investment and risk management and to effect synthetic sales and purchases. The Fund's use of options on particular securities (as opposed to market indices) is limited such that the premiums paid by the Fund on all outstanding options it has purchased may not exceed 5% of its total assets. The Fund may also use interest rate swap contracts, contracts for differences and interest rate caps, floors and collars for hedging, investment and risk management.
For a detailed description of the investment practices described in the three preceding paragraphs and the risks associated with them, see "Descriptions and Risks of Fund Investment Practices."
INTERNATIONAL BOND FUND
The International Bond Fund seeks to earn high total return through investment primarily in investment- grade bonds (including convertible bonds) denominated in various currencies, including U.S. dollars, or in multicurrency units. The Fund will attempt to provide a total return greater than that generally provided by the international fixed income securities markets as measured by an index selected from time to time by the Manager. Because the Fund will not generally attempt to hedge against an appreciation in the U.S. dollar relative to the foreign currency in which its portfolio securities are denominated, investors should expect that the Fund's performance will be adversely affected by appreciation of the U.S. dollar and will be positively affected by a decline in the U.S. dollar relative to the currencies in which the Funds' portfolio securities are denominated.
The Fund may invest in fixed income securities of any maturity, although the Fund expects that at least 65% of its total assets will be comprised of "bonds" as such term is defined above. Fixed income securities include securities issued by federal, state, local and foreign governments, and a wide range of private issuers.
The Fund may enter into loan participation agreements and other direct investments, forward foreign exchange agreements, and purchase or sell securities on a when-issued or delayed delivery basis. The Fund may also invest a portion of its assets in sovereign debt (bonds, including convertible bonds and Brady bonds, and loans) of countries in Asia, Latin America, the Middle East, Southern Europe, Eastern Europe and Africa (see "Emerging Country Debt Fund") and, to the extent permitted by the 1940 Act, may invest in shares of the Emerging Country Debt Fund or the Core Emerging Country Debt Fund.
The Fund may lend portfolio securities valued at up to one-third of total assets, invest up to 25% of its assets in lower rated securities (also known as "junk bonds"), and invest in adjustable rate securities, zero coupon securities and depositary receipts of foreign issuers. The Fund may also enter into repurchase agreements, reverse repurchase agreements and dollar roll agreements. In addition, the Fund may invest in mortgage-backed and other asset-backed securities issued by the U.S. government, its agencies and by non-government issuers, including collateral mortgage obligations ("CMO's"), strips and residuals. The Fund may also invest in indexed securities the redemption values and/or coupons of which are indexed to the prices of other securities, securities indices, currencies, precious metals or other commodities, or other financial indicators. The Fund may also enter into firm commitment agreements with banks or broker-dealers, and may invest up to 15% of its assets in illiquid securities.
The Fund may buy put and call options, sell (write) covered options, and enter into futures contracts and options on futures contracts for hedging, investment and risk management and to effect synthetic sales and purchases. The Fund's use of options on particular securities (as opposed to market indices) is limited such that the premiums paid by the Fund on all outstanding options it has purchased may not exceed 10% of its total assets. The Fund may also write options in connection with buy-and-write transactions, and use index futures on foreign indices for investment, anticipatory hedging and risk management. In addition, the Fund may use forward foreign currency contracts, currency futures contracts and related options, currency swap contracts, options on currencies, and buy and sell currencies for hedging, and for currency risk management. The Fund may also use synthetic bonds and synthetic foreign currency denominated securities to approximate desired risk/return profiles where the desired profile is either unavailable or possesses undesirable characteristics.
In addition, the Fund may use interest rate swap contracts, contracts for differences and interest rate caps, floors and collars for hedging, investment and risk management.
For a detailed description of the investment practices described in the three preceding paragraphs and the risks associated with them, see "Descriptions and Risks of Fund Investment Practices."
CURRENCY HEDGED INTERNATIONAL BOND FUND
The Currency Hedged International Bond Fund seeks to earn high total return through investment primarily in investment-grade bonds (including convertible bonds) denominated in various currencies including U.S. dollars or in multicurrency units. The Fund will attempt to provide a total return greater than that generally provided by the international fixed income securities markets as measured by an index selected from time to time by the Manager. The Fund has the same objectives and policies as the International Bond Fund, except that the Currency Hedged International Bond Fund will generally attempt to hedge at least 75% of its foreign currency- denominated portfolio securities against an appreciation in the U.S. dollar relative to the foreign currencies in which the portfolio securities are denominated. However, there can be no assurance that the Fund's hedging strategies will be totally effective.
The Fund may invest in fixed income securities of any maturity, although the Fund expects that at least 65% of its total assets will be comprised of "bonds" as such term is defined above. Fixed income securities include securities issued by federal, state, local and foreign governments, and a wide range of private issuers.
The Fund may enter into loan participation agreements and other direct investments, forward foreign exchange agreements and purchase or sell securities on a when-issued or delayed delivery basis. The Fund may also invest a portion of its assets in sovereign debt (bonds, including convertible bonds and Brady Bonds, and loans) of countries in Asia, Latin America, the Middle East, Southern Europe, Eastern Europe and Africa (see "Emerging Country Debt Fund") and, to the extent permitted by the 1940 Act, may invest in shares of the Emerging Country Debt Fund or the Core Emerging Country Debt Fund.
The Fund may lend portfolio securities valued at up to one-third of total assets, invest up to 25% of its assets in lower rated securities (also known as "junk bonds"), and invest in adjustable rate securities, zero coupon securities and depositary receipts of foreign issuers. The Fund may also enter into repurchase agreements, reverse repurchase agreements and dollar roll agreements. In addition, the Fund may invest in mortgage-backed and other asset-backed securities issued by the U.S. government, its agencies and by non-government issuers, including collateral mortgage obligations ("CMO's"), strips and residuals. The Fund may also invest in indexed securities the redemption values and/or coupons of which are indexed to the prices of other securities, securities indices, currencies, precious metals or other commodities, or other financial indicators. The Fund may also enter into firm commitment agreements with banks or broker-dealers, and may invest up to 15% of its assets in illiquid securities.
The Fund may buy put and call options, sell (write) covered options, and enter into futures contracts and options on futures contracts for hedging, investment and risk management and to effect synthetic sales and purchases. The Fund's use of options on particular securities (as opposed to market indices) is limited such that the premiums paid by the Fund on all outstanding options it has purchased may not exceed 10% of its total assets. The Fund may also write options in connection with buy-and-write transactions, and use index futures on foreign indices for investment, anticipatory hedging and risk management. In addition, the Fund may use forward foreign currency contracts, currency futures contracts and related options, currency swap contracts, options on currencies, and buy and sell currencies for hedging, and for currency risk management. The Fund may also use synthetic bonds and synthetic foreign currency denominated securities to approximate desired risk/return profiles where the desired profile is either unavailable or possesses undesirable characteristics.
In addition, the Fund may use interest rate swap contracts, contracts for differences and interest rate caps, floors and collars for hedging, investment and risk management.
For a detailed description of the investment practices described in the three preceding paragraphs and the risks associated with them, see "Descriptions and Risks of Fund Investment Practices."
GLOBAL BOND FUND
The Global Bond Fund seeks to earn high total return through investment primarily in investment-grade bonds (including convertible bonds) denominated in various currencies, including U.S. dollars, or in multicurrency units. The Fund will attempt to provide a total return greater than that generally provided by the global fixed income securities markets as measured by an index selected from time to time by the Manager. The Fund will invest in fixed income securities of both United States and foreign issuers. Because the Fund will not generally attempt to hedge against an appreciation in the U.S. dollar relative to the foreign currencies in which some of its portfolio securities are denominated, investors should expect that the Fund's performance will be adversely affected by appreciation of the U.S. dollar and will be positively affected by a decline in the U.S. dollar relative to the currencies in which the Funds' portfolio securities are denominated.
The Fund may invest in fixed income securities of any maturity, although the Fund expects that at least 65% of its total assets will be comprised of "bonds" as such term is defined above. Fixed income securities include securities issued by federal, state, local and foreign governments, and a wide range of private issuers.
Under certain adverse investment conditions, the Fund may restrict the number of securities markets in which assets will be invested, although under normal market circumstances it is expected that the Fund's investments will involve securities principally traded in at least three different countries. For temporary defensive purposes, the Fund may invest up to 100% of its assets in securities principally traded in the United States and/or denominated in U.S. dollars.
The Fund may enter into loan participation agreements and other direct investments, forward foreign exchange agreements, and purchase or sell securities on a when-issued or delayed delivery basis. The Fund may also invest a portion of its assets in sovereign debt (bonds, including convertible bonds and Brady bonds, and loans) of countries in Asia, Latin America, the Middle East, Southern Europe, Eastern Europe and Africa (See "Emerging Country Debt Fund") and, to the extent permitted by the 1940 Act, may invest in shares of the Emerging Country Debt Fund, the Core Emerging Country Debt Fund, the Domestic Bond Fund and/or the International Bond Fund.
The Fund may lend portfolio securities valued at up to one-third of total assets, invest up to 25% of its assets in lower rated securities (also known as "junk bonds"), and invest in adjustable rate securities, zero coupon securities and depository receipts of foreign issuers. The Fund may also enter into repurchase agreements, reverse repurchase agreements and dollar roll transactions. In addition, the Fund may invest in mortgage-backed and other asset-backed securities issued by the U.S. government, its agencies and by non-government issuers, including collateral mortgage obligations ("CMO's"), strips and residuals. The Fund may also invest in indexed securities the redemption values and/or coupons of which are indexed to the prices of other securities, securities indices, currencies, precious metals or other commodities, or other financial indicators. The Fund may also enter into firm commitment agreements with banks or broker-dealers, and may invest up to 15% of its assets in illiquid securities.
The Fund may buy put and call, sell (write) covered options, and enter into futures contracts and options on futures contracts for hedging, investment and risk management and to effect synthetic sales and purchases. The Fund's use of options on particular securities (as opposed to market indices) is limited such that the premiums paid by the Fund on all outstanding options it has purchased may not exceed 10% of its total assets. The Fund may also write options in connection with buy-and-write transactions, and use index futures on foreign indices for investment, anticipatory hedging and risk management. In addition, the Fund may use forward foreign currency contracts, currency futures contracts and related options, currency swap contracts, options on currencies, and buy and sell currencies for hedging and for currency risk management. The Fund may also use futures contracts and foreign currency forward contracts to create synthetic bonds and synthetic foreign currency denominated securities to approximate desired risk/return profiles where the non-synthetic security having the desired risk/return profile is either unavailable or possesses undesirable characteristics.
In addition, the Fund may use interest rate and currency swap contracts, contracts for differences and interest rate caps, floors and collars for hedging, investment and risk management. The use of unsegregated futures contracts, related options, interest rate floors, caps and collars and interest rate swap contracts for risk management is limited to no more than 10% of the Fund's total net assets when aggregated with the Fund's traditional borrowings. This 10% limitation applies to the face amount of unsegregated futures contracts and related options and to the amount of a Fund's net payment obligation that is not segregated against in the case of interest rate floors, caps and collars and interest rate swap contracts.
For a more detailed description of the investment practices described above and the risks associated with them, see "Descriptions and Risks of Fund Investment Practices" later in this Prospectus.
EMERGING COUNTRY DEBT FUND
The Emerging Country Debt Fund seeks to earn high total return by investing primarily in sovereign debt (bonds, including convertible bonds, and loans) of countries in Asia, Latin America, the Middle East and Africa, as well as any country located in Europe which is not in the European Community ("EMERGING COUNTRIES"). In addition to considerations relating to investment restrictions and tax barriers, allocation of the Fund's investments among selected emerging countries will be based on certain other relevant factors including the outlook for economic growth, currency exchange rates, interest rates, political factors and the stage of the local market cycle. The Fund will generally have at least 50% of its assets denominated in hard currencies such as the U.S. dollar, Japanese yen, Italian lira, British pound, Deutchmark, French franc and Canadian dollar. The Fund will attempt to provide a total return greater than that generally provided by the international fixed income securities markets as measured by an index selected from time to time by the Manager.
The Fund has a fundamental policy that, under normal market conditions, at least 65% of its total assets will be invested in debt securities of Emerging Countries. In addition, the Fund may invest in fixed income securities of any maturity, although the Fund expects that at least 65% of its total assets will be comprised of "bonds" as such term is defined above. Fixed income securities include securities issued by federal, state, local and foreign governments, and a wide range of private issuers.
The Emerging Country Debt Fund's investments in Emerging Country debt instruments are subject to special risks that are in addition to the usual risks of investing in debt securities of developed foreign markets around the world, and investors are strongly advised to consider those risks carefully. See "Descriptions and Risks of Fund Investment Practices -- Certain Risks of Foreign Investments."
The Fund may enter into loan participation agreements and other direct investments, forward foreign exchange agreements, invest in Brady bonds and purchase or sell securities on a when-issued or delayed delivery basis. The Fund may also lend portfolio securities valued at up to one-third of total assets, invest without limit in lower rated securities (also known as "junk bonds"), and invest in adjustable rate securities, zero coupon securities and depository receipts of foreign issuers. The Fund may also enter into repurchase agreements, reverse repurchase agreements and dollar roll agreements. In addition, the Fund may invest in mortgage-backed and other asset-backed securities issued by the U.S. government, its agencies and by non-government issuers, including collateral mortgage obligations ("CMO's"), strips and residuals. The Fund may also invest in indexed securities the redemption values and/or coupons of which are indexed to the prices of other securities, securities indices, currencies, precious metals or other commodities, or other financial indicators. The Fund may also enter into firm commitment agreements with banks or broker-dealers, and may invest up to 15% of its assets in illiquid securities.
The Fund may buy put and call options, sell (write) covered options, and enter into futures contracts and options on futures contracts for hedging, investment and risk management and to effect synthetic sales and purchases. The Fund's use of options on particular securities (as opposed to market indices) is limited such that the premiums paid by the Fund on all outstanding options it has purchased may not exceed 10% of its total assets. The Fund may also write options in connection with buy-and-write transactions, and use index futures on foreign indices for investment, anticipatory hedging and risk management. In addition, the Fund may use forward foreign currency contracts, currency futures contracts and related options, currency swap contracts, options on currencies, and buy and sell currencies for hedging, and for currency risk management. The Fund may also use synthetic bonds and synthetic foreign currency denominated securities to approximate desired risk/return profiles where the desired profile is either unavailable or possesses undesirable characteristics.
In addition, the Fund may use interest rate swap contracts, contracts for differences and interest rate caps, floors and collars for hedging, investment and risk management.
For a detailed description of the investment practices described in the four preceding paragraphs and the risks associated with them, see "Descriptions and Risks of Fund Investment Practices" later in this Prospectus.
CORE EMERGING COUNTRY DEBT FUND
The Core Emerging Country Debt Fund seeks to earn high total return by investing primarily in sovereign debt (bonds, including convertible bonds, and loans) of Emerging Countries. The Fund's investments will be concentrated in emerging country debt issues having above average marketability. In addition to considerations relating to investment restrictions and tax barriers, allocation of the Fund's investments among selected emerging countries will be based on certain other relevant factors including the outlook for economic growth, currency exchange rates, interest rates, political factors and the stage of the local market cycle. The Fund will generally have at least 50% of its assets denominated in hard currencies such as the U.S. dollar, Japanese yen, Italian lira, British pound, Deutchmark, French franc and Canadian dollar. The Fund will attempt to provide a total return greater than that generally provided by the international fixed income securities markets as measured by an index selected from time to time by the Manager.
The Fund has a fundamental policy that, under normal market conditions, at least 65% of its total assets will be invested in debt securities of Emerging Countries. In addition, the Fund may invest in fixed income securities of any maturity, although the Fund expects that at least 65% of its total assets will be comprised of "bonds" as such term is defined above. Fixed income securities include securities issued by federal, state, local and foreign governments, and a wide range of private issuers.
The investments of the Core Emerging Country Debt Fund in Emerging Country debt instruments are subject to special risks that are in addition to the usual risks of investing in debt securities of developed foreign markets around the world, and investors are strongly advised to consider those risks carefully. See "Descriptions and Risks of Fund Investment Practices -- Certain Risks of Foreign Investments."
The Fund may enter into loan participation agreements and other direct investments, forward foreign exchange agreements, invest in Brady bonds and purchase or sell securities on a when-issued or delayed delivery basis. The Fund may also lend portfolio securities valued at up to one-third of total assets, invest without limit in lower rated securities (also known as "junk bonds"), and invest in adjustable rate securities, zero coupon securities and depository receipts of foreign issuers. The Fund may also enter into repurchase agreements, reverse repurchase agreements and dollar roll agreements. In addition, the Fund may invest in mortgage-backed and other asset-backed securities issued by the U.S. government, its agencies and by non-government issuers, including collateral mortgage obligations ("CMO's"), strips and residuals. The Fund may also invest in indexed securities the redemption values and/or coupons of which are indexed to the prices of other securities, securities indices, currencies, precious metals or other commodities, or other financial indicators. The Fund may also enter into firm commitment agreements with banks or broker-dealers, and may invest up to 15% of its assets in illiquid securities.
The Fund may buy put and call options, sell (write) covered options, and enter into futures contracts and options on futures contracts for hedging, investment and risk management and to effect synthetic sales and purchases. The Fund's use of options on particular securities (as opposed to market indices) is limited such that the premiums paid by the Fund on all outstanding options it has purchased may not exceed 10% of its total assets. The Fund may also write options in connection with buy-and-write transactions, and use index futures on foreign indices for investment, anticipatory hedging and risk management. In addition, the Fund may use forward foreign currency contracts, currency futures contracts and related options, currency swap contracts, options on currencies, and buy and sell currencies for hedging, and for currency risk management. The Fund may also use synthetic bonds and synthetic foreign currency denominated securities to approximate desired risk/return profiles where the desired profile is either unavailable or possesses undesirable characteristics.
In addition, the Fund may use interest rate swap contracts, contracts for differences and interest rate caps, floors and collars for hedging, investment and risk management.
For a detailed description of the investment practices described in the four preceding paragraphs and the risks associated with them, see "Descriptions and Risks of Fund Investment Practices" later in this Prospectus.
ALLOCATION FUNDS
The Allocation Funds are mutual funds that invest in other Funds of the Trust (the "underlying Funds") and, in doing so, seek to outperform a specified benchmark. The Manager decides and manages the allocation of the assets of each Allocation Fund among a permitted selection of underlying Funds of the Trust, as set forth below. Thus, an investor in an Allocation Fund receives investment management within each of the underlying Funds and receives management with respect to the allocation of the investment among the Funds as well, as an alternative to choosing that allocation independently.
The Manager does not charge an advisory fee for asset allocation advice provided to the Allocation Funds, but receives only the management fees from the underlying Funds in which the Allocation Funds invest. Thus, there are no management fees at the Allocation Fund level. Certain expenses, such as custody, administration, transfer agency and audit fees, will be incurred at the Allocation Fund level.
As noted on page 1 of this Prospectus, the Traditional International Equity Allocation Fund, the Traditional World Equity Allocation Fund, the Traditional Global Equity Allocation Fund and the Traditional Global Balanced Allocation Fund each offer only Traditional Shares (the "traditional Allocation Funds"). The International Equity Allocation Fund, the World Equity Allocation Fund, the Global Equity Allocation Fund and the Global Balanced Allocation Fund each offer only Primary and Secondary Shares (the "multiclass Allocation Funds"). Both classes of each multiclass Allocation Fund will invest in Primary Shares of underlying Funds. Since investors in Secondary Shares could not otherwise invest in Primary Shares of the underlying Funds, which have higher investment minimums and lower Shareholder Service Fees, the Secondary Shares of each multiclass Allocation Fund will bear a Shareholder Service Fee at an annual rate of 0.08% of the net asset value of the Secondary Shares in addition to the Shareholder Service Fee that will be indirectly borne because of the Allocation Funds' investment in Primary Shares of the underlying Funds. Investors should refer to "Multiple Classes" herein for greater detail concerning the eligibility requirements and other differences among the classes.
Investors in the Allocation Funds should consider both the direct risks associated with an investment in a "fund-of-funds," and the indirect risks associated with an investment in the underlying Funds. See "Descriptions and Risks of Fund Investment Practices -- Special Allocation Fund Considerations" for a discussion of the risks directly associated with an investment in the Allocation Funds. Investors should also carefully review the "Investment Objectives and Policies" description of each underlying Fund in which the relevant Allocation Fund may invest, as well as each corresponding "Descriptions and Risks of Fund Investment Practices" section associated with each such underlying Fund's investment practices.
INTERNATIONAL EQUITY ALLOCATION FUND
The International Equity Allocation Fund seeks a total return greater than the return of a benchmark index (the "EAFE-LITE EXTENDED INDEX") developed by the Manager which is a modification of the EAFE-lite Index but which also includes a weighting for Emerging Countries. See "Investment Objectives and Policies International Core Fund" for a description of the EAFE-lite Index. The Fund will pursue its objective by investing to varying extents, as determined by Manager, in Primary Shares of the International Core Fund, Currency Hedged International Core Fund, International Small Companies Fund, Japan Fund and Emerging Markets Fund. Although the Fund is designed to be measured in comparison to the EAFE-lite Extended Index, it is not an index fund or an "index-plus" fund, but rather seeks to add total return in excess of the EAFE-lite Extended Index benchmark both by making bets relative to that benchmark with respect to the allocation of the Fund among the various asset categories represented by the underlying funds, and by participating indirectly in the attempt that each of the underlying Funds makes to outperform its own respective benchmark index.
While the Fund's assets will be primarily invested in the Funds listed above, the Fund may also hold cash and invest in short-term fixed income securities, including shares of the Short-Term Income Fund and Global Hedged Equity Fund and high quality money markets instruments such as securities issued by the U.S. government and agencies thereof, bankers' acceptances, commercial paper and bank certificates of deposit.
For a detailed description of the objective and policies of each underlying Fund, see "Investment Objectives and Policies" herein. For a detailed description of the investment practices referred to therein, see "Description and Risks of Fund Investment Practices" later in this Prospectus.
TRADITIONAL INTERNATIONAL EQUITY ALLOCATION FUND
The Traditional International Equity Allocation Fund has the same investment objectives and policies as the International Equity Allocation Fund, but will invest in Traditional Shares of the same Funds, and is only available to investors that are eligible to purchase Traditional Shares. See "Purchase of Shares -- Eligibility for Classes." The Fund seeks a total return greater than the return of the EAFE-lite Extended Index. See "Investment Objectives and Policies - International Equity Allocation Fund" for a description of the EAFE-lite Extended Index. The Fund will pursue its objective by investing to varying extents, as determined by Manager, in Traditional Shares of the International Core Fund, Currency Hedged International Core Fund, International Small Companies Fund, Japan Fund and Emerging Markets Fund. Although the Fund is designed to be measured in comparison to the EAFE-lite Extended Index, it is not an index fund or "index-plus" fund, but rather seeks to add total return in excess of the EAFE-lite Extended Index benchmark both by making bets relative to that benchmark with respect to the allocation of the Fund among the various asset categories represented by the underlying Funds, and by participating indirectly in the attempt that each of the underlying Funds makes to outperform its own respective benchmark index.
While the Fund's assets will be primarily invested in the Funds listed above, the Fund may also hold cash and invest in short-term fixed income securities, including shares of the Short-Term Income Fund and Global Hedged Equity Fund and high quality money markets instruments such as securities issued by the U.S. government and agencies thereof, bankers' acceptances, commercial paper and bank certificates of deposit.
For a detailed description of the objective and policies of each underlying Fund, see "Investment Objectives and Policies" herein. For a detailed description of the investment practices referred to therein, see "Description and Risks of Fund Investment Practices" later in this Prospectus.
WORLD EQUITY ALLOCATION FUND
The World Equity Allocation Fund seeks a total return greater than the return of a benchmark index (the "WORLD LITE EXTENDED INDEX") developed by the Manager which is a modification of the Morgan Stanley Capital International World Index that reduces the weighting of Japan and includes a weighting for Emerging Countries. The Fund will pursue its objective by investing to varying extents, as determined by the Manager, in Primary Shares of the Core Fund, Growth Allocation Fund, Value Allocation Fund, Fundamental Value Fund, Core II Secondaries Fund, International Core Fund, Currency Hedged International Core Fund, International Small Companies Fund, Japan Fund and Emerging Markets Fund. Although the Fund is designed to be measured in comparison to the World Lite Extended Index, it is not an index fund or an "index-plus" fund, but rather seeks to add total return in excess of the World Lite Extended Index benchmark both by making bets relative to that benchmark with respect to the allocation of the Fund among the various asset categories represented by the underlying funds, and by participating indirectly in the attempt that each of the underlying Funds makes to outperform its own respective benchmark index.
While the Fund's assets will be primarily invested in the Funds listed above, the Fund may also hold cash and invest in short-term fixed income securities, including shares of the Short-Term Income Fund and Global Hedged Equity Fund and high quality money markets instruments such as securities issued by the U.S. government and agencies thereof, bankers' acceptances, commercial paper and bank certificates of deposit.
For a detailed description of the objective and policies of each underlying Fund, see "Investment Objectives and Policies" herein. For a detailed description of the investment practices referred to therein, see "Description and Risks of Fund Investment Practices" later in this Prospectus.
TRADITIONAL WORLD EQUITY ALLOCATION FUND
The Traditional World Equity Allocation Fund has the same investment objectives and policies as the World Equity Allocation Fund, but will invest in Traditional Shares of the same Funds, and is only available to investors that are eligible to purchase Traditional Shares. See "Purchase of Shares -- Eligibility for Classes." The Fund seeks a total return greater than the return of the World Lite Extended Index. See "Investment Objectives and Policies -- World Equity Allocation Fund" for a description of the World Lite Extended Index. The Fund will pursue its objective by investing to varying extents, as determined by the Manager, in Traditional Shares of the Core Fund, Growth Allocation Fund, Value Allocation Fund, Fundamental Value Fund, Core II Secondaries Fund, International Core Fund, Currency Hedged International Core Fund, International Small Companies Fund, Japan Fund and Emerging Markets Fund. Although the Fund is designed to be measured in comparison to the World Lite Extended Index, it is not an index fund or an "index-plus" fund, but rather seeks to add total return in excess of the World Lite Extended Index benchmark both by making bets relative to that benchmark with respect to the allocation of the Fund among the various asset categories represented by the underlying funds, and by participating indirectly in the attempt that each of the underlying Funds makes to outperform its own respective benchmark index.
While the Fund's assets will be primarily invested in the Funds listed above, the Fund may also hold cash and invest in short-term fixed income securities, including shares of the Short-Term Income Fund and Global Hedged Equity Fund and high quality money markets instruments such as securities issued by the U.S. government and agencies thereof, bankers' acceptances, commercial paper and bank certificates of deposit.
For a detailed description of the objective and policies of each underlying Fund, see "Investment Objectives and Policies" herein. For a detailed description of the investment practices referred to therein, see "Description and Risks of Fund Investment Practices" later in this Prospectus.
GLOBAL EQUITY ALLOCATION FUND
The Global Equity Allocation Fund seeks a total return greater than the return of a benchmark index (the "GMO GLOBAL EQUITY INDEX") developed by the Manager which is a weighted index comprised 75% by the S&P 500 Index and 25% by the EAFE-lite Extended Index. See "Investment Objectives and Policies" for a description of the S&P 500. See "Investment Objectives and Policies -- International Equity Allocation Fund" for a description of the EAFE-lite Extended Index. The Fund will pursue its objective by investing to varying extents, as determined by the Manager, in Primary Shares of the Core Fund, Growth Allocation Fund, Value Allocation Fund, Fundamental Value Fund, Core II Secondaries Fund, International Core Fund, Currency Hedged International Core Fund, International Small Companies Fund, Japan Fund and Emerging Markets Fund. Although the Fund is designed to be measured in comparison to the GMO Global Index, it is not an index fund or an "index-plus" fund, but rather seeks to add total return in excess of the GMO Global Index benchmark both by making bets relative to that benchmark with respect to the allocation of the Fund among the various asset categories represented by the underlying Funds, and by participating indirectly in the attempt that each of the underlying Funds makes to outperform its own respective benchmark index.
While the Fund's assets will be primarily invested in the Funds listed above, the Fund may also hold cash and invest in short-term fixed income securities, including shares of the Short-Term Income Fund and Global Hedged Equity Fund and high quality money markets instruments such as securities issued by the U.S. government and agencies thereof, bankers' acceptances, commercial paper and bank certificates of deposit.
For a detailed description of the objective and policies of each underlying Fund, see "Investment Objectives and Policies" herein. For a detailed description of the investment practices referred to therein, see "Description and Risks of Fund Investment Practices" later in this Prospectus.
TRADITIONAL GLOBAL EQUITY ALLOCATION FUND
The Traditional Global Equity Allocation Fund has the same investment objectives and policies as the Global Equity Allocation Fund, but will invest in Traditional Shares of the same Funds, and is available only to investors eligible to purchase Traditional Shares. See "Purchase of Shares -- Eligibility of Classes." The Fund seeks a total return greater than the return of the GMO Global Equity Index. See "Investment Objectives and Policies -- Global Equity Allocation Fund" for a description of the GMO Global Equity Index. The Fund will pursue its objective by investing to varying extents, as determined by the Manager, in Traditional Shares of the Core Fund, Growth Allocation Fund, Value Allocation Fund, Fundamental Value Fund, Core II Secondaries Fund, International Core Fund, Currency Hedged International Core Fund, International Small Companies Fund, Japan Fund and Emerging Markets Fund. Although the Fund is designed to be measured in comparison to the GMO Global Index, it is not an index fund or an "index-plus" fund, but rather seeks to add total return in excess of the GMO Global Index benchmark both by making bets relative to that benchmark with respect to the allocation of the Fund among the various asset categories represented by the underlying Funds, and by participating indirectly in the attempt that each of the underlying Funds makes to outperform its own respective benchmark index.
While the Fund's assets will be primarily invested in the Funds listed above, the Fund may also hold cash and invest in short-term fixed income securities, including shares of the Short-Term Income Fund and Global Hedged Equity Fund and high quality money markets instruments such as securities issued by the U.S. government and agencies thereof, bankers' acceptances, commercial paper and bank certificates of deposit.
For a detailed description of the objective and policies of each underlying Fund, see "Investment Objectives and Policies" herein. For a detailed description of the investment practices referred to therein, see "Description and Risks of Fund Investment Practices" later in this Prospectus.
GLOBAL BALANCED ALLOCATION FUND
The Global Balanced Allocation Fund seeks a total return greater than the return of a benchmark index (the "GMO GLOBAL BALANCED INDEX") developed by the Manager which is a weighted index comprised 48.75% by the S&P 500, 16.25% by the EAFE-Lite Extended Index and 35% by the Lehman Brothers Government Index. See "Investment Objectives and Policies" for a description of the S&P 500. See "Investment Objectives and Policies -- International Equity Allocation Fund" for a description of the EAFE-Lite Extended Index. The Fund will pursue its objective by investing to varying extents, as determined by the Manager, in Primary Shares of the Core Fund, Growth Allocation Fund, Value Allocation Fund, Fundamental Value Fund, Core II Secondaries Fund, International Core Fund, Currency Hedged International Core Fund, International Small Companies Fund, Japan Fund, Emerging Markets Fund, Domestic Bond Fund, International Bond Fund, Currency Hedged International Bond Fund and Emerging Country Debt Fund. Although the Fund is designed to be measured in comparison to the GMO Global Balanced Index, it is not an index fund or an "index-plus" fund, but rather seeks to add total return in excess of the GMO Global Balanced Index benchmark both by making bets relative to that benchmark with respect to the allocation of the Fund among the various asset categories represented by the underlying funds, and by participating indirectly in the attempt that each of the underlying Funds makes to outperform its own respective benchmark index.
While the Fund's assets will be primarily invested in the Funds listed above, the Fund may also hold cash and invest in short-term fixed income securities, including shares of the Short-Term Income Fund and Global Hedged Equity Fund and high quality money markets instruments such as securities issued by the U.S. government and agencies thereof, bankers' acceptances, commercial paper and bank certificates of deposit.
For a detailed description of the objective and policies of each underlying Fund, see "Investment Objectives and Policies" herein. For a detailed description of the investment practices referred to therein, see "Description and Risks of Fund Investment Practices" later in this Prospectus.
TRADITIONAL GLOBAL BALANCED ALLOCATION FUND
The Traditional Global Balanced Allocation Fund has the same investment objectives and policies as the Global Balanced Allocation Fund, but will invest in Traditional Shares of the same Funds, and is available only to investors eligible to purchase Traditional Shares. See "Purchase of Shares -- Eligibility for Classes." The Fund seeks a total return greater than the return of the GMO Global Balanced Index. See "Investment Objectives and Policies -- Global Balanced Allocation Fund" for a description of the GMO Global Balanced Index. The Fund will pursue its objective by investing to varying extents, as determined by the Manager, in Traditional Shares of the Core Fund, Growth Allocation Fund, Value Allocation Fund, Fundamental Value Fund, Core II Secondaries Fund, International Core Fund, Currency Hedged International Core Fund, International Small Companies Fund, Japan Fund, Emerging Markets Fund, Domestic Bond Fund, International Bond Fund, Currency Hedged International Bond Fund and Emerging Country Debt Fund. Although the Fund is designed to be measured in comparison to the GMO Global Balanced Index, it is not an index fund or an "index-plus" fund, but rather seeks to add total return in excess of the GMO Global Balanced Index benchmark both by making bets relative to that benchmark with respect to the allocation of the Fund among the various asset categories represented by the underlying funds, and by participating indirectly in the attempt that each of the underlying Funds makes to outperform its own respective benchmark index.
While the Fund's assets will be primarily invested in the Funds listed above, the Fund may also hold cash and invest in short-term fixed income securities, including shares of the Short-Term Income Fund and Global Hedged Equity Fund and high quality money markets instruments such as securities issued by the U.S. government and agencies thereof, bankers' acceptances, commercial paper and bank certificates of deposit.
For a detailed description of the objective and policies of each underlying Fund, see "Investment Objectives and Policies" herein. For a detailed description of the investment practices referred to therein, see "Description and Risks of Fund Investment Practices" later in this Prospectus.
DESCRIPTIONS AND RISKS OF FUND
INVESTMENT PRACTICES
The following is a detailed description of the various investment practices in which the Funds may engage and the risks associated with their use. Not all Funds may engage in all practices described below. Please refer to the "Investment Objectives and Policies" section above for determination of which practices a particular Fund may engage in.
PORTFOLIO TURNOVER
Portfolio turnover is not a limiting factor with respect to investment decisions for the Funds. The portfolio turnover rate of those Funds with at least five months of operational history is shown under the heading "Financial Highlights."
In any particular year, market conditions may well result in greater rates than are presently anticipated. However, portfolio turnover for the Core Emerging Country Debt Fund, the Currency Hedged International Core Fund, the Global Bond Fund and the Foreign Fund is not expected to exceed 150%. High portfolio turnover involves correspondingly greater brokerage commissions and other transaction costs, which will be borne directly by the relevant Fund, and could involve realization of capital gains that would be taxable when distributed to shareholders of the relevant Fund unless such shareholders are themselves exempt. See "Taxes" section below.
DIVERSIFIED AND NON-DIVERSIFIED PORTFOLIOS
It is a fundamental policy of each of the Core Fund, the Tobacco-Free Core Fund, the Core II Secondaries Fund, the Fundamental Value Fund, the International Core Fund, the International Small Companies Fund, the GMO International Equity Allocation Fund, the GMO Traditional International Equity Allocation Fund, the GMO World Equity Allocation Fund, the GMO Traditional World Equity Allocation Fund, the GMO Global Equity Allocation Fund, the GMO Traditional Global Equity Allocation Fund, the GMO Global Balanced Allocation Fund, and the GMO Traditional Global Balanced Allocation Fund, which may not be changed without shareholder approval, that at least 75% of the value of each such Funds' total assets are represented by cash and cash items (including receivables), Government securities, securities of other investment companies, and other securities for the purposes of this calculation limited in respect of any one issuer to an amount not greater in value than 5% of the value of the relevant Fund's total assets and to not more than 10% of the outstanding voting securities of any single issuer. Each such Fund is referred to herein as a "diversified" fund.
All other Funds are "non-diversified" funds under the 1940 Act, and as such are not required to satisfy the "diversified" requirements stated above. As a non-diversified fund, each of these Funds may invest a relatively high percentage of its assets in the securities of relatively few issuers that the Manager deems to be attractive investments, rather than invest in the securities of a large number of issuers merely to satisfy diversification requirements. Such concentration may increase the risk of loss to such Funds should there be a decline in the market value of any one portfolio security. Investment in a non-diversified fund may therefore entail greater risks than investment in a diversified fund. All Funds, however, must meet certain diversification standards to qualify as a "regulated investment company" under the Internal Revenue Code of 1986.
CERTAIN RISKS OF FOREIGN INVESTMENTS
GENERAL. Investment in foreign issuers or securities principally traded overseas may involve certain special risks due to foreign economic, political and legal developments, including favorable or unfavorable changes in currency exchange rates, exchange control regulations (including currency blockage), expropriation of assets or nationalization, imposition of withholding taxes on dividend or interest payments, and possible difficulty in obtaining and enforcing judgments against foreign entities. Furthermore, issuers of foreign securities are subject to different, often less comprehensive, accounting, reporting and disclosure requirements than domestic issuers. The securities of some foreign governments and companies and foreign securities markets are less liquid and at times more volatile than comparable U.S. securities and securities markets. Foreign brokerage commissions and other fees are also generally higher than in the United States. The laws of some foreign countries may limit a Fund's ability to invest in securities of certain issuers located in these foreign countries. There are also special tax considerations which apply to securities of foreign issuers and securities principally traded overseas. Investors should also be aware that under certain circumstances, markets which are perceived to have similar characteristics to troubled markets may be adversely affected whether or not similarities actually exist.
EMERGING MARKETS. The risks described above apply to an even greater extent to investments in emerging markets. The securities markets of emerging countries are generally smaller, less developed, less liquid, and more volatile than the securities markets of the U.S. and developed foreign markets. Disclosure and regulatory standards in many respects are less stringent than in the U.S. and developed foreign markets. There also may be a lower level of monitoring and regulation of securities markets in emerging market countries and the activities of investors in such markets, and enforcement of existing regulations has been extremely limited. Many emerging countries have experienced substantial, and in some periods extremely high, rates of inflation for many years. Inflation and rapid fluctuations in inflation rates have had and may continue to have very negative effects on the economies and securities markets of certain emerging countries. Economies in emerging markets generally are heavily dependent upon international trade and, accordingly, have been and may continue to be affected adversely by trade barriers, exchange controls, managed adjustments in relative currency values, and other protectionist measures imposed or negotiated by the countries with which they trade. These economies also have been and may continue to be adversely affected by economic conditions in the countries in which they trade. The economies of countries with emerging markets may also be predominantly based on only a few industries or dependent on revenues from particular commodities. In addition, custodial services and other costs relating to investment in foreign markets may be more expensive in emerging markets than in many developed foreign markets, which could reduce a Fund's income from such securities. Finally, because publicly traded debt instruments of emerging markets represent a relatively recent innovation in the world debt markets, there is little historical data or related market experience concerning the attributes of such instruments under all economic, market and political conditions.
In many cases, governments of emerging countries continue to exercise significant control over their economies, and government actions relative to the economy, as well as economic developments generally, may affect the capacity of issuers of emerging country debt instruments to make payments on their debt obligations, regardless of their financial condition. In addition, there is a heightened possibility of expropriation or confiscatory taxation, imposition of withholding taxes on interest payments, or other similar developments that could affect investments in those countries. There can be no assurance that adverse political changes will not cause a Fund to suffer a loss of any or all of its investments or, in the case of fixed-income securities, interest thereon.
SECURITIES LENDING
All of the Funds may make secured loans of portfolio securities amounting to not more than one-third of the relevant Fund's total assets, except for the International Core and Currency Hedged International Core Funds, each of which may make loans of portfolio securities amounting to not more than 25% of their respective total assets. The risks in lending portfolio securities, as with other extensions of credit, consist of possible delay in recovery of the securities or possible loss of rights in the collateral should the borrower fail financially. However, such loans will be made only to broker-dealers that are believed by the Manager to be of relatively high credit standing. Securities loans are made to broker-dealers pursuant to agreements requiring that loans be continuously secured by collateral in cash or U.S. Government Securities at least equal at all times to the market value of the securities lent. The borrower pays to the lending Fund an amount equal to any dividends or interest the Fund would have received had the securities not been lent. If the loan is collateralized by U.S. Government Securities, the Fund will receive a fee from the borrower. In the case of loans collateralized by cash, the Fund typically invests the cash collateral for its own account in interest-bearing, short-term securities and pays a fee to the borrower. Although voting rights or rights to consent with respect to the loaned securities pass to the borrower, the Fund retains the right to call the loans at any time on reasonable notice, and it will do so in order that the securities may be voted by the Fund if the holders of such securities are asked to vote upon or consent to matters materially affecting the investment. The Fund may also call such loans in order to sell the securities involved. The Manager has retained a lending agent on behalf of several of the Funds that is compensated based on a percentage of a Fund's return on the securities lending activity. The Fund also pays various fees in connection with such loans including shipping fees and reasonable custodian fees approved by the Trustees of the Trust or persons acting pursuant to direction of the Board.
DEPOSITORY RECEIPTS
Each Fund (except the Short-Term Income Fund) may invest in American Depositary Receipts (ADRs), Global Depository Receipts (GDRs) and European Depository Receipts (EDRs) (collectively, "Depository Receipts") if issues of such Depository Receipts are available that are consistent with a Fund's investment objective. Depository Receipts generally evidence an ownership interest in a corresponding foreign security on deposit with a financial institution. Transactions in Depository Receipts usually do not settle in the same currency in which the underlying securities are denominated or traded. Generally, ADRs, in registered form, are designed for use in the U.S. securities markets and EDRs, in bearer form, are designed for use in European securities markets. GDRs may be traded in any public or private securities markets and may represent securities held by institutions located anywhere in the world.
CONVERTIBLE SECURITIES
A convertible security is a fixed-income security (a bond or preferred stock) which may be converted at a stated price within a specified period of time into a certain quantity of the common stock of the same or a different issuer. Convertible securities are senior to common stock in a corporation's capital structure, but are usually subordinated to similar non-convertible securities. Convertible securities provide, through their conversion feature, an opportunity to participate in capital appreciation resulting from a market price advance in a convertible security's underlying common stock. The price of a convertible security is influenced by the market value of the underlying common stock and tends to increase as the market value of the underlying stock rises, whereas it tends to decrease as the market value of the underlying stock declines. The Manager regards convertible securities as a form of equity security.
FUTURES AND OPTIONS
As has been described in the "Investment Objectives and Policies" section above, many of the Funds may use futures and options for various purposes. Such transactions may involve options, futures and related options on futures contracts, and those instruments may relate to particular equity and fixed income securities, equity and fixed income indices, and foreign currencies. The Funds may also enter into a combination of long and short positions (including spreads and straddles) for a variety of investment strategies, including protecting against changes in certain yield relationships.
The use of futures contracts and options on futures contracts involves risk. Thus, while a Fund may benefit from the use of futures and options on futures, unanticipated changes in interest rates, securities prices, or currency exchange rates may result in poorer overall performance for the Fund than if it had not entered into any futures contracts or options transactions. Losses incurred in transactions in futures and options on futures and the costs of these transactions will affect a Fund's performance. See Appendix A, "Risks and Limitations of Options, Futures and Swaps" for a more detailed discussion of the limits, conditions and risks of the Funds' investments in futures contracts and related options.
OPTIONS. As has been noted above, many Funds which may use options (1) may enter into contracts giving third parties the right to buy the Fund's portfolio securities for a fixed price at a future date (writing "covered call options"); (2) may enter into contracts giving third parties the right to sell securities to the Fund for a fixed price at a future date (writing "covered put options"); and (3) may buy the right to purchase securities from third parties ("call options") or the right to sell securities to third parties ("put options") for a fixed price at a future date.
WRITING COVERED OPTIONS. Each of the International Equity Funds and Fixed Income Funds (except the Short-Term Income Fund) may seek to increase its return by writing covered call or put options on optionable securities or indices. A call option written by a Fund on a security gives the holder the right to buy the underlying security from the Fund at a stated exercise price; a put option gives the holder the right to sell the underlying security to the Fund at a stated exercise price. In the case of options on indices, the options are usually cash settled based on the difference between the strike price and the value of the index.
Each such Fund will receive a premium for writing a put or call option, which increases the Fund's return in the event the option expires unexercised or is closed out at a profit. The amount of the premium will reflect, among other things, the relationship of the market price and volatility of the underlying security or securities index to the exercise price of the option, the remaining term of the option, supply and demand and interest rates. By writing a call option on a security, the Fund limits its opportunity to profit from any increase in the market value of the underlying security above the exercise price of the option. By writing a put option on a security, the Fund assumes the risk that it may be required to purchase the underlying security for an exercise price higher than its then current market value, resulting in a potential capital loss unless the security subsequently appreciates in value. In the case of options on an index, if a Fund writes a call, any profit by the Fund in respect of portfolio securities expected to correlate with the index will be limited by an increase in the index above the exercise price of the option. If the Fund writes a put on an index, the Fund may be required to make a cash settlement greater than the premium received if the index declines.
A call option on a security is "covered" if a Fund owns the underlying security or has an absolute and immediate right to acquire that security without additional cash consideration (or for additional cash consideration held in a segregated account by its custodian) upon conversion or exchange of other securities held in its portfolio. A call option is also covered if the Fund holds on a share-for-share basis a call on the same security as the call written where the exercise price of the call held is equal to or less than the exercise price of the call written or greater than the exercise price of the call written if the difference is maintained by the Fund in cash, U.S. Government Securities or other high grade debt obligations in a segregated account with its custodian. A put option is "covered" if the Fund maintains cash, U.S. Government Securities or other high grade debt obligations with a value equal to the exercise price in a segregated account with its custodian, or else holds on a share-for-share basis a put on the same security as the put written where the exercise price of the put held is equal to or greater than the exercise price of the put written.
If the writer of an option wishes to terminate his obligation, he may effect a "closing purchase transaction." This is accomplished, in the case of exchange traded options, by buying an option of the same series as the option previously written. The effect of the purchase is that the writer's position will be canceled by the clearing corporation. The writer of an option may not effect a closing purchase transaction after he has been notified of the exercise of an option. Likewise, an investor who is the holder of an option may liquidate his position by effecting a "closing sale transaction." This is accomplished by selling an option of the same series as the option previously purchased. There is no guarantee that a Fund will be able to effect a closing purchase or a closing sale transaction at any particular time. Also, an over-the-counter option may be closed out only with the other party to the option transaction.
Effecting a closing transaction in the case of a written call option will permit the Fund to write another call option on the underlying security with either a different exercise price or expiration date or both, or in the case of a written put option will permit the Fund to write another put option to the extent that the exercise price thereof is secured by deposited cash or high grade debt obligations. Also, effecting a closing transaction will permit the cash or proceeds from the concurrent sale of any securities subject to the option to be used for other Fund investments. If the Fund desires to sell a particular security from its portfolio on which it has written a call option, it will effect a closing transaction prior to or concurrent with the sale of the security.
A Fund will realize a profit from a closing transaction if the price of the transaction is less than the premium received from writing the option or is more than the premium paid to purchase the option; the Fund will realize a loss from a closing transaction if the price of the transaction is more than the premium received from writing the option or is less than the premium paid to purchase the option. Because increases in the market price of a call option will generally reflect increases in the market price of the underlying security or index of securities, any loss resulting from the repurchase of a call option is likely to be offset in whole or in part by appreciation of the underlying security or securities owned by the Fund.
A Fund may write options in connection with buy-and-write transactions; that is, a Fund may purchase a security and then write a call option against that security. The exercise price of the call the Fund determines to write will depend upon the expected price movement of the underlying security. The exercise price of a call option may be below ("in-the-money"), equal to ("at-the-money") or above ("out-of-the-money") the current value of the underlying security at the time the option is written. Buy-and-write transactions using in-the-money call options may be used when it is expected that the price of the underlying security will remain flat or decline moderately during the option period. Buy-and-write transactions using at-the-money call options may be used when it is expected that the price of the underlying security will remain fixed or advance moderately during the option period. Buy-and-write transactions using out-of-the-money call options may be used when it is expected that the premiums received from writing the call option plus the appreciation in the market price of the underlying security up to the exercise price will be greater than the appreciation in the price of the underlying security alone. If the call options are exercised in such transactions, the Fund's maximum gain will be the premium received by it for writing the option, adjusted upward or downward by the difference between the Fund's purchase price of the security and the exercise price. If the options are not exercised and the price of the underlying security declines, the amount of such decline will be offset in part, or entirely, by the premium received.
The writing of covered put options is similar in terms of risk/return characteristics to buy-and-write transactions. If the market price of the underlying security rises or otherwise is above the exercise price, the put option will expire worthless and the Fund's gain will be limited to the premium received. If the market price of the underlying security declines or otherwise is below the exercise price, the Fund may elect to close the position or take delivery of the security at the exercise price. In that event, the Fund's return will be the premium received from the put option minus the cost of closing the position or, if it chooses to take delivery of the security, the premium received from the put option minus the amount by which the market price of the security is below the exercise price. Out-of-the-money, at-the-money and in-the-money put options may be used by the Fund in market environments analogous to those in which call options are used in buy-and-write transactions.
The extent to which a Fund will be able to write and purchase call and put options may be restricted by the Fund's intention to qualify as a regulated investment company under the Internal Revenue Code.
FUTURES. A financial futures contract sale creates an obligation by the seller to deliver the type of financial instrument called for in the contract in a specified delivery month for a stated price. A financial futures contract purchase creates an obligation by the purchaser to pay for and take delivery of the type of financial instrument called for in the contract in a specified delivery month, at a stated price. In some cases, the specific instruments delivered or taken, respectively, at settlement date are not determined until on or near that date. The determination is made in accordance with the rules of the exchange on which the futures contract sale or purchase was made. Some futures contracts are "cash settled" (rather than "physically settled," as described above) which means that the purchase price is subtracted from the current market value of the instrument and the net amount if positive is paid to the purchaser, and if negative is paid by the purchaser. Futures contracts are traded in the United States only on commodity exchanges or boards of trade -- known as "contract markets" -- approved for such trading by the Commodity Futures Trading Commission ("CFTC"), and must be executed through a futures commission merchant or brokerage firm which is a member of the relevant contract market. Under U.S. law, futures contracts on individual equity securities are not permitted. See Appendix A, "Risks and Limitations of Options, Futures and Swaps" for more information concerning these practices and their accompanying risks.
The purchase or sale of a futures contract differs from the purchase or sale of a security or option in that no price or premium is paid or received. Instead, an amount of cash or U.S. Government Securities generally not exceeding 5% of the face amount of the futures contract must be deposited with the broker. This amount is known as initial margin. Subsequent payments to and from the broker, known as variation margin, are made on a daily basis as the price of the underlying futures contract fluctuates making the long and short positions in the futures contract more or less valuable, a process known as "marking to market." Prior to the settlement date of the futures contract, the position may be closed out by taking an opposite position which will operate to terminate the position in the futures contract. A final determination of variation margin is then made, additional cash is required to be paid to or released by the broker, and the purchaser realizes a loss or gain. In addition, a commission is paid on each completed purchase and sale transaction.
In most cases futures contracts are closed out before the settlement date without the making or taking of delivery. Closing out a futures contract sale is effected by purchasing a futures contract for the same aggregate amount of the specific type of financial instrument or commodity and the same delivery date. If the price of the initial sale of the futures contract exceeds the price of the offsetting purchase, the seller is paid the difference and realizes a gain. Conversely, if the price of the offsetting purchase exceeds the price of the initial sale, the seller realizes a loss. Similarly, the closing out of a futures contract purchase is effected by the purchaser entering into a futures contract sale. If the offsetting sale price exceeds the purchase price, the purchaser realizes a gain, and if the purchase price exceeds the offsetting sale price, a loss will be realized.
The ability to establish and close out positions on options on futures will be subject to the development and maintenance of a liquid secondary market. It is not certain that this market will develop or be maintained.
INDEX FUTURES. Each of the Funds (except the Short-Term Income Fund) may purchase futures contracts on various securities indices ("Index Futures"). Each of the Domestic Equity Funds may purchase Index Futures on the S&P 500 ("S&P 500 Index Futures") and on such other domestic stock indices as the Manager may deem appropriate. The Japan Fund may purchase Index Futures on the Nikkei 225 Stock Average and on the Tokyo Stock Price Index ("TOPIX") (together with Nikkei 225 futures contracts, "Japanese Index Futures"). The International Core Fund, Currency Hedged International Core Fund, the Foreign Fund, the International Small Companies Fund and the Emerging Markets Fund may each purchase Index Futures on foreign stock indices, including those which may trade outside the United States. The Domestic Bond Fund, the International Bond Fund, the Currency Hedged International Bond Fund, the Global Bond Fund, the Emerging Country Debt Fund and the Core Emerging Country Debt Fund may each purchase Index Futures on domestic and (except for the Domestic Bond Fund) foreign fixed income securities indices, including those which may trade outside the United States. A Fund's purchase and sale of Index Futures is limited to contracts and exchanges which have been approved by the CFTC.
An Index Future may call for "physical delivery" or be "cash settled." An Index Future that calls for physical delivery is a contract to buy an integral number of units of the particular securities index at a specified future date at a price agreed upon when the contract is made. A unit is the value from time to time of the relevant index. While a Fund that purchases an Index Future that calls for physical delivery is obligated to pay the face amount on the stated date, such an Index Future may be closed out on that date or any earlier date by selling an Index Future with the same face amount and contract date. This will terminate the Fund's position and the Fund will realize a profit or a loss based on the difference between the cost of purchasing the original Index Future and the price obtained from selling the closing Index Future. The amount of the profit or loss is determined by the change in the value of the relevant index while the Index Future was held.
Index Futures that are "cash settled" provide by their terms for settlement on a net basis reflecting changes in the value of the underlying index. Thus, the purchaser of such an Index Future is never obligated to pay the face amount of the contract. The net payment obligation may in fact be very small in relation to the face amount.
The use of Index Futures involves risk. See Appendix A, "Risks and Limitations of Options, Futures and Swaps" for a more detailed discussion of the limits, conditions and risks of the Funds' investment in futures contracts.
INTEREST RATE FUTURES. For the purposes previously described, the Fixed Income Funds (other than the Short-Term Income Fund) may engage in a variety of transactions involving the use of futures with respect to U.S. Government Securities and other fixed income securities. The use of interest rate futures involves risk. See Appendix A, "Risks and Limitations of Options, Futures and Swaps" for a more detailed discussion of the limits, conditions and risks of the Fund's investment in futures contracts.
OPTIONS ON FUTURES CONTRACTS. Options on futures contracts give the purchaser the right in return for the premium paid to assume a position in a futures contract at the specified option exercise price at any time during the period of the option. Funds may use options on futures contracts in lieu of writing or buying options directly on the underlying securities or purchasing and selling the underlying futures contracts. For example, to hedge against a possible decrease in the value of its portfolio securities, a Fund may purchase put options or write call options on futures contracts rather than selling futures contracts. Similarly, a Fund may purchase call options or write put options on futures contracts as a substitute for the purchase of futures contracts to hedge against a possible increase in the price of securities which the Fund expects to purchase. Such options generally operate in the same manner as options purchased or written directly on the underlying investments. See "Descriptions and Risks of Fund Investment Practices -- Foreign Currency Transactions" for a description of the Funds' use of options on currency futures.
USES OF OPTIONS, FUTURES AND OPTIONS ON FUTURES
RISK MANAGEMENT. When futures and options on futures are used for risk management, a Fund will generally take long positions (e.g., purchase call options, futures contracts or options thereon) in order to increase the Fund's exposure to a particular market, market segment or foreign currency. For example, if a Fixed Income Fund wants to increase its exposure to a particular fixed income security, the Fund may take long positions in futures contracts on that security. Likewise, if an Equity Fund holds a portfolio of stocks with an average volatility (beta) lower than that of the Fund's benchmark securities index as a whole (deemed to be 1.00), the Fund may purchase Index Futures to increase its average volatility to 1.00. In the case of futures and options on futures, a Fund is only required to deposit the initial and variation margin as required by relevant CFTC regulations and the rules of the contract markets. Because the Fund will then be obligated to purchase the security or index at a set price on a future date, the Fund's net asset value will fluctuate with the value of the security as if it were already included in the Fund's portfolio. Risk management transactions have the effect of providing a degree of investment leverage, particularly when the Fund does not segregate assets equal to the face amount of the contract (i.e., in cash settled futures contracts) since the futures contract (and related options) will increase or decrease in value at a rate which is a multiple of the rate of increase or decrease in the value of the initial and variable margin that the Fund is required to deposit. As a result, the value of the Fund's portfolio will generally be more volatile than the value of comparable portfolios which do not engage in risk management transactions. A Fund will not, however, use futures and options on futures to obtain greater volatility than it could obtain through direct investment in securities; that is, a Fund will not normally engage in risk management to increase the average volatility (beta) of that Fund's portfolio above 1.00, the level of risk (as measured by volatility) that would be present if the Fund were fully invested in the securities comprising the relevant index. However, a Fund may invest in futures and options on futures without regard to this limitation if the face value of such investments, when aggregated with the Index Futures equity swaps and contracts for differences as described below does not exceed 10% of a Fund's assets.
HEDGING. To the extent indicated elsewhere, a Fund may also enter into options, futures contracts and buy and sell options thereon for hedging. For example, if a Fund wants to hedge certain of its fixed income securities against a decline in value resulting from a general increase in market rates of interest, it might sell futures contracts with respect to fixed income securities or indices of fixed income securities. If the hedge is effective, then should the anticipated change in market rates cause a decline in the value of the Fund's fixed income security, the value of the futures contract should increase. Likewise, the Equity Funds may sell equity index futures if a Fund wants to hedge its equity securities against a general decline in the relevant equity market(s). The Funds may also use futures contracts in anticipatory hedge transactions by taking a long position in a futures contract with respect to a security, index or foreign currency that a Fund intends to purchase (or whose value is expected to correlate closely with the security or currency to be purchased) pending receipt of cash from other transactions (including the proceeds from this offering) to be used for the actual purchase. Then if the cost of the security or foreign currency to be purchased by the Fund increases and if the anticipatory hedge is effective, that increased cost should be offset, at least in part, by the value of the futures contract. Options on futures contracts may be used for hedging as well. For example, if the value of a fixed-income security in a Fund's portfolio is expected to decline as a result of an increase in rates, the Fund might purchase put options or write call options on futures contracts rather than selling futures contracts. Similarly, for anticipatory hedging, the Fund may purchase call options or write put options as a substitute for the purchase of futures contracts. See "Descriptions and Risks of Fund Investment Practices -- Foreign Currency Transactions" for more information regarding the currency hedging practices of certain Funds.
INVESTMENT PURPOSES. To the extent indicated elsewhere, a Fund may also enter into futures contracts and buy and sell options thereon for investment. For example, a Fund may invest in futures when its Manager believes that there are not enough attractive securities available to maintain the standards of diversity and liquidity set for a Fund pending investment in such securities if or when they do become available. Through this use of futures and related options, a Fund may diversify risk in its portfolio without incurring the substantial brokerage costs which may be associated with investment in the securities of multiple issuers. This use may also permit a Fund to avoid potential market and liquidity problems (e.g., driving up the price of a security by purchasing additional shares of a portfolio security or owning so much of a particular issuer's stock that the sale of such stock depresses that stock's price) which may result from increases in positions already held by the Fund.
When any Fund purchases futures contracts for investment, it will maintain cash, U.S. Government Securities or other high grade debt obligations in a segregated account with its custodian in an amount which, together with the initial and variation margin deposited on the futures contracts, is equal to the face value of the futures contracts at all times while the futures contracts are held.
Incidental to other transactions in fixed income securities, for investment purposes a Fund may also combine futures contracts or options on fixed income securities with cash, cash equivalent investments or other fixed income securities in order to create "synthetic" bonds which approximate desired risk and return profiles. This may be done where a "non-synthetic" security having the desired risk/return profile either is unavailable (e.g., short-term securities of certain foreign governments) or possesses undesirable characteristics (e.g., interest payments on the security would be subject to foreign withholding taxes). A Fund may also purchase forward foreign exchange contracts in conjunction with U.S. dollar-denominated securities in order to create a synthetic foreign currency denominated security which approximates desired risk and return characteristics where the non- synthetic securities either are not available in foreign markets or possess undesirable characteristics. For greater detail, see "Foreign Currency Transactions" below. When a Fund creates a "synthetic" bond with a futures contract, it will maintain cash, U.S. Government securities or other high grade debt obligations in a segregated account with its custodian with a value at least equal to the face amount of the futures contract (less the amount of any initial or variation margin on deposit).
SYNTHETIC SALES AND PURCHASEs. Futures contracts may also be used to reduce transaction costs associated with short-term restructuring of a Fund's portfolio. For example, if a Fund's portfolio includes stocks of companies with medium-sized equity capitalization (e.g., between $300 million and $5.2 billion) and, in the opinion of the Manager, such stocks are likely to underperform larger capitalization stocks, the Fund might sell some or all of its mid-capitalization stocks, buy large capitalization stocks with the proceeds and then, when the expected trend had played out, sell the large capitalization stocks and repurchase the mid-capitalization stocks with the proceeds. In the alternative, the Fund may use futures to achieve a similar result with reduced transaction costs. In that case, the Fund might simultaneously enter into short futures positions on an appropriate index (e.g., the S&P Mid Cap 400 Index) (to synthetically "sell" the stocks in the Fund) and long futures positions on another index (e.g., the S&P 500) (to synthetically buy the larger capitalization stocks). When the expected trend has played out, the Fund would then close out both futures contract positions. A Fund will only enter into these combined positions if (1) the short position (adjusted for historic volatility) operates as a hedge of existing portfolio holdings, (2) the face amount of the long futures position is less than or equal to the value of the portfolio securities that the Fund would like to dispose of, (3) the contract settlement date for the short futures position is approximately the same as that for the long futures position and (4) the Fund segregates an amount of cash, U.S. Government Securities and other high-quality debt obligations whose value, marked-to-market daily, is equal to the Fund's current obligations in respect of the long futures contract positions. If a Fund uses such combined short and long positions, in addition to possible declines in the values of its investment securities, the Fund may also suffer losses associated with a securities index underlying the long futures position underperforming the securities index underlying the short futures position. However, the Manager will enter into these combined positions only if the Manager expects that, overall, the Fund will perform as if it had sold the securities hedged by the short position and purchased the securities underlying the long position. A Fund may also use swaps and options on futures to achieve the same objective. For more information, see Appendix A, "Risks and Limitations of Options, Futures and Swaps."
SWAP CONTRACTS AND OTHER TWO-PARTY CONTRACTS
As has been described in the "Investment Objectives and Policies" section above, many of the Funds may use swap contracts and other two-party contracts for the same or similar purposes as they may use options, futures and related options. The use of swap contracts and other two-party contracts involves risk. See Appendix A, "Risks and Limitations of Options, Futures and Swaps" for a more detailed discussion of the limits, conditions and risks of the Funds' investments in swaps and other two-party contracts.
SWAP CONTRACTS. Swap agreements are two-party contracts entered into primarily by institutional investors for periods ranging from a few weeks to more than one year. In a standard "swap" transaction, two parties agree to exchange returns (or differentials in rates of return) calculated with respect to a "notional amount," e.g., the return on or increase in value of a particular dollar amount invested at a particular interest rate, in a particular foreign currency, or in a "basket" of securities representing a particular index. A Fund will usually enter into swaps on a net basis, i.e., the two returns are netted out, with the Fund receiving or paying, as the case may be, only the net amount of the two returns.
INTEREST RATE AND CURRENCY SWAP CONTRACTS. Interest rate swaps involve the exchange of the two parties' respective commitments to pay or receive interest on a notional principal amount (e.g., an exchange of floating rate payments for fixed rate payments). Currency swaps involve the exchange of the two parties' respective commitments to pay or receive fluctuations with respect to a notional amount of two different currencies (e.g., an exchange of payments with respect to fluctuations in the value of the U.S. dollar relative to the Japanese yen).
EQUITY SWAP CONTRACTS AND CONTRACTS FOR DIFFERENCES. As described under
"Investment Objectives and Policies -- International Equity Funds -- Global
Hedged Equity Fund," equity swap contracts involve the exchange of one party's
obligation to pay the loss, if any, with respect to a notional amount of a
particular equity index (e.g., the S&P 500 Index) plus interest on such notional
amount at a designated rate (e.g., the London Inter-Bank Offered Rate) in
exchange for the other party's obligation to pay the gain, if any, with respect
to the notional amount of such index.
If a Fund enters into a long equity swap contract, the Fund's net asset value will fluctuate as a result of changes in the value of the equity index on which the equity swap is based as if it had purchased the notional amount of securities comprising the index. The Funds will not use long equity swap contracts to obtain greater volatility than it could obtain through direct investment in securities; that is, a Fund will not normally enter an equity swap contract to increase the volatility (beta) of the Fund's portfolio above 1.00, the volatility that would be present in the stocks comprising the Fund's benchheld Index. However, a Fund may invest in long equity swap contracts without regard to this limitation if the notional amount of such equity swap contracts, when aggregated with the Index Futures as described above and the contracts for differences as described below, does not exceed 10% of a Fund's net assets.
Contracts for differences are swap arrangements in which a Fund may agree with a counterparty that its return (or loss) will be based on the relative performance of two different groups or "baskets" of securities. As to one of the baskets, the Fund's return is based on theoretical long futures positions in the securities comprising that basket (with an aggregate face value equal to the notional amount of the contract for differences) and as to the other basket, the Fund's return is based on theoretical short futures positions in the securities comprising the basket. The Fund may also use actual long and short futures positions to achieve the same market exposure(s) as contracts for differences. The Funds will only enter into contracts for differences where payment obligations of the two legs of the contract are netted and thus based on changes in the relative value of the baskets of securities rather than on the aggregate change in the value of the two legs. The Funds will only enter into contracts for differences (and analogous futures positions) when the Manager believes that the basket of securities constituting the long leg will outperform the basket constituting the short leg. However, it is possible that the short basket will outperform the long basket - resulting in a loss to the Fund, even in circumstances where the securities in both the long and short baskets appreciate in value.
Except for instances in which a Fund elects to obtain leverage up to the 10% limitation mentioned above, a Fund will maintain cash, U.S. Government Securities or other high grade debt obligations in a segregated account with its custodian in an amount equal to the aggregate of net payment obligations on its swap contracts and contracts for differences, marked to market daily.
A Fund may enter into swaps and contracts for differences for hedging, investment and risk management. When using swaps for hedging, a Fund may enter into an interest rate, currency or equity swap, as the case may be, on either an asset-based or liability-based basis, depending on whether it is hedging its assets or its liabilities. For risk management or investment purposes a Fund may also enter into a contract for differences in which the notional amount of the theoretical long position is greater than the notional amount of the theoretical short position. A Fund will not normally enter into a contract for differences to increase the volatility (beta) of the Fund's portfolio above 1.00. However, a Fund may invest in contracts for differences without regard to this limitation if the aggregate amount by which the theoretical long positions of such contracts exceed the theoretical short positions of such contacts, when aggregated with the Index Futures and equity swaps contracts as described above, does not exceed 10% of a Fund's net assets.
INTEREST RATE CAPS, FLOORS AND COLLARS. The Funds may use interest rate caps, floors and collars for the same purposes or similar purposes as for which they use interest rate futures contracts and related options. Interest rate caps, floors and collars are similar to interest rate swap contracts because the payment obligations are measured by changes in interest rates as applied to a notional amount and because they are individually negotiated with a specific counterparty. The purchase of an interest rate cap entitles the purchaser, to the extent that a specific index exceeds a specified interest rate, to receive payments of interest on a notional principal amount from the party selling the interest rate cap. The purchase of an interest rate floor entitles the purchaser, to the extent that a specified index falls below specified interest rates, to receive payments of interest on a notional principal amount from the party selling the interest rate floor. The purchase of an interest rate collar entitles the purchaser, to the extent that a specified index exceeds or falls below two specified interest rates, to receive payments of interest on a notional principal amount from the party selling the interest rate collar. Except when using such contracts for risk management, each Fund will maintain cash, U.S. Government Securities or other high grade debt obligations in a segregated account with its custodian in an amount at least equal to its obligations, if any, under interest rate cap, floor and collar arrangements. As with futures contracts, when a Fund uses notional amount contracts for risk management it is only required to segregate assets equal to its net payment obligation, not the notional amount of the contract. In those cases, the notional amount contract will have the effect of providing a degree of investment leverage similar to the leverage associated with non-segregated futures contracts. The Funds' use of interest rate caps, floors and collars for the same or similar purposes as those for which they use futures contracts and related options present the same risks and similar opportunities to those associated with futures and related options. For a description of certain limitations on the Funds' use of caps, floors and collars, see Appendix A, "Risks and Limitations of Options, Futures and Swaps -- Additional Regulatory Limitations on the Use of Futures, Related Options, Interest Rate Floors, Caps and Collars and Interest Rate and Currency Swap Contracts." Because caps, floors and collars are recent innovations for which standardized documentation has not yet been developed they are deemed by the SEC to be relatively illiquid investments which are subject to a Fund's limitation on investment in illiquid securities. See "Descriptions and Risks of Fund Investment Practices -- Illiquid Securities."
FOREIGN CURRENCY TRANSACTIONS
To the extent each of the International Funds and the Fundamental Value Fund is invested in foreign securities, it may buy or sell foreign currencies or may deal in forward foreign currency contracts, that is, agree to buy or sell a specified currency at a specified price and future date. These Funds may use forward contracts for hedging, investment or currency risk management.
These Funds may enter into forward contracts for hedging under three circumstances. First, when a Fund enters into a contract for the purchase or sale of a security denominated in a foreign currency, it may desire to "lock in" the U.S. dollar price of the security. By entering into a forward contract for the purchase or sale, for a fixed amount of dollars, of the amount of foreign currency involved in the underlying security transaction, the Fund will be able to protect itself against a possible loss resulting from an adverse change in the relationship between the U.S. dollar and the subject foreign currency during the period between the date on which the security is purchased or sold and the date on which payment is made or received.
Second, when the Manager of a Fund believes that the currency of a particular foreign country may suffer a substantial decline against the U.S. dollar, it may enter into a forward contract to sell, for a fixed amount of dollars, the amount of foreign currency approximating the value of some or all of the Fund's portfolio securities denominated in such foreign currency. Maintaining a match between the forward contract amounts and the value of the securities involved will not generally be possible since the future value of such securities in foreign currencies will change as a consequence of market movements in the value of those securities between the date the forward contract is entered into and the date it matures.
Third, the Funds may engage in currency "cross hedging" when, in the opinion of the Manager, the historical relationship among foreign currencies suggests that the Funds may achieve the same protection for a foreign security at reduced cost through the use of a forward foreign currency contract relating to a currency other than the U.S. dollar or the foreign currency in which the security is denominated. By engaging in cross hedging transactions, the Funds assume the risk of imperfect correlation between the subject currencies. These practices may present risks different from or in addition to the risks associated with investments in foreign currencies. See Appendix A, "Risks and Limitations of Options, Futures and Swaps."
A Fund is not required to enter into hedging transactions with regard to its foreign currency-denominated securities and will not do so unless deemed appropriate by the Manager. By entering into the above hedging transactions, the Funds may be required to forego the benefits of advantageous changes in the exchange rates.
Each of the International Funds may also enter foreign currency forward contracts for investment and currency risk management. When a Fund uses currency instruments for such purposes, the foreign currency exposure of the Fund may differ substantially from the currencies in which the Fund's investment securities are denominated. However, a Fund's aggregate foreign currency exposure will not normally exceed 100% of the value of the Fund's securities, except that a Fund may use currency instruments without regard to this limitation if the amount of such excess, when aggregated with futures contracts, equity swap contracts and contracts for differences used in similar ways, does not exceed 10% of a Fund's net assets. The International Bond Fund, the Currency Hedged International Bond Fund, the Global Bond Fund, the Emerging Country Debt Fund and the Core Emerging Country Debt Fund may each also enter into foreign currency forward contracts to give fixed income securities denominated in one currency (generally the U.S. dollar) the risk characteristics of similar securities denominated in another currency as described above under "Uses of Options Futures and Options on Futures--Investment Purposes" or for risk management in a manner similar to such Funds' use of futures contracts and related options.
Except to the extent that the Funds may use such contracts for risk management, whenever a Fund enters into a foreign currency forward contract, other than a forward contract entered into for hedging, it will maintain cash, U.S. Government securities or other high grade debt obligations in a segregated account with its custodian with a value, marked to market daily, equal to the amount of the currency required to be delivered. A Fund's ability to engage in forward contracts may be limited by tax considerations.
A Fund may use currency futures contracts and related options and options on currencies for the same reasons for which they use currency forwards. Except to the extent that the Funds may use futures contracts and related options for risk management, a Fund will, so long as it is obligated as the writer of a call option on currency futures, own on a contract-for-contract basis an equal long position in currency futures with the same delivery date or a call option on currency futures with the difference, if any, between the market value of the call written and the market value of the call or long currency futures purchased maintained by the Fund in cash, U.S. Government securities or other high grade debt obligations in a segregated account with its custodian. If at the close of business on any day the market value of the call purchased by a Fund falls below 100% of the market value of the call written by the Fund, the Fund will maintain an amount of cash, U.S. Government securities or other high grade debt obligations in a segregated account with its custodian equal in value to the difference. Alternatively, the Fund may cover the call option by owning securities denominated in the currency with a value equal to the face amount of the contract(s) or through segregating with the custodian an amount of the particular foreign currency equal to the amount of foreign currency per futures contract option times the number of options written by the Fund.
REPURCHASE AGREEMENTS
A Fund may enter into repurchase agreements with banks and broker-dealers by which the Fund acquires a security (usually an obligation of the Government where the transaction is initiated or in whose currency the agreement is denominated) for a relatively short period (usually not more than a week) for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed-on price and date. The resale price is in excess of the acquisition price and reflects an agreed-upon market rate unrelated to the coupon rate on the purchased security. Such transactions afford an opportunity for the Fund to earn a return on temporarily available cash at no market risk, although there is a risk that the seller may default in its obligation to pay the agreed-upon sum on the redelivery date. Such a default may subject the relevant Fund to expenses, delays and risks of loss including: (a) possible declines in the value of the underlying security during the period while the Fund seeks to enforce its rights thereto, (b) possible reduced levels of income and lack of access to income during this period and (c) inability to enforce rights and the expenses involved in attempted enforcement.
DEBT AND OTHER FIXED INCOME SECURITIES GENERALLY
Debt and Other Fixed Income Securities include fixed income securities of any maturity, although, under normal circumstances, a Fixed Income Fund (other than the Short-Term Income Fund) will only invest in a security if, at the time of such investment, at least 65% of its total assets will be comprised of bonds, as defined in "Investment Objectives and Policies -- Fixed Income Funds" above. Fixed income securities pay a specified rate of interest or dividends, or a rate that is adjusted periodically by reference to some specified index or market rate. Fixed income securities include securities issued by federal, state, local and foreign governments and related agencies, and by a wide range of private issuers.
Fixed income securities are subject to market and credit risk. Market risk relates to changes in a security's value as a result of changes in interest rates generally. In general, the values of fixed income securities increase when prevailing interest rates fall and decrease when interest rates rise. Credit risk relates to the ability of the issuer to make payments of principal and interest. Obligations of issuers are subject to the provisions of bankruptcy, insolvency and other laws, such as the Federal Bankruptcy Reform Act of 1978, affecting the rights and remedies of creditors. Fixed income securities denominated in foreign currencies are also subject to the risk of a decline in the value of the denominating currency.
Because interest rates vary, it is impossible to predict the future income of a Fund investing in such securities. The net asset value of each such Fund's shares will vary as a result of changes in the value of the securities in its portfolio and will be affected by the absence and/or success of hedging strategies.
TEMPORARY HIGH QUALITY CASH ITEMS
Each of the Domestic Equity and International Equity Funds may temporarily invest a portion of its assets in cash or cash items pending other investments or in connection with the maintenance of a segregated account. These cash items must be of high quality and may include a number of money market instruments such as securities issued by the United States government and agencies thereof, bankers' acceptances, commercial paper, and bank certificates of deposit. By investing only in high quality money market securities a Fund will seek to minimize credit risk with respect to such investments. The Short-Term Income Fund may make many of the same investments, although it imposes less strict restrictions concerning the quality of such investments. See "Investment Objectives and Policies -- Fixed Income Funds -- Short-Term Income Fund" for a general description of various types of money market instruments.
U.S. GOVERNMENT SECURITIES AND FOREIGN GOVERNMENT SECURITIES
U.S. Government Securities include securities issued or guaranteed by the U.S. government or its authorities, agencies or instrumentalities. Foreign Government Securities include securities issued or guaranteed by foreign governments (including political subdivisions) or their authorities, agencies or instrumentalities or by supra-national agencies. U.S. Government Securities and Foreign Government Securities have different kinds of government support. For example, some U.S. Government Securities, such as U.S. Treasury bonds, are supported by the full faith and credit of the United States, whereas certain other U.S. Government Securities issued or guaranteed by federal agencies or government-sponsored enterprises are not supported by the full faith and credit of the United States. Similarly, some Foreign Government Securities are supported by the full faith and credit of a foreign national government or political subdivision and some are not. In the case of certain countries, Foreign Government Securities may involve varying degrees of credit risk as a result of financial or political instability in such countries and the possible inability of a Fund to enforce its rights against the foreign government issuer.
Supra-national agencies are agencies whose member nations make capital contributions to support the agencies' activities, and include such entities as the International Bank for Reconstruction and Development (the World Bank), the Asian Development Bank, the European Coal and Steel Community and the Inter-American Development Bank.
Like other fixed income securities, U.S. Government Securities and Foreign Government Securities are subject to market risk and their market values fluctuate as interest rates change. Thus, for example, the value of an investment in a Fund which holds U.S. Government Securities or Foreign Government Securities may fall during times of rising interest rates. Yields on U.S. Government Securities and Foreign Government Securities tend to be lower than those of corporate securities of comparable maturities.
In addition to investing directly in U.S. Government Securities and Foreign Government Securities, a Fund may purchase certificates of accrual or similar instruments evidencing undivided ownership interests in interest payments or principal payments, or both, in U.S. Government Securities and Foreign Government Securities. These certificates of accrual and similar instruments may be more volatile than other government securities.
MORTGAGE-BACKED AND OTHER ASSET-BACKED SECURITIES
Mortgage-backed and other asset-backed securities may be issued by the U.S. government, its agencies or instrumentalities, or by non-governmental issuers. Interest and principal payments (including prepayments) on the mortgages underlying mortgage-backed securities are passed through to the holders of the mortgage-backed security. Prepayments occur when the mortgagor on an individual mortgage prepays the remaining principal before the mortgage's scheduled maturity date. As a result of the pass-through of prepayments of principal on the underlying mortgages, mortgage-backed securities are often subject to more rapid prepayment of principal than their stated maturity would indicate. Because the prepayment characteristics of the underlying mortgages vary, there can be no certainty as to the predicted yield or average life of a particular issue of pass-through certificates. Prepayments are important because of their effect on the yield and price of the securities. During periods of declining interest rates, such prepayments can be expected to accelerate and a Fund would be required to reinvest the proceeds at the lower interest rates then available. In addition, prepayments of mortgages which underlie securities purchased at a premium could result in capital losses because the premium may not have been fully amortized at the time the obligation was prepaid. As a result of these principal prepayment features, the values of mortgage-backed securities generally fall when interest rates rise, but their potential for capital appreciation in periods of falling interest rates is limited because of the prepayment feature. The mortgage-backed securities purchased by a Fund may include Adjustable Rate Securities as such term is defined in "Descriptions and Risks of Fund Investment Practices -- Adjustable Rate Securities" below.
Other "asset-backed securities" include securities backed by pools of automobile loans, educational loans and credit card receivables. Mortgage-backed and asset-backed securities of non-governmental issuers involve prepayment risks similar to those of U.S. government guaranteed mortgage-backed securities and also involve risk of loss of principal if the obligors of the underlying obligations default in payment of the obligations.
COLLATERALIZED MORTGAGE OBLIGATIONS ("CMOS"); STRIPS AND RESIDUALS. A CMO is a security backed by a portfolio of mortgages or mortgage-backed securities held under an indenture. The issuer's obligation to make interest and principal payments is secured by the underlying portfolio of mortgages or mortgage-backed securities. CMOs are issued in multiple classes or series which have different maturities representing interests in some or all of the interest or principal on the underlying collateral or a combination thereof. CMOs of different classes are generally retired in sequence as the underlying mortgage loans in the mortgage pool are repaid. In the event of sufficient early prepayments on such mortgages, the class or series of CMO first to mature generally will be retired prior to its stated maturity. Thus, the early retirement of a particular class or series of CMO held by a Fund would have the same effect as the prepayment of mortgages underlying a mortgage-backed pass-through security.
CMOs include securities ("Residuals") representing the interest in any excess cash flow and/or the value of any collateral remaining on mortgages or mortgage-backed securities from the payment of principal of and interest on all other CMOs and the administrative expenses of the issuer. Residuals have value only to the extent income from such underlying mortgages or mortgage-backed securities exceeds the amounts necessary to satisfy the issuer's debt obligations represented by all other outstanding CMOs.
CMOs also include certificates representing undivided interests in payments of interest-only or principal- only ("IO/PO Strips") on the underlying mortgages. IO/PO Strips and Residuals tend to be more volatile than other types of securities. IO Strips and Residuals also involve the additional risk of loss of a substantial portion of or the entire value of the investment if the underlying securities are prepaid. In addition, if a CMO bears interest at an adjustable rate, the cash flows on the related Residual will also be extremely sensitive to the level of the index upon which the rate adjustments are based.
ADJUSTABLE RATE SECURITIES
Adjustable rate securities are securities that have interest rates that are reset at periodic intervals, usually by reference to some interest rate index or market interest rate. They may be U.S. Government Securities or securities of other issuers. Some adjustable rate securities are backed by pools of mortgage loans. Although the rate adjustment feature may act as a buffer to reduce sharp changes in the value of adjustable rate securities, these securities are still subject to changes in value based on changes in market interest rates or changes in the issuer's creditworthiness. Because the interest rate is reset only periodically, changes in the interest rates on adjustable rate securities may lag changes in prevailing market interest rates. Also, some adjustable rate securities (or, in the case of securities backed by mortgage loans, the underlying mortgages) are subject to caps or floors that limit the maximum change in interest rate during a specified period or over the life of the security. Because of the resetting of interest rates, adjustable rate securities are less likely than non-adjustable rate securities of comparable quality and maturity to increase significantly in value when market interest rates fall.
LOWER RATED SECURITIES
Certain Funds may invest some or all of their assets in securities rated below investment grade (that is, rated below BBB by Standard & Poor's or below Baa by Moody's) at the time of purchase, including securities in the lowest rating categories, and comparable unrated securities ("Lower Rated Securities"). A Fund will not necessarily dispose of a security when its rating is reduced below its rating at the time of purchase, although the Manager will monitor the investment to determine whether continued investment in the security will assist in meeting the Fund's investment objective.
Lower Rated Securities generally provide higher yields, but are subject to greater credit and market risk, than higher quality fixed income securities. Lower Rated Securities are considered predominantly speculative with respect to the ability of the issuer to meet principal and interest payments. Achievement of the investment objective of a Fund investing in Lower Rated Securities may be more dependent on the Manager's own credit analysis than is the case with higher quality bonds. The market for Lower Rated Securities may be more severely affected than some other financial markets by economic recession or substantial interest rate increases, by changing public perceptions of this market or by legislation that limits the ability of certain categories of financial institutions to invest in these securities. In addition, the secondary market may be less liquid for Lower Rated Securities. This reduced liquidity at certain times may affect the values of these securities and may make the valuation and sale of these securities more difficult. Securities of below investment grade quality are commonly referred to as "junk bonds." Securities in the lowest rating categories may be in poor standing or in default. Securities in the lowest investment grade category (BBB or Baa) have some speculative characteristics. See Appendix B for more information concerning commercial paper and corporate debt ratings.
BRADY BONDS
Brady Bonds are securities created through the exchange of existing commercial bank loans to public and private entities in certain emerging markets for new bonds in connection with debt restructurings under a debt restructuring plan introduced by former U.S. Secretary of the Treasury, Nicholas F. Brady (the "Brady Plan"). Brady Plan debt restructurings have been implemented in Mexico, Uruguay, Venezuela, Costa Rica, Argentina, Nigeria, the Philippines and other countries.
Brady Bonds have been issued only recently, and for that reason do not have a long payment history. Brady Bonds may be collateralized or uncollateralized, are issued in various currencies (but primarily the dollar) and are actively traded in over-the-counter secondary markets. Dollar-denominated, collateralized Brady Bonds, which may be fixed-rate bonds or floating-rate bonds, are generally collateralized in full as to principal by U.S. Treasury zero coupon bonds having the same maturity as the bonds.
Brady Bonds are often viewed as having three or four valuation components: any collateralized repayment of principal at final maturity; any collateralized interest payments; the uncollateralized interest payments; and any uncollateralized repayment of principal at maturity (these uncollateralized amounts constituting the "residual risk"). In light of the residual risk of Brady bonds and the history of defaults of countries issuing Brady Bonds with respect to commercial bank loans by public and private entities, investments in Brady Bonds may be viewed as speculative.
ZERO COUPON SECURITIES
A Fund investing in "zero coupon" fixed income securities is required to accrue interest income on these securities at a fixed rate based on the initial purchase price and the length to maturity, but these securities do not pay interest in cash on a current basis. Each Fund is required to distribute the income on these securities to its shareholders as the income accrues, even though that Fund is not receiving the income in cash on a current basis. Thus, each Fund may have to sell other investments to obtain cash to make income distributions. The market value of zero coupon securities is often more volatile than that of non-zero coupon fixed income securities of comparable quality and maturity. Zero coupon securities include IO and PO strips.
INDEXED SECURITIES
Indexed Securities are securities the redemption values and/or the coupons of which are indexed to the prices of a specific instrument or statistic. Indexed securities typically, but not always, are debt securities or deposits whose value at maturity or coupon rate is determined by reference to other securities, securities indices, currencies, precious metals or other commodities, or other financial indicators. Gold-indexed securities, for example, typically provide for a maturity value that depends on the price of gold, resulting in a security whose price tends to rise and fall together with gold prices. Currency-indexed securities typically are short-term to intermediate-term debt securities whose maturity values or interest rates are determined by reference to the values of one or more specified foreign currencies, and may offer higher yields than U.S. dollar-denominated securities of equivalent issuers. Currency-indexed securities may be positively or negatively indexed; that is, their maturity value may increase when the specified currency value increases, resulting in a security that performs similarly to a foreign-denominated instrument, or their maturity value may decline when foreign currencies increase, resulting in a security whose price characteristics are similar to a put on the underlying currency. Currency-indexed securities may also have prices that depend on the values of a number of different foreign currencies relative to each other.
The performance of indexed securities depends to a great extent on the performance of the security, currency, or other instrument to which they are indexed, and may also be influenced by interest rate changes in the U.S. and abroad. At the same time, indexed securities are subject to the credit risks associated with the issuer of the security, and their values may decline substantially if the issuer's creditworthiness deteriorates. Recent issuers of indexed securities have included banks, corporations, and certain U.S. government agencies.
Indexed securities in which each Fund may invest include so-called "inverse floating obligations" or "residual interest bonds" on which the interest rates typically decline as short-term market interest rates increase and increase as short-term market rates decline. Such securities have the effect of providing a degree of investment leverage, since they will generally increase or decrease in value in response to changes in market interest rates at a rate which is a multiple of the rate at which fixed-rate long-term securities increase or decrease in response to such changes. As a result, the market values of such securities will generally be more volatile than the market values of fixed rate securities.
FIRM COMMITMENTS
A firm commitment agreement is an agreement with a bank or broker-dealer for the purchase of securities at an agreed-upon price on a specified future date. A Fund may enter into firm commitment agreements with such banks and broker-dealers with respect to any of the instruments eligible for purchase by the Fund. A Fund will only enter into firm commitment arrangements with banks and broker-dealers which the Manager determines present minimal credit risks. Each such Fund will maintain in a segregated account with its custodian cash, U.S. Government Securities or other liquid high grade debt obligations in an amount equal to the Fund's obligations under firm commitment agreements.
LOANS, LOAN PARTICIPATIONS AND ASSIGNMENTS
Certain Funds may invest in direct debt instruments which are interests in amounts owed by a corporate, governmental, or other borrower to lenders or lending syndicates (loans and loan participations), to suppliers of goods or services (trade claims or other receivables), or to other parties. Direct debt instruments are subject to a Fund's policies regarding the quality of debt securities.
Purchasers of loans and other forms of direct indebtedness depend primarily upon the creditworthiness of the borrower for payment of principal and interest. Direct debt instruments may not be rated by any nationally recognized rating and yield could be adversely affected. Loans that are fully secured offer the Fund more protections than an unsecured loan in the event of non-payment of scheduled interest of principal. However, there is no assurance that the liquidation of collateral from a secured loan would satisfy the borrower's obligation, or that the collateral can be liquidated. Indebtedness of borrowers whose creditworthiness is poor involves substantially greater risks, and may be highly speculative. Borrowers that are in bankruptcy or restructuring may never pay off their indebtedness, or may pay only a small fraction of the amount owed. Direct indebtedness of emerging countries will also involve a risk that the governmental entities responsible for the repayment of the debt may be unable, or unwilling, to pay interest and repay principal when due.
When investing in a loan participation, a Fund will typically have the right to receive payments only from the lender to the extent the lender receives payments from the borrower, and not from the borrower itself. Likewise, a Fund typically will be able to enforce its rights only through the lender, and not directly against the borrower. As a result, a Fund will assume the credit risk of both the borrower and the lender that is selling the participation.
Investments in loans through direct assignment of a financial institution's interests with respect to a loan may involve additional risks to the Fund. For example, if a loan is foreclosed, a Fund could become part owner of any collateral, and would bear the costs and liabilities associated with owning and disposing of the collateral. In addition, it is conceivable that under emerging legal theories of lender liability, a Fund could be held liable as a co-lender. In the case of a loan participation, direct debt instruments may also involve a risk of insolvency of the lending bank or other intermediary. Direct debt instruments that are not in the form of securities may offer less legal protection to a Fund in the event of fraud or misrepresentation. In the absence of definitive regulatory guidance, a Fund may rely on the Manager's research to attempt to avoid situations where fraud or misrepresentation could adversely affect the fund.
A loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. Unless, under the terms of the loan or other indebtedness, a Fund has direct recourse against the borrower, it may have to rely on the agent to apply appropriate credit remedies against a borrower.
Direct indebtedness purchased by a Fund may include letters of credit, revolving credit facilities, or other standby financing commitments obligating the Fund to pay additional cash on demand. These commitments may have the effect of requiring the Fund to increase its investment in a borrower at a time when it would not otherwise have done so. A Fund will set aside appropriate liquid assets in a segregated custodial account to cover its potential obligations under standby financing commitments.
REVERSE REPURCHASE AGREEMENTS AND DOLLAR ROLL AGREEMENTS
Certain Funds may enter into reverse repurchase agreements and dollar roll agreements with banks and brokers to enhance return. Reverse repurchase agreements involve sales by a Fund of portfolio assets concurrently with an agreement by the Fund to repurchase the same assets at a later date at a fixed price. During the reverse repurchase agreement period, the Fund continues to receive principal and interest payments on these securities and also has the opportunity to earn a return on the collateral furnished by the counterparty to secure its obligation to redeliver the securities.
Dollar rolls are transactions in which a Fund sells securities for delivery in the current month and simultaneously contracts to repurchase substantially similar (same type and coupon) securities on a specified future date. During the roll period, the Fund forgoes principal and interest paid on the securities. The Fund is compensated by the difference between the current sales price and the forward price for the future purchase (often referred to as the "drop") as well as by the interest earned on the cash proceeds of the initial sale.
A Fund which makes such investments will establish segregated accounts with its custodian in which the Fund will maintain cash, U.S. Government Securities or other liquid high grade debt obligations equal in value to its obligations in respect of reverse repurchase agreements and dollar rolls. Reverse repurchase agreements and dollar rolls involve the risk that the market value of the securities retained by a Fund may decline below the price of the securities the Fund has sold but is obligated to repurchase under the agreement. In the event the buyer of securities under a reverse repurchase agreement or dollar roll files for bankruptcy or becomes insolvent, a Fund's use of the proceeds of the agreement may be restricted pending a determination by the other party or its trustee or receiver whether to enforce the Fund's obligation to repurchase the securities. Reverse repurchase agreements and dollar rolls are not considered borrowings by a Fund for purposes of a Fund's fundamental investment restriction with respect to borrowings.
ILLIQUID SECURITIES
Each Fund may purchase "illiquid securities," i.e., securities which may not be sold or disposed of in the ordinary course of business within seven days at approximately the value at which the Fund has valued the investment, which include securities whose disposition is restricted by securities laws, so long as no more than 15% of net assets would be invested in such illiquid securities. Each Fund currently intends to invest in accordance with the SEC staff view that repurchase agreements maturing in more than seven days are illiquid securities. The SEC staff has stated informally that it is of the view that over-the-counter options and securities serving as cover for over-the-counter options are illiquid securities. While the Trust does not agree with this view, it will operate in accordance with any relevant formal guidelines adopted by the SEC.
In addition, the SEC staff considers equity swap contracts, caps, floors and collars to be illiquid securities. Consequently, while the staff maintains this position, the Fund will not enter into an equity swap contract or a reverse equity swap contract or purchase a cap, floor or collar if, as a result of the investment, the total value (i.e., marked-to-market value) of such investments (without regard to their notional amount) together with that of all other illiquid securities which the Fund owns would exceed 15% of the Fund's total assets.
SPECIAL ALLOCATION FUND CONSIDERATIONS
The Manager does not charge an advisory fee for asset allocation advice provided to the Allocation Funds, but certain other Fund expenses such as custody, administration, transfer agency and audit fees will be borne at the Allocation Fund level. In addition, investors in the Allocation Funds will indirectly bear a proportionate share of the advisory, custody, administration, transfer agency, audit and other Fund expenses of the underlying Funds in which the Allocation Funds invest, as well as any purchase premium or redemption fee charged by such underlying Fund. Since the Manager will receive an advisory fee at the underlying Fund level, the Manager will always have a financial incentive to invest the Allocation Funds' assets in Funds with higher relative advisory fees without regard to the Manager's current outlook as to the mix of underlying Fund holdings that would best serve the Allocation Funds' investment objectives. The Manager is obligated to disregard that incentive in selecting shares of the underlying Funds.
MULTIPLE CLASSES
As indicated previously, the Funds offer various classes of shares to investors, with eligibility depending generally on the size of a client's total account at GMO, as described more fully in this section. Each Fund (with the exception of the Short-Term Income Fund and the Allocation Funds) offers at least three classes of shares: Traditional Shares, Primary Shares and Secondary Shares. The Core Fund, International Core Fund and Emerging Markets Fund each offer additional Account Level Shares for clients making very large investments in these Funds or making investments in these Funds in conjunction with a very large commitment of assets to GMO Quantitative Management. The Account Shares are designated Account Level 1 Shares, Account Level 2 Shares and Account Level 3 Shares.
Four of the Allocation Funds offer only Primary and Secondary Shares (the "multiclass Allocation Funds"), each with a different asset allocation strategy. The remaining four Allocation Funds offer only Traditional Shares (the "traditional Allocation Funds"), and have the same four asset allocation strategies as the corresponding multiclass Allocation Funds.
SHAREHOLDER SERVICE FEES
The principal difference among the various classes of shares is the level of Shareholder Service Fee ("SSF") which the classes bear for client and shareholder service, reporting and other support. The multiple class structure reflects the fact that, as the size of a client relationship increases, the cost to service that relationship decreases as a percentage of the account. Thus, the SSF is lower for classes for which eligibility criteria generally require greater assets under GMO's management.
The Trust has adopted a Shareholder Servicing Plan with respect to each class of shares. Pursuant to the terms of the respective Shareholder Servicing Plan, the classes will pay the following SSF expressed as an annual percentage of average daily net assets attributable to that class of shares:
TRADITIONAL SHARES PRIMARY SHARES SECONDARY SHARES
Shareholder Service Fee 0.15% 0.22% 0.30%
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SHAREHOLDER SERVICE FEE
ACCOUNT LEVEL 3 ACCOUNT LEVEL 2 ACCOUNT LEVEL 1
Core Fund 0.07% 0.09% 0.12%
International Core Fund 0.04% 0.07% 0.11%
Emerging Markets Fund 0.02% 0.05% 0.10%
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Another significant feature of the classes of shares is that clients invested in Primary and Secondary Shares are serviced by the Manager's GMO Funds Division ("GMO Funds"), a new division of GMO established in April of 1996 to deliver institutional quality service and reporting to clients contributing from $1 million to $30 million to GMO's management.
Clients eligible to purchase Traditional and Account Level Shares will be serviced directly by the Manager.
ELIGIBILITY FOR CLASSES
Traditional, Primary and Secondary Shares: With certain exceptions described below, eligibility for Traditional, Primary and Secondary Shares depends on a client's "Total Investment" with GMO. For clients establishing a relationship with GMO on or after June 1, 1996, their Total Investment is equal at any time to the aggregate of all amounts contributed to any GMO product or account since June 1, 1996 less all redemptions or withdrawals from such products or accounts since June 1, 1996. For purposes of class eligibility, market appreciation or depreciation of a client's account is not considered; the Total Investment of a client is impacted only by the amount of contributions and withdrawals made by the client. It is assumed that any redemptions or withdrawals made by a client are satisfied first by market appreciation in their account, so that a redemption or withdrawal does not lower a client's Total Investment unless the redemption or withdrawal exceeds the value of market appreciation over amounts contributed. For clients that already have GMO accounts as of June 1, 1996, their initial Total Investment will equal the market value of all of their GMO investments as of the close of business on May 31, 1996.
Subject to the exceptions set forth following this table, the minimum Total Investment for a client to be eligible for Traditional, Primary, or Secondary Shares is set forth below:
MINIMUM TOTAL INVESTMENT
Secondary Shares $1,000,000 Primary Shares $10,000,000 Traditional Shares $30,000,000 |
Traditional Shares are also available to partners and employees of the Manager and their family members, as determined by the Manager, regardless of the size of the account. Investments by defined contribution pension plans (such as 401(k) plans) will be accepted only in Secondary Shares regardless of the size of the investment, and will not be eligible to convert to other classes.
Account Level Shares: Account Level Shares bear significantly lower Shareholder Service Fees than other classes and are designed to accommodate clients making very large investments in the Core Fund, International Core Fund and/or Emerging Markets Fund or that are making investments into one or more of these Funds in conjunction with a very large commitment of assets to quantitative investment management by GMO.
In order to purchase a particular class of Account Shares, a client must meet either (i) a minimum "Total Fund Investment" requirement, which includes only a client's total investment in the Core Fund, International Core Fund or Emerging Markets Fund, or (ii) a minimum "Total Quantitative Investment" requirement, which includes a client's investment in all Funds of the Trust (other than the Pelican Fund) as well as investments in other products or accounts that are quantitatively managed, as determined by the Manager. A client's Total Fund Investment and Total Quantitative Investment will include the market value of all such accounts as of May 31, 1996, plus the value of all contributions made after such date and less the value of redemptions or withdrawals made from such accounts after such date. The minimum Fund Investment and Total Quantitative Investment criteria for each class of Account Shares is set forth below:
MINIMUM TOTAL FUND MINIMUM TOTAL
TYPE OF ACCOUNT SHARES INVESTMENT QUANTITATIVE INVESTMENT
Account Level 1 Shares:
Core Fund and International Core Fund $150,000,000 $300,000,000
Emerging Markets Fund $ 50,000,000 $300,000,000
Account Level 2 Shares:
Core Fund and International Core Fund $300,000,000 $500,000,000
Emerging Markets Fund $100,000,000 $500,000,000
Account Level 3 Shares:
Core Fund and International Core Fund $500,000,000 $800,000,000
Emerging Markets Fund $200,000,000 $800,000,000
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There is no minimum for subsequent investments into any class of shares.
The method by which clients will be automatically converted from one classes of Shares to another is described below under "Conversion Among Classes". Also described in that section are the special rules that apply with respect to the initial conversion of clients that had accounts existing with GMO as of May 31, 1996.
The Manager will make all determinations as to aggregation of client accounts for purposes of meeting eligibility criteria according to policies in use by the Manager from time to time.
CONVERSIONS BETWEEN CLASSES
On May 31 of each year (the "Conversion Date") the value of each client's Total Investment with GMO, as previously defined, will be determined. Based on that determination, the client's shares of the Funds will be automatically converted to the class of shares (Traditional, Primary or Secondary) with the lowest Shareholder Service Fee for which the client is eligible based on the amount of the Total Investment. Also, if a client makes an investment in a GMO product or account that causes the client to be eligible for a new class of shares, such conversion will be effective as of the close of business on the last day of the month in which the investment is made. The rules for conversion to and among Account Level Shares are the same, with determinations of a client's Total Fund Investment and Total Quantitative Investment made according to the same schedule.
The conversion of a client's investment from one class of shares to another is not a taxable event, and will not result in the realization of gain or loss that may exist in Fund shares held by the client. The client's tax basis in the new class of shares will equal their basis in the old class before conversion.
Certain special rules will be applied by the Manager with respect to clients who owned shares of the Funds upon the creation of multiple classes on May 31, 1996. First, all such clients will receive Traditional Shares on June 1, 1996 regardless of the size of their GMO investment. The total operating expenses for Traditional Shares will be the same as the total operating expenses associated with the shares held by such clients prior to the creation of multiple classes. The conversion of such existing clients to Primary or Secondary Shares as applicable, will not occur until June 1, 1997, based on the client's Total Investment as of such date. Further, existing clients whose Total Investment as of June 1, 1996 is equal to $25 million or more will be eligible to remain invested in Traditional Shares (despite the normal $30 million minimum), provided such client makes no subsequent redemptions or withdrawals other than of amounts attributable to market appreciation of their account value as of June 1, 1996. Existing clients whose Total Investment as of June 1, 1996 is equal to $8 million or more but less than $25 million will be eligible to convert to Primary Shares rather than Secondary Shares on June 1, 1997, provided that such client makes no subsequent redemptions or withdrawals other than of amounts attributable to market appreciation of their account value as of June 1, 1996. Of course, if such clients make additional investments prior to June 1, 1997, such that their Total Investment on June 1, 1997 is $30 million or more, the client will remain eligible for Traditional Shares.
PURCHASE OF SHARES
Shares of each Fund may be purchased on any day when the New York Stock
Exchange is open for business (a "business day"). Traditional Shares and Account
Shares are available through Grantham, Mayo, Van Otterloo & Co., Attention:
Shareholder Services, at (617) 330-7500, while Primary Shares and Secondary
Shares are available through GMO Funds at [ ]. See "Purchase Procedures" below.
The purchase price of a share of each Fund is (i) the net asset value next determined after a purchase order is received in good order plus (ii) a premium, if any, established from time to time by the Trust for the particular Fund and class to be purchased. All purchase premiums are paid to and retained by the Fund and are intended to cover the brokerage and other costs associated with putting the investment to work in the relevant markets. The purchase premiums currently in effect for each Fund and class are as follows:
PURCHASE PREMIUM PURCHASE PREMIUM
FOR TRADITIONAL AND FOR PRIMARY AND
ACCOUNT SHARES SECONDARY SHARES
Allocation Funds None None
Short-Term Income, Domestic Bond and Foreign Funds None None
Currency Hedged International Bond, Value Allocation,
Fundamental Value, International Bond and Global Bond Funds 0.15% 0.13%
Core, Tobacco-Free, Growth Allocation and U.S. Sector
Allocation Funds 0.17% 0.14%
Japan and Core Emerging Country Debt Funds 0.40% 0.34%
Emerging Country Debt Fund 0.50% 0.43%
Global Hedged Equity Fund 0.60% 0.51%
Core II Secondaries, International Core, and Currency Hedged
International Core Funds 0.75% 0.64%
International Small Companies Fund 1.25% 1.06%
Emerging Markets Fund 1.60% 1.36%
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Purchase premiums apply only to cash transactions. These fees are paid to and retained by the Fund itself and are employed to allocate transaction costs caused by shareholder activity to the shareholder generating the activity, rather than to Fund as a whole. For Traditional Shares and Account Level Shares only, the Manager may waive purchase premiums if the Manager determines there are minimum brokerage and/or other transaction costs caused by the purchase. Waivers are generally due to offsetting redemptions which reduce or eliminate the net transaction to the Fund or conditions where the relevant Fund is in need of cash and will not invest the cash purchase. The Manager examines each purchase of Traditional and Account Level Shares to determine if circumstances exist to waive all or a portion of the purchase premium, Absent a clear determination that transaction costs will be reduced or absent for the purchase, the full purchase premium will be charged.
The Manager may not waive purchase premiums with respect to transactions in Primary or Secondary Shares. Because of the higher volume of transactions and larger number of client accounts anticipated for these classes of shares, it is not practical to examine the impact on transaction costs of individual purchases of Fund shares. Therefore, the purchase premium will be paid in full for all transactions in Primary or Secondary Shares. Accordingly, the amount of the purchase premiums, if any, paid by purchasers of Primary and Secondary Shares is lower than the full corresponding premium paid with respect to Traditional or Account Level Shares. This allows all purchasers to benefit proportionately by offsetting transactions and other circumstances that mitigate transaction costs, rather than taking the savings back to the particular buyers, as is done with larger shareholder accounts that hold Traditional or Account Level Shares.
Normally, no purchase premium is charged with respect to in-kind purchases of Fund shares. However, in the case of in-kind purchases involving transfers of large positions in markets where the costs of re-registration and/or other transfer expenses are high, the International Core Fund, Currency Hedged International Core Fund, International Small Companies Fund, Japan Fund and Global Hedged Equity Fund may each charge a premium of 0.10% of the Emerging Markets Fund may charge a premium of 0.20%.
Shares may be purchased (i) in exchange for securities on deposit at The Depository Trust Company ("DTC") (or such other depository acceptable to the Manager), subject to the determination by the Manager that the securities to be exchanged are acceptable, (ii) in cash or (iii) by a combination of such securities and cash. In all cases, the Manager reserves the right to reject any particular investment. Securities accepted by the Manager in exchange for Fund shares will be valued as set forth under "Determination of Net Asset Value" (generally the last quoted sale price) as of the time of the next determination of net asset value after such acceptance. All dividends, subscription or other rights which are reflected in the market price of accepted securities at the time of valuation become the property of the relevant Fund and must be delivered to the Trust upon receipt by the investor from the issuer. A gain or loss for federal income tax purposes may be realized by investors subject to Federal income taxation upon the exchange, depending upon the investor's basis in the securities tendered.
The Manager will not approve the acceptance of securities in exchange
for Fund shares unless (1) the Manager, in its sole discretion, believes the
securities are appropriate investments for the Fund; (2) the investor represents
and agrees that all securities offered to the Fund are not subject to any
restrictions upon their sale by the Fund under the Securities Act of 1933, or
otherwise; and (3) the securities may be acquired under the investment
restrictions applicable to the relevant Fund. Investors interested in making
in-kind purchases should telephone the Manager at (617) 330-7500, Attention:
Shareholder Services.
Investors should call the Manager before attempting to place an order for Traditional or Account Shares. Investors should call GMO Funds before attempting to place an order for Primary or Secondary Shares. The Trust reserves the right at any time to reject an order.
For purposes of calculating the purchase price of Trust shares, a purchase order is received by the Trust on the day that it is "in good order" and is accepted by the Trust. For a purchase order to be in "good order" on a particular day, the investor's consideration must be received before the relevant deadline on that day. If the investor makes a cash investment, the deadline for wiring Federal funds to the Trust is 2:00 p.m.; if the investor makes an investment in-kind, the investor's securities must be placed on deposit at DTC (or such other depository as is acceptable to the Manager) and 2:00 p.m. is the deadline for transferring those securities to the account designated by the transfer agent, Investors Bank & Trust Company, One Lincoln Plaza, Boston, Massachusetts 02205. Investors should be aware that approval of the securities to be used for purchase must be obtained from the Manager prior to this time. When the consideration is received by the Trust after the relevant deadline, the purchase order is not considered to be in good order and is required to be resubmitted on the following business day. With the prior consent of the Manager, in certain circumstances the Manager may, in its discretion, permit purchases based on receiving adequate written assurances that Federal Funds or securities, as the case may be, will be delivered to the Trust by 2:00 p.m. on or prior to the fourth business day after such assurances are received.
The International Core Fund may be available through a broker or dealer who may charge a transaction fee for purchases and redemptions of that Fund's shares. If shares of the International Core Fund are purchased directly from the Trust without the intervention of a broker or dealer, no such charge will be imposed.
PURCHASE PROCEDURES:
(a) General: The Trust reserves the right to reject any order for Trust shares. Do not send cash, checks or securities directly to the Trust, the Manager or GMO Funds. Wire transfer and mailing instructions are contained on the Purchase Order Form which can be obtained from the Manager (for purchases of Traditional or Account Shares) or from GMO Funds (for purchases of Primary or Secondary Shares).
Purchases will be made in full and fractional shares of each Fund calculated to three decimal places. The Trust will send to shareholders written confirmation (including a statement of shares owned) at the time of each transaction. The Manager and/or GMO Funds may attempt to process orders for Trust shares that are submitted less formally than as described above but, in such cases, the investor should carefully review confirmations sent by the Trust to verify that the order was properly executed. The Trust, the Manager and GMO Funds cannot be held responsible for failure to execute orders or improperly executing orders that are not submitted in accordance with these procedures.
(b) Purchase Order Form: Investors in Traditional and Account Shares must submit an application to the Manager and obtain the Manager's acceptance of the order before it will be considered "in good order"; investors in Primary and Secondary Shares must submit an application to GMO Funds and obtain the that Division's acceptance of the order before it will be considered "in good order."
Traditional and Account Shares: A Purchase Order Form for Traditional and Account Shares may be obtained by calling the Manager at (617) 330-7500, Attention: Shareholder Services. Such Order Form may be submitted to the Manager (i) By Mail to Grantham, Mayo, Van Otterloo & Co., 40 Rowes Wharf, Boston, MA 02110; Attention: Shareholder Services, or (ii) By Facsimile to (617) 439-4192; Attention: Shareholder Services.
Primary and Secondary Shares: A Purchase Order Form for Primary and Secondary Shares may be obtained by calling GMO Funds at [ ]. Such Order Form may be submitted to GMO Funds (i) By Mail to GMO Funds, 40 Rowes Wharf, Boston, MA 02110; or (ii) By Facsimile to [ ].
(c) Acceptance of Order: No purchase order is in "good order" until it has been accepted by the Manager (in the case of Traditional and Account Shares) or GMO Funds (in the case of the Primary and Secondary Shares). As noted above, investors should call the Manager (at (617) 330-7500, Attention: Shareholder Services) before attempting to place an order for Traditional or Account Shares; investors should call GMO Funds (at [ ]) before attempting to place an order for Primary or Secondary Shares. If a Purchase Order Form is mailed or faxed to the Trust without first contacting the appropriate shareholder service provider, investors should not consider their order acknowledged until they have received notification from the Trust or have confirmed receipt of the order by contacting the appropriate Division at GMO.
(c) Payment: All Federal funds must be transmitted to Investors Bank & Trust Company for the account of the specific Fund of GMO Trust. "Federal funds" are monies credited to Investors Bank & Trust Company's account with the Federal Reserve Bank of Boston.
REDEMPTION OF SHARES
Shares of each Fund may be redeemed on any business day in cash or in kind. The redemption price is the net asset value per share next determined after receipt of the redemption request in "good order" less any applicable redemption fee. All redemption fees are paid to and retained by the Fund and are intended to cover the brokerage and other Fund costs associated with redemptions. The redemption fees currently in effect for each Fund are as follows:
Redemption Fee for Redemption Fee for
Traditional and Primary and
Account Shares Secondary Shares
Core II Secondaries Fund 0.75% 0.64%
International Small Companies Fund 0.75% 0.64%
Japan Fund 0.70% 0.60%
Emerging Markets Fund 0.40%* 0.34%
Global Hedged Equity Fund 1.40% 1.19%
Emerging Country Debt Fund 0.25%** 0.21%
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* Applies only to shares acquired on or after June 1, 1995 (including shares acquired through the reinvestment of dividends and other distributions after such date).
** Applies only to shares acquired on or after July 1, 1995 (including shares acquired through the reinvestment of dividends and other distributions after such date).
No redemption fees apply to redemptions of shares of Funds other than the Funds listed above.
Redemption fees apply only to cash transactions. These fees are paid to and retained by the Fund itself and are employed to allocate transaction costs caused by shareholder activity to the shareholder generating the activity, rather than to Fund as a whole. For Traditional Shares and Account Level Shares only, the Manager may waive redemption fees if the Manager determines there are minimum brokerage and/or other transaction costs caused by the redemption . Waivers are generally due to offsetting purchases which reduce or eliminate the net transaction to the Fund.
The Manager examines each redemption of Traditional and Account Level Shares to determine if circumstances exist to waive all or a portion of the redemption fee. Absent a clear determination that transaction costs will be reduced or absent for the redemption, the full fee will be charged.
The Manager may not waive redemption fees with respect to transactions in Primary or Secondary Shares. Because of the higher volume of transactions and larger number of client accounts anticipated for these classes of shares, it is not practical to examine the impact on transaction costs of individual redemptions of Fund shares. Therefore, the redemption fee will be paid in full for all transactions in Primary or Secondary Shares. Accordingly, the amount of the redemption fees, if any, paid by sellers of Primary and Secondary Shares is lower than the full corresponding fee paid with respect to Traditional or Account Level Shares. This allows all purchases or sellers to benefit proportionately by offsetting transactions and other circumstances that initiate transaction costs , rather than tracking the savings back to the particular sellers as is done with larger shareholder accounts that hold Traditional or Account Level Shares.
If the Manager determines, in its sole discretion, that it would be detrimental to the best interests of the remaining shareholders of a Fund to make payment wholly or partly in cash, the Fund may pay the redemption price in whole or in part by a distribution in kind of securities held by the Fund in lieu of cash. Securities used to redeem Fund shares in kind will be valued in accordance with the relevant Fund's procedures for valuation described under "Determination of Net Asset Value." Securities distributed by a Fund in kind will be selected by the Manager in light of the Fund's objective and will not generally represent a pro rata distribution of each security held in the Fund's portfolio. Any in-kind redemptions will be of readily marketable securities to the extent available. Investors may incur brokerage charges on the sale of any such securities so received in payment of redemptions.
Payment on redemption will be made as promptly as possible and in any
event within seven days after the request for redemption is received by the
Trust in good order. A redemption request is in good order if it includes the
exact name in which shares are registered, the investor's account number and the
number of shares or the dollar amount of shares to be redeemed and if it is
signed exactly in accordance with the form of registration. In addition, for a
redemption request to be in "good order" on a particular day, the investor's
request must be received by the Manager (in the case of Traditional or Account
Level Shares) or by GMO Funds (in the case of Primary or Secondary Shares) by
4:15 p.m. on a business day. When a redemption request is received after 4:15
p.m., the redemption request will not be considered to be in "good order" and is
required to be resubmitted on the following business day. Persons acting in a
fiduciary capacity, or on behalf of a corporation, partnership or trust must
specify, in full, the capacity in which they are acting. The redemption request
can be considered "received" by the Trust only after (i) it is mailed or faxed
to the Manager (in the case of Traditional or Account Level Shares) or GMO Funds
(in the case of Primary or Secondary Shares) at the address or facsimile number
set forth above for purchase orders, and (ii) the investor has confirmed receipt
of the request by calling the Manager (in the case of Traditional or Account
Level Shares) at (617) 330-7500, Attention: Shareholder Services. In-kind
distributions will be transferred and delivered as directed by the investor.
Cash payments will be made by transfer of Federal funds for payment into the
investor's account.
When opening an account with the Trust, shareholders will be required to designate the account(s) to which funds or securities may be transferred upon redemption. Designation of additional accounts and any change in the accounts originally designated must be made in writing.
Each Fund may suspend the right of redemption and may postpone payment for more than seven days when the New York Stock Exchange is closed for other than weekends or holidays, or if permitted by the rules of the Securities and Exchange Commission during periods when trading on the Exchange is restricted or during an emergency which makes it impracticable for the Fund to dispose of its securities or to fairly determine the value of the net assets of the Fund, or during any other period permitted by the Securities and Exchange Commission for the protection of investors. Because the International Funds each hold portfolio securities listed on foreign exchanges which may trade on days on which the New York Stock Exchange is closed, the net asset value of such Funds' shares may be significantly affected on days when shareholders have no access to such Funds.
DETERMINATION OF NET ASSET VALUE
Except on days during which no security is tendered for redemption and no order to purchase or sell such security is received by the relevant Fund, the net asset value of a share is determined for each Fund once on each day on which the New York Stock Exchange is open as of 4:15 p.m., New York City Time, by dividing the total market value of the Fund's portfolio investments and other assets, less any liabilities, by the total outstanding shares of the Fund. Portfolio securities listed on a securities exchange for which market quotations are available are valued at the last quoted sale price on each business day, or, if there is no such reported sale, at the most recent quoted bid price. Price information on listed securities is generally taken from the closing price on the exchange where the security is primarily traded. Unlisted securities for which market quotations are readily available are valued at the most recent quoted bid price, except that debt obligations with sixty days or less remaining until maturity may be valued at their amortized cost. Other assets and securities for which no quotations are readily available are valued at fair value as determined in good faith by the Trustees or persons acting at their direction. The values of foreign securities quoted in foreign currencies are translated into U.S. dollars at current exchange rates or at such other rates as the Trustees may determine in computing net asset value. Debt securities with a remaining maturity of 60 days or less will be valued at amortized cost, unless circumstances dictate otherwise. Circumstances may dictate otherwise, among other times, when the issuer's creditworthiness has become impaired.
Because of time zone differences, foreign exchanges and securities markets will usually be closed prior to the time of the closing of the New York Stock Exchange and values of foreign options and foreign securities will be determined as of the earlier closing of such exchanges and securities markets. However, events affecting the values of such foreign securities may occasionally occur between the earlier closings of such exchanges and securities markets and the closing of the New York Stock Exchange which will not be reflected in the computation of the net asset value of the International Funds. If an event materially affecting the value of such foreign securities occurs during such period, then such securities will be valued at fair value as determined in good faith by the Trustees or persons acting at their direction.
Because foreign securities, options on foreign securities and foreign futures are quoted in foreign currencies, fluctuations in the value of such currencies in relation to the U.S. dollar will affect the net asset value of shares of the International Funds even though there has not been any change in the values of such securities and options, measured in terms of the foreign currencies in which they are denominated.
DISTRIBUTIONS
Each Fund intends to pay out as dividends substantially all of its net investment income (which comes from dividends and interest it receives from its investments and net short-term capital gains). For these purposes and for federal income tax purposes, a portion of the premiums from certain expired call or put options written by a Fund, net gains from certain closing purchase and sale transactions with respect to such options and a portion of net gains from other options and futures transactions are treated as short-term capital gain. Each Fund also intends to distribute substantially all of its net long-term capital gains, if any, after giving effect to any available capital loss carryover. With the exception of the International Funds, each Fund's present policy is to declare and pay distributions of its dividends and interest quarterly. The policy of each International Fund is to declare and pay distributions of its dividends, interest and foreign currency gains semi-annually. Each Fund also intends to distribute net short-term capital gains and net long-term gains at least annually.
All dividends and/or distributions will be paid in shares of the relevant Fund, at net asset value, unless the shareholder elects to receive cash. There is no purchase premium on reinvested dividends or distributions. Shareholders may make this election by marking the appropriate box on the Purchase Order Form or by writing to the Trust.
TAXES
Each Fund is treated as a separate taxable entity for federal income tax purposes. Each Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. So long as a Fund so qualifies, the Fund itself will not pay federal income tax on the amount distributed.
Fund distributions derived from interest, dividends and certain other income, including in general short-term capital gains, will be taxable as ordinary income to shareholders subject to federal income tax whether received in cash or reinvested shares. Designated distributions of any long-term capital gains whether received in cash or reinvested shares are taxable as such to shareholders subject to federal income tax, regardless of how long a shareholder may have owned shares in the Fund. Any loss realized upon a taxable disposition of shares held for six months or less will be treated as long-term capital loss to the extent of any long-term capital gain distributions received by a shareholder with respect to those shares. A distribution paid to shareholders by a Fund in January of a year generally is deemed to have been received by shareholders on December 31 of the preceding year, if the distribution was declared and payable to shareholders of record on a date in October, November or December of that preceding year. The Trust will provide federal tax information annually, including information about dividends and distributions paid during the preceding year.
The back-up withholding rules do not apply to tax exempt entities so long as each such entity furnishes the Trust with an appropriate certification. However, other shareholders are subject to back-up withholding at a rate of 31% on all distributions of net investment income and capital gain, whether received in cash or reinvested in shares of the relevant Fund, and on the amount of the proceeds of any redemption of Fund shares paid or credited to any shareholder account for which an incorrect or no taxpayer identification number has been provided, where appropriate certification has not been provided for a foreign shareholder, or where the Trust is notified that the shareholder has underreported income in the past (or the shareholder fails to certify that he is not subject to such withholding).
The foregoing is a general summary of the federal income tax consequences for shareholders who are U.S. citizens, residents or domestic corporations. Shareholders should consult their own tax advisors about the tax consequences of an investment in a Fund in light of each shareholder's particular tax situation. Shareholders should also consult their own tax advisors about consequences under foreign, state, local or other applicable tax laws.
WITHHOLDING ON DISTRIBUTIONS TO FOREIGN INVESTORS
Dividend distributions (including distributions derived from short-term capital gains) are in general subject to a U.S. withholding tax of 31% when paid to a nonresident alien individual, foreign estate or trust, a foreign corporation, or a foreign partnership ("foreign shareholder"). Persons who are resident in a country, such as the U.K., that has an income tax treaty with the U.S. may be eligible for a reduced withholding rate (upon filing of appropriate forms), and are urged to consult their tax advisors regarding the applicability and effect of such a treaty. Distributions of net long-term capital gains to a foreign shareholder, and any gain realized upon the sale of Fund shares by such a shareholder will ordinarily not be subject to U.S. taxation, unless the recipient or seller is a nonresident alien individual who is present in the United States for more than 182 days during the taxable year. However, foreign shareholders with respect to whom income from a Fund is "effectively connected" with a U.S. trade or business carried on by such shareholder will in general be subject to U.S. federal income tax on the income derived from the Fund at the graduated rates applicable to U.S. citizens, residents or domestic corporations, whether received in cash or reinvested in shares, and, in the case of a foreign corporation, may also be subject to a branch profits tax. Again, foreign shareholders who are resident in a country with an income tax treaty with the United States may obtain different tax results, and are urged to consult their tax advisors.
FOREIGN TAX CREDITS
If, at the end of the fiscal year, more than 50% of the total assets of any Fund is represented by stock of foreign corporations, the Fund intends to make an election with respect to the relevant Fund which allows shareholders whose income from the Fund is subject to U.S. taxation at the graduated rates applicable to U.S. citizens, residents or domestic corporations to claim a foreign tax credit or deduction (but not both) on their U.S. income tax return. In such case, the amounts of foreign income taxes paid by the Fund would be treated as additional income to Fund shareholders from non-U.S. sources and as foreign taxes paid by Fund shareholders. Investors should consult their tax advisors for further information relating to the foreign tax credit and deduction, which are subject to certain restrictions and limitations. Shareholders of any of the International Funds whose income from the Fund is not subject to U.S. taxation at the graduated rates applicable to U.S. citizens, residents or domestic corporations may receive substantially different tax treatment of distributions by the relevant Fund, and may be disadvantaged as a result of the election described in this paragraph.
LOSS OF REGULATED INVESTMENT COMPANY STATUS
A Fund may experience particular difficulty qualifying as a regulated investment company in the case of highly unusual market movements, in the case of high redemption levels and/or during the first year of its operations. If the Fund does not qualify for taxation as a regulated investment company for any taxable year, the Fund's income will be taxed at the Fund level at regular corporate rates, and all distributions from earnings and profits, including distributions of net long-term capital gains, will be taxable to shareholders as ordinary income and subject to withholding in the case of non-U.S. shareholders. In addition, in order to requalify for taxation as a regulated investment company, the Fund may be required to recognize unrealized gains, pay taxes on such gains, and make certain distributions.
MANAGEMENT OF THE TRUST
Each Fund is advised and managed by Grantham, Mayo, Van Otterloo & Co.,
40 Rowes Wharf, Boston, Massachusetts 02110 (the "Manager") which provides
investment advisory services to a substantial number of institutional and other
investors, including one other registered investment company. Each of the
following four general partners holds a greater than 5% interest in the Manager:
R. Jeremy Grantham, Richard A. Mayo, Eyk H.A. Van Otterloo and Kingsley Durant.
Under separate Management Contracts with the Trust, the Manager selects and reviews each Fund's investments and provides executive and other personnel for the management of the Trust. Pursuant to the Trust's Agreement and Declaration of Trust, the Board of Trustees supervises the affairs of the Trust as conducted by the Manager. In the event that the Manager ceases to be the manager of any Fund, the right of the Trust to use the identifying name "GMO" may be withdrawn.
The Manager has entered into a Consulting Agreement (the "Consulting Agreement") with Dancing Elephant, Ltd., 1936 University Avenue, Berkeley, California 94704 (the "Consultant), with respect to the management of the portfolio of the Emerging Markets Fund. The Consultant is wholly-owned by Mr. Arjun Divecha. Under the Consulting Agreement, the Manager pays the Consultant a monthly fee at an annual rate equal to the greater of 0.50% of the Fund's average daily net assets or $500,000. The Consultant may from time to time waive all or a portion of its fee. Payments made by the Manager to the Consultant will not affect the amounts payable by the Fund to the Manager or the Fund's expense ratio.
Each Management Contract provides for payment to the Manager of a monthly fee at the stated annual rates set forth under Schedule of Fees and Expenses. While the fee paid to the Manager by each of the Fundamental Value Fund, the International Core Fund, the Currency Hedged International Core Fund, the Foreign Fund, the International Small Companies Fund, the Japan Fund and the Emerging Markets Fund is higher than that paid by most funds, each is comparable to the fees paid by many funds with similar investment objectives. In addition, with respect to each Fund, the Manager has voluntarily agreed to waive its fee and to bear certain expenses until further notice in order to limit each Fund's annual expenses to specified limits (with certain exclusions). These limits and the terms applicable to them are described under Schedule of Fees and Expenses.
During the fiscal year ended February 28, 1995, the Manager received, as compensation for advisory services rendered in such year (after waiver), the percentages of each Fund's average net assets as set forth below:
Fund % of Average Net Assets Core Fund 0.45% Tobacco-Free Core Fund 0.23% Value Allocation Fund 0.56% Growth Allocation Fund 0.42% U.S. Sector Allocation Fund 0.40% Core II Secondaries Fund 0.39% Fundamental Value Fund 0.68% International Core Fund 0.61% International Small Companies Fund 0.47% Japan Fund 0.72% Emerging Markets Fund 1.00% Global Hedged Equity Fund 0.62% Domestic Bond Fund 0.19% Short-Term Income Fund 0.06% International Bond Fund 0.19% Currency Hedged International Bond Fund 0.31% Emerging Country Debt Fund 0.42% |
Mr. R. Jeremy Grantham, Mr. Christopher Darnell and Ms. Jody Shuman Meslin are primarily responsible for the day-to-day management of the portfolio of each of the Core Fund, the Tobacco-Free Core Fund, the Growth Allocation Fund, the U.S. Sector Allocation Fund, and the Core II Secondaries Fund. Each has served in this capacity for more than five years. Mr. William L. Nemerever and Mr. Thomas F. Cooper are primarily responsible for the day-to-day management of the Fixed Income Funds other than the Global Hedged Equity Fund. Each of Messrs. Nemerever and Cooper has served in this capacity since the inception of all of these Funds except the Short-Term Income Fund. Messrs. Nemerever and Cooper have served as the managers of the Short-Term Income Fund since 1993. Prior to 1993, the Short-Term Income Fund was managed by Mr. Robert Brokaw. Mr. Richard A. Mayo has been primarily responsible for the day-to-day management of the portfolio of the Fundamental Value Fund since the inception of the Fund. Mr. Mayo and Mr. Christopher Darnell have been primarily responsible for the day-to-day management of the portfolio of the Value Allocation Fund since the inception of the Fund. Mr. Grantham, Mr. Darnell, Mr. Forrest Berkley and Ms. Doris Chu have been primarily responsible for the day-to-day management of the portfolio of each of the Currency Hedged International Core Fund, the International Small Companies Fund, the Japan Fund and the Global Hedged Equity Fund since inception of the Funds and have served as managers of the International Core Fund for the last six years. Mr. Arjun Bhagwan Divecha has been primarily responsible for the day-to-day management of the portfolio of the Emerging Markets Fund since the inception of the Fund. Day-to-day management of the portfolio of the Foreign Fund is the responsibility of a committee and no person or persons is primarily responsible for making recommendations to that committee.
Mr. Grantham and Mr. Mayo are both founding partners of the Manager and have been employed by the Manager in equity and fixed-income portfolio management since its inception in 1977. Mr. Grantham serves as President - Domestic Quantitative and Mr. Mayo serves as President - Domestic Active of the Trust. Ms. Meslin has been employed by the Manager principally in equity portfolio management for more than ten years. Mr. Darnell has been employed by the Manager since 1979 and has been involved in equity portfolio management for more than ten years. Mr. Berkley and Ms. Chu have each been employed by the Manager for more than eight years and have each been involved in portfolio management (principally of international equities) for more than six years. Mr. Nemerever and Mr. Cooper have been employed by the Manager in fixed-income portfolio management since October, 1993. For the five years prior to October, 1993, Mr. Nemerever was employed by Boston International Advisors and Fidelity Management Trust Company in fixed-income portfolio management. For the five years prior to October, 1993, Mr. Cooper was employed by Boston International Advisors, Goldman Sachs Asset Management and Western Asset Management in fixed-income portfolio management. Mr. Divecha is the sole shareholder and President of the Consultant which he began to organize in September 1993. From 1981 until September 1993, Mr. Divecha was employed by BARRA and during this period he was involved in equity portfolio management for more than five years.
Shareholders could, under certain circumstances, be held personally liable for the obligations of the Trust. However, the risk of a shareholder incurring financial loss on account of that liability is considered remote since it may arise only in very limited circumstances.
ORGANIZATION AND CAPITALIZATION
OF THE TRUST
The Trust was established on June 24, 1985 as a business trust under Massachusetts law. The Trust has an unlimited authorized number of shares of beneficial interest which may, without shareholder approval, be divided into an unlimited number of series of such shares, and which are presently divided into thirty-two series of shares: one for each Fund, one for the Pelican Fund and one for each of the REIT Fund and the Conservative Equity Fund which are both currently inactive. All shares of all series are entitled to vote at any meetings of shareholders. The Trust does not generally hold annual meetings of shareholders and will do so only when required by law. All shares entitle their holders to one vote per share. Matters submitted to shareholder vote must be approved by each Fund separately except (i) when required by the 1940 Act shares shall be voted together as a single class and (ii) when the Trustees have determined that the matter does not affect a Fund, then only shareholders of the Fund(s) affected shall be entitled to vote on the matter. [SHAREHOLDERS OF A PARTICULAR CLASS OF SHARES DO NOT HAVE SEPARATE CLASS VOTING RIGHTS EXCEPT WITH RESPECT TO MATTERS THAT AFFECT ONLY THAT CLASS OF SHARES OR AS OTHERWISE REQUIRED BY LAW.] Shares are freely transferable, are entitled to dividends as declared by the Trustees, and, in liquidation of the Trust, are entitled to receive the net assets of their Fund, but not of any other Fund. Shareholders holding a majority of the outstanding shares of all series may remove Trustees from office by votes cast in person or by proxy at a meeting of shareholders or by written consent.
On February 29, 1996, the following shareholders held greater than 25% of the outstanding shares of the series noted below:
Fund Shareholders
Value Allocation Fund Leland Stanford Junior University, III
Tobacco-Free Core Fund Dewitt Wallace - Reader's Digest Fund, Inc.; Lila
Wallace - Reader's Digest Fund, Inc.
U.S. Sector Allocation Fund John D. MacArthur &
Catherine T. MacArthur
Foundation
Fundamental Value Fund Yale University; Leland
Stanford Junior
University II
Japan Fund International Monetary Staff
Retirement Fund
Domestic Bond Fund Bankers Trust Company as
Trustee, GTE Service Corp. Pension Trust
Short-Term Income Fund Cormorant Fund; MJH Foundation
Currency Hedged Bankers Trust Company as
International Bond Fund Trustee, GTE Service Corp.
Pension Trust
Global Hedged Equity Fund Bankers Trust Company as
Trustee, GTE Service
Corp. Pension Trust
Currency Hedged Inter-
national Core Fund Howard Hughes Medical Institute
Global Bond Fund Nazareth College of Rochester
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As a result, such shareholders may be deemed to "control" their respective series as such term is defined in the 1940 Act.
(1-617-330-7500)
APPENDIX A
RISKS AND LIMITATIONS OF OPTIONS, FUTURES AND SWAPS
Limitations on the Use of Options and Futures Portfolio Strategies. As noted in "Descriptions and Risks of Fund Investment Practices--Futures and Options" above, the Funds may use futures contracts and related options for hedging and, in some circumstances, for risk management or investment but not for speculation. Thus, except when used for risk management or investment, each such Fund's long futures contract positions (less its short positions) together with the Fund's cash (i.e., equity or fixed income) positions will not exceed the Fund's total net assets.
The Funds' ability to engage in the options and futures strategies described above will depend on the availability of liquid markets in such instruments. Markets in options and futures with respect to currencies are relatively new and still developing. It is impossible to predict the amount of trading interest that may exist in various types of options or futures. Therefore no assurance can be given that a Fund will be able to utilize these instruments effectively for the purposes set forth above. Furthermore, each Fund's ability to engage in options and futures transactions may be limited by tax considerations.
Risk Factors in Options Transactions. The option writer has no control over when the underlying securities or futures contract must be sold, in the case of a call option, or purchased, in the case of a put option, since the writer may be assigned an exercise notice at any time prior to the termination of the obligation. If an option expires unexercised, the writer realizes a gain in the amount of the premium. Such a gain, of course, may, in the case of a covered call option, be offset by a decline in the market value of the underlying security or futures contract during the option period. If a call option is exercised, the writer realizes a gain or loss from the sale of the underlying security or futures contract. If a put option is exercised, the writer must fulfill the obligation to purchase the underlying security or futures contract at the exercise price, which will usually exceed the then market value of the underlying security or futures contract.
An exchange-traded option may be closed out only on a national securities
exchange ("Exchange") which generally provides a liquid secondary market for an
option of the same series. An over-the-counter option may be closed out only
with the other party to the option transaction. If a liquid secondary market for
an exchange-traded option does not exist, it might not be possible to effect a
closing transaction with respect to a particular option with the result that the
Fund holding the option would have to exercise the option in order to realize
any profit. For example, in the case of a written call option, if the Fund is
unable to effect a closing purchase transaction in a secondary market (in the
case of a listed option) or with the purchaser of the option (in the case of an
over-the- counter-option), the Fund will not be able to sell the underlying
security (or futures contract) until the option expires or it delivers the
underlying security (or futures contract) upon exercise. Reasons for the absence
of a liquid secondary market on an Exchange include the following: (i) there may
be insufficient trading interest in certain options; (ii) restrictions may be
imposed by an Exchange on opening transactions or closing transactions or both;
(iii) trading halts, suspensions or other restrictions may be imposed with
respect to particular classes or series of options or underlying securities;
(iv) unusual or unforeseen circumstances may interrupt normal operations on an
Exchange; (v) the facilities of an Exchange or the Options Clearing Corporation
may not at all times be adequate to handle current trading volume; or (vi) one
or more Exchanges could, for economic or other reasons, decide or be compelled
at some future date to discontinue the trading of options (or a particular class
or series of options), in which event the secondary market on that Exchange (or
in that class or series of options) would cease to exist, although outstanding
options on that Exchange that had been issued by the Options Clearing
Corporation as a result of trades on that Exchange should continue to be
exercisable in accordance with their terms.
The Exchanges have established limitations governing the maximum number of options which may be written by an investor or group of investors acting in concert. It is possible that the Funds, the Manager and other clients of the Manager may be considered to be such a group. These position limits may restrict a Fund's ability to purchase or sell options on a particular security.
The amount of risk a Fund assumes when it purchases an option is the premium paid for the option plus related transaction costs. In addition to the correlation risks discussed below, the purchase of an option also entails the risk that changes in the value of the underlying security or futures contract will not be fully reflected in the value of the option purchased.
Risk Factors in Futures Transactions. Investment in futures contracts involves risk. If the futures are used for hedging, some of that risk may be caused by an imperfect correlation between movements in the price of the futures contract and the price of the security or currency being hedged. The correlation is higher between price movements of futures contracts and the instrument underlying that futures contract. The correlation is lower when futures are used to hedge securities other than such underlying instrument, such as when a futures contract on an index of securities is used to hedge a single security, a futures contract on one security (e.g., U.S. Treasury bonds) is used to hedge a different security (e.g., a mortgage-backed security) or when a futures contract in one currency (e.g., the German Mark) is used to hedge a security denominated in another currency (e.g., the Spanish Peseta). In the event of an imperfect correlation between a futures position and a portfolio position (or anticipated position) which is intended to be protected, the desired protection may not be obtained and a Fund may be exposed to risk of loss. In addition, it is not always possible to hedge fully or perfectly against currency fluctuations affecting the value of the securities denominated in foreign currencies because the value of such securities also is likely to fluctuate as a result of independent factors not related to currency fluctuations. The risk of imperfect correlation generally tends to diminish as the maturity date of the futures contract approaches.
A hedge will not be fully effective where there is such imperfect correlation. To compensate for imperfect correlations, a Fund may purchase or sell futures contracts in a greater amount than the hedged securities if the volatility of the hedged securities is historically greater than the volatility of the futures contracts. Conversely, a Fund may purchase or sell fewer contracts if the volatility of the price of the hedged securities is historically less than that of the futures contract.
As noted in the Prospectus, a Fund may also purchase futures contracts (or options thereon) as an anticipatory hedge against a possible increase in the price of currency in which is denominated the securities the Fund anticipates purchasing. In such instances, it is possible that the currency may instead decline. If the Fund does not then invest in such securities because of concern as to possible further market and/or currency decline or for other reasons, the Fund may realize a loss on the futures contract that is not offset by a reduction in the price of the securities purchased.
The liquidity of a secondary market in a futures contract may be adversely affected by "daily price fluctuation limits" established by commodity exchanges which limit the amount of fluctuation in a futures contract price during a single trading day. Once the daily limit has been reached in the contract, no trades may be entered into at a price beyond the limit, thus preventing the liquidation of open futures positions. Prices have in the past exceeded the daily limit on a number of consecutive trading days. Short positions in index futures may be closed out only by entering into a futures contract purchase on the futures exchange on which the index futures are traded.
The successful use of transactions in futures and related options for hedging and risk management also depends on the ability of the Manager to forecast correctly the direction and extent of exchange rate, interest rate and stock price movements within a given time frame. For example, to the extent interest rates remain stable during the period in which a futures contract or option is held by a Fund investing in fixed income securities (or such rates move in a direction opposite to that anticipated), the Fund may realize a loss on the futures transaction which is not fully or partially offset by an increase in the value of its portfolio securities. As a result, the Fund's total return for such period may be less than if it had not engaged in the hedging transaction.
Unlike trading on domestic commodity exchanges, trading on foreign commodity exchanges is not regulated by the CFTC and may be subject to greater risks than trading on domestic exchanges. For example, some foreign exchanges may be principal markets so that no common clearing facility exists and a trader may look only to the broker for performance of the contract. In addition, unless a Fund hedges against fluctuations in the exchange rate between the U.S. dollar and the currencies in which trading is done on foreign exchanges, any profits that a Fund might realized in trading could be eliminated by adverse changes in the exchange rate, or the Fund could incur losses as a result of those changes.
Risk Factors in Swap Contracts, OTC Options and other Two-Party Contracts. A Fund may only close out a swap, contract for differences, cap floor or collar or OTC option, with the particular counterparty. Also, if the counterparty defaults, a Fund will have contractual remedies pursuant to the agreement related to the transaction, but there is no assurance that contract counterparties will be able to meet their obligations pursuant to such contracts or that, in the event of default, a Fund will succeed in pursuing contractual remedies. The Fund thus assumes the risk that it may be delayed or prevented from obtaining payments owed to it pursuant to swap contracts. The Manager will closely monitor subject to the oversight of the Trustees, the creditworthiness of contract counterparties and a Fund will not enter into any swaps, caps, floors or collars, unless the unsecured senior debt or the claims-paying ability of the other party thereto is rated at least A by Moody's Investors Service or Standard and Poor's Corporation at the time of entering into such transaction or if the counterparty has comparable credit as determined by the Manager. However, the credit of the counterparty may be adversely affected by larger-than-average volatility in the markets, even if the counterparty's net market exposure is small relative to its capital. The management of caps, floors, collars and swaps may involve certain difficulties because the characteristics of many derivatives have not been observed under all market conditions or through a full market cycle.
Additional Regulatory Limitations on the Use of Futures and Related Options, Interest Rate Floors, Caps and Collars and Interest Rate and Currency Swap Contracts. In accordance with CFTC regulations, investments by any Fund as provided in the Prospectus in futures contracts and related options for purposes other than bona fide hedging are limited such that the aggregate amount that a Fund may commit to initial margin on such contracts or premiums on such options may not exceed 5% of that Fund's net assets.
The Manager and the Trust do not believe that the Fund's respective obligations under equity swap contracts, reverse equity swap contracts or Index Futures are senior securities and, accordingly, the Fund will not treat them as being subject to its borrowing restrictions. However, the net amount of the excess, if any, of the Fund's obligations over its entitlements with respect to each equity swap contract will be accrued on a daily basis and an amount of cash, U.S. Government Securities or other high grade debt obligations having an aggregate market value at least equal to the accrued excess will be maintained in a segregated account by the Fund's custodian. Likewise, when a Fund takes a short position with respect to an Index Futures contract the position must be covered or the Fund must maintain at all times while that position is held by the Fund, cash, U.S. government securities or other high grade debt obligations in a segregated account with its custodian, in an amount which, together with the initial margin deposit on the futures contract, is equal to the current delivery or cash settlement value.
The use of unsegregated futures contracts, related written options, interest rate floors, caps and collars and interest rate and currency swap contracts for risk management by a Fund permitted to engage in any or all of such practices is limited to no more than 10% of a Fund's total net assets when aggregated with such Fund's traditional borrowings in accordance with SEC pronouncements. This 10% limitation applies to the face amount of unsegregated futures contracts and related options and to the amount of a Fund's net payment obligation that is not segregated against in the case of interest rate floors, caps and collars and interest rate and currency swap contracts.
APPENDIX B
COMMERCIAL PAPER AND CORPORATE DEBT RATINGS
COMMERCIAL PAPER RATINGS
Commercial paper ratings of Standard & Poor's Corporation ("Standard & Poor's") are current assessments of the likelihood of timely payment of debts having original maturities of no more than 365 days. Commercial paper rated A-1 by Standard & Poor's indicates that the degree of safety regarding timely payment is either overwhelming or very strong. Those issues determined to possess overwhelming safety characteristics are denoted A-1+. Commercial paper rated A-2 by Standard and Poor's indicates that capacity for timely payment on issues is strong. However, the relative degree of safety is not as high as for issues designated A-1. Commercial paper rated A-3 indicates capacity for timely payment. It is, however, somewhat more vulnerable to the adverse effects of changes in circumstances than obligations carrying the higher designations.
The rating Prime-1 is the highest commercial paper rating assigned by Moody's Investors Service, Inc. ("Moody's"). Issuers rated Prime-1 (or related supporting institutions) are considered to have a superior capacity for repayment of short-term promissory obligations. Issuers rated Prime-2 (or related supporting institutions) have a strong capacity for repayment of short-term promissory obligations. This will normally be evidenced by many of the characteristics of Prime-1 rated issuers, but to a lesser degree. Earnings trends and coverage ratios, while sound, will be more subject to variations. Capitalization characteristics, while still appropriate, may be more affected by external conditions. Ample alternative liquidity is maintained. Issuers rated Prime-3 have an acceptable capacity for repayment of short-term promissory obligations. The effect of industry characteristics and market composition may be more pronounced. Variability in earnings and profitability may result in changes in the level of debt protection measurements and the requirement of relatively high financial leverage. Adequate alternate liquidity is maintained.
CORPORATE DEBT RATINGS
Standard & Poor's Corporation. A Standard & Poor's corporate debt rating is a current assessment of the creditworthiness of an obligor with respect to a specific obligation. The following is a summary of the ratings used by Standard & Poor's for corporate debt:
AAA - This is the highest rating assigned by Standard & Poor's to a debt obligation and indicates an extremely strong capacity to pay interest and repay principal. AA - Bonds rated AA also qualify as high quality debt obligations. Capacity to pay interest and repay principal is very strong, and in the majority of instances they differ from AAA issues only in small degree.
A - Bonds rated A have a strong capacity to pay interest and repay principal, although they are somewhat more susceptible to the adverse effects of changes in circumstances and economic conditions.
BBB - Bonds rated BBB are regarded as having an adequate capacity to pay interest and repay principal. Whereas they normally exhibit adequate protection parameters, adverse economic conditions or changing circumstances are more likely to lead to a weakened capacity to repay principal and pay interest for bonds in this category than for bonds in higher rated categories.
BB, B, CCC, CC - Bonds rated BB, B, CCC and CC are regarded, on balance, as predominately speculative with respect to capacity to pay interest and repay principal in accordance with the terms of the obligation. BB indicates the lowest degree of speculation and CC the highest degree of speculation. While such bonds will likely have some quality and protective characteristics, these are outweighed by large uncertainties or major risk exposures to adverse conditions.
C - The rating C is reserved for income bonds on which no interest is being paid.
D - Bonds rated D are in default, and payment of interest and/or repayment of principal is in arrears.
Plus (+) or Minus (-): The ratings from "AA" to "B" may be modified by the addition of a plus or minus sign to show relative standing within the major rating categories.
Moody's Investors Service, Inc. The following is a summary of the ratings used by Moody's Investor Services, Inc. for corporate debt:
AAA - Bonds that are rated Aaa are judged to be of the best quality. They carry the smallest degree of investment risk and are generally referred to as "gilt edge." Interest payments are protected by a large, or by an exceptionally stable, margin, and principal is secure. While the various protective elements are likely to change, such changes as can be visualized are most unlikely to impair the fundamentally strong position of such issues.
AA - Bonds that are rated Aa are judged to be high quality by all standards. Together with the Aaa group they comprise what are generally known as high grade bonds. They are rated lower than the best bonds because margins of protection may not be as large as in Aaa securities or fluctuation of protective elements may be of greater amplitude or there may be other elements present that make the long-term risks appear somewhat larger than in Aaa securities.1
A - Bonds that are rated A possess many favorable investment attributes and are to be considered as upper medium grade obligations. Factors giving security to principal and interest are considered adequate, but elements may be present that suggest a susceptibility to impairment sometime in the future.1
BAA - Bonds that are rated Baa are considered as medium grade obligations; i.e., they are neither highly protected nor poorly secured. Interest payments and principal security appear adequate for the present, but certain protective elements may be lacking or may be characteristically unreliable over any great length of time. Such bonds lack outstanding investment characteristics and, in fact, have speculative characteristics as well.
BA - Bonds which are rated Ba are judged to have speculative elements; their future cannot be considered as well assured. Often, the protection of interest and principal payments may be very moderate, and thereby not well safeguarded during both good and bad times over the future. Uncertainty of position characterizes bonds in this class.
B - Bonds which are rated B generally lack characteristics of the desirable investment. Assurance of interest and principal payments or of maintenance of other terms of the contract over any long period of time may be small.
CAA - Bonds which are rated Caa are of poor standing. Such issues may be in default or there may be present elements of danger with respect to principal or interest.
CA - Bonds which are rated Ca represent obligations which are speculative in a high degree. Such issues are often in default or have other marked shortcomings.
C - Bonds which are rated C are the lowest rated class of bonds, and issues so rated can be regarded as having extremely poor prospects of ever attaining any real investment standing.
Should no rating be assigned by Moody's, the reason may be one of the following:
1. An application for rating was not received or accepted.
2. The issue or issuer belongs to a group of securities
that are not rated as a matter of policy.
3. There is lack of essential data pertaining to the issue
or issuer.
4. The issue was privately placed in which case the rating is not published in Moody's publications.
Suspension or withdrawal may occur if new and material circumstances arise, the effects of which preclude satisfactory analysis; if there is no longer available reasonable up-to-date data to permit a judgment to be formed; if a bond is called for redemption; or for other reasons.
Note: Those bonds in the Aa, A, Baa, Ba and B groups which Moody's believes possess the strongest investment attributes are designated by the symbols 1Aa1, A1, Baa1, and B1.
GMO TRUST
STATEMENT OF ADDITIONAL INFORMATION
May 27, 1996
This Statement of Additional Information is not a prospectus. This Statement of Additional Information relates to the Prospectus dated May 27, 1996, as amended from time to time and should be read in conjunction therewith. A copy of the Prospectus may be obtained from GMO Trust, 40 Rowes Wharf, Boston, Massachusetts 02110.
Table of Contents
Caption Page
INVESTMENT OBJECTIVE AND POLICIES.............................................1
MISCELLANEOUS INVESTMENT PRACTICES............................................1
INVESTMENT RESTRICTIONS.......................................................2
INCOME, DIVIDENDS, DISTRIBUTIONS AND TAX STATUS...............................5
MANAGEMENT OF THE TRUST.......................................................6
INVESTMENT ADVISORY AND OTHER SERVICES........................................8
PORTFOLIO TRANSACTIONS.......................................................12
DESCRIPTION OF THE TRUST AND OWNERSHIP OF SHARES.............................14
FINANCIAL STATEMENTS.........................................................26
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INVESTMENT OBJECTIVE AND POLICIES
The investment objectives and policies of each Fund are described in the Prospectus. Unless otherwise indicated in the Prospectus or this Statement of Additional Information, the investment objective and policies of the Funds may be changed without shareholder approval.
MISCELLANEOUS INVESTMENT PRACTICES
Index Futures. As stated in the Prospectus under the heading "Descriptions and Risks of Fund Investment Practices -- Futures and Options," each of the Funds may purchase futures contracts on various securities indices ("Index Futures"). As indicated in the Prospectus, an Index Future is a contract to buy or sell an integral number of units of the particular stock index at a specified future date at a price agreed upon when the contract is made. A unit is the value from time to time of the relevant index. Entering into a contract to buy units is commonly referred to as buying or purchasing a contract or holding a long position in the relevant index.
For example, if the value of a unit of a particular index were $1,000, a contract to purchase 500 units would be worth $500,000 (500 units x $1,000). The Index Futures contract specifies that no delivery of the actual stocks making up the index will take place. Instead, settlement in cash must occur upon the termination of the contract, with the settlement being the difference between the contract price and the actual level of the relevant index at the expiration of the contract. For example, if a Fund enters into one futures contract to buy 500 units of an index at a specified future date at a contract price of $1,000 per unit and the index is at $1,010 on that future date, the Fund will gain $5,000 (500 units x gain of $10).
Index Futures in which a Fund may invest typically can be traded through all major commodity brokers and trades are currently effected on the exchanges described in the Prospectus. A Fund may close open positions on the futures exchange on which Index Futures are then traded at any time up to and including the expiration day. All positions which remain open at the close of the last business day of the contract's life are required to settle on the next business day (based upon the value of the relevant index on the expiration day) with settlement made, in the case of S&P 500 Index Futures, with the Commodities Clearing House. Because the specific procedures for trading foreign stock Index Futures on futures exchanges are still under development, additional or different margin requirements as well as settlement procedures may be applicable to foreign stock Index Futures at the time a Fund purchases foreign stock Index Futures.
The price of Index Futures may not correlate perfectly with movement in the relevant index due to certain market distortions. First, all participants in the futures market are subject to margin deposit and maintenance requirements. Rather than meeting additional margin
deposit requirements, investors may close futures contracts through offsetting transactions which could distort the normal relationship between the S&P 500 Index and futures markets. Secondly, the deposit requirements in the futures market are less onerous than margin requirements in the securities market, and as a result the futures market may attract more speculators than does the securities market. Increased participation by speculators in the futures market may also cause temporary price distortions. In addition, trading hours for foreign stock Index Futures may not correspond perfectly to hours of trading on the foreign exchange to which a particular foreign stock Index Future relates. This may result in a disparity between the price of Index Futures and the value of the relevant index due to the lack of continuous arbitrage between the Index Futures price and the value of the underlying index.
INVESTMENT RESTRICTIONS
Without a vote of the majority of the outstanding voting securities of the relevant Fund, the Trust will not take any of the following actions with respect to any Fund:
(1) Borrow money except under the following circumstances: (i) Each Fund may borrow money from banks so long as after such a transaction, the net assets (including the amount borrowed) of such Fund exceed all liabilities and indebtedness by 200%; (ii) Each Fund may also borrow an additional 5% of its total assets without regard to the foregoing limitation for temporary purposes, such as for the clearance and settlement of portfolio transactions and to meet shareholder redemption request; (iii) Each Fund may enter into transactions that are technically loans under the 1940 Act because they involve the sale of a security coupled with an agreement to repurchase that securuity (e.g., reverse repurchase agreements, dollar rolls and other similar investment techniques) without regard to the asset coverage restriction described in (i) above, so long as and to the extent that a Fund establishes a segregated account with its custodian in which it maintains cash and/or high grade debt securities equal in value to its obligations in respect of these transactions.
(2) Purchase securities on margin, except such short-term credits as may be necessary for the clearance of purchases and sales of securities. (For this purpose, the deposit or payment of initial or variation margin in connection with futures contracts or related options transactions is not considered the purchase of a security on margin.)
(3) Make short sales of securities or maintain a short position for the Fund's account unless at all times when a short position is open the Fund owns an equal amount of such securities or owns securities which, without payment of any further consideration, are convertible into or exchangeable for securities of the same issue as, and equal in amount to, the securities sold short.
(4) Underwrite securities issued by other persons except to the extent that, in connection with the disposition of its portfolio investments, it may be deemed to be an underwriter under federal securities laws.
(5) Purchase or sell real estate, although it may purchase securities of issuers which deal in real estate, including securities of real estate investment trusts, and may purchase securities which are secured by interests in real estate.
(6) Make loans, except by purchase of debt obligations or by entering into repurchase agreements or through the lending of the Fund's portfolio securities. Loans of portfolio securities may be made with respect to up to 100% of a Fund's total assets in the case of each Fund (except the International Core and Currency Hedged International Core Funds), and with respect to not more than 25% of total assets in the case of each of the International Core and Currency Hedged International Core Funds.
(7) Invest in securities of any issuer if, to the knowledge of the Trust, officers and Trustees of the Trust and officers and partners of Grantham, Mayo, Van Otterloo & Co. (the "Manager") who beneficially own more than 1/2 of 1% of the securities of that issuer together beneficially own more than 5%.
(8) Concentrate more than 25% of the value of its total assets in any one industry (except that, as described in the Prospectus, the Short-Term Income Fund may invest up to 100% of its assets in obligations issued by banks, and the REIT Fund may invest more than 25% of its assets in real estate-related securities).
(9) Purchase or sell commodities or commodity contracts, except that the Funds (other than the Short-Term Income Fund) may purchase and sell financial futures contracts and options thereon.
(10) Issue senior securities, as defined in the 1940 Act and as amplified by rules, regulations and pronouncements of the SEC. Under appropriate circumstances, the SEC takes the position that none of the following is deemed to be a senior security: any swap contract or contract for differences; any pledge or encumbrance of assets permitted by restriction 2 above; any borrowing permitted by restriction 1 above; any collateral arrangements with respect to initial and variational margin; and the purchase or sale of options, forward contracts, futures contracts or options on futures contracts.
Notwithstanding the latitude permitted by Restrictions 1, 2, 4 and 6 above, no Fund has any current intention of (a) borrowing money, (b) entering into short sales or (c) with the exception of the REIT Fund, investing in real estate investment trusts.
It is contrary to the present policy of all the Funds, which may be changed by the Trustees without shareholder approval, to:
(a) Invest in warrants or rights excluding options (other than warrants or rights acquired by the Fund as a part of a unit or attached to securities at the time of purchase) except that the International Funds (other than the International Bond Fund) may invest in such warrants or rights so long as the aggregate value thereof (taken at the lower of cost or market) does not exceed 5% of the value of the Fund's total net assets; provided that within this 5%, not more than 2% of its net assets may be invested in warrants that are not listed on the New York or American Stock Exchange or a recognized foreign exchange.
(b) Invest in securities of an issuer, which, together with any predecessors or controlling persons, has been in operation for less than three consecutive years if, as a result, the aggregate of such investments would exceed 5% of the value of the Fund's net assets; except that this restriction shall not apply to any obligation of the U.S. Government or its instrumentalities or agencies; and except that this restriction shall not apply to the investments of the Japan Fund.
(c) Buy or sell oil, gas or other mineral leases, rights or royalty contracts.
(d) Make investments for the purpose of gaining control of a company's management.
(e) Invest in (i) securities which at the time of such investment are not readily marketable, (ii) securities the disposition of which is restricted under the federal securities laws, and (iii) repurchase agreements maturing in more than seven days if, as a result, more than 15% (or such lower percentage permitted by the states in which shares are eligible for sale) (taken at current value) would then be invested in securities described in (i), (ii) and (iii) above.
(f) Pledge, hypothecate, mortgage or otherwise encumber its assets in excess of 331/3% of the Fund's total assets (taken at cost). (For the purposes of this restriction, collateral arrangements with respect to swap agreements, the writing of options, stock index, interest rate, currency or other futures, options on futures contracts and collateral arrangements with respect to initial and variation margin are not deemed to be a pledge or other encumbrance of assets. The deposit of securities or cash or cash equivalents in escrow in connection with the writing of covered call or put options, respectively is not deemed to be a pledge or encumbrance.)
Except as indicated above in Restriction No. 1, all percentage limitations on investments set forth herein and in the Prospectus will apply at the time of the making of an investment and shall not be considered violated unless an excess or deficiency occurs or exists immediately after and as a result of such investment.
The phrase "shareholder approval," as used in the Prospectus, and the phrase "vote of a majority of the outstanding voting securities," as used herein with respect to a Fund, means the affirmative vote of the lesser of (1) more than 50% of the outstanding shares of that Fund, or (2) 67% or more of the shares of that Fund present at a meeting if more than 50% of the outstanding shares are represented at the meeting in person or by proxy.
INCOME, DIVIDENDS, DISTRIBUTIONS AND TAX STATUS
Each Fund intends to qualify each year as a regulated investment
company under Subchapter M of the Internal Revenue Code of 1986, as amended (the
"Code"). In order to so qualify, the Fund must, among other things, (a) derive
at least 90% of its gross income from dividends, interest, payments with respect
to certain securities loans, and gains from the sale of stock, securities and
foreign currencies, or other income (including but not limited to gains from
options, futures or forward contracts) derived with respect to its business of
investing in such stock, securities or currencies; (b) derive less than 30% of
its gross income from gains from the sale or other disposition of securities and
certain other assets (including certain foreign currency contracts) held for
less than three months; (c) distribute at least 90% of its dividend, interest
and certain other income (including, in general, short-term capital gains) each
year; and (d) diversify its holdings so that, at the end of each fiscal quarter
(i) at least 50% of the market value of the Fund's assets is represented by cash
items, U.S. Government securities, securities of other regulated investment
companies, and other securities, limited in respect of any one issuer to a value
not greater than 5% of the value of the Fund's total assets and 10% of the
outstanding voting securities of such issuer, and (ii) not more than 25% of the
value of its assets is invested in the securities (other than those of the U.S.
Government or other regulated investment companies) of any one issuer or of two
or more issuers which the Fund controls and which are engaged in the same,
similar or related trades or businesses. So long as a Fund qualifies for
treatment as a regulated investment company, the Fund will not be subject to
federal income tax on income paid to its shareholders in the form of dividends
or capital gain distributions.
The tax status of each Fund and the distributions which it may make are summarized in the Prospectus under the heading "Taxes." Each Fund intends to pay out substantially all of its ordinary income and net short-term capital gains, and to distribute substantially all of its net capital gain, if any, after giving effect to any available capital loss carry-over. Net capital gain is the excess of net long-term capital gain over net short-term capital loss. It is the policy of each Fund to make distributions sufficient to avoid the imposition of a 4% excise tax on certain undistributed amounts. The recognition of certain losses upon the sale of shares of a Fund may be limited to the extent shareholders dispose of shares of one Fund and invest in shares of the same or another Fund.
The Funds' transactions in options, futures contracts, hedging transactions, forward contracts, straddles and foreign currencies may accelerate income, defer losses, cause
adjustments in the holding periods of the Funds' securities and convert short-term capital gains or losses into long-term capital gains or losses. Qualification segments noted above may restrict the Fund's ability to engage in these transactions, and these transactions may affect the amount, timing and character of distributions to shareholders.
Investment by the International Funds in certain "passive foreign investment companies" could subject a Fund to a U.S. federal income tax or other charge on distributions received from or the sale of its investment in such a company, which tax cannot be eliminated by making distributions to Fund shareholders. If the Fund elects to treat a passive foreign investment company as a "qualified electing fund," or elects the mark-to-market election under proposed regulation 1291.8, different rules would apply, although the Fund does not currently expect to be in the position to make such elections.
In general, all dividends derived from ordinary income and short-term capital gain are taxable to investors as ordinary income (subject to special rules concerning the extent of the dividends received deduction for corporations) and long-term capital gain distributions are taxable to investors as long-term capital gains, whether such dividends or distributions are received in shares or cash. Tax exempt organizations or entities will generally not be subject to federal income tax on dividends or distributions from a Fund, except certain organizations or entities, including private foundations, social clubs, and others, which may be subject to tax on dividends or capital gains. Each organization or entity should review its own circumstances and the federal tax treatment of its income.
The dividends-received deduction for corporations will generally apply to a Fund's dividends paid from investment income to the extent derived from dividends received by the Fund from domestic corporations.
Certain of the Funds which invest in foreign securities may be subject to foreign withholding taxes on income and gains derived from foreign investments. Such taxes would reduce the yield on the Trust's investments, but, as discussed in the Prospectus, may be taken as either a deduction or a credit by U.S. citizens and corporations if the Fund makes the election described in the Prospectus.
MANAGEMENT OF THE TRUST
The Trustees and officers of the Trust and their principal occupations during the past five years are as follows:
R. Jeremy Grantham*. President-Domestic Quantitative and Trustee of the Trust. Partner, Grantham, Mayo, Van Otterloo & Co. (investment adviser).
Harvey R. Margolis. Trustee of the Trust. Mathematics Professor, Boston College.
Eyk del Mol Van Otterloo*. President-International and Trustee of the
Trust. Partner, Grantham, Mayo,
Van Otterloo & Co.
Jay O. Light. Trustee of the Trust. Professor of Business Administration, Harvard University; Senior Assocate Dean, Harvard University (1988- 1992).
Richard Mayo*. President-Domestic Active of the Trust. Partner, Grantham, Mayo, Van Otterloo & Co.
Kingsley Durant*. Vice President, Treasurer and Secretary of the Trust. Partner, Grantham, Mayo, Van Otterloo & Co.
Susan Randall Harbert*. Secretary and Assistant Treasurer of the Trust. Partner, Grantham, Mayo, Van Otterloo & Co.
William R. Royer, Esq.*. Clerk of the Trust. General Counsel, Grantham, Mayo, Van Otterloo & Co. (January, 1995 - Present). Associate, Ropes & Gray, Boston, Massachusetts (September, 1992 - January, 1995).
*Deemed to be an "interested person" of the Trust and the Manager, as defined by the 1940 Act.
The mailing address of each of the officers and Trustees is c/o GMO Trust, 40 Rowes Wharf, Boston, Massachusetts 02110. The Trustees and officers of the Trust as a group own less than 1% of any class of outstanding shares of the Trust.
Except as stated above, the principal occupations of the officers and Trustees for the last five years have been with the employers as shown above, although in some cases they have held different positions with such employers.
The Manager pays the Trustees other than those who are interested persons an annual fee of $40,000. Harvey Margolis and Jay O. Light are currently the only Trustees who are not interested persons, and thus the only Trustees compensated directly by the Trust. No other Trustee receives any direct compensation from the Trust or any series thereof.
Messrs. Grantham, Van Otterloo, Mayo and Durant, as partners of the Manager, will benefit from the management fees paid by each Fund of the Trust.
INVESTMENT ADVISORY AND OTHER SERVICES
Management Contracts
As disclosed in the Prospectus under the heading "Management of the Fund," under separate Management Contracts (each a "Management Contract") between the Trust and Grantham, Mayo, Van Otterloo & Co. (the "Manager"), subject to such policies as the Trustees of the Trust may determine, the Manager will furnish continuously an investment program for each Fund and will make investment decisions on behalf of the Fund and place all orders for the purchase and sale of portfolio securities. Subject to the control of the Trustees, the Manager also manages, supervises and conducts the other affairs and business of the Trust, furnishes office space and equipment, provides bookkeeping and certain clerical services and pays all salaries, fees and expenses of officers and Trustees of the Trust who are affiliated with the Manager. As indicated under "Portfolio Transactions --Brokerage and Research Services," the Trust's portfolio transactions may be placed with broker-dealers which furnish the Manager, at no cost, certain research, statistical and quotation services of value to the Manager in advising the Trust or its other clients.
As is disclosed in the Prospectus, the Manager's compensation will be reduced to the extent that any Fund's annual expenses incurred in the operation of the Fund (including the management fee but excluding shareholder services fees, brokerage commissions, extraordinary expenses (including taxes), securities lending fees and expenses and transfer taxes; and, in the case of the Emerging Markets Fund, Emerging Country Debt Fund and Global Hedged Equity Fund, excluding custodial fees; and in the case of the Global Hedged Equity Fund only, also excluding hedging transaction fees) would exceed the percentage of the Fund's average daily net assets described therein. The Manager has also voluntarily agreed with respect to the Emerging Markets Fund that until further notice, it will limit its management fee with respect to this Fund to 0.83% regardless of the total operating expenses for such Fund. Because the Manager's compensation is fixed at an annual rate equal to this expense limitation, it is expected that the Manager will pay such expenses (with the exceptions noted) as they arise. In addition, the Manager's compensation under the Management Contract is subject to reduction to the extent that in any year the expenses of the relevant Fund exceed the limits on investment company expenses imposed by any statute or regulatory authority of any jurisdiction in which shares of such Fund are qualified for offer and sale. The term "expenses" is defined in the statutes or regulations of such jurisdictions, and, generally speaking, excludes brokerage commissions, taxes, interest and extraordinary expenses. No Fund is currently subject to any state imposed limit on expenses.
Each Management Contract provides that the Manager shall not be subject to any liability in connection with the performance of its services thereunder in the absence of willful misfeasance, bad faith, gross negligence or reckless disregard of its obligations and duties.
Each Management Contract was approved by the Trustees of the Trust (including the Trustee who is not an "interested person" of the Manager) and by the relevant Fund's sole shareholder in connection with the organization of the Trust and the establishment of the Funds. Each Management Contract will continue in effect for a period more than two years from the date of its execution only so long as its continuance is approved at least annually by (i) vote, cast in person at a meeting called for that purpose, of a majority of those Trustees who are not "interested persons" of the Manager or the Trust, and by (ii) the majority vote of either the full Board of Trustees or the vote of a majority of the outstanding shares of the relevant Fund. Each Management Contract automatically terminates on assignment, and is terminable on not more than 60 days' notice by the Trust to the Manager. In addition, each Management Contract may be terminated on not more than 60 days' written notice by the Manager to the Trust.
In the last three fiscal years the Funds have paid the following amounts as Management Fees to the Manager pursuant to the relevant Management Contract:
Gross Reduction Net
CORE FUND
Year ended 2/28/95 $10,703,745 $1,492,476 $ 9,211,269
Year ended 2/28/94 $ 9,872,383 $1,323,098 $ 8,549,285
Year ended 2/26/93 $12,080,377 $1,424,465 $10,655,912
INTERNATIONAL CORE FUND
Year ended 2/28/95 $19,964,039 $3,849,845 $16,114,194
Year ended 2/28/94 $12,131,276 $2,974,235 $ 9,157,041
Year ended 2/26/93 $ 4,498,002 $1,290,142 $ 3,207,860
GROWTH ALLOCATION FUND
Year ended 2/28/95 $ 1,063,102 $ 162,479 $ 900,623
Year ended 2/28/94 $ 732,330 $ 136,305 $ 596,025
Year ended 2/26/93 $ 1,009,458 $ 143,307 $ 866,151
SHORT-TERM INCOME FUND
Year ended 2/28/95 $ 32,631 $ 24,693 $ 7,938
Year ended 2/28/94 $ 25,648 $ 25,012 $ 636
Year ended 2/26/93 $ 31,464 $ 31,464 $ 0
JAPAN FUND
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Year ended 2/28/95 $3,394,922 $ 113,442 $ 3,281,480 Year ended 2/28/94 $2,985,621 $ 116,523 $ 2,869,098 Year ended 2/26/93 $1,827,062 $ 120,816 $ 1,706,246 VALUE ALLOCATION FUND Year ended 2/28/95 $3,144,806 $ 612,779 $ 2,532,027 Year ended 2/28/94 $7,860,120 $1,319,736 $ 6,540,384 Year ended 2/26/93 $6,383,292 $1,109,271 $ 5,274,021 TOBACCO-FREE CORE FUND Year ended 2/28/95 $ 260,209 $ 140,422 $ 119,787 Year ended 2/28/94 $ 285,625 $ 123,056 $ 162,569 Year ended 2/26/93 $ 462,477 $ 144,724 $ 317,753 FUNDAMENTAL VALUE FUND Year ended 2/28/95 $1,297,348 $ 118,250 $ 1,179,098 Year ended 2/28/94 $ 847,075 $ 131,219 $ 715,856 Year ended 2/26/93 $ 302,376 $ 119,657 $ 182,719 CORE II SECONDARIES FUND Year ended 2/28/95 $ 865,852 $ 187,546 $ 678,306 Year ended 2/28/94 $ 626,163 $ 154,249 $ 471,914 Year ended 2/26/93 $ 414,388 $ 132,039 $ 282,349 INTERNATIONAL SMALL COMPANIES FUND Year ended 2/28/95 $2,184,055 $1,368,080 $ 815,975 Year ended 2/28/94 $ 833,440 $ 625,615 $ 207,825 Year ended 2/26/93 $ 366,646 $ 320,728 $ 45,918 U.S. SECTOR ALLOCATION FUND Year ended 2/28/95 $ 934,108 $ 179,986 $ 754,122 Year ended 2/28/94 $ 848,089 $ 141,400 $ 706,689 Commencement of Operations $ 125,141 $ 61,672 $ 63,469 (1/04/93) - 2/26/93 |
INTERNATIONAL BOND FUND Year ended 2/28/95 $ 345,558 $ 181,243 $ 164,315 Commencement of Operations $ 23,776 $ 23,776 $ 0 (12/22/93) - 2/28/94 EMERGING MARKETS FUND Year ended 2/28/95 $ 3,004,553 $ 0 $ 3,004,553 Commencement of Operations $ 158,043 $ 18,574 $ 139,469 (12/8/93) - 2/28/94 EMERGING COUNTRY DEBT FUND Commencement of Operations $ 417,918 $ 174,820 $ 243,098 (4/19/94) - 2/28/95 GLOBAL HEDGED EQUITY FUND Commencement of Operations $ 324,126 $ 80,409 $ 243,717 (7/29/94) - 2/28/95 DOMESTIC BOND FUND Commencement of Operations $ 95,643 $ 68,732 $ 26,911 (8/18/94) - 2/28/95 CURRENCY HEDGED INTERNATIONAL BOND FUND Commencement of Operations $ 306,031 $ 173,302 $ 132,729 (9/30/94) - 2/28/95 |
Custodial Arrangements. Investors Bank & Trust Company ("IBT"), One Lincoln Plaza, Boston, Massachusetts 02205, and Brown Brothers Harriman & Co. ("BBH"), 40 Water Street, Boston, Massachusetts 02109 serve as the Trust's custodians on behalf of the Funds. As such, IBT or BBH holds in safekeeping certificated securities and cash belonging
to a Fund and, in such capacity, is the registered owner of securities in book-entry form belonging to a Fund. Upon instruction, IBT or BBH receives and delivers cash and securities of a Fund in connection with Fund transactions and collects all dividends and other distributions made with respect to Fund portfolio securities. Each of IBT and BBH also maintains certain accounts and records of the Trust and calculates the total net asset value, total net income and net asset value per share of each Fund on a daily basis. The Manager has voluntarily agreed with the Trust to reduce its management fees and to bear certain expenses with respect to each Fund until further notice to the extent that a Fund's total annual operating expenses (excluding shareholder service fees, brokerage commissions, extraordinary expenses (including taxes), securities lending fees and expenses and transfer taxes; and, in the case of the Emerging County Debt Fund, Emerging Markets Fund and Global Hedged Equity Fund, excluding custodial fees; and, in the case of the Global Hedged Equity Fund only, also excluding hedging transaction fees) would otherwise exceed the percentage of that Fund's daily net assets specified in the Prospectus ("Schedule of Fees and Expenses"). Therefore so long as the Manager agrees so to reduce its fee and bear certain expenses, total annual operating expenses (subject to such exclusions) of the Fund will not exceed this stated limitation. The Manager has also voluntarily agreed with respect to the Emerging Markets Fund that, until further notice, it will limit its management fee with respect to this Fund to 0.83% regardless of the total operating expenses of the Fund. Absent such agreement by the Manager to waive its fees, management fees for each Fund and the annual operating expenses for each Fund would be as stated in the Prospectus.
Independent Accountants. The Trust's independent accountants are Price Waterhouse LLP, 160 Federal Street, Boston, Massachusetts 02110. Price Waterhouse LLP conducts annual audits of the Trust's financial statements, assists in the preparation of each Fund's federal and state income tax returns, consults with the Trust as to matters of accounting and federal and state income taxation and provides assistance in connection with the preparation of various Securities and Exchange Commission filings.
PORTFOLIO TRANSACTIONS
The purchase and sale of portfolio securities for each Fund and for the other investment advisory clients of the Manager are made by the Manager with a view to achieving their respective investment objectives. For example, a particular security may be bought or sold for certain clients of the Manager even though it could have been bought or sold for other clients at the same time. Likewise, a particular security may be bought for one or more clients when one or more other clients are selling the security. In some instances, therefore, one client may sell indirectly a particular security to another client. It also happens that two or more clients may simultaneously buy or sell the same security, in which event purchases or sales are effected on a pro rata, rotating or other equitable basis so as to avoid any one account's being preferred over any other account.
Transactions involving the issuance of Fund shares for securities or assets other than cash, will be limited to a bona fide reorganization or statutory merger and to other acquisitions of portfolio securities that meet all of the following conditions: (a) such securities meet the investment objectives and policies of the Fund; (b) such securities are acquired for investment and not for resale; (c) such securities are liquid securities which are not restricted as to transfer either by law or liquidity of market; and (d) such securities have a value which is readily ascertainable as evidenced by a listing on the American Stock Exchange, the New York Stock Exchange, NASDAQ or a recognized foreign exchange.
Brokerage and Research Services. In placing orders for the portfolio transactions of each Fund, the Manager will seek the best price and execution available, except to the extent it may be permitted to pay higher brokerage commissions for brokerage and research services as described below. The determination of what may constitute best price and execution by a broker-dealer in effecting a securities transaction involves a number of considerations, including, without limitation, the overall net economic result to the Fund (involving price paid or received and any commissions and other costs paid), the efficiency with which the transaction is effected, the ability to effect the transaction at all where a large block is involved, availability of the broker to stand ready to execute possibly difficult transactions in the future and the financial strength and stability of the broker. Because of such factors, a broker-dealer effecting a transaction may be paid a commission higher than that charged by another broker-dealer. Most of the foregoing are judgmental considerations.
Over-the-counter transactions often involve dealers acting for their own account. It is the Manager's policy to place over-the-counter market orders for the Domestic Funds with primary market makers unless better prices or executions are available elsewhere.
Although the Manager does not consider the receipt of research services as a factor in selecting brokers to effect portfolio transactions for a Fund, the Manager will receive such services from brokers who are expected to handle a substantial amount of the Funds' portfolio transactions. Research services may include a wide variety of analyses, reviews and reports on such matters as economic and political developments, industries, companies, securities and portfolio strategy. The Manager uses such research in servicing other clients as well as the Funds.
As permitted by Section 28(e) of the Securities Exchange Act of 1934 and subject to such policies as the Trustees of the Trust may determine, the Manager may pay an unaffiliated broker or dealer that provides "brokerage and research services" (as defined in the Act) to the Manager an amount of commission for effecting a portfolio investment transaction in excess of the amount of commission another broker or dealer would have charged for effecting that transaction.
During the three most recent fiscal years, the Trust paid, on behalf of the Funds, the following amounts in brokerage commissions:
1993 1994 1995 Total
Core Fund $2,470,801 $1,176,157 $4,641,334 $8,288,292
Growth Allocation Fund 222,747 159,018 211,476 $593,241
SAF Core Fund 249,717 158,642 --- $408,359
Value Allocation Fund 1,803,808 1,911,868 1,523,065 $5,238,741
Short-Term Income Fund --- --- --- ---
International Core Fund 1,505,681 2,911,201 4,518,970 $8,935,852
Japan Fund 447,978 138,019 1,038,223 $1,624,220
Tobacco-Free Core Fund 120,642 70,113 126,491 $317,246
Fundamental Value Fund 184,309 508,267 444,239 $1,136,815
International Small Companies Fund 54,565 279,639 470,900 $805,104
Bond Allocation Fund 3,046 34,238 29,533 $66,817
Core II Secondaries Fund 34,155 127,191 211,451 $372,797
U.S. Sector Allocation Fund 29,586 166,982 434,291 $630,859
International Bond Fund --- 1,340 3,251 $4,591
Emerging Markets Fund --- 423,879 2,668,508 $3,092,387
Emerging Country Debt Fund --- --- --- ---
Global Hedged Equity Fund --- --- 146,893 $146,893
Domestic Bond Fund --- --- --- ---
Currency Hedged International Bond --- --- --- ---
Fund
Total $7,127,035 $8,066,554 $16,468,625 $31,662,214
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DESCRIPTION OF THE TRUST AND OWNERSHIP OF SHARES
The Trust is organized as a Massachusetts business trust under the laws of Massachusetts by an Agreement and Declaration of Trust ("Declaration of Trust") dated June 24, 1985. A copy of the Declaration of Trust is on file with the Secretary of The Commonwealth of Massachusetts. The fiscal year for each Fund ends on February 28.
Pursuant to the Declaration of Trust, the Trustees have currently authorized the issuance of an unlimited number of full and fractional shares of thirty-two series: the Core Fund; the Value Allocation Fund; the Growth Allocation Fund; the Pelican Fund; the Short-Term Income Fund; the Core II Secondaries Fund; the Fundamental Value Fund, the Tobacco-Free Core Fund; the U.S. Sector Allocation Fund; the Conservative Equity Fund; the International Core Fund; the Japan Fund; the Core Emerging Country Debt Fund; the International Bond Fund; the Emerging Markets Fund; the Emerging Country Debt Fund; the Domestic Bond Fund; the Currency Hedged International Bond Fund; the Global Hedged Equity Fund; the Currency Hedged International Core Fund; the International Small Companies Fund; the REIT Fund; the Global Bond Fund; the Foreign Fund; GMO International Equity Allocation Fund; GMO Traditional International Equity Allocation Fund; GMO World Equity Allocation Fund; GMO Traditional World Equity Allocation Fund; GMO Global Equity Allocation Fund; GMO Traditional Global Equity Allocation Fund; GMO Global Balanced Allocation Fund; and GMO Traditional Global Balanced Allocation Fund. Interests in each portfolio (Fund) are represented by shares of the corresponding series. Each share of each series represents an equal proportionate interest, together with each other share, in the corresponding Fund. The shares of such series do not have any preemptive rights. Upon liquidation of a Fund, shareholders of the corresponding series are entitled to share pro rata in the net assets of the Fund available for distribution to shareholders. The Declaration of Trust also permits the Trustees to charge shareholders directly for custodial and transfer agency expenses, but there is no present intention to make such charges.
The Declaration of Trust also permits the Trustees, without shareholder approval, to subdivide any series of shares into various sub-series of shares with such dividend preferences and other rights as the Trustees may designate. This power is intended to allow the Trustees to provide for an equitable allocation of the impact of any future regulatory requirements which might affect various classes of shareholders differently. The Trustees may also, without shareholder approval, establish one or more additional separate portfolios for investments in the Trust or merge two or more existing portfolios. Shareholders' investments in such a portfolio would be evidenced by a separate series of shares.
The Declaration of Trust provides for the perpetual existence of the Trust. The Trust, however, may be terminated at any time by vote of at least two-thirds of the outstanding shares of the Trust. While the Declaration of Trust further provides that the Trustees may also terminate the Trust upon written notice to the shareholders, the 1940 Act requires that the Trust receive the authorization of a majority of its outstanding shares in order to change the nature of its business so as to cease to be an investment company.
Voting Rights [REVISE FOR MULTICLASS]
As summarized in the Prospectus, shareholders are entitled to one vote for each full share held (with fractional votes for fractional shares held) and will vote (to the extent provided herein) in the election of Trustees and the termination of the Trust and on other matters submitted to the vote of shareholders. Shareholders vote by individual Fund on all matters except (i) when required by the Investment Company Act of 1940, shares shall be voted in the aggregate and not by individual Fund, and (ii) when the Trustees have determined that the matter affects only the interests of one or more Funds, [OR ONE OR MORE CLASSES OF
SHARES OF ONE OR MORE FUNDS] then only shareholders of such AFFECTED Funds
[AND/OR CLASSES OF SHARES] shall be entitled to vote thereon. Shareholders of
one Fund shall not be entitled to vote on matters exclusively affecting another
Fund, such matters including, without limitation, the adoption of or change in
the investment objectives, policies or restrictions of the other Fund and the
approval of the investment advisory contracts of the other Fund. [SHAREHOLDERS
OF A PARTICULAR CLASS OF SHARES DO NOT HAVE SEPARATE CLASS VOTING RIGHTS EXCEPT
WITH RESPECT TO MATTERS THAT AFFECT ONLY THAT CLASS OF SHARES OR AS OTHERWISE
REQUIRED BY LAW].
There will normally be no meetings of shareholders for the purpose of electing Trustees except that in accordance with the 1940 Act (i) the Trust will hold a shareholders' meeting for the election of Trustees at such time as less than a majority of the Trustees holding office have been elected by shareholders, and (ii) if, as a result of a vacancy in the Board of Trustees, less than two-thirds of the Trustees holding office have been elected by the shareholders, that vacancy may only be filled by a vote of the shareholders. In addition, Trustees may be removed from office by a written consent signed by the holders of two-thirds of the outstanding shares and filed with the Trust's custodian or by a vote of the holders of two-thirds of the outstanding shares at a meeting duly called for the purpose, which meeting shall be held upon the written request of the holders of not less than 10% of the outstanding shares. Upon written request by the holders of at least 1% of the outstanding shares stating that such shareholders wish to communicate with the other shareholders for the purpose of obtaining the signatures necessary to demand a meeting to consider removal of a Trustee, the Trust has undertaken to provide a list of shareholders or to disseminate appropriate materials (at the expense of the requesting shareholders). Except as set forth above, the Trustees shall continue to hold office and may appoint successor Trustees. Voting rights are not cumulative.
No amendment may be made to the Declaration of Trust without the affirmative vote of a majority of the outstanding shares of the Trust except (i) to change the Trust's name or to cure technical problems in the Declaration of Trust and (ii) to establish, designate or modify new and existing series or sub-series of Trust shares or other provisions relating to Trust shares in response to applicable laws or regulations.
Shareholder and Trustee Liability
Under Massachusetts law, shareholders could, under certain circumstances, be held personally liable for the obligations of the Trust. However, the Declaration of Trust disclaims shareholder liability for acts or obligations of the Trust and requires that notice of such disclaimer be given in each agreement, obligation, or instrument entered into or executed by the Trust or the Trustees. The Declaration of Trust provides for indemnification out of all the property of the relevant Fund for all loss and expense of any shareholder of that Fund held personally liable for the obligations of the Trust. Thus, the risk of a shareholder incurring financial loss on account of shareholder liability is considered remote since it is limited to circumstances in which the disclaimer is inoperative and the Fund of which he is or was a shareholder would be unable to meet its obligations.
The Declaration of Trust further provides that the Trustees will not be liable for errors of judgment or mistakes of fact or law. However, nothing in the Declaration of Trust protects a Trustee against any liability to which the Trustee would otherwise be subject by reason of willful misfeasance, bad faith, gross negligence, or reckless disregard of the duties involved in the conduct of his office. The By-laws of the Trust provide for indemnification by the Trust of the Trustees and the officers of the Trust except with respect to any matter as to which any such person did not act in good faith in the reasonable belief that his action was in or not opposed to the best interests of the Trust. Such person may not be indemnified against any liability to the Trust or the Trust shareholders to which he would otherwise be subject by reason of willful misfeasance, bad faith, gross negligence or reckless disregard of the duties involved in the conduct of his office.
Beneficial Owners of 5% or More of the Fund's Shares
The following chart sets forth the names, addresses and percentage ownership of those shareholders owning beneficially 5% or more of the outstanding shares of the Core Fund as of February 29, 1996:
Name Address % Ownership
Employee Retirement Plan of 201 Fourth Street 5.29
Safeway IN Oakland, CA 94660
3M Company Building 224-5N-21 5.17
MMM Center
St. Paul, MN
NRECA Attn: Peter Morris 7.85
1800 Massachusetts Ave. NW
Washington, DC 20036
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The following chart sets forth the names, addresses and percentage ownership of those shareholders owning beneficially 5% or more of the outstanding shares of the International Core Fund as of February 29, 1996:
Name Address % Ownership
Ameritech Pension Trust Attn: Account Exec. for 8.33
by State Street Bank and Ameritech Pension Trust
Trust Co. as Trustee 1 Enterprise Dr. W4A
North Quincy, MA 02171
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The following chart sets forth the names, addresses and percentage ownership of those shareholders owning beneficially 5% or more of the outstanding shares of the Growth Allocation Fund as of February 29, 1996:
Name Address % Ownership
Aerospace Corporation Attn: Mutual Funds 11.66
Retirement Plan P.O. Box 92956
Northern Trust Co. Chicago, IL 60675
by Northern Trust Co.
as Trustee
John D. MacArthur & Attn: Lawrence L. Landry 8.21
Catherine T. MacArthur 140 South Dearborn
Foundation Suite 1100
Chicago, IL 60603
Yale University 230 Prospect Street 7.26
Attn: Theodore D. Seides
New Haven, CT 06511
Surdna Foundation Inc. Attn: Mark De Venoge 14.11
330 Madison Avenue
30th Floor
New York, NY 10017
Collins Group Trust I 840 Newport Center Dr. 12.57
Newport Beach, CA 92660
Duke University 2200 West Main St. 6.50
Long Term Endowment Suite 1000
Attn: Deborah Lane
Durham, NC 27705
|
The following chart sets forth the names, addresses and percentage ownership of those shareholders owning beneficially 5% or more of the outstanding shares of the Japan Fund as of February 29, 1996:
Name Address % Ownership
International Monetary Staff 700 19th St., NW 36.37
Retirement Fund Attn: Hillary Boardman
Washington, DC 20431
|
Case Western Reserve Univ., Treasurer's Office Rm 302 11.90
dedicated ECDF 2040 Adelbert Road
Cleveland, OH 44106
Gordon Family Trust c/o Strategic Investment Management 15.52
1001 19th Street North, 16th Floor
Arlington, VA 22209-1722
Brown University Investment Office - Box C 24.11
Attn: Robert J. Koyles, Jr.
164 Angell Street
Providence, RI 02912
|
The following chart sets forth the names, addresses and percentage ownership of those shareholders owning beneficially 5% or more of the outstanding shares of the Short-Term Income Fund as of February 29, 1996:
Name Address % Ownership
MJH Foundation Attn: J. Michael Burris 28.89
Martha Jefferson Hospital 459 Locust Avenue
Charlottesville, VA 22902
Cormorant Fund c/o Jeremy Grantham 43.28
40 Rowes Wharf
Boston, MA 02110
Timothy Hamilton Horkings 5 Hollywood Drive 5.62
Chestnut Hill, MA 02167
|
The following chart sets forth the names, addresses and percentage ownership of those shareholders owning beneficially 5% or more of the outstanding shares of the Value Allocation Fund as of February 29, 1996:
Name Address % Ownership
Duke University Long Term Duke Management Co. 7.88
Endowment Fund 2200 West Main Street
Suite 1000
Durham, NC 27705
International Monetary Staff 700 19th St., NW 13.45
Retirement Fund Attn: Hillary Boardman
|
Washington, DC 20431
Leland Stanford Junior Stanford Management Company 26.31
University II 2770 Sand Hill Road
Menlo Park, CA 94025
|
The following chart sets forth the names, addresses and percentage ownership of those shareholders owning beneficially 5% or more of the outstanding shares of the Fundamental Value Fund as of February 29, 1996:
Name Address % Ownership
Princeton University Trustee Attn: John D. Sweeney 5.48
P.O. Box 35
Princeton, NJ 08544
Yale University 230 Prospect Street 32.95
Attn: Theodore D. Seides
New Haven, CT 06511
Berea College Box 2306 10.04
Attn: Mr. Leigh A. Jones
Berea, KY 40404
Leland Stanford Junior Stanford Management Company 33.51
University II 2770 Sand Hill Road
Menlo Park, CA 04025
Wachovia Bank Trustee P.O. Box 3099 17.94
RJR Nabisco Inc. 301 North Main Street
Defined Benefit/Master Winston-Salem, NC 27150
Trust - FVF
|
The following chart sets forth the names, addresses and percentage ownership of those shareholders owning beneficially 5% or more of the outstanding shares of the Core II Secondaries Fund as of February 29, 1996:
Name Address % Ownership
The Andrew W. Mellon Foundation 140 E. 62nd Street 10.23
Attn: Kenneth J. Herr, Treasurer
New York, NY 10021
|
Cheyne Walk Trust Pearce Investments Ltd. 8.06
Attn: Howard Reynolds
1325 Air Motive Way, Suite 262
Reno, NV 89502
John D. MacArthur & Catherine T. Attn: Lawrence L. Landry 8.70
MacArthur Foundation 140 South Dearborn
Suite 1100
Chicago, IL 60603
Bost & Co./BAMF8721002 1 Cabot Road 028-003B 10.19
Bell Atlantic Mutual Fund Operations
Medford, MA 02155
Yale University 230 Prospect St. 9.29
Attn: Theodore D. Seides
New Haven, CT 06511
Bankers Trust Company Trustee Attn: Geoffrey Mullen 20.85
GTE Service Corp Pension 280 Park Avenue - 13 East
Trust New York, NY 10017
William & Flora Hewlett Attn: William F. Nichols 8.23
525 Middlefield Rd #200
Menlo Park, CA 94025
|
The following chart sets forth the names, addresses and percentage ownership of those shareholders owning beneficially 5% or more of the outstanding shares of the International Small Companies Fund as of February 29, 1996:
Name Address % Ownership
Yale University 230 Prospect Street 7.13
Attn: Theodore D. Seides
New Haven, CT 06511
Bankers Trust Company Trustee Attn: Geoffrey Mullen 6.37
GTE Service Corp Pension Trust 280 Park Avenue - 13 East
New York, NY 10017
|
The following chart sets forth the names, addresses and percentage ownership of those shareholders owning beneficially 5% or more of the outstanding shares of the Tobacco-Free Core Fund as of February 29, 1996:
Name Address % Ownership
Dewitt Wallace-Reader's Digest 261 Madison Avenue 43.80
Fund, Inc. 24th Floor
New York, NY 10016
Lila Wallace-Reader's Digest 261 Madison Avenue 38.22
Fund, Inc. 24th Floor
New York, NY 10016
Tufts Associated HMO Inc. 353 Wyman Street 17.98
Waltham, MA 02254
|
The following chart sets forth the names, addresses and percentage ownership of those shareholders owning beneficially 5% or more of the outstanding shares of the U.S. Sector Allocation Fund as of February 29, 1996:
Name Address % Ownership
John D. MacArthur & Catherine T. Attn: Lawrence L. Landry 46.04
MacArthur Foundation 140 South Dearborn, Suite 1100
Chicago, IL 60603
Trustees of Columbia University Columbia University 18.91
in the City of New York-Global 475 Riverside Drive, Suite 401
New York, NY 10115
Yale University 230 Prospect St. 15.52
Attn: Theodore D. Seides
New Haven, CT 06511
Bost & Co./BAMF8721002 1 Cabot Road 028-003B 5.21
Bell Atlantic Mutual Fund Operations
Medford, MA 02155
|
The following chart sets forth the names, addresses and percentage ownership of those shareholders owning beneficially 5% or more of the outstanding shares of the International Bond Fund as of February 29, 1996:
Name Address % Ownership
Trustees of Princeton Univ. Attn: John D. Sweeney 20.13
PO Box 35
|
Princeton, NY 08544
Attn: John F. Benware
Chicago, IL 60611
Bost & Co./BAMF8721002 1 Cabot Road 028-003B 8.35
Bell Atlantic Mutual Fund Operations
Medford, MA 02155
Saturn & Co. A/C 4600712 P.O. Box 1537 Top 57 13.73
c/o Investors Bank & Trust Co. Boston, MA 02205
FBO The John Hancock Mutual
Life Insurance Company Pension
Plan
Bankers Trust Company Trustee Attn: Geoffrey Mullen 17.96
GTE Service Pension Trust 280 Park Avenue - 13 East
New York, NY 10017
Woods Hole Oceanographic Attn: Lawrence Ladd 5.21
Institute Woods Hole, MA 02543
|
The following chart sets forth the names, addresses and percentage ownership of those shareholders owning beneficially 5% or more of the outstanding shares of the Emerging Markets Fund as of February 29, 1996:
Name Address % Ownership
Trustees of Princeton Univ. Attn: John D. Sweeney 5.72
PO Box 35
Princeton, NJ 08544
Bankers Trust Company Trustee Attn: Geoffrey Mullen 12.39
GTE Service Corp. Pension Trust 280 Park Avenue - 13 East
New York, NY 10017
|
The following chart sets forth the names, addresses and percentage ownership of those shareholders owning beneficially 5% or more of the outstanding shares of the Domestic Bond Fund as of February 29, 1996:
Name Address % Ownership Bost & Co./BAMF8721002 1 Cabot Road 028-003B 22.66 Bell Atlantic Mutual Fund Operations |
Medford, MA 02155
Bankers Trust Company Trustee Attn: Geoffrey Mullen 42.76
GTE Service Corp. Pension Trust 280 Park Avenue - 13 East
New York, NY 10017
John D. MacArthur & Attn: Lawrence L. Landry 9.07
Catherine T. MacArthur Foundation 140 S. Dearborn, Suite 1100
Chicago, IL 60603
The Edna McConnell Clark Found. Attn: Laura Kielczewski 5.69
Ass't Financial Officer
250 Park Avenue
New York, NY 10177
|
The following chart sets forth the names, addresses and percentage ownership of those shareholders owning beneficially 5% or more of the outstanding shares of the Currency Hedged International Bond Fund as of February 29, 1996:
Name Address % Ownership
John D. MacArthur & Attn: Lawrence L. Landry 5.47
Catherine T. MacArthur Foundation 140 S. Dearborn, Suite 1100
Chicago, IL 60603
Bost & Co./BAMF8721002 1 Cabot Road 028-003B 14.81
Bell Atlantic Mutual Fund Operations
Medford, MA 02155
Bankers Trust Company Trustee Attn: Geoffrey Mullen 38.79
GTE Service Corp. Pension Trust 280 Park Avenue - 13 East
New York, NY 10017
Park Foundation Inc. - Attn: Sharon Linderberry 6.99
Fixed Income Terrace Hill
P.O. Box 550
Ithaca, NY 14851
|
The following chart sets forth the names, addresses and percentage ownership of those shareholders owning beneficially 5% or more of the outstanding shares of the Emerging Country Debt Fund as of February 29, 1996:
Name Address % Ownership |
Bost & Co./BAMF8721002 1 Cabot Road 028-003B 5.83
Bell Atlantic Mutual Fund Operations
Medford, MA 02155
Princeton University TR Attn: John D. Sweeney 6.64
PO Box 35
Princeton, NJ 08544
Bankers Trust Company Trustee Attn: Geoffrey Mullen 14.84
GTE Service Corp. Pension Trust 280 Park Avenue - 13 East
New York, NY 10017
Regents of the Univ. Michigan 5032 Fleming Admin. Bldg. 13.26
Treasurer's Office Ann Arbor, MI 48109
Duke University Long Term 2200 W. Main Street 5.47
Endowment Suite 1000
Attn: Deborah Lane
Durham, NC 27705
|
The following chart sets forth the names, addresses and percentage ownership of those shareholders owning beneficially 5% or more of the outstanding shares of the Global Hedged Equity Fund as of February 29, 1996:
Name Address % Ownership
Princeton University TR Attn: John D. Sweeney 7.21
P.O. Box 35
Princeton, NJ 08544
Bankers Trust Company TR Attn: Geoffrey Mullen 25.49
GTE Services Corp. Pension Trust 280 Park Avenue - 13 East
New York, NY 10017
John D. MacArthur & Attn: Lawrence L. Landry 7.67
Catherine T. MacArthur Foundation 140 S. Dearborn, Suite 1100
Chicago, IL 60603
Partners Healthcare System Partners Healthcare System, Inc. 5.78
Pooled Investment Accounts 101 Merrimac St./4th Floor
Boston, MA 02114
|
FINANCIAL STATEMENTS
The audited Financial Statements in this Statement of Additional Information have been so included in reliance on the reports of Price Waterhouse LLP, independent accountants, given on the authority of said firm as experts in auditing and accounting.
APPENDIX C
GMO Trust
Specimen Price-Make-Up Sheet
Following are computations of the total offering price per share for the Core Fund, the International Core Fund, the Growth Allocation Fund, the Short-Term Income Fund, the Japan Fund, the Value Allocation Fund, the Tobacco-Free Core Fund, the Core II Secondaries Fund, the International Small Companies Fund, the U.S. Sector Allocation Fund, the International Bond Fund, the Emerging Markets Fund, the Emerging Country Debt Fund, the Global Hedged Equity Fund, the Domestic Bond Fund, the Currency Hedged International Bond Fund, the Fundamental Value Fund and the Pelican Fund based upon their respective net asset values and shares of beneficial interest outstanding at the close of business on August 31, 1995.
Core Fund
Net Assets at Value (Equivalent to
$18.25 per share based on
158,659,078 shares of beneficial $2,895,123,678
interest outstanding)
Offering Price ($18.25 x 100/99.83)* $18.28
------
|
See "Purchase of Shares" in the Prospectus.
International Core Fund
Net Assets at Value (Equivalent to $23.65
per share based on 140,653,201 shares of
beneficial interest outstanding) $3,326,025,113
--------------
Offering Price ($23.65 x 100/99.25)* $23.83
------
Growth Allocation Fund
Net Assets at Value (Equivalent to $5.04
per share based on 67,350,475 shares of
beneficial interest outstanding) $339,184,306
------------
Offering Price ($5.04 x 100/99.83)* $5.05
-----
Short-Term Income Fund
Net Assets at Value (Equivalent to $9.65
per share based on 697,949 shares of
beneficial interest outstanding) $6,732,609
----------
Offering Price $9.65
-----
Japan Fund
Net Assets at Value (Equivalent to $9.69
per share based on 10,333,221 shares of
beneficial interest outstanding) $100,134,319
------------
Offering Price ($9.69 x 100/99.60)* $9.73
-----
Value Allocation Fund
Net Assets at Value (Equivalent to
$13.65 per share based on
22,8645,103 shares of beneficial
interest outstanding) $311,994,963
------------
Offering Price ($13.65 x 100/99.85)* $13.67
------
- ------------
|
* Represents maximum offering price charged on certain cash purchases.
See "Purchase of Shares" in the Prospectus.
Tobacco-Free Core Fund
Net Assets at Value (Equivalent to
$12.44 per share based on
4,451,076 shares of beneficial $55,374,239
interest outstanding) -----------
Offering Price ($12.44 x 100/99.83)* $12.46
------
Core II Secondaries Fund
Net Assets at Value (Equivalent to $14.92
per share based on 10,171,408 shares
of beneficial interest outstanding) $151,752,564
------------
Offering Price ($14.92 x 100/99.25)* $15.03
------
International Small Companies Fund
Net Assets at Value (Equivalent to $12.68
per share based on 15,691,530 shares of
beneficial interest outstanding) $199,024,013
------------
Offering Price ($12.68 x 100/98.75)* $12.84
------
Fundamental Value Fund
Net Assets at Value (Equivalent to $14.02
per share based on 14,091,776 shares
of beneficial interest outstanding) $197,569,879
------------
Offering Price ($14.02 x 100/99.85)* $14.04
------
- -------------
|
* Represents maximum offering price charged on certain cash purchases.
See "Purchase of Shares" in the Prospectus.
U.S. Sector Allocation Fund
Net Assets at Value (Equivalent to $13.06
per share based on 18,053,484 shares
of beneficial interest outstanding) $235,791,887
------------
Offering Price ($13.06 x 100/99.83)* $13.08
------
Emerging Markets Fund
Net Assets at Value (Equivalent to $10.53
per share based on 57,879,323 shares
of beneficial interest outstanding) $609,629,593
------------
Offering Price ($10.53 x 100/98.4)* $10.70
------
International Bond Fund
Net Assets at Value (Equivalent to $10.69
per share based on 17,840,505 shares) $190,684,124
------------
Offering Price ($10.69 x 100/99.85)* $10.71
------
Emerging Country Debt Fund
Net Assets at Value (Equivalent to $10.91
per share based on 46,553,536 shares) $507,804,226
------------
Offering Price ($10.91 x 100/99.50)* $10.96
------
Global Hedged Equity Fund
Net Assets at Value (Equivalent to $10.50
per share based on 32,443,087 shares) $340,697,317
------------
Offering Price ($10.50 x 100/99.40)* $10.56
------
- -------------
|
* Represents maximum offering price charged on certain cash purchases.
See "Purchase of Shares" in the Prospectus.
Domestic Bond Fund
Net Assets at Value (Equivalent to $10.63
per share based on 27,611,985 shares) $293,426,414
------------
Offering Price $10.63
------
Currency Hedged International Bond Fund
Net Assets at Value (Equivalent to $11.41
per share based on 19,619,510 shares) $223,926,075
------------
Offering Price ($11.41 x 100/99.85)* $11.43
------
Currency Hedged International Core Fund
Net Assets at Value (Equivalent to $10.80 per share $189,848,432
------------
based on 17,583,602 shares)
Offering Price ($10.80 x 100/99.25)* $10.88
------
Pelican Fund
Net Assets at Value (Equivalent to $13.58
per share based on 11,671,816 shares) $158,491,891
------------
Offering Price $13.58
------
|
See "Purchase of Shares" in the Prospectus.
GMO CORE FUND
(A SERIES OF GMO TRUST)
ANNUAL REPORT
FEBRUARY 28, 1995
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees of GMO Trust and the Shareholders of
GMO Core Fund (A Series of GMO Trust)
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of GMO Core Fund at February 28, 1995, and the results of its operations, the changes in its net assets and the financial highlights for each of the respective periods presented, in conformity with generally accepted accounting principles. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Trust's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with generally accepted auditing standards which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 28, 1995 by correspondence with the custodian and brokers and the application of alternative auditing procedures where confirmations from brokers were not received, provide a reasonable basis for the opinion expressed above.
Price Waterhouse LLP
Boston, Massachusetts
April 10, 1995
GMO CORE FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
FEBRUARY 28, 1995
SHARES DESCRIPTION VALUE ($)
STOCK - 96.7%
AEROSPACE - 4.6%
104,600 E-Systems Inc 4,576,250
345,800 Lockheed Corp 26,842,725
517,800 Martin Marietta Corp 24,724,950
45,500 Northrop Corp 2,019,063
657,150 Raytheon Co 46,329,075
51,300 Rockwell International Corp 1,975,050
106,467,113
AUTOMOTIVE - 1.0%
47,600 Bandag Inc 2,856,000
110,400 Eaton Corp 5,533,800
209,400 Genuine Parts Co 8,140,425
273,000 Harley-Davidson 7,371,000
23,901,225
BANKING AND FINANCIAL SERVICES - 7.5%
1,654,500 American Express Co 55,839,375
6,600 Bancorp Hawaii Inc 184,800
227,490 Bear Stearns Cos Inc 4,265,438
151,300 Beneficial Corp 5,617,013
6,600 California Federal Bank * 71,775
85,400 Chase Manhattan Corp 3,063,725
225,100 Chemical Banking Corp 9,032,138
650,300 Citicorp (a) 29,263,500
122,600 Danaher Corp 3,616,700
556,371 Dean Witter Discover and Co 22,463,479
147,955 Edwards (A G) Inc 3,328,988
24,900 First Bank of America Corp 843,488
70,000 First Chicago Corp 3,543,750
43,500 First USA Inc 1,604,063
1,100 Glendale Federal Bank FSB * 10,313
204,900 Household International Inc 8,964,375
297,300 Morgan Stanley Group Inc 20,030,588
15,100 Student Loan Marketing Association 556,813
172,300,321
CHEMICALS - 0.5%
131,100 Georgia Gulf Corp * 3,933,000
45,800 Loctite Corp 2,106,800
236,000 Lyondell Petrochemical (a) 5,693,500
11,733,300
COMPUTER AND OFFICE EQUIPMENT - 1.3%
480,250 Micron Technology (a) 29,775,500
CONSTRUCTION - 1.3%
746,400 P P G Industries 27,430,200
27,800 Vulcan Materials Inc 1,480,350
28,910,550
CONSUMER GOODS - 5.0%
131,200 Callaway Golf Company (a) 4,428,000
76,500 Clorox Co 4,618,688
280,600 ConAgra Inc * (a) 9,189,650
276,600 Corning Inc 8,885,775
711,800 Eastman Kodak Co 36,301,800
45,755 Hubbell Inc Class B 2,470,770
158,300 International Flavors & Fragrances 7,618,188
74,300 Liz Claiborne 1,198,088
92,775 Mattel Co 2,075,841
97,400 National Service Industries 2,617,625
228,300 Newell Co 5,450,663
95,200 Nike Inc Class B 6,842,500
122,900 Polaroid Corp 3,687,000
252,700 Premark International Inc (a) 10,929,275
125,200 Reebok International Ltd 4,585,450
96,700 VF Corp 4,980,050
115,879,363
FOOD AND BEVERAGE - 6.8%
606,000 Anheuser-Busch Cos Inc 34,163,250
328,800 Archer Daniels Midland Co 6,247,200
147,700 Brown Forman Corp Class B (a) 4,781,788
203,500 CPC International Inc 10,887,250
111,250 Dean Foods Co 3,448,750
430,900 Heinz (H J) Co 16,966,688
33,500 Hershey Foods Corp (a) 1,641,500
88,600 Hormel (Geo A) and Co 2,370,050
94,600 IBP Inc 3,015,375
221,600 Kellogg Co 11,994,100
667,600 Sara Lee Corp 17,524,500
25,300 Tyson Food Inc Class A 623,013
294,400 Unilever ADR 35,769,600
81,600 Universal Foods Corp 2,560,200
249,300 Whitman Corp 4,705,538
156,698,802
HEALTH CARE - 6.3%
5,400 Bausch & Lomb Inc 179,550
187,700 Boston Scientific Corp * (a) 4,059,013
851,142 Columbia/HCA Healthcare Corp (a) 35,216,000
280,200 Johnson & Johnson 15,901,350
412,700 Medtronic Inc 24,762,000
506,350 National Medical Enterprises * 7,848,425
109,100 United Healthcare Corp 4,691,300
479,000 Upjohn Co 16,884,750
730,500 US Health Care Inc 31,411,500
133,200 Wellpoint Health Networks Class A * 4,378,950
145,332,838
INSURANCE - 5.3%
282,900 Aetna Life and Casualty Co 15,205,875
227,900 AFLAC Corp 8,603,225
34,600 Allmerica Property and Casualty 674,700
24,000 Allstate Corp 660,000
92,200 Ambac Inc 3,745,625
450,900 American General Corp 14,259,713
202,850 AON Corp 7,049,038
152,000 Cigna Corp 11,514,000
22,800 Conseco Inc (a) 812,250
5,900 Continental Corp 114,313
25,600 Geico Corp 1,251,200
136,300 Jefferson Pilot Corp 7,769,100
55,800 Marsh & McLennan Cos Inc 4,575,600
42,800 MBIA Inc 2,653,600
23,400 MGIC Investment 892,125
115,200 Old Republic International Corp (a) 2,851,200
88,800 Provident Life and Accident Insurance Co Class B 2,086,800
136,100 Providian Corp 4,814,538
10,900 Safeco Corp 599,500
303,100 St Paul Cos 14,738,238
3,200 SunAmerica Inc 131,200
217,450 Torchmark Corp 9,105,719
130,309 Transamerica Corp 7,118,129
11,600 Transatlantic Holdings Inc 667,000
90,100 Twentieth Century Industries 1,126,250
123,018,938
MACHINERY - 1.1%
198,000 Dover Corp 11,781,000
110,600 FMC Corp * 6,470,100
167,000 Parker Hannifin Corp 7,807,250
5,500 Snap-On Tools Corp 187,000
26,245,350
MANUFACTURING - 8.5%
52,000 Alco Standard Corp 3,536,000
1,490,427 Boeing Co 68,745,918
1,107,844 International Business Machines Corp 83,365,261
149,100 Litton Industries * 5,442,150
489,800 Minnesota Mining and Manufacturing 26,816,550
16,800 Stone Container Corp * (a) 392,700
112,600 Textron Inc 6,164,850
67,000 York International Corp 2,579,500
197,042,929
METALS AND MINING - 0.6%
10,500 Mapco Inc 573,563
240,500 Phelps Dodge Corp 13,107,250
13,680,813
MISCELLANEOUS - 0.0%
3,000 Witco Corp 85,875
OIL AND GAS - 6.8%
382,300 Amoco Corp 22,651,275
282,800 Ashland Inc (a) 9,155,650
55,400 Atlantic Richfield Co 6,073,225
232,122 Chevron Corp 11,025,795
57,400 Columbia Gas Systems * 1,492,400
47,509 El Paso Natural Gas Co 1,460,902
766,200 Exxon Corp 49,036,800
1,700 FINA Inc Class A 129,625
13,400 Kerr-McGee Corp 675,025
233,900 Mobil Corp 20,349,300
9,500 Murphy Oil Corp 415,625
92,000 Occidental Petroleum Corp 1,828,500
2,900 Pennzoil Co 137,388
6,200 Phillips Petroleum Co 206,925
196,800 Royal Dutch Petroleum Co ADR 22,066,200
96,900 Texaco Inc 6,177,375
111,800 Williams Companies Inc 3,214,250
156,096,260
PAPER AND ALLIED PRODUCTS - 0.1%
45,100 Consolidated Papers Inc 2,181,713
43,300 Glatfelter (PH) Co 790,225
2,971,938
PHARMACEUTICALS - 9.7%
469,120 American Home Products Corp 33,542,080
364,300 Amgen Inc * 25,136,700
1,085,800 Bristol-Myers Squibb Co 67,319,600
770,400 Lilly (Eli) & Co 51,616,800
227,100 Marion Merrell Dow Inc 5,649,113
944,300 Merck & Co Inc 40,014,713
52,100 Mylan Laboratories (a) 1,628,125
1,000 Warner Lambert Co 76,375
224,983,506
PRIMARY PROCESSING - 1.3%
256,200 Dow Chemical Co 17,165,400
196,400 Du Pont (E I) De Nemours & Co Inc 11,022,950
51,400 Rohm & Haas Co 2,884,825
31,073,175
PRINTING AND PUBLISHING - 0.7%
99,300 Dun and Bradstreet Corp 5,126,363
53,100 McGraw Hill Inc 3,743,550
168,500 Readers Digest Association Inc 7,751,000
16,620,913
RETAIL TRADE - 3.2%
313,200 Albertson's Inc 9,630,900
401,000 Autozone Inc * (a) 10,626,500
95,900 Circuit City Stores Inc 2,073,838
82,600 Gap Stores 2,684,500
533,900 Kroger Co * 14,014,875
175,400 Melville Corp 5,700,500
192,200 Nordstrom Inc 8,120,450
411,900 Rite Aid Corp 10,194,525
206,100 The Pep Boys 6,749,775
71,800 Walgreen Co 3,392,550
34,100 Weismarkets Inc 873,813
74,062,226
SERVICES - 2.4%
34,700 BHC Communications Inc Class A * 2,576,475
414,900 Capital Cities/ABC Inc 36,718,650
26,700 Equifax Inc 824,363
55,000 Fleming Cos 1,072,500
259,200 Manpower Inc 7,581,600
107,500 Omnicom Group 5,710,938
54,484,526
TECHNOLOGY - 7.9%
14,400 3Com Corp * 750,600
273,000 Amp Inc 20,475,000
439,700 Apple Computer 17,368,150
164,300 Avery Dennison Corp 6,161,250
1,337,250 Compaq Computer Corp * 46,135,125
174,100 Computer Sciences Corp * 8,552,663
158,200 E G & G 2,274,125
21,300 Emerson Electric 1,408,463
103,500 Grainger (WW) Inc 6,326,438
73,700 Hewlett-Packard Inc 8,475,500
229,500 LSI Logic Corp * 12,507,750
445,600 Microsoft Corp * 28,072,800
121,450 Millipore Corp 6,452,031
135,900 Storage Technology Corp * (a) 2,955,825
75,900 Sun Microsystems Inc * 2,428,800
549,800 Tandem Computers Inc * 9,346,600
24,100 Thomas & Betts Corp 1,605,663
181,296,783
TELECOMMUNICATIONS - 0.2%
54,300 Frontier Corp 1,242,113
42,600 General Instrument Corp * (a) 1,352,550
47,100 Southern New England Telecommunications Corp 1,560,188
4,154,851
TOBACCO - 2.5%
43,600 Loews Corp 4,234,650
880,900 Philip Morris Cos Inc 53,514,675
57,749,325
UTILITIES - 12.1%
94,000 Allegheny Power System Inc 2,209,000
194,800 American Electric Power Inc 6,598,850
232,650 Baltimore Gas and Electric Co 5,729,006
122,700 Carolina Power and Light Co 3,374,250
299,288 Centerior Energy Corp 2,918,058
293,800 Central & South West Corp (a) 7,234,825
217,400 Cinergy Corp 5,380,650
118,100 CMS Energy Corp 2,834,400
358,100 Consolidated Edison 9,892,513
310,374 Detroit Edison Co 8,884,456
267,800 Dominion Resources Inc (a) 10,176,400
154,450 DPL Inc 3,224,144
80,300 DQE 2,700,088
388,200 Duke Power Co 15,236,850
258,044 Entergy Corp 5,773,735
163,800 Florida Progress Corp 5,139,225
185,900 FPL Group Inc 6,669,163
240,200 General Public Utilities 7,266,050
113,200 Houston Industries Inc 4,329,900
132,200 Illinova Corp 3,090,175
101,500 Kansas City Power and Light Co 2,423,313
171,600 Long Island Lighting Co 2,745,600
78,600 New England Electric System 2,593,800
94,300 New York State Electric and Gas Corp 2,027,450
197,800 Niagara Mohawk Power Corp 2,942,275
103,600 Nipsco Industries Inc 3,276,350
173,300 Northeast Utilities (a) 3,942,575
118,700 Northern States Power Co 5,371,175
201,300 Ohio Edison Co 4,227,300
52,800 Oklahoma Gas and Electric Co 1,867,800
140,300 Pacific Enterprises 3,437,350
571,300 Pacific Gas and Electric Co 14,639,563
461,900 PacifiCorp 8,833,838
192,200 Panhandle Eastern Corp 4,324,500
311,900 Peco Energy Co 8,343,325
134,700 Penn Power and Light Co 2,795,025
128,500 Pinnacle West Capital Corp 2,762,750
128,500 Potomac Electric Power Co 2,489,688
366,200 Public Service Enterprise Group Inc 10,665,575
58,900 Public Service of Colorado 1,803,813
66,600 Puget Sound Power and Light Co 1,440,225
102,900 San Diego Gas and Electric Co 2,225,213
68,300 Scana Corp 3,013,738
602,500 SCE Corp 9,865,938
982,100 Southern Co 20,255,813
179,400 Teco Energy (a) 3,857,100
178,100 Texas Utilities Co 5,855,038
357,700 Unicom Corp 9,121,350
159,900 Union Electric Co 6,056,213
82,300 Western Resources Inc 2,613,025
165,400 Wisconsin Energy Corp (a) 4,589,850
279,068,306
TOTAL STOCK (Cost $2,017,125,996) 2,233,634,726
Par Value SHORT-TERM INVESTMENTS - 7.1%
REPURCHASE AGREEMENT - 3.3%
$ 76,224,083 Salomon Brothers Repurchase Agreement, dated 2/28/95,
due 3/1/95, with a maturity value of $76,235,940 and an
effective yield of 5.60%, collateralized by a U.S. Treasury
Bond with a rate of 6.25%, a maturity date of 8/15/23,
and with an aggregate market value of $78,300,878. 76,224,083
U.S. GOVERNMENT - 0.2%
4,350,000 U.S. Treasury Bill, 4.92% due 3/2/95 (b) 4,349,339
CASH EQUIVALENTS - 3.6%
50,252,375 Bank of Boston Time Deposit 50,252,375
5,633,314 Dreyfus Cash Management Money Market Fund Plus, A Shares 5,633,314
3,245,504 National Westminster Time Deposit 3,245,504
23,885,357 Provident Institutional Prime Money Market Fund 23,885,357
83,016,550
TOTAL SHORT-TERM INVESTMENTS (at amortized cost) 163,589,972
TOTAL INVESTMENTS - 103.8%
(Cost $2,180,715,968) * * $ 2,397,224,698
Other Assets and Liabilities (net) - (3.8%) (87,976,760)
TOTAL NET ASSETS - 100.0% $ 2,309,247,938
NOTES TO THE SCHEDULE OF INVESTMENTS:
ADR American Depositary Receipt
(a) All or a portion of this security is on loan.
(b) This security is held as collateral for open futures contracts.
* Non-income producing security
** The aggregate identified cost for federal income tax purposes is
$2,189,359,977 resulting in gross unrealized appreciation and depreciation of
$226,594,451 and $18,729,730, respectively, and net unrealized appreciation of
$207,864,721.
|
See accompanying notes to the financial statements.
GMO CORE FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - FEBRUARY 28, 1995
ASSETS:
Investments, at value (cost $2,017,125,996) (Note 1) $ 2,233,634,726
Short-term investments, at amortized cost (Note 1) 163,589,972
Receivable for investments sold 31,631,037
Receivable for Fund shares sold 55,256
Dividends and interest receivable 8,154,549
Receivable for variation margin on open futures contracts 289,165
Receivable for expenses waived or borne by Manager (Note 2) 140,815
Total assets 2,437,495,520
LIABILITIES:
Payable for investments purchased 38,429,058
Payable for Fund shares repurchased 5,667,276
Payable upon return of securities loaned (Note 1) 82,991,280
Payable to affiliate for management fee (Note 2) 916,856
Accrued expenses 243,112
Total liabilities 128,247,582
NET ASSETS:(equivalent to $15.45 per share based
on 149,509,336 shares outstanding, unlimited shares authorized) $ 2,309,247,938
NET ASSETS CONSIST OF:
Paid-in capital $ 2,084,137,288
Undistributed net investment income 9,992,385
Accumulated net realized loss on investments and
closed futures contracts (1,721,805)
Net unrealized appreciation on investments
and open futures contracts 216,840,070
NET ASSETS $ 2,309,247,938
See accompanying notes to the financial statements.
|
GMO CORE FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - YEAR ENDED FEBRUARY 28, 1995
INVESTMENT INCOME:
Dividends (net of withholding taxes of $365,315) $ 59,069,213
Interest (including securities lending income of $215,485) 4,376,365
Total income 63,445,578
EXPENSES:
Management fee (Note 2) 10,703,745
Custodian and transfer agent fees 336,727
Legal fees 87,805
Audit fees 66,870
Registration fees 48,316
Insurance 24,215
Trustee fee (Note 2) 9,607
Miscellaneous expense 1,472
Total expenses 11,278,757
Less: expenses waived or borne by Manager (Note 2) (1,492,476)
Net expenses 9,786,281
Net investment income 53,659,297
Realized and unrealized gain (loss) on investments
and futures contracts:
Net realized gain (loss) on
Investments 123,367,263
Closed futures contracts (2,848,169)
Net realized gain 120,519,094
Change in net unrealized appreciation (depreciation) on:
Investments (24,616,912)
Open futures contracts 660,248
Net unrealized gain (23,956,664)
Net realized and unrealized gain on investments
and futures contracts 96,562,430
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 150,221,727
|
See accompanying notes to the financial statements.
GMO CORE FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
YEAR ENDED
FEBRUARY 28, 1995 FEBRUARY 28, 1994
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 53,659,297 $ 48,057,746
Net realized gain on investments
and closed futures contracts 120,519,094 100,704,203
Change in net unrealized appreciation (depreciation)
of investments and open futures contracts (23,956,664) 85,584,922
Net increase in net assets resulting from operations 150,221,727 234,346,871
Distributions to shareholders from:
Net investment income (50,303,126) (49,395,951)
Net realized gains (137,451,908) (174,873,817)
(187,755,034) (224,269,768)
Fund share transactions: (Note 4)
Proceeds from sale of shares 637,535,879 279,781,809
Net asset value of shares issued to shareholders
in payment of distributions declared 166,089,524 203,217,875
Cost of shares repurchased (398,849,571) (444,026,848)
Net increase in net assets resulting
from Fund share transactions 404,775,832 38,972,836
Total increase in net assets 367,242,525 49,049,939
Net assets:
Beginning of period 1,942,005,413 1,892,955,474
End of period (including undistributed net
investment income of $9,992,385 and
$5,928,323, respectively) $ 2,309,247,938 $ 1,942,005,413
|
See accompanying notes to the financial statements.
GMO CORE FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
YEAR ENDED FEBRUARY 28/29,
1995 1994 1993 1992 1991 (b)
NET ASSET VALUE, BEGINNING OF PERIOD $ 15.78 $ 15.73 $ 15.96 $ 15.13 $ 13.90
Income from investment operations:
Net investment income (a) 0.41 0.42 0.45 0.43 0.43
Net realized and unrealized gain
on investments and futures contracts 0.66 1.59 1.13 1.55 1.74
Total from investment operations 1.07 2.01 1.58 1.98 2.17
Less distributions to shareholders:
From net investment income (0.39) (0.43) (0.46) (0.42) (0.51)
From net realized gains (1.01) (1.53) (1.35) (0.73) (0.43)
Total distributions (1.40) (1.96) (1.81) (1.15) (0.94)
NET ASSET VALUE, END OF PERIOD $ 15.45 $ 15.78 $ 15.73 $ 15.96 $ 15.13
TOTAL RETURN (C) 7.45% 13.36% 10.57% 13.62% 16.52%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 2,309,248 $ 1,942,005 $ 1,892,955 $ 2,520,710 $ 1,613,945
Net expenses to average
daily net assets (a) 0.48% 0.48% 0.49% 0.50% 0.50%
Net investment income to average
daily net assets (a) 2.63% 2.56% 2.79% 2.90% 3.37%
Portfolio turnover rate 99% 40% 54% 39% 55%
(a) Net of fees and expenses voluntarily waived or borne by the Manager of $.01
per share for each period presented.
(b) The per share amounts and the number of shares outstanding have been
restated to reflect a ten for one stock split effective December 31, 1990.
(c) Calculation excludes subscription fees. The total returns would have been
lower had certain expenses not been waived during the periods shown.
|
See accompanying notes to the financial statements.
GMO CORE FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS
FEBRUARY 28, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO Core Fund (the "Fund") is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, diversified management investment company. The Trust was established as a Massachusetts Business Trust under the laws of the Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees to create an unlimited number of series ("Funds"), each of which issues a separate series of shares. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market quotations are available are valued at the last quoted sale price on each business day, or if there is no such reported sale, at the most recent quoted bid price. Unlisted securities for which market quotations are readily available are valued at the most recent quoted bid price. Short-term investments with a remaining maturity of sixty days or less are valued at amortized cost which approximates market value. Other assets and securities for which no quotations are readily available are valued at fair value as determined in good faith by the Trustees.
FUTURES CONTRACTS
The Fund may purchase futures contracts on the S&P 500 index. Stock index futures contracts represent commitments for future delivery of cash based upon the level of a specified index of equity securities at a given date. The Fund may use futures contracts to manage its exposure to the stock markets. Buying futures tends to increase the Fund's exposure to the underlying instrument. Selling futures tends to decrease the Fund's exposure to the underlying instrument or hedge other Fund instruments. Upon purchase of a futures contract, the Fund is required to deposit with its custodian, in a segregated account in the name of the futures broker, an amount of cash or U.S. government obligations in accordance with the initial margin requirements of the broker. Futures contracts are marked to market daily and an appropriate payable or receivable for the change in value ("variation margin") is recorded by the Fund. The payable or receivable is liquidated on the following business day. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Losses may arise from the changes in the value of the underlying instrument, if there is an illiquid secondary market for the contracts, or if counterparties do not perform under the contract terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. See Note 5 for all open futures contracts held as of February 28, 1995.
REPURCHASE AGREEMENTS
The Fund may enter into repurchase agreements with certain banks and broker/dealers whereby the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets remains sufficient to protect the Fund in the event of default by the seller. In connection with transactions in repurchase agreements, if the seller defaults and the value of the collateral declines or if the seller enters insolvency proceedings, realization of collateral by the Fund may be delayed or limited.
SECURITY LENDING
The Fund may lend its securities to certain member firms of the New York Stock Exchange. The loans are collateralized at all times with cash or securities with a market value at least equal to the market value of the securities on loan. As with other extensions of credit, the Fund may bear the risk of delay in recovery or even loss of rights in the collateral should the borrower of the securities fail financially. The Fund receives compensation for lending its securities. At February 28, 1995, the Fund loaned securities having a market value of $81,082,751, collateralized by cash in the amount of $83,016,550, which was invested in short-term instruments.
TAXES
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. It is the policy of the Fund to distribute all of its taxable income, including any net realized gain on investments not offset by loss carryovers, to shareholders within the prescribed time periods. Therefore, no provision for federal income or excise tax is necessary. Withholding taxes on foreign interest and dividend income have been withheld in accordance with the applicable country's tax treaty with the United States.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment income and net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryover for federal income tax purposes. The Fund's present policy is to declare and pay distributions from net investment income quarterly, and net realized short-term and long-term capital gains at least annually. All distributions will be paid in shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions.
Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences are primarily due to differing treatments for partnership interests.
The following reclassification represents the cumulative amount necessary to report these balances on a tax basis, excluding certain temporary differences, as of February 28, 1995. This reclassification has no impact on net investment income, realized gain/loss and net asset value of the Fund and is primarily attributable to certain differences in the computation of distributable income and capital gains under federal tax rules versus generally accepted accounting principles.
Undistributed Net Investment Accumulated Net Realized
Income Loss Paid-in Capital
$707,891 ($642,819) ($65,072)
|
Distributions in excess of tax basis earnings and profits will be reported in the Fund's financial statements as a return of capital. Furthermore, differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary over-distributions for financial statement purposes are classified as distributions in excess of net investment income or accumulated net realized gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an individual Fund. Expenses which are not readily identifiable to a specific Fund are allocated in such manner as deemed equitable by the Trustees, taking into consideration, among other things, the nature and type of expense and the relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is .17 % of the amount invested. The Manager may waive such premium to the extent that a transaction results in minimal brokerage and transaction costs to the Fund. All purchase premiums are paid to and recorded as paid-in capital by the Fund. For the year ended February 28, 1995, the Fund received $772,803 in purchase premiums. There is no premium for cash redemptions, reinvested distributions or in-kind transactions.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the "Manager") for management and investment advisory services is paid monthly at the annual rate of .525% of average daily net assets. The Manager has agreed to waive a portion of its fee and bear other expenses until further notice to the extent that the Fund's annual expenses (including the management fee but excluding brokerage commissions and transfer taxes) exceed .48% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee during the year ended February 28, 1995, was $9,607. No remuneration is paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended February 28, 1995, aggregated $2,219,660,820 and $1,938,260,771, respectively.
4. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value). Transactions in Fund shares were as follows:
Year Ended Year Ended
February 28, 1995 February 28, 1994
Shares sold 41,333,390 17,341,722
Shares issued to shareholders in reinvestment
of distributions 11,326,288 13,054,059
Shares repurchased (26,231,509) (27,674,912)
Net increase 26,428,169 2,720,869
Fund shares:
Beginning of period 123,081,167 120,360,298
End of period 149,509,336 123,081,167
|
5. FINANCIAL INSTRUMENTS A summary of outstanding futures contracts at February 28, 1995, is as follows:
Number of Net Unrealized Contracts Type Expiration Date Contract Value Appreciation 140 S & P 500 March 1995 $ 34,198,500 $ 331,340 |
At February 28, 1995, the Fund has sufficient cash and/or securities to cover any commitments or margin on these contracts.
* * *
GMO CORE FUND
(A SERIES OF GMO TRUST)
FEDERAL INCOME TAX INFORMATION ON DISTRIBUTIONS - (UNAUDITED)
For the fiscal year ended February 28, 1995, all of the Fund's distributions are from investment company taxable income, except that the Fund has designated 72.21% of distributions as net capital gain dividends.
GMO TOBACCO-FREE CORE FUND
(A SERIES OF GMO TRUST)
ANNUAL REPORT
FEBRUARY 28, 1995
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees of GMO Trust and the Shareholders of GMO Tobacco-Free Core Fund
(A Series of GMO Trust)
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of GMO Tobacco-Free Core Fund at February 28, 1995, and the results of its operations, the changes in its net assets and the financial highlights for the periods presented, in conformity with generally accepted accounting principles. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Trust's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with generally accepted auditing standards which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 28, 1995 by correspondence with the custodian and brokers and the application of alternative auditing procedures where confirmations from brokers were not received, provide a reasonable basis for the opinion expressed above.
Price Waterhouse LLP
Boston, Massachusetts
April 10, 1995
GMO TOBACCO-FREE CORE FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
FEBRUARY 28, 1995
SHARES DESCRIPTION VALUE ($)
STOCK - 97.8%
AEROSPACE - 4.8%
2,400 E-Systems Inc 105,000
7,400 Lockheed Corp 574,425
11,000 Martin Marietta Corp 525,250
1,200 Northrop Corp 53,250
14,100 Raytheon Co 994,050
1,100 Rockwell International Corp 42,350
2,294,325
AUTOMOTIVE - 1.1%
1,000 Bandag Inc 60,000
2,400 Eaton Corp 120,300
4,500 Genuine Parts Co 174,938
6,000 Harley-Davidson 162,000
517,238
BANKING AND FINANCIAL SERVICES - 7.8%
35,600 American Express Co 1,201,500
100 Bancorp Hawaii Inc 2,800
4,800 Bear Stearns Cos Inc 90,000
3,300 Beneficial Corp 122,513
1,900 Chase Manhattan Corp 68,163
4,800 Chemical Banking Corp 192,600
14,200 Citicorp 639,000
2,800 Danaher Corp 82,600
12,200 Dean Witter Discover and Co 492,575
3,200 Edwards (A G) Inc 72,000
700 First Bank of America Corp 23,713
1,500 First Chicago Corp 75,938
900 First USA Inc 33,188
4,400 Household International Inc 192,500
6,400 Morgan Stanley Group Inc 431,200
300 Student Loan Marketing Association 11,063
3,731,353
CHEMICALS - 0.5%
2,800 Georgia Gulf Corp * 84,000
1,000 Loctite Corp 46,000
5,200 Lyondell Petrochemical (a) 125,450
255,450
COMPUTER AND OFFICE EQUIPMENT - 1.3%
10,300 Micron Technology (a) 638,600
CONSTRUCTION - 1.3%
16,100 P P G Industries 591,675
700 Vulcan Materials Inc 37,275
628,950
CONSUMER GOODS - 5.2%
2,800 Callaway Golf Company (a) 94,500
1,600 Clorox Co 96,600
6,700 ConAgra Inc * 219,425
5,600 Corning Inc 179,900
15,300 Eastman Kodak Co 780,300
955 Hubbell Inc Class B 51,570
3,400 International Flavors & Fragrances 163,625
1,700 Liz Claiborne 27,413
2,025 Mattel Co 45,309
2,100 National Service Industries 56,438
4,900 Newell Co 116,988
2,000 Nike Inc Class B 143,750
2,600 Polaroid Corp 78,000
5,500 Premark International Inc 237,875
2,700 Reebok International Ltd 98,888
2,100 VF Corp 108,150
2,498,731
FOOD AND BEVERAGE - 7.0%
13,000 Anheuser-Busch Cos Inc 732,875
7,100 Archer Daniels Midland Co 134,900
3,200 Brown Forman Corp 103,600
4,400 CPC International Inc 235,400
2,400 Dean Foods Co 74,400
9,300 Heinz (H J) Co 366,188
500 Hershey Foods Corp 24,500
1,800 Hormel (Geo A) and Co 48,150
2,000 IBP Inc 63,750
4,800 Kellogg Co 259,800
14,400 Sara Lee Corp 378,000
500 Tyson Food Inc Class A 12,313
6,300 Unilever ADR 765,450
2,000 Universal Foods Corp 62,750
5,400 Whitman Corp 101,925
3,364,001
HEALTH CARE - 6.5%
4,300 Boston Scientific Corp * (a) 92,988
18,200 Columbia/HCA Healthcare Corp 753,025
6,100 Johnson & Johnson 346,175
8,900 Medtronic Inc 534,000
11,300 National Medical Enterprises * 175,150
2,300 United Healthcare Corp 98,900
10,200 Upjohn Co 359,550
15,700 US Health Care Inc 675,100
2,900 Wellpoint Health Networks Class A * 95,338
3,130,226
INSURANCE - 5.7%
6,200 Aetna Life and Casualty Co 333,250
5,100 AFLAC Corp 192,525
900 Allmerica Property and Casualty 17,550
500 Allstate Corp 13,750
2,000 Ambac Inc 81,250
10,000 American General Corp 316,250
4,500 AON Corp 156,375
3,300 Cigna Corp 249,975
600 Conseco Inc (a) 21,375
100 Continental Corp 1,938
700 Geico Corp 34,213
3,000 Jefferson Pilot Corp 171,000
1,200 Marsh & McLennan Cos Inc 98,400
900 MBIA Inc 55,800
600 MGIC Investment 22,875
2,700 Old Republic International Corp 66,825
2,300 Provident Life and Accident Insurance Co Class B 54,050
3,000 Providian Corp 106,125
200 Safeco Corp 11,000
6,600 St Paul Cos 320,925
200 SunAmerica Inc 8,200
4,700 Torchmark Corp 196,813
2,900 Transamerica Corp 158,413
200 Transatlantic Holdings Inc 11,500
2,100 Twentieth Century Industries 26,250
2,726,627
MACHINERY - 1.2%
4,400 Dover Corp 261,800
2,400 FMC Corp * 140,400
3,700 Parker Hannifin Corp 172,975
100 Snap-On Tools Corp 3,400
578,575
MANUFACTURING - 8.8%
1,100 Alco Standard Corp 74,800
32,300 Boeing Co 1,489,814
23,800 International Business Machines Corp 1,790,950
3,400 Litton Industries * 124,100
10,500 Minnesota Mining and Manufacturing 574,875
462 Stone Container Corp * (a) 10,799
2,200 Textron Inc 120,450
1,500 York International Corp 57,750
4,243,538
METALS AND MINING - 0.7%
200 Mapco Inc 10,925
5,200 Phelps Dodge Corp 283,400
294,325
MISCELLANEOUS - 0.0%
100 Witco Corp 2,863
OIL AND GAS - 6.6%
8,100 Amoco Corp (a) 479,925
1,200 Atlantic Richfield Co 131,550
5,200 Chevron Corp 247,000
1,200 Columbia Gas Systems * 31,200
1,000 El Paso Natural Gas Co 30,750
16,500 Exxon Corp 1,056,000
400 Kerr-McGee Corp 20,150
5,100 Mobil Corp 443,700
200 Murphy Oil Corp 8,750
2,400 Occidental Petroleum Corp 47,700
200 Pennzoil Co 9,475
100 Phillips Petroleum Co 3,338
4,200 Royal Dutch Petroleum Co ADR 470,925
2,100 Texaco Inc 133,875
2,400 Williams Companies Inc 69,000
3,183,338
PAPER AND ALLIED PRODUCTS - 0.1%
900 Consolidated Papers Inc 43,538
1,000 Glatfelter (PH) Co 18,250
61,788
PHARMACEUTICALS - 10.1%
10,100 American Home Products Corp 722,150
7,801 Amgen Inc * 538,269
23,400 Bristol-Myers Squibb Co 1,450,800
16,600 Lilly (Eli) & Co 1,112,200
4,800 Marion Merrell Dow Inc 119,400
20,300 Merck & Co Inc 860,213
1,000 Mylan Laboratories (a) 31,250
4,834,282
PRIMARY PROCESSING - 1.4%
5,500 Dow Chemical Co 368,500
4,200 Du Pont (E I) De Nemours & Co Inc 235,725
1,100 Rohm & Haas Co 61,738
665,963
PRINTING AND PUBLISHING - 0.7%
2,100 Dun and Bradstreet Corp 108,413
1,100 McGraw Hill Inc 77,550
3,700 Readers Digest Association Inc 170,200
356,163
REFINING - 0.4%
6,200 Ashland Inc 200,725
RETAIL TRADE - 3.3%
6,700 Albertson's Inc 206,025
8,600 Autozone Inc * 227,900
2,100 Circuit City Stores Inc 45,413
1,500 Gap Stores 48,750
11,600 Kroger Co * 304,500
3,800 Melville Corp 123,500
4,000 Nordstrom Inc 169,000
8,900 Rite Aid Corp 220,275
4,600 The Pep Boys 150,650
1,500 Walgreen Co 70,875
600 Weismarkets Inc 15,375
1,582,263
SERVICES - 2.5%
700 BHC Communications Inc Class A * 51,975
8,900 Capital Cities/ABC Inc 787,650
600 Equifax Inc 18,525
1,400 Fleming Cos 27,300
5,800 Manpower Inc 169,650
2,300 Omnicom Group 122,188
1,177,288
TECHNOLOGY - 8.2%
300 3Com Corp * 15,638
5,900 Amp Inc 442,500
9,500 Apple Computer 375,250
3,500 Avery Dennison Corp 131,250
28,800 Compaq Computer Corp * 993,600
3,700 Computer Sciences Corp * 181,763
4,100 E G & G 58,938
500 Emerson Electric 33,063
2,300 Grainger (WW) Inc 140,588
1,600 Hewlett-Packard Inc 184,000
4,900 LSI Logic Corp * 267,050
9,600 Microsoft Corp * 604,800
2,700 Millipore Corp 143,438
2,900 Storage Technology Corp * 63,075
1,600 Sun Microsystems Inc * 51,200
11,800 Tandem Computers Inc * 200,600
500 Thomas & Betts Corp 33,313
3,920,066
TELECOMMUNICATIONS - 0.2%
1,000 Frontier Corp 22,875
900 General Instrument Corp * (a) 28,575
1,200 Southern New England Telecommunications Corp 39,750
91,200
UTILITIES - 12.4%
2,000 Allegheny Power System Inc 47,000
4,200 American Electric Power Inc 142,275
4,300 Baltimore Gas and Electric Co 105,888
2,600 Carolina Power and Light Co 71,500
6,600 Centerior Energy Corp 64,350
6,300 Central & South West Corp 155,138
4,700 Cinergy Corp 116,325
2,500 CMS Energy Corp 60,000
7,700 Consolidated Edison 212,713
6,700 Detroit Edison Co 191,788
5,800 Dominion Resources Inc (a) 220,400
3,100 DPL Inc 64,713
1,600 DQE 53,800
8,300 Duke Power Co 325,775
5,600 Entergy Corp 125,300
3,500 Florida Progress Corp 109,813
4,000 FPL Group Inc 143,500
5,100 General Public Utilities 154,275
2,400 Houston Industries Inc 91,800
2,700 Illinova Corp 63,113
2,200 Kansas City Power and Light Co 52,525
4,000 Long Island Lighting 64,000
1,700 New England Electric System 56,100
2,000 New York State Electric and Gas Corp 43,000
4,300 Niagara Mohawk Power Corp 63,963
2,200 Nipsco Industries Inc 69,575
3,700 Northeast Utilities (a) 84,175
2,600 Northern States Power Co 117,650
4,300 Ohio Edison Co 90,300
1,100 Oklahoma Gas and Electric Co 38,913
3,000 Pacific Enterprises 73,500
12,300 Pacific Gas and Electric Co 315,188
9,900 PacifiCorp 189,338
4,100 Panhandle Eastern Corp 92,250
6,700 Peco Energy Co 179,225
2,900 Penn Power and Light Co 60,175
3,100 Pinnacle West Capital Corp 66,650
2,400 Potomac Electric Power Co 46,500
7,900 Public Service Enterprise Group Inc 230,088
1,300 Public Service of Colorado 39,813
1,400 Puget Sound Power and Light Co 30,275
1,900 San Diego Gas and Electric Co 41,088
1,600 Scana Corp 70,600
13,000 SCE Corp 212,875
21,100 Southern Co 435,188
3,900 Teco Energy 83,850
3,800 Texas Utilities Co 124,925
7,800 Unicom Corp 198,900
3,200 Union Electric Co 121,200
1,500 Western Resources Inc 47,625
3,600 Wisconsin Energy Corp 99,900
5,958,820
TOTAL STOCK (Cost $42,499,049) 46,936,698
PAR VALUE SHORT-TERM INVESTMENTS - 6.9%
REPURCHASE AGREEMENT - 2.8%
$1,357,130 Salomon Brothers Repurchase Agreement, dated 2/28/95, due 3/1/95,
with a maturity value of $1,357,341 and an effective yield of
5.60%, collateralized by a U.S. Treasury Bond with a rate of 6.25%,
a maturity date of 8/15/23,
and with an aggregate market value of $1,394,106. 1,357,130
U.S. GOVERNMENT - 0.1%
60,000 U.S. Treasury Bill, 4.92% due 3/2/95 59,991
CASH EQUIVALENTS - 4.0%
853,664 Bank of Boston Time Deposit 853,664
371,200 Dreyfus Cash Management Money Market Fund Plus, A Shares 371,200
94,745 National Westminster Time Deposit 94,745
533,041 Provident Institutional Prime Money Market Fund 533,041
1,852,650
TOTAL SHORT-TERM INVESTMENTS (at amortized cost) 3,269,771
TOTAL INVESTMENTS - 104.7%
(Cost $45,768,820) * * 50,206,469
Other Assets and Liabilities (net) - (4.7%) (2,237,738)
TOTAL NET ASSETS - 100.0% $ 47,968,731
|
NOTES TO THE SCHEDULE OF INVESTMENTS:
ADR American Depositary Receipt
(a) All or a portion of this security is on loan.
* Non-income producing security.
** The aggregate identified cost for federal income tax purposes is $46,140,978, resulting in gross unrealized appreciation and depreciation of $4,519,461 and $453,970, respectively, and net unrealized appreciation of $4,065,491.
See accompanying notes to the financial statements.
GMO TOBACCO-FREE CORE FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - FEBRUARY 28, 1995
ASSETS:
Investments, at value (cost $42,499,049) (Note 1) $ 46,936,698
Short-term investments, at amortized cost (Note 1) 3,269,771
Receivable for investments sold 581,147
Dividends and interest receivable 178,375
Receivable for variation margin on open futures contracts 3,350
Receivable for expenses waived or borne by Manager (Note 2) 14,148
Total assets 50,983,489
LIABILITIES:
Payable for investments purchased 498,656
Payable for Fund shares repurchased 583,092
Payable upon return of securities loaned (Note 1) 1,852,396
Payable to affiliate for management fee (Note 2) 18,351
Accrued expenses 62,263
Total liabilities 3,014,758
NET ASSET(equivalent to $10.65 per share based
on 4,502,238 shares outstanding, unlimited shares authorized) $ 47,968,731
NET ASSETS CONSIST OF:
Paid-in capital $ 43,015,553
Accumulated net realized gain on investments and
closed futures contracts 515,529
Net unrealized appreciation on investments
and open futures contracts 4,437,649
NET ASSETS $ 47,968,731
|
See accompanying notes to the financial statements.
GMO TOBACCO-FREE CORE FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - YEAR ENDED FEBRUARY 28, 1995
INVESTMENT INCOME:
Dividends (net of withholding taxes of $9,454) $ 1,465,067
Interest (including securities lending income of $4,528) 95,182
Total income 1,560,249
EXPENSES:
Management fee (Note 2) 260,209
Custodian and transfer agent fees 76,742
Audit fees 49,489
Legal fees 2,318
Insurance 644
Trustee fee (Note 2) 261
Miscellaneous 560
Total expenses 390,223
Less: expenses waived or borne by Manager (Note 2) (140,422)
Net expenses 249,801
Net investment income 1,310,448
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
AND FUTURES CONTRACTS:
Net realized gain (loss) on:
Investments 4,405,159
Closed futures contracts (57,931)
Net realized gain 4,347,228
Change in net unrealized appreciation (depreciation) on:
Investments (2,301,772)
Open futures contracts 7,846
Net unrealized loss (2,293,926)
Net realized and unrealized gain on investments
and futures contracts 2,053,302
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 3,363,750
|
See accompanying notes to the financial statements.
GMO TOBACCO-FREE CORE FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
YEAR ENDED
FEBRUARY 28, 1995 FEBRUARY 28, 1994
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 1,310,448 $ 1,384,900
Net realized gain on investments
and closed futures contracts 4,347,228 4,277,764
Change in net unrealized appreciation (depreciation) on
investments and open futures contracts (2,293,926) 2,265,919
Net increase in net assets resulting from operations 3,363,750 7,928,583
Distributions to shareholders from:
Net investment income (1,340,450) (1,612,593)
Net realized gains (4,364,391) (6,681,832)
(5,704,841) (8,294,425)
Fund share transactions: (Note 5)
Proceeds from sale of shares 2,407,000 -
Net asset value of shares issued to shareholders
in payment of distributions declared 5,704,841 8,294,425
Cost of shares repurchased (13,646,591) (37,315,687)
Net decrease in net assets resulting
from Fund share transactions (5,534,750) (29,021,262)
Total decrease in net assets (7,875,841) (29,387,104)
NET ASSETS:
Beginning of period 55,844,572 85,231,676
End of period (including undistributed net
investment income of $0 and
$254,797, respectively) $ 47,968,731 $ 55,844,572
|
See accompanying notes to the financial statements.
GMO TOBACCO-FREE CORE FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
YEAR ENDED FEBRUARY 28/29,
1995 1994 1993 1992*
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.07 $ 11.35 $ 10.50 $ 10.00
Income from investment operations:
Net investment income (a) 0.23 0.34 0.31 0.12
Net realized and unrealized gain
on investments and futures contracts 0.50 1.18 0.84 0.44
Total from investment operations 0.73 1.52 1.15 0.56
Less distributions to shareholders:
From net investment income (0.28) (0.35) (0.30) (0.06)
From net realized gains (0.87) (1.45) - -
Total distributions (1.15) (1.80) (0.30) (0.06)
NET ASSET VALUE, END OF PERIOD $ 10.65 $ 11.07 $ 11.35 $ 10.50
TOTAL RETURN (B) 7.36% 14.12% 11.20% 5.62%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of peri $ 47,969 $ 55,845 $ 85,232 $ 75,412
Net expenses to average
daily net assets (a) 0.48% 0.48% 0.49% 0.49%**
Net investment income to average
daily net assets (a) 2.52% 2.42% 2.88% 3.77%**
Portfolio turnover rate 112% 38% 56% 0%
* For the period from the commencement of operations, October 31, 1991 to February 29, 1992.
** Annualized.
(a) Net of fees and expenses voluntarily waived or borne by the Manager of $.03, $.03, $.02, and $.01
per share for the for the fiscal years ended 1995, 1994, 1993 and for the
period ended February 29, 1992, respectively.
(b) Calculation excludes subscription fees. The total returns would have been
lower had certain expenses not been waived during the periods shown.
|
See accompanying notes to the financial statements.
GMO TOBACCO-FREE CORE FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS
FEBRUARY 28, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO Tobacco-Free Core Fund (the "Fund") is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, diversified management investment company. The Trust was established as a Massachusetts Business Trust under the laws of the Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees to create an unlimited number of series ("Funds"), each of which issues a separate series of shares. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market quotations are available are valued at the last quoted sale price on each business day, or if there is no such reported sale, at the most recent quoted bid price. Unlisted securities for which market quotations are readily available are valued at the most recent quoted bid price. Short-term investments with a remaining maturity of sixty days or less are valued at amortized cost which approximates market value. Other assets and securities for which no quotations are readily available are valued at fair value as determined in good faith by the Trustees.
FUTURES CONTRACTS
The Fund may purchase futures contracts on the S&P 500 index. Stock index futures contracts represent commitments for future delivery of cash based upon the level of a specified index of equity securities at a given date. The Fund may use futures contracts to manage its exposure to the stock markets. Buying futures tends to increase the Fund's exposure to the underlying instrument. Selling futures tends to decrease the Fund's exposure to the underlying instrument or hedge other Fund instruments. Upon purchase of a futures contract, the Fund is required to deposit with its custodian, in a segregated account in the name of the futures broker, an amount of cash or U.S. government obligations in accordance with the initial margin requirements of the broker. Futures contracts are marked to market daily and an appropriate payable or receivable for the change in value ("variation margin") is recorded by the Fund. The Payable or receivable is liquidated on the following business day. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Losses may arise from the changes in the value of the underlying instrument, if there is an illiquid secondary market for the contracts, or if counterparties do not perform under the contract terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. At February 28, 1995, there were no outstanding futures contracts.
REPURCHASE AGREEMENTS
The Fund may enter into repurchase agreements with certain banks and broker/dealers whereby the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets remains sufficient to protect the Fund in the event of default by the seller. In connection with transactions in repurchase agreements, if the seller defaults, the value of the collateral declines or if the seller enters insolvency proceedings, realization of collateral by the Fund may be delayed or limited.
SECURITY LENDING
The Fund may lend its securities to certain member firms of the New York Stock Exchange. The loans are collateralized at all times with cash or securities with a market value at least equal to the market value of the securities on loan. As with other extensions of credit, the Fund may bear the risk of delay in recovery or even loss of rights in the collateral should the borrower of the securities fail financially. The Fund receives compensation for lending its securities. At February 28, 1995, the Fund loaned securities having a market value of $1,839,887 collateralized by cash in the amount of $1,852,650, which was invested in short-term instruments.
TAXES
The Fund intends to qualify each year as a regulated investment company
under Subchapter M of the Internal Revenue Code of 1986, as amended. It is
the policy of the Fund to distribute all of its taxable income, including
any net realized gain on investments not offset by loss carryovers, to
shareholders within the prescribed time periods.
Therefore, no provision for federal income or excise tax is necessary.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment income and net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryover for federal income tax purposes. The Fund's present policy is to declare and pay distributions from net investment income quarterly, and net realized short-term and long-term capital gains at least annually. All distributions will be paid in shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions.
Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences are primarily due to differing treatments for partnership interests.
The following reclassification represents the cumulative amount necessary to report these balances on a tax basis, excluding certain temporary differences, as of February 28, 1995. This reclassification has no impact on net investment income, realized gain/loss and net asset value of the Fund and is primarily attributable to certain differences in the computation of distributable income and capital gains under federal tax rules versus generally accepted accounting principles.
Undistributed Net Investment Accumulated Net Realized
Income Gain Paid-in Capital
($224,795) $223,859 $936
|
Distributions in excess of tax basis earnings and profits will be reported in the Fund's financial statements as a return of capital. Furthermore, differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary over-distributions for financial statement purposes are classified as distributions in excess of net investment income or accumulated net realized gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an individual Fund. Expenses which are not readily identifiable to a specific Fund are allocated in such manner as deemed equitable by the Trustees, taking into consideration, among other things, the nature and type of expense and the relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is .17% of the amount invested. The Manager may waive such premium to the extent that a transaction results in minimal brokerage and transaction costs to the Fund. All purchase premiums are paid to and recorded as paid-in capital by the Fund. For the year ended February 28, 1995, the Fund received $4,092 in purchase premiums. There is no premium for cash redemptions, reinvested distributions or in-kind transactions.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the "Manager") for management and investment advisory services is paid monthly at the annual rate of .50% of average daily net assets. The Manager has agreed to waive a portion of its fee and bear other expenses until further notice to the extent that the Fund's annual expenses (including the management fee but excluding brokerage commissions and transfer taxes) exceed .48% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee during the year ended February 28, 1995, was $261. No remuneration is paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended February 28, 1995, aggregated $55,293,634 and $63,480,456, respectively.
4. PRINCIPAL SHAREHOLDERS
At February 28, 1995, 95% of the outstanding shares of the Fund were held by two individual shareholders, each holding in excess of 10% of the outstanding shares of the Fund.
5. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value). Transactions in Fund shares were as follows:
Year Ended Year Ended
February 28, 1995 February 28, 1994
Shares sold 226,368 ----
Shares issued to shareholders in reinvestment
of distributions 560,904 749,482
Shares repurchased (1,331,510) (3,214,595)
Net decrease (544,238) (2,465,113)
Fund shares:
Beginning of period 5,046,476 7,511,589
End of period 4,502,238 5,046,476
* * *
|
GMO Tobacco-Free Core Fund
(A Series of GMO Trust)
FEDERAL INCOME TAX INFORMATION ON DISTRIBUTIONS - (UNAUDITED)
For the fiscal year ended February 28, 1995, all of the Fund's distributions are from investment company taxable income, except that the Fund has designated 71.00% of distributions as net capital gain dividends.
GMO VALUE ALLOCATION FUND
(A SERIES OF GMO TRUST)
ANNUAL REPORT
FEBRUARY 28, 1995
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees of GMO Trust and the Shareholders of GMO Value Allocation Fund
(A Series of GMO Trust)
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of GMO Value Allocation Fund at February 28, 1995, and the results of its operations, the changes in its net assets and the financial highlights for the periods presented, in conformity with generally accepted accounting principles. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Trust's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with generally accepted auditing standards which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 28, 1995 by correspondence with the custodian and brokers and the application of alternative auditing procedures where confirmations from brokers were not received, provide a reasonable basis for the opinion expressed above.
Price Waterhouse LLP
Boston, Massachusetts
April 10, 1995
GMO VALUE ALLOCATION FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
FEBRUARY 28, 1995
SHARES DESCRIPTION VALUE ($)
STOCK - 95.1%
AEROSPACE - 3.6%
44,500 E-Systems Inc 1,946,875
26,100 Lockheed Corp 2,026,013
37,400 Martin Marietta Corp 1,785,850
10,600 Northrop Corp 470,375
54,000 Raytheon Co 3,807,000
68,500 Rockwell International Corp 2,637,250
12,673,363
AUTOMOTIVE - 2.6%
2,600 Bandag Inc 156,000
5,000 Chrysler Corp 217,500
4,500 Eaton Corp 225,563
106,300 Ford Motor Co 2,777,088
80,000 General Motors Corp 3,410,000
23,300 Genuine Parts Co 905,788
15,000 Mascotech Industries Inc Convertible Preferred $1.20 208,125
25,000 Navistar International Corp Preferred $6.00 1,306,250
3,300 SPX Corp 50,325
9,256,639
BANKING AND FINANCIAL SERVICES - 12.7%
245,400 American Express Co 8,282,250
10,000 Bank of Boston 301,250
35,000 BankAmerica Corp 1,684,375
28,400 Bear Stearns Cos Inc 532,500
15,900 Beneficial Corp 590,288
34,400 Chase Manhattan Corp 1,234,100
75,000 Chemical Banking Corp 3,009,375
55,000 Citicorp Convertible Preferred 10.75% 6,778,750
487,500 Citicorp Convertible Preferred $1.21 9,384,375
11,300 Comdisco Inc 288,150
45,000 Comerica Inc 1,265,625
5,000 Countrywide Credit Industries 81,250
66,600 Dean Witter Discover and Co 2,688,975
20,300 Edwards (A G) Inc 456,750
15,000 Great Western Financial 281,250
14,000 Household International Inc 612,500
22,900 Morgan Stanley Group Inc 1,542,888
10,000 Nationsbank Corp 498,750
11,200 Paine Webber Inc 194,600
41,100 Salomon Inc (a) 1,479,600
5,000 Shawmut National Corp 128,125
8,200 Student Loan Marketing Association 302,375
40,000 Summit Properties Inc 680,000
60,000 Travelers Inc 2,332,500
44,630,601
CHEMICALS - 0.7%
45,000 Baxter International Inc 1,400,625
25,000 Borden Chemical and Plastics LP 437,500
7,500 Georgia Gulf Corp * 225,000
7,500 Grace (WR) and Co 337,500
3,500 Wellman Inc 94,500
2,495,125
COMMUNICATIONS - 0.0%
2,500 Motorola Inc 143,750
COMPUTER AND DATA PROCESSING SERVICES - 0.6%
250,000 SHL System House * 1,500,000
16,900 Stratus Computer Inc * 445,738
1,945,738
CONSTRUCTION - 0.4%
45,000 Owens Corning Fiberglass Corp * (a) 1,513,125
CONSUMER GOODS - 5.4%
62,500 Burlington Industries Inc * 687,500
8,100 Callaway Golf Company (a) 273,375
50,000 Corning Inc 1,606,250
117,500 Eastman Kodak Co 5,992,500
5,700 Jones Apparel Group Inc * 133,950
16,800 Liz Claiborne 270,900
75,000 Maytag Corp 1,237,500
1,100 National Service Industries 29,563
5,500 Nike Inc Class B 395,313
13,500 Polaroid Corp 405,000
22,500 Premark International Inc 973,125
2,500 Procter and Gamble Co 166,250
9,000 Reebok International Ltd 329,625
5,800 VF Corp 298,700
425,000 Westinghouse Electric Corp Convertible Preferred $1.30 144A 5,790,625
2,500 Whirlpool Corp 135,938
18,726,114
ENVIRONMENTAL CONTROL - 0.0%
7,500 Waste Management International Plc ADS * 78,750
FOOD AND BEVERAGE - 4.1%
55,500 Anheuser-Busch Cos Inc 3,128,813
9,500 Brown Forman Corp Class B 307,563
4,300 Dean Foods Co 133,300
17,300 Heinz (H J) Co 681,188
1,700 Hershey Foods Corp 83,300
7,700 Hormel (Geo A) and Co 205,975
600 IBP Inc 19,125
1,400 International Multifoods Corp 26,075
750,000 RJR Nabisco Holdings Convertible Preferred Series C 9.25% 4,406,250
39,100 Sara Lee Corp 1,026,375
25,000 Supervalu Inc 643,750
27,600 Unilever ADR 3,353,400
4,900 Universal Foods Corp 153,738
5,400 Whitman Corp 101,925
14,270,777
HEALTH CARE - 2.7%
7,800 Bausch & Lomb Inc 259,350
100,000 Beverly Enterprises Inc * (a) 1,300,000
2,900 Boston Scientific Corp * (a) 62,713
25,000 Caremark International Inc 437,500
39,600 Columbia/HCA Healthcare Corp 1,638,450
5,000 Elan Corp Plc ADR * (a) 176,250
17,500 Foundation Health Corp * 522,813
10,300 Medtronic Inc 618,000
78,900 National Medical Enterprises * 1,222,950
78,600 Upjohn Co 2,770,650
14,400 Wellpoint Health Networks Class A * 473,400
9,482,076
INSURANCE - 6.6%
102,400 Aetna Life and Casualty Co 5,504,000
7,700 AFLAC Corp 290,675
2,500 Alexander & Alexander Services Inc 54,375
16,900 Allmerica Property and Casualty 329,550
7,500 Allstate Corp 206,250
15,600 American General Corp 493,350
10,000 AON Corp 347,500
35,300 Cigna Corp 2,673,975
210,000 Continental Corp 4,068,750
15,000 First Colony Corp 335,625
3,500 General Re Corp 455,875
5,000 John Alden Financial Corp 143,750
5,000 Kemper Corp 201,250
15,000 Life Re Corp 298,125
2,500 Marsh & McLennan Cos Inc 205,000
10,600 MBIA Inc 657,200
5,000 National Re Corp 151,875
3,200 Old Republic International Corp 79,200
6,400 Provident Life and Accident Insurance Co Class B 150,400
16,200 Providian Corp 573,075
150,000 Reliance Group Holdings Inc 825,000
31,700 St Paul Cos 1,541,413
32,500 TIG Holdings Inc 674,375
7,900 Torchmark Corp 330,813
20,000 Transamerica Corp 1,092,500
2,400 Twentieth Century Industries 30,000
75,000 USF & G Corp 1,068,750
1,000 USLIFE Corp 38,125
25,000 Willis Corroon Group Plc ADR 281,250
23,102,026
MACHINERY - 1.0%
75,000 CBI Industries Inc 1,818,750
7,500 Cummins Engine Inc 341,250
7,800 Dover Corp 464,100
10,000 FMC Corp * 585,000
10,000 Snap-On Tools Corp 340,000
3,549,100
MANUFACTURING - 9.5%
133,800 Boeing Co 6,171,525
5,000 General Electric Co 274,375
103,500 International Business Machines Corp 7,788,375
15,000 ITT Corp 1,462,500
12,700 Litton Industries * 463,550
225,000 Mascotech Industries Inc 2,756,250
40,800 Minnesota Mining and Manufacturing 2,233,800
1,200 Sequa Corp Class A * 33,750
200,000 Teledyne Inc 4,625,000
2,000 Teledyne Inc Preferred Stock Series E 30,000
1,400 Temple Inland Inc 68,425
16,200 Textron Inc 886,950
35,000 United Technologies Corp 2,323,125
275,000 Westinghouse Electric Corp 4,262,500
33,380,125
METALS AND MINING - 2.9%
150,000 Alcan Aluminum Ltd 3,637,500
10,000 Alumax Inc * 286,250
10,000 Aluminum Co of America 390,000
45,200 Asarco Inc 1,231,700
45,000 Cyprus Amax Minerals Co (a) 1,215,000
60,000 Inco Ltd (a) 1,612,500
14,100 Phelps Dodge Corp 768,450
20,000 Reynolds Metals Co 1,000,000
10,141,400
MISCELLANEOUS - 0.1%
7,500 Freeport-McMoran Corp Preferred 243,750
OIL AND GAS - 6.6%
12,500 Amerada Hess Corp 612,500
8,200 Chevron Corp 389,500
26,200 Columbia Gas Systems * 681,200
12,500 Dresser Industries Inc 257,813
3,700 El Paso Natural Gas Co 113,775
25,000 Enserch Corp 350,000
1,200 Equitable Resources Inc 33,300
37,900 Exxon Corp 2,425,600
5,000 Kerr-McGee Corp 251,875
25,000 Maxus Energy Corp * 96,875
42,900 Mobil Corp 3,732,300
125,000 Noram Energy Corp 703,125
60,000 Occidental Petroleum Corp 1,192,500
1,400 Oneok Inc 24,150
28,200 Royal Dutch Petroleum Co ADR 3,161,925
22,500 Seagull Energy Corp * 379,688
4,400 Southwest Gas Corp 67,100
1,300 Southwestern Energy Co 16,413
20,300 Texaco Inc 1,294,125
87,500 Unocal Corp 2,482,813
5,000 Unocal Corp Convertible Preferred $3.50 144A 256,250
125,000 USX - Marathon Group 2,031,250
87,500 Williams Companies Inc 2,515,625
23,069,702
PAPER AND ALLIED PRODUCTS - 0.1%
5,000 Weyerhaeuser Co (a) 203,750
PHARMACEUTICALS - 4.0%
19,900 American Home Products Corp 1,422,850
67,000 Bristol-Myers Squibb Co 4,154,000
94,500 Lilly (Eli) & Co 6,331,500
30,500 Marion Merrell Dow Inc 758,688
34,300 Merck & Co Inc 1,453,463
14,120,501
PRIMARY PROCESSING - 4.3%
75,000 Armco Inc * 496,875
75,000 Bethlehem Steel Corp * 1,171,875
50,000 Boise Cascade Corp Preferred Series G $1.58 1,368,750
22,500 Champion International Corp 925,313
7,500 Du Pont (E I) De Nemours & Co Inc 420,938
35,000 International Paper Co 2,673,125
75,000 James River Corp 1,846,875
100,000 James River Corp Convertible Preferred 9.00% 2,275,000
45,000 Methanex Corp * 472,500
35,000 National Steel Corp Class B * 577,500
700 NCH Corp 42,875
1,800 Olin Corp (a) 91,575
50,000 USX-US Steel Group Inc 1,662,500
2,900 Valspar 103,675
100,000 Weirton Steel Corp * 762,500
25,000 WHX Corp * 265,625
15,157,501
PRINTING AND PUBLISHING - 0.2%
15,000 Dun and Bradstreet Corp 774,375
REAL ESTATE - 0.1%
25,000 Crown American Realty 309,375
REFINING - 0.8%
13,300 Ashland Inc 430,588
8,300 Diamond Shamrock Inc 207,500
22,500 Imperial Oil Ltd 765,000
25,000 Sun Co Inc 728,125
8,500 Tosco Corp 245,438
32,500 Valero Energy Corp 580,938
2,957,589
RETAIL TRADE - 3.6%
5,000 Albertson's Inc 153,750
25,000 American Stores Co 612,500
1,600 Blair Corp 54,200
3,900 Circuit City Stores Inc 84,338
1,800 Family Dollar Stores 23,400
2,500 Fingerhut Companies Inc 40,938
100,000 Kmart 1,275,000
2,800 Lands' End Inc * 46,550
2,600 Longs Drugstores Corp 82,550
10,000 May Dept Stores 365,000
35,600 Melville Corp 1,157,000
250,000 Price/Costco Inc * 3,406,250
25,900 Rite Aid Corp 641,025
50,000 Sears Roebuck & Co 2,462,500
3,000 Stanhome Inc 84,000
10,000 The Limited Inc 175,000
40,000 TJX Cos Inc 540,000
55,000 Wal-Mart Stores Inc 1,306,250
12,510,251
SERVICES - 0.9%
2,600 BHC Communications Inc Class A * 193,050
7,100 Chris Craft Industries Inc * 252,050
5,500 Deluxe Corp 154,000
59,600 Fleming Cos 1,162,200
2,300 Lee Enterprises Inc 83,088
500 Meredith Corp 24,313
4,200 PHH Corp 157,500
50,000 Tele-Communications Class A * 1,137,500
3,163,701
TECHNOLOGY - 3.9%
25,000 Advanced Micro Devices * 759,375
26,800 Apple Computer 1,058,600
5,000 Bay Networks Inc * 156,875
40,000 Cray Research Inc * 675,000
25,000 Data General * 196,875
212,500 Digital Equipment Corp * 7,118,750
70,000 Fisher Scientific 1,890,000
12,500 Intel Corp 996,875
3,500 Microsoft Corp * 220,500
25,000 Moore Corp Ltd (a) 462,500
13,535,350
TELECOMMUNICATIONS - 3.5%
12,500 AT & T Corp 646,875
177,500 GTE Corp 5,924,063
75,000 MCI Communications 1,509,375
45,000 Pacific Telesis Group 1,350,000
22,500 Sprint Corp 658,125
60,000 US West Inc 2,325,000
12,413,438
TEXTILES - 0.1%
25,000 Kellwood Co 440,625
TOBACCO - 2.2%
95,000 American Brands Inc 3,550,625
50,000 Hanson Plc ADR (a) 937,500
30,400 Loews Corp 2,952,600
4,000 Philip Morris Cos Inc 243,000
7,683,725
TRANSPORTATION - 1.9%
25,000 AMR Corp * 1,528,125
125,000 Canadian Pacific Ltd 1,750,000
15,000 Delta Air Lines Inc 870,000
5,000 Goodyear Tire and Rubber 184,375
10,000 Northwest Airlines Corp Class A * 246,250
7,500 Overseas Shipholding Group Inc 173,438
37,500 Ryder System Inc 871,875
40,000 USAir Group Inc Convertible Preferred Series B $4.375 1,090,000
6,714,063
UTILITIES - 10.0%
1,200 Allegheny Power System Inc 28,200
3,400 American Electric Power Inc 115,175
4,200 American Water Works Co 123,900
3,900 Atlantic Energy Inc 74,100
15,900 Baltimore Gas and Electric Co 391,538
2,700 Boston Edison Co 66,150
219,200 Centerior Energy Corp 2,137,200
74,700 Cinergy Corp 1,848,825
15,000 CMS Energy Corp 360,000
38,900 Consolidated Edison 1,074,592
1,400 Delmarva Power and Light Co 27,825
4,100 Destec Energy Inc * 41,000
54,800 Detroit Edison Co 1,568,650
25,000 DPL Inc 521,875
5,400 DQE 181,575
92,300 Entergy Corp 2,065,213
1,600 FPL Group Inc 57,400
65,200 General Public Utilities 1,972,300
4,500 Houston Industries Inc 172,125
35,000 Illinova Corp 818,125
25,900 Long Island Lighting 414,400
1,400 Midwest Resources 20,300
5,500 New England Electric System 181,500
14,100 New York State Electric and Gas Corp 303,150
28,400 Niagara Mohawk Power Corp 422,450
43,400 Northeast Utilities (a) 987,350
12,500 Ohio Edison Co 262,500
700 Oklahoma Gas and Electric Co 24,763
53,500 Pacific Gas and Electric Co 1,370,938
50,000 Panhandle Eastern Corp 1,125,000
23,000 Peco Energy Co 615,250
9,300 Penn Power and Light Co 192,975
45,600 Pinnacle West Capital Corp 980,400
13,000 Portland General Electric Co 264,875
9,000 Potomac Electric Power Co 174,375
77,900 Public Service Enterprise Group Inc 2,268,838
24,800 Public Services Co of New Mexico * 319,300
1,100 Puget Sound Power and Light Co 23,788
5,000 Rochester Gas and Electric Corp 109,375
67,800 SCE Corp 1,110,225
60,000 Tenneco Inc 2,730,000
127,600 Texas Utilities Co 4,194,850
50,000 TransCanada Pipeline Ltd 662,500
92,100 Unicom Corp 2,348,550
4,900 Western Resources Inc 155,575
34,908,995
TOTAL STOCK (Cost $306,984,846) 333,595,400
PAR VALUE SHORT-TERM INVESTMENTS - 5.8%
REPURCHASE AGREEMENT - 3.0%
$ 10,503,055 Salomon Brothers Repurchase Agreement, dated 2/28/95,
due 3/1/95, with a maturity value of $10,504,689 and an
effective yield of 5.60%, collateralized by a U.S. Treasury
Bond with a rate of 6.25%, a maturity date of 8/15/23,
and with an aggregate market value of $10,789,221. 10,503,055
U.S. GOVERNMENT - 0.3%
945,000 U.S. Treasury Bill, 4.92% due 3/2/95 (b) 944,861
CASH EQUIVALENTS - 2.5%
1,663,720 Bank of Boston Time Deposit 1,663,720
4,052,245 Dreyfus Cash Management Money Market Fund Plus, A Shares 4,052,245
442,140 National Westminster Time Deposit 442,140
2,487,495 Provident Institutional Prime Money Market Fund 2,487,495
8,645,600
TOTAL SHORT-TERM INVESTMENTS (at amortized cost) 20,093,516
TOTAL INVESTMENTS - 100.9%
(Cost $327,078,362) * * $ 353,688,916
Other Assets and Liabilities (net) - (0.9%) (2,994,455)
TOTAL NET ASSETS - 100.0% $ 350,694,461
NOTES TO THE SCHEDULE OF INVESTMENTS:
ADR American Depositary Receipt
ADS American Depositary Shares
(a) All or a portion of this security is on loan.
(b) This security is held as collateral for open futures contracts.
144A Securities exempt from registration under Rule
144A of the Securities Act of 1933. These
securities may be resold in transactions exempt
from registration, normally to qualified,
institutional buyers.
* Non-income producing security
** The aggregate identified cost for federal income
tax purposes is $336,063,721, resulting in gross
unrealized appreciation and depreciation of
$31,073,736 and $13,448,541, respectively, and net
unrealized appreciation of $17,625,195.
|
See accompanying notes to the financial statements.
GMO VALUE ALLOCATION FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - FEBRUARY 28, 1995
ASSETS:
Investments, at value (cost $306,984,846) (Note 1) $ 333,595,400
Short-term investments, at amortized cost (Note 1) 20,093,516
Receivable for Fund shares sold 6,500,000
Receivable for investments sold 5,158,625
Dividends and interest receivable 1,478,267
Receivable for variation margin on open futures contracts 58,671
Receivable for expenses waived or borne by Manager (Note 2) 30,926
Total assets 366,915,405
Liabilities:
Payable upon return of securities loaned (Note 1) 8,643,998
Payable for investments purchased 3,770,601
Payable for Fund shares repurchased 3,539,907
Payable to affiliate for management fee (Note 2) 185,497
Accrued expenses 80,941
Total liabilities 16,220,944
NET ASSETS(equivalent to $12.05 per share based
on 29,095,761 shares outstanding, unlimited shares authorized) $ 350,694,461
NET ASSETS CONSIST OF:
Paid-in capital $ 326,243,082
Undistributed net investment income 1,914,719
Accumulated net realized loss on investments and
closed futures contracts (4,119,787)
Net unrealized appreciation on investments and
open futures contracts 26,656,447
NET ASSETS $ 350,694,461
See accompanying notes to the financial statements.
|
GMO VALUE ALLOCATION FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - YEAR ENDED FEBRUARY 28, 1995
INVESTMENT INCOME:
Dividends (net of withholding taxes of $70,611) $ 14,887,482
Interest (including securities lending income of $28,587) 687,766
Total income 15,575,248
EXPENSES:
Management fee (Note 2) 3,144,806
Custodian and transfer agent fees 116,807
Audit fees 54,293
Legal fees 28,232
Insurance 5,337
Trustee fee (Note 2) 1,778
Registration fees 1,000
Miscellaneous 1,000
Total expenses 3,353,253
Less: expenses waived or borne by Manager (Note 2) (612,779)
Net expenses 2,740,474
Net investment income 12,834,774
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
AND FUTURES CONTRACTS:
Net realized gain on:
Investments 45,409,063
Closed futures contracts 405,102
Net realized gain 45,814,165
Change in net unrealized appreciation (depreciation) on:
Investments (41,594,737)
Open futures contracts 45,893
Net unrealized loss (41,548,844)
Net realized and unrealized gain on investments
and futures contracts 4,265,321
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 17,100,095
|
See accompanying notes to the financial statements.
GMO VALUE ALLOCATION FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
YEAR ENDED
FEBRUARY 28, 1995 FEBRUARY 28, 1994
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 12,834,774 $ 30,299,099
Net realized gain on investments
and closed futures contracts 45,814,165 130,330,133
Change in net unrealized appreciation (depreciation)
on investments and open futures contracts (41,548,844) (15,258,162)
Net increase in net assets resulting from operations 17,100,095 145,371,070
Distributions to shareholders from:
Net investment income (16,241,648) (32,053,898)
Net realized gains (53,036,477) (100,074,809)
(69,278,125) (132,128,707)
Fund share transactions: (Note 5)
Proceeds from sale of shares 37,637,168 154,515,349
Net asset value of shares issued to shareholders
in payment of distributions declared 59,045,467 109,347,043
Cost of shares repurchased (373,341,674) (837,109,087)
Net decrease in net assets resulting
from Fund share transactions (276,659,039) (573,246,695)
Total decrease in net assets (328,837,069) (560,004,332)
NET ASSETS:
Beginning of period 679,531,530 1,239,535,862
End of period (including undistributed net
investment income of $1,914,719 and
$5,309,936, respectively) $ 350,694,461 $ 679,531,530
|
See accompanying notes to the financial statements.
GMO VALUE ALLOCATION FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
YEAR ENDED FEBRUARY 28/29,
1995 1994 1993 1992 1991 *
Net asset value, beginning of period $ 13.48 $ 13.50 $ 12.94 $ 12.25 $ 10.00
Income from investment operations:
Net investment income (a) 0.41 0.43 0.38 0.40 0.12
Net realized and unrealized gain
on investments and futures contracts 0.32 1.27 0.98 1.11 2.16
Total from investment operations 0.73 1.70 1.36 1.51 2.28
Less distributions to shareholders:
From net investment income (0.45) (0.40) (0.38) (0.41) (0.03)
From net realized gains (1.71) (1.32) (0.42) (0.41) --
Total distributions (2.16) (1.72) (0.80) (0.82) (0.03)
Net asset value, end of period $ 12.05 $ 13.48 $ 13.50 $ 12.94 $ 12.25
Total Return (b) 6.85% 13.02% 11.01% 12.96% 22.85%
Ratios/Supplemental Data:
Net assets, end of period (000's) $ 350,694 $ 679,532 $ 1,239,536$ 644,136 $ 190,664
Net expenses to average
daily net assets (a) 0.61% 0.61% 0.62% 0.67% 0.70%**
Net investment income to average
daily net assets (a) 2.86% 2.70% 3.15% 3.75% 7.89%**
Portfolio turnover rate 77% 35% 50% 41% 23%
* For the period from the commencement of operations, November 14, 1990 through
February 28, 1991.
** Annualized
(a)Net of fees and expenses voluntarily waived or borne by the Manager of $.02, $.02, $.01, $.01, and $.01 per
share for the fiscal years ended 1995, 1994, 1993, 1992 and the period ended February 28, 1991, respectively.
(b)Calculation excludes subscription fees. The total returns would have been lower had certain expenses
not been waived during the periods shown.
|
See accompanying notes to the financial statements.
GMO VALUE ALLOCATION FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS
FEBRUARY 28, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO Value Allocation Fund (the "Fund") is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, non-diversified management investment company. The Trust was established as a Massachusetts Business Trust under the laws of the Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees to create an unlimited number of series ("Funds"), each of which issues a separate series of shares. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market quotations are available are valued at the last quoted sale price on each business day, or if there is no such reported sale, at the most recent quoted bid price. Unlisted securities for which market quotations are readily available are valued at the most recent quoted bid price. Short-term investments with a remaining maturity of sixty days or less are valued at amortized cost which approximates market value. Other assets and securities for which no quotations are readily available are valued at fair value as determined in good faith by the Trustees.
FUTURES CONTRACTS
The Fund may purchase futures contracts on the S&P 500 index. Stock index futures contracts represent commitments for future delivery of cash based upon the level of a specified index of equity securities at a given date. The Fund may use futures contracts to manage its exposure to the stock markets. Buying futures tends to increase the Fund's exposure to the underlying instrument. Selling futures tends to decrease the Fund's exposure to the underlying instrument or hedge other Fund instruments. Upon purchase of a futures contract, the Fund is required to deposit with its custodian, in a segregated account in the name of the futures broker, an amount of cash or U.S. government obligations in accordance with the initial margin requirements of the broker. Futures contracts are marked to market daily and an appropriate payable or receivable for the change in value ("variation margin") is recorded by the Fund. The payable or receivable is liquidated on the following business day. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Losses may arise from the changes in the value of the underlying instrument, if there is an illiquid secondary market for the contracts, or if counterparties do not perform under the contract terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. See Note 6 for all open futures contracts held as of February 28, 1995.
REPURCHASE AGREEMENTS
The Fund may enter into repurchase agreements with certain banks and broker/dealers whereby the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets remains sufficient to protect the Fund in the event of default by the seller. In connection with transactions in repurchase agreements, if the seller defaults, the value of the collateral declines or if the seller enters insolvency proceedings, realization of collateral by the Fund may be delayed or limited.
SECURITY LENDING
The Fund may lend its securities to certain member firms of the New York The Fund may lend its securities to certain member firms of the New York Stock Exchange. The loans are collateralized at all times with cash or securities with a market value at least equal to the market value of the securities on loan. As with other extensions of credit, the Fund may bear the risk of delay in recovery or even loss of rights in the collateral should the borrower of the securities fail financially. The Fund receives compensation for lending its securities. At February 28, 1995, the Fund loaned securities having a market value of $8,188,338, collateralized by cash in the amount of $8,645,600, which was invested in short-term instruments.
TAXES
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. It is the policy of the Fund to distribute all of its taxable income, including any net realized gain on investments not offset by loss carryovers, to shareholders within the prescribed time periods. Therefore, no provision for federal income or excise tax is necessary.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment income and net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryover for federal income tax purposes. The Fund's present policy is to declare and pay distributions from net investment income quarterly, and net realized short-term and long-term capital gains at least annually. All distributions will be paid in shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions.
Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences are primarily due to differing treatments for redemptions in-kind.
The following reclassification represents the cumulative amount necessary to report these balances on a tax basis, excluding certain temporary differences, as of February 28, 1995. This reclassification has no impact on net investment income, realized gain/loss and net asset value of the Fund and is primarily attributable to certain differences in the computation of distributable income and capital gains under federal tax rules versus generally accepted accounting principles.
Undistributed Net Investment Accumulated Net Realized
Income Loss Paid-in Capital
$11,657 ($1,777,037) $1,765,380
|
Distributions in excess of tax basis earnings and profits will be reported in the Fund's financial statements as a return of capital. Furthermore, differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary over-distributions for financial statement purposes are classified as distributions in excess of net investment income or accumulated net realized gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an individual Fund. Expenses which are not readily identifiable to a specific Fund are allocated in such manner as deemed equitable by the Trustees, taking into consideration, among other things, the nature and type of expense and the relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is .15% of the amount invested. The Manager may waive such premium to the extent that a transaction results in minimal brokerage and transaction costs to the Fund. All purchase premiums are paid to and recorded as paid-in capital by the Fund. For the year ended February 28, 1995, the Fund received $24,038 in purchase premiums. There is no premium for cash redemptions, reinvested distributions or in-kind transactions.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the "Manager") for management and investment advisory services is paid monthly at the annual rate of .70% of average daily net assets. The Manager has agreed to waive a portion of its fee and bear other expenses until further notice to the extent that the Fund's annual expenses (including the management fee but excluding brokerage commissions and transfer taxes) exceed .61% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee during the year ended February 28, 1995, was $1,778. No remuneration is paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended February 28, 1995, aggregated $331,512,147 and $654,370,170, respectively.
4. PRINCIPAL SHAREHOLDERS
At February 28, 1995, 16% of the outstanding shares of the Fund were held by one shareholder.
5. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value). Transactions in Fund shares were as follows:
Year Ended Year Ended
February 28, 1995 February 28, 1994
Shares sold 3,061,654 11,215,805
Shares issued to shareholders in reinvestment
of distributions 5,068,747 8,104,633
Shares repurchased (29,453,951) (60,726,452)
Net decrease (21,323,550) (41,406,014)
Fund shares:
Beginning of period 50,419,311 91,825,325
End of period 29,095,761 50,419,311
|
6. FINANCIAL INSTRUMENTS
A summary of outstanding futures contracts at February 28, 1995, is as follows:
Number of Net Unrealized
Contracts Type Expiration Date Contract Value Appreciation
44 S&P 500 March 1995 $ 10,748,100 $
45,893
|
At February 28, 1995, the Fund has sufficient cash and/or securities to cover any commitments or margin on these contracts.
* * *
GMO VALUE ALLOCATION FUND
(A SERIES OF GMO TRUST)
FEDERAL INCOME TAX INFORMATION ON DISTRIBUTIONS - (UNAUDITED)
For the fiscal year ended February 28, 1995, all of the Fund's distributions are from investment company taxable income, except that the Fund has designated 67.44% of distributions as net capital gain dividends.
GMO GROWTH ALLOCATION FUND
(A SERIES OF GMO TRUST)
ANNUAL REPORT
FEBRUARY 28, 1995
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees of GMO Trust and the Shareholders of
GMO Growth Allocation Fund (A Series of GMO Trust)
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of GMO Growth Allocation Fund at February 28, 1995, and the results of its operations, the changes in its net assets and the financial highlights for the periods presented, in conformity with generally accepted accounting principles. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Trust's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with generally accepted auditing standards which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 28, 1995 by correspondence with the custodian and brokers and the application of alternative auditing procedures where confirmations from brokers were not received, provide a reasonable basis for the opinion expressed above.
Price Waterhouse LLP
Boston, Massachusetts
April 10, 1995
GMO GROWTH ALLOCATION FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
FEBRUARY 28, 1995
SHARES DESCRIPTION VALUE ($)
STOCK - 90.3%
AEROSPACE - 3.1%
11,300 E-Systems Inc 494,375
20,700 Lockheed Corp 1,606,838
25,000 Martin Marietta Corp 1,193,750
1,200 Northrop Corp 53,250
57,100 Raytheon Co 4,025,550
7,373,763
AUTOMOTIVE - 2.0%
8,400 Bandag Inc 504,000
27,300 Breed Technologies Inc (a) 648,375
12,500 Eaton Corp 626,563
39,400 Genuine Parts Co 1,531,675
53,700 Harley-Davidson 1,449,900
4,760,513
BANKING AND FINANCIAL SERVICES - 4.7%
125,600 American Express Co 4,239,000
6,700 Bear Stearns Cos Inc 125,625
15,865 Comdisco Inc 404,558
14,200 Danaher Corp 418,900
77,300 Dean Witter Discover and Co 3,120,988
34,500 First USA Inc 1,272,188
19,900 Morgan Stanley Group Inc 1,340,763
1,400 Salomon Inc (a) 50,400
5,100 Student Loan Marketing Association 188,063
11,160,485
CHEMICALS - 0.4%
6,500 Loctite Corp 299,000
900 Lyondell Petrochemical (a) 21,713
26,200 Praxair Inc 592,775
3,700 Wellman Inc 99,900
1,013,388
CONSUMER GOODS - 3.3%
45,500 Callaway Golf Company (a) 1,535,625
4,000 Church & Dwight Co Inc 72,000
4,100 Clorox Co 247,538
15,600 ConAgra Inc * 510,900
8,400 International Flavors & Fragrances 404,250
18,000 Jones Apparel Group Inc * 423,000
800 Kohls Corp * 32,800
8,000 Liz Claiborne 129,000
36,550 Mattel Co 817,806
1,000 National Service Industries 26,875
52,200 Newell Co 1,246,275
11,700 Nike Inc Class B 840,938
1,900 Polaroid Corp 57,000
6,100 Premark International Inc 263,825
25,300 Reebok International Ltd 926,613
3,900 Russ Berrie and Co 50,700
4,800 Russell Corp 145,200
1,200 VF Corp 61,800
7,792,145
FOOD AND BEVERAGE - 15.1%
81,500 Anheuser-Busch Cos Inc 4,594,563
14,800 Brown Forman Corp Class B 479,150
198,200 Coca-Cola Co 10,901,000
78,700 CPC International Inc 4,210,450
18,150 Dean Foods Co 562,650
78,100 Heinz (H J) Co 3,075,188
7,900 Hershey Foods Corp 387,100
12,000 Hormel (Geo A) and Co 321,000
2,400 International Multifoods Corp 44,700
60,100 Kellogg Co 3,252,913
900 Quaker Oats Co 29,363
166,200 Sara Lee Corp 4,362,750
1,600 Tootsie Roll Industries Inc 107,200
1,500 Tyson Food Inc Class A 36,765
21,300 Unilever ADR 2,587,950
15,500 Universal Foods Corp 486,313
36,100 Whitman Corp 681,388
36,120,443
HEALTH CARE - 13.4%
12,600 Bausch & Lomb Inc 418,950
36,500 Boston Scientific Corp * (a) 789,313
201,000 Columbia/HCA Healthcare Corp 8,316,375
700 Haemonetics Corp * 11,113
108,400 Johnson & Johnson 6,151,700
96,500 Medtronic Inc 5,790,000
9,600 National Medical Enterprises * 148,800
44,300 United Healthcare Corp 1,904,900
179,100 US Health Care Inc 7,701,300
24,800 Wellpoint Health Networks Class A * 815,300
32,047,751
MACHINERY - 1.1%
22,500 Dover Corp 1,338,750
14,900 FMC Corp * 871,650
7,300 Thermo Electron Corp * (a) 345,838
2,556,238
MANUFACTURING - 3.1%
14,400 Alco Standard Corp 979,200
4,800 Bemis Co 130,200
10,500 Litton Industries * 383,250
86,600 Minnesota Mining and Manufacturing 4,741,350
22,800 Pall Corp 458,850
1,300 Sequa Corp Class A * 36,563
4,100 Trimas Corp 92,250
18,100 York International Corp 696,850
7,518,513
MISCELLANEOUS - 0.0%
400 Labone Inc 5,500
OIL AND GAS - 1.1%
25,200 Anadarko Petroleum Corp 1,105,650
2,000 Berry Petroleum Class A 18,000
35,200 Burlington Resources Inc 1,355,200
800 Pennzoil Co 37,900
5,700 Western Gas Resources Inc 104,025
2,620,775
PHARMACEUTICALS - 20.3%
259,204 Abbott Laboratories 9,201,712
10,500 Allergan Inc 303,188
24,500 American Home Products Corp 1,751,750
91,500 Amgen Inc * 6,313,500
113,600 Bristol-Myers Squibb Co 7,043,200
13,500 Forest Labs * 685,125
54,100 Lilly (Eli) & Co 3,624,700
22,400 Marion Merrell Dow Inc 557,200
99,700 Merck & Co Inc 4,224,788
68,100 Mylan Laboratories (a) 2,128,125
90,500 Pfizer Inc 7,488,875
34,400 Schering-Plough Corp 2,696,100
31,900 Warner Lambert Co 2,436,363
48,454,626
PRIMARY PROCESSING - 0.1%
1,000 NCH Corp 61,250
4,700 Valspar 168,025
229,275
PRINTING AND PUBLISHING - 1.5%
2,800 Central Newspapers Class A 75,250
31,000 Dun and Bradstreet Corp 1,604,250
1,600 McClatchy Newspapers Inc 37,800
40,200 Readers Digest Association Inc 1,849,200
3,566,500
REFINING - 0.2%
18,000 Ashland Inc 582,750
RETAIL TRADE - 7.5%
134,200 Albertson's Inc 4,126,650
38,600 Autozone Inc * 1,022,900
2,200 Best Buy Co Inc * 47,575
2,700 Blair Corp 91,463
34,500 Circuit City Stores Inc 746,063
62,200 Gap Stores 2,021,500
8,200 Hannaford Brothers Co 211,150
85,200 Kroger Co * (a) 2,236,500
3,200 Lands' End Inc * 53,200
25,800 Nordstrom Inc 1,090,050
6,600 Price/Costco Inc * 89,925
33,900 Rite Aid Corp 839,025
24,800 Safeway Inc * 889,700
7,200 Stanhome Inc 201,600
40,100 The Pep Boys 1,313,275
56,300 Walgreen Co 2,660,175
5,600 Weismarkets Inc 143,500
17,784,251
SERVICES - 5.3%
2,500 BHC Communications Inc Class A * 185,625
62,900 Capital Cities/ABC Inc 5,566,650
10,875 Chris Craft Industries Inc * 386,063
10,100 Deluxe Corp 282,800
4,000 Equifax Inc 123,500
23,200 Gannett Co Inc 1,276,000
15,000 Kingworld Productions Inc * 534,375
7,600 Lee Enterprises Inc 274,550
12,100 Lin Broadcasting Corp 1,565,438
41,000 Manpower Inc 1,199,250
5,400 Omnicom Group 286,875
7,200 PHH Corp 270,000
500 Rollins Inc 12,625
1,700 Total System Services Inc 29,963
2,800 Washington Post Co Class B 709,100
12,702,814
TECHNOLOGY - 4.1%
27,600 Apple Computer 1,090,200
34,500 Cabletron Systems Inc * 1,367,063
23,300 Compaq Computer Corp * 803,850
90,400 Microsoft Corp * 5,695,200
16,100 Millipore Corp 855,313
9,811,626
TOBACCO - 4.0%
10,200 Loews Corp 990,675
141,828 Philip Morris Cos Inc 8,616,051
9,606,726
TOTAL STOCK (Cost $201,309,216) 215,708,082
PAR VALUE SHORT-TERM INVESTMENTS - 12.4%
REPURCHASE AGREEMENTS - 8.6%
$ 8,830,985 Prudential Securities Group, Inc. Repurchase Agreement
dated 2/28/95, due 3/1/95, with a maturity value of $8,832,396
and an effective yield of 5.75%, collateralized by U.S. Government
Agency Obligations with rates ranging from 3.64% to 11.62%,
maturities ranging from 5/1/00 to 10/25/24, and with an aggregate
market value of $9,007,546. 8,830,985
11,848,273 Salomon Brothers Repurchase Agreement, dated 2/28/95, due
3/1/95, with a maturity value of $11,850,116 and an effective
yield of 5.60%, collateralized by a U.S. Treasury Bond with a
rate of 6.25%, a maturity date of 8/15/23,
and with an aggregate market value of $12,171,091. 11,848,273
20,679,258
U.S. GOVERNMENT - 0.5%
1,150,000 U.S. Treasury Bill, 4.92% due 3/2/95 (b) 1,149,827
CASH EQUIVALENTS - 3.3%
621,593 Bank of Boston Time Deposit 621,593
4,574,781 Dreyfus Cash Management Money Market Fund Plus, A Shares 4,574,781
401,949 National Westminster Time Deposit 401,949
2,261,377 Provident Institutional Prime Money Market Fund 2,261,377
7,859,700
TOTAL SHORT-TERM INVESTMENTS (at amortized cost) 29,688,785
TOTAL INVESTMENTS - 102.7%
(Cost $230,998,001) * * 245,396,867
Other Assets and Liabilities (net) - (2.7%) (6,390,550)
TOTAL NET ASSETS - 100.0% $ 239,006,317
Notes to the Schedule of Investments:
ADR American Depositary Receipt
(a) All or a portion of this security is on loan.
(b) This security is held as collateral for open futures contracts.
* Non-income producing security
** The aggregate identified cost for federal income tax
purposes is $231,432,854, resulting in gross
unrealized appreciation and depreciation of
$16,638,794 and $2,674,781, respectively, and net
unrealized appreciation of $13,964,013.
|
See accompanying notes to the financial statements.
GMO GROWTH ALLOCATION FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - FEBRUARY 28, 1995
ASSETS:
Investments, at value (cost $201,309,216) (Note 1) $ 215,708,082
Short-term investments, at amortized cost (Note 1) 29,688,785
Receivable for securities sold 2,034,611
Dividends and interest receivable 427,906
Receivable for variation on open futures contracts 136,929
Receivable for expenses waived or borne by Manager (Note 2) 13,996
Total assets 248,010,309
LIABILITIES:
Payable upon return of securities loaned (Note 1) 7,851,089
Payable for securities purchased 994,601
Payable to affiliate for management fee (Note 2) 85,260
Accrued expenses 73,042
Total liabilities 9,003,992
NET ASSETS (equivalent to $4.45 per share based
on 53,657,221 shares outstanding, unlimited shares authorized) $ 239,006,317
NET ASSETS CONSIST OF:
Paid-in capital $ 214,269,890
Undistributed net investment income 558,495
Accumulated net realized gain on investments and
closed futures contracts 9,725,239
Net unrealized appreciation on investments
and open futures contracts 14,452,693
NET ASSETS $ 239,006,317
|
See accompanying notes to the financial statements.
GMO GROWTH ALLOCATION FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - YEAR ENDED FEBRUARY 28, 1995
INVESTMENT INCOME:
Dividends $ 3,771,365
Interest (including securities lending income of $34,538) 438,583
Total income 4,209,948
EXPENSES:
Management fee (Note 2) 1,063,102
Audit fees 59,197
Custodian and transfer agent fees 47,355
Legal fees 8,001
Insurance 2,499
Trustee fee (Note 2) 1,126
Miscellaneous 1,777
Total expenses 1,183,057
Less: expenses waived or borne by Manager (Note 2) (162,479)
Net expenses 1,020,578
Net investment income 3,189,370
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FUTURES
CONTRACTS:
Net realized gain (loss) on:
Investments 12,823,712
Closed futures contracts (146,686)
Net realized gain 12,677,026
Change in net unrealized appreciation (depreciation) on:
Investments 6,775,575
Open futures contracts 350,711
Net unrealized gain 7,126,286
Net realized and unrealized gain on investments
and futures contracts 19,803,312
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 22,992,682
|
See accompanying notes to the financial statements.
GMO GROWTH ALLOCATION FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
YEAR ENDED
FEBRUARY 28, 1995 FEBRUARY 28, 1994
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 3,189,370 $ 2,025,942
Net realized gain on investments
and closed futures contracts 12,677,026 6,091,248
Change in net unrealized appreciation (depreciation) on
investments and open futures contracts 7,126,286 (6,463,451)
Net increase in net assets resulting from operations 22,992,682 1,653,739
Distributions to shareholders from:
Net investment income (2,852,156) (1,819,190)
Net realized gains (3,416,541) (14,870,917)
(6,268,697) (16,690,107)
Fund share transactions: (Note 5)
Proceeds from sale of shares 35,930,626 136,284,525
Net asset value of shares issued to shareholders
in payment of distributions declared 4,464,606 14,338,282
Cost of shares repurchased (48,810,882) (73,031,937)
Net increase (decrease) in net assets resulting
from Fund share transactions (8,415,650) 77,590,870
Total increase in net assets 8,308,335 62,554,502
NET ASSETS:
Beginning of period 230,697,982 168,143,480
End of period (including undistributed net investment
income of $558,495 and $206,752, respectively) $ 239,006,317 $ 230,697,982
|
See accompanying notes to the financial statements.
GMO GROWTH ALLOCATION FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
YEAR ENDED FEBRUARY 28/29,
1995 1994 1993 1992 1991
Net asset value, beginning of period $ 4.14 $ 4.55 $ 5.82 $ 14.54 $ 12.64
Income from investment operations:
Net investment income (a) 0.06 0.06 0.07 0.19 0.25
Net realized and unrealized gain
on investments and futures contracts 0.38 0.11 0.17 1.63 2.61
Total from investment operations 0.44 0.17 0.24 1.82 2.86
Less distributions to shareholders:
From net investment income (0.06) (0.06) (0.08) (0.23) (0.25)
From net realized gains (0.07) (0.52) (1.43) (10.31) (0.71)
Total distributions (0.13) (0.58) (1.51) (10.54) (0.96)
NET ASSET VALUE, END OF PERIOD $ 4.45 $ 4.14 $ 4.55 $ 5.82 $ 14.54
TOTAL RETURN (B) 10.86% 4.13% 3.71% 20.47% 24.24%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 239,006 $ 230,698 $ 168,143 $ 338,439 $ 1,004,345
Net expenses to average
daily net assets (a) 0.48% 0.48% 0.49% 0.50% 0.50%
Net investment income to average
daily net assets (a) 1.50% 1.38% 1.15% 1.38% 1.91%
Portfolio turnover rate 139% 57% 36% 46% 45%
(a)Net of fees and expenses voluntarily waived or borne by the Manager of less
than $.01 for each period presented.
(b)Calculation excludes subscription fees. The total returns would have been
lower had certain expenses not been waived during the periods shown.
|
See accompanying notes to the financial statements.
GMO GROWTH ALLOCATION FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS
FEBRUARY 28, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO Growth Allocation Fund (the "Fund") is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, non-diversified management investment company. The Trust was established as a Massachusetts Business Trust under the laws of the Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees to create an unlimited number of series ("Funds"), each of which issues a separate series of shares. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market quotations are available are valued at the last quoted sale price on each business day, or if there is no such reported sale, at the most recent quoted bid price. Unlisted securities for which market quotations are readily available are valued at the most recent quoted bid price. Short-term investments with a remaining maturity of sixty days or less are valued at amortized cost which approximates market value. Other assets and securities for which no quotations are readily available are valued at fair value as determined in good faith by the Trustees.
FUTURES CONTRACTS
The Fund may purchase futures contracts on the S&P 500 index. Stock index futures contracts represent commitments for future delivery of cash based upon the level of a specified index of equity securities at a given date. The Fund may use futures contracts to manage its exposure to the stock markets. Buying futures tends to increase the Fund's exposure to the underlying instrument. Selling futures tends to decrease the Fund's exposure to the underlying instrument or hedge other Fund instruments. Upon purchase of a futures contract, the Fund is required to deposit with its custodian, in a segregated account in the name of the futures broker, an amount of cash or U.S. government obligations in accordance with the initial margin requirements of the broker. Futures contracts are marked to market daily and an appropriate payable or receivable for the change in value ("variation margin") is recorded by the Fund. The payable or receivable is liquidated on the following business day. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Losses may arise from the changes in the value of the underlying instrument, if there is an illiquid secondary market for the contracts, or if counterparties do not perform under the contract terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. See Note 6 for all open futures contracts held as of February 28, 1995.
REPURCHASE AGREEMENTS
The Fund may enter into repurchase agreements with certain banks and broker/dealers whereby the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets remains sufficient to protect the Fund in the event of default by the seller. In connection with transactions in repurchase agreements, if the seller defaults, the value of the collateral declines or if the seller enters insolvency proceedings, realization of collateral by the Fund may be delayed or limited.
SECURITY LENDING
The Fund may lend its securities to certain member firms of the New York Stock Exchange. The loans are collateralized at all times with cash or securities with a market value at least equal to the market value of the securities on loan. As with other extensions of credit, the Fund may bear the risk of delay in recovery or even loss of rights in the collateral should the borrower of the securities fail financially. The Fund receives compensation for lending its securities. At February 28, 1995, the Fund loaned securities having a market value of $7,545,950 collateralized by cash in the amount of $7,859,700, which was invested in short-term instruments.
TAXES
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. It is the policy of the Fund to distribute all of its taxable income, including any net realized gain on investments not offset by loss carryovers, to shareholders within the prescribed time periods. Therefore, no provision for federal income or excise tax is necessary.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment income and net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryover for federal income tax purposes. The Fund's present policy is to declare and pay distributions from net investment income quarterly, and net realized short-term and long-term capital gains at least annually. All distributions will be paid in shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions.
Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences are primarily due to differing treatments for redemptions in-kind.
The following reclassification represents the cumulative amount necessary to report these balances on a tax basis, excluding certain temporary differences, as of February 28, 1995. This reclassification has no impact on net investment income, realized gain/loss and net asset value of the Fund and is primarily attributable to certain differences in the computation of distributable income and capital gains under federal tax rules versus generally accepted accounting principles.
UNDISTRIBUTED NET INVESTMENT ACCUMULATED NET REALIZED
INCOME GAIN PAID-IN CAPITAL
$14,529 $60,692 ($75,221)
|
Distributions in excess of tax basis earnings and profits will be reported in the Fund's financial statements as a return of capital. Furthermore, differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary over-distributions for financial statement purposes are classified as distributions in excess of net investment income or accumulated net realized gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an individual Fund. Expenses which are not readily identifiable to a specific Fund are allocated in such manner as deemed equitable by the Trustees, taking into consideration, among other things, the nature and type of expense and the relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is .17 % of the amount invested. The Manager may waive such premium to the extent that a transaction results in minimal brokerage and transaction costs to the Fund. All purchase premiums are paid to and recorded as paid-in capital by the Fund. For the year ended February 28, 1995, the Fund received $60,775 in purchase premiums. There is no premium for cash redemptions, reinvested distributions or in-kind transactions.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the "Manager") for management and investment advisory services is paid monthly at the annual rate of .50% of average daily net assets. The Manager has agreed to waive a portion of its fee and bear other expenses until further notice to the extent that the Fund's annual expenses (including the management fee but excluding brokerage commissions and transfer taxes) exceed .48% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee during the year ended February 28, 1995, was $1,126. No remuneration is paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of securities, excluding short-term investments for the year ended February 28, 1995, aggregated $283,581,694 and $291,201,212, respectively.
4. PRINCIPAL SHAREHOLDERS
At February 28, 1995, 87% of the outstanding shares of the Fund were held by six individual shareholders each holding in excess of 10% of the Fund's outstanding shares.
5. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value). Transactions in Fund shares were as follows:
YEAR ENDED YEAR ENDED
FEBRUARY 28, 1995 FEBRUARY 28, 1994
Shares sold 8,350,129 31,436,943
Shares issued to shareholders in reinvestment
of distributions 1,076,722 3,469,608
Shares repurchased (11,444,911) (16,150,645)
Net increase (decrease) (2,018,060) 18,755,906
Fund shares:
Beginning of period 55,675,281 36,919,375
End of period 53,657,221 55,675,281
|
6. FINANCIAL INSTRUMENTS
A summary of outstanding futures contracts at February 28, 1995, is as follows:
NUMBER OF NET UNREALIZED
CONTRACTS TYPE EXPIRATION DATE CONTRACT VALUE APPRECIATION
76 S&P 500 March 1995 $ 18,564,900 $ 53,827
|
At February 28, 1995, the Fund has sufficient cash and/or securities to cover any commitments or margin on these contracts.
* * *
GROWTH ALLOCATION FUND
(A SERIES OF GMO TRUST)
FEDERAL INCOME TAX INFORMATION ON DISTRIBUTIONS - (UNAUDITED)
For the fiscal year ended February 28, 1995, all of the Fund's distributions are from investment company taxable income, except that the Fund has designated 54.73% of distributions as net capital gain dividends.
GMO U.S. SECTOR ALLOCATION FUND
(A SERIES OF GMO TRUST)
ANNUAL REPORT
FEBRUARY 28, 1995
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees of GMO Trust and the Shareholders of
GMO U.S. Sector Allocation Fund (A Series of GMO Trust)
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of GMO U.S. Sector Allocation Fund at February 28, 1995, and the results of its operations, the changes in its net assets and the financial highlights for the periods presented, in conformity with generally accepted accounting principles. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Trust's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with generally accepted auditing standards which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 28, 1995 by correspondence with the custodian and brokers and the application of alternative auditing procedures where confirmations from brokers were not received, provide a reasonable basis for the opinion expressed above.
Price Waterhouse LLP
Boston, Massachusetts
April 14, 1995
GMO U.S. SECTOR ALLOCATION FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
FEBRUARY 28, 1995
SHARES DESCRIPTION VALUE ($)
STOCK - 97.8%
AEROSPACE - 4.6%
9,500 E-Systems Inc 415,625
31,500 Lockheed Corp 2,445,188
46,600 Martin Marietta Corp 2,225,150
4,100 Northrop Corp 181,938
59,800 Raytheon Co 4,215,900
4,600 Rockwell International Corp 177,100
9,660,901
AUTOMOTIVE - 1.0%
4,300 Bandag Inc 258,000
10,000 Eaton Corp 501,250
19,000 Genuine Parts Co 738,625
24,600 Harley-Davidson 664,200
2,162,075
BANKING AND FINANCIAL SERVICES - 7.5%
150,500 American Express Co 5,079,375
600 Bancorp Hawaii Inc 16,800
20,700 Bear Stearns Cos Inc 388,125
13,600 Beneficial Corp 504,900
7,700 Chase Manhattan Corp 276,238
20,500 Chemical Banking Corp 822,563
59,100 Citicorp 2,659,500
11,200 Danaher Corp 330,400
50,600 Dean Witter Discover and Co 2,042,975
13,500 Edwards (A G) Inc 303,750
2,200 First Bank of America Corp 74,525
6,400 First Chicago Corp 324,000
4,000 First USA Inc 147,500
16,400 Household International Inc 717,500
27,000 Morgan Stanley Group Inc 1,819,125
1,400 Student Loan Marketing Association 51,625
15,558,901
CHEMICALS - 0.5%
11,800 Georgia Gulf Corp * 354,000
4,200 Loctite Corp 193,200
21,600 Lyondell Petrochemical (a) 521,100
1,068,300
COMPUTER AND OFFICE EQUIPMENT - 1.3%
5 Harris Computer Systems Corp * 89
43,700 Micron Technology (a) 2,709,400
2,709,489
CONSTRUCTION - 1.3%
67,900 P P G Industries 2,495,325
2,600 Vulcan Materials Inc 138,450
2,633,775
CONSUMER GOODS - 5.1%
11,900 Callaway Golf Company (a) 401,625
7,000 Clorox Co 422,625
16,100 ConAgra Inc * 527,275
33,200 Corning Inc 1,066,550
64,700 Eastman Kodak Co 3,299,700
4,095 Hubbell Inc Class B 221,130
14,400 International Flavors & Fragrances 693,000
6,800 Liz Claiborne 109,650
8,400 Mattel Co 187,950
8,800 National Service Industries 236,500
20,800 Newell Co 496,600
8,700 Nike Inc Class B 625,313
11,200 Polaroid Corp 336,000
23,000 Premark International Inc 994,750
11,400 Reebok International Ltd 417,525
8,800 VF Corp 453,200
10,489,393
FOOD AND BEVERAGE - 6.7%
55,100 Anheuser-Busch Cos Inc 3,106,263
29,900 Archer Daniels Midland Co 568,100
13,400 Brown Forman Corp 433,825
18,500 CPC International Inc 989,750
10,100 Dean Foods Co 313,100
39,200 Heinz (H J) Co 1,543,500
3,000 Hershey Foods Corp 147,000
8,100 Hormel (Geo A) and Co 216,675
8,600 IBP Inc 274,125
20,200 Kellogg Co 1,093,325
44,600 Sara Lee Corp 1,170,750
2,300 Tyson Food Inc Class A 56,638
26,800 Unilever ADR 3,256,200
7,100 Universal Foods Corp 222,763
21,800 Whitman Corp 411,475
13,803,489
HEALTH CARE - 6.6%
600 Bausch & Lomb Inc 19,950
17,100 Boston Scientific Corp * (a) 369,788
77,400 Columbia/HCA Healthcare Corp 3,202,425
25,500 Johnson & Johnson 1,447,105
37,500 Medtronic Inc 2,250,000
45,700 National Medical Enterprises * 708,350
19,100 United Healthcare Corp 821,300
43,600 Upjohn Co 1,536,900
66,400 US Health Care Inc 2,855,200
12,200 Wellpoint Health Networks Class A * 401,075
13,612,093
INSURANCE - 5.4%
25,700 Aetna Life and Casualty Co 1,381,375
20,700 AFLAC Corp 781,425
3,400 Allmerica Property and Casualty 66,300
2,200 Allstate Corp 60,500
8,600 Ambac Inc 349,375
40,800 American General Corp 1,290,300
18,500 AON Corp 642,875
13,800 Cigna Corp 1,045,350
2,000 Conseco Inc (a) 71,250
500 Continental Corp 9,688
2,300 Geico Corp 112,413
12,400 Jefferson Pilot Corp 706,800
5,000 Marsh & McLennan Cos Inc 410,000
3,900 MBIA Inc 241,800
1,900 MGIC Investment 72,438
10,700 Old Republic International Corp 264,825
7,900 Provident Life and Accident Insurance Co Class B 185,650
12,400 Providian Corp 438,650
1,000 Safeco Corp 55,000
27,600 St Paul Cos 1,342,050
300 SunAmerica Inc 12,300
19,800 Torchmark Corp 829,125
12,000 Transamerica Corp 655,500
1,000 Transatlantic Holdings Inc 57,500
7,400 Twentieth Century Industries 92,500
11,174,989
MACHINERY - 1.2%
18,000 Dover Corp 1,071,000
10,100 FMC Corp * 590,850
15,100 Parker Hannifin Corp 705,925
700 Snap-On Tools Corp 23,800
2,391,575
MANUFACTURING - 8.8%
4,600 Alco Standard Corp 312,800
135,500 Boeing Co 6,249,938
100,700 International Business Machines Corp 7,577,675
13,700 Litton Industries * 500,050
44,400 Minnesota Mining and Manufacturing 2,430,900
1,700 Stone Container Corp * (a) 39,738
15,600 Textron Inc 854,100
6,200 York International Corp 238,700
18,203,901
METALS AND MINING - 0.6%
1,100 Inco Ltd (a) 29,563
1,000 Mapco Inc 54,625
22,100 Phelps Dodge Corp 1,204,450
1,288,638
MISCELLANEOUS - 0.0%
300 Witco Corp 8,588
OIL AND GAS - 6.5%
34,500 Amoco Corp (a) 2,044,125
5,000 Atlantic Richfield Co 548,125
21,600 Chevron Corp 1,026,000
5,000 Columbia Gas Systems * 130,000
4,400 El Paso Natural Gas Co 135,300
69,700 Exxon Corp 4,460,800
200 FINA Inc Class A 15,250
1,300 Kerr-McGee Corp 65,488
21,300 Mobil Corp 1,853,100
900 Murphy Oil Corp 39,375
8,500 Occidental Petroleum Corp 168,938
300 Pennzoil Co 14,213
600 Phillips Petroleum Co 20,025
17,900 Royal Dutch Petroleum Co ADR 2,007,038
8,800 Texaco Inc 561,000
10,200 Williams Companies Inc 293,250
13,382,027
PAPER AND ALLIED PRODUCTS - 0.1%
4,000 Consolidated Papers Inc 193,500
4,000 Glatfelter (PH) Co 73,000
266,500
PHARMACEUTICALS - 9.7%
42,700 American Home Products Corp 3,053,050
33,099 Amgen Inc * 2,283,831
98,700 Bristol-Myers Squibb Co 6,119,400
70,100 Lilly (Eli) & Co 4,696,700
20,600 Marion Merrell Dow Inc 512,425
81,500 Merck & Co Inc 3,453,563
4,700 Mylan Laboratories (a) 146,875
20,265,844
PRIMARY PROCESSING - 1.4%
23,300 Dow Chemical Co 1,561,100
17,900 Du Pont (E I) De Nemours & Co Inc 1,004,638
4,600 Rohm & Haas Co 258,175
2,823,913
PRINTING AND PUBLISHING - 0.7%
9,000 Dun and Bradstreet Corp 464,625
4,700 McGraw Hill Inc 331,350
15,300 Readers Digest Association Inc 703,800
1,499,775
REFINING - 0.4%
25,400 Ashland Inc 822,325
RETAIL TRADE - 3.5%
28,700 Albertson's Inc 882,525
36,500 Autozone Inc * (a) 967,250
8,700 Circuit City Stores Inc 188,138
23,900 Gap Stores 776,750
48,600 Kroger Co * 1,275,750
16,000 Melville Corp 520,000
17,500 Nordstrom Inc 739,375
37,500 Rite Aid Corp 928,125
18,800 The Pep Boys 615,700
6,500 Walgreen Co 307,125
2,900 Weismarkets Inc 74,313
7,275,051
SERVICES - 2.4%
3,200 BHC Communications Inc Class A * 237,600
37,700 Capital Cities/ABC Inc 3,336,450
2,400 Equifax Inc 74,100
5,000 Fleming Cos 97,500
23,700 Manpower Inc 693,225
9,800 Omnicom Group 520,625
4,959,500
TECHNOLOGY - 7.6%
1,300 3Com Corp * 67,763
24,800 Amp Inc 1,860,000
40,000 Apple Computer 1,580,000
14,900 Avery Dennison Corp 558,750
121,600 Compaq Computer Corp * 4,195,200
15,800 Computer Sciences Corp * 776,175
14,300 E G & G 205,563
1,900 Emerson Electric 125,638
9,500 Grainger (WW) Inc 580,688
10,800 LSI Logic Corp * 588,600
40,500 Microsoft Corp * 2,551,500
11,000 Millipore Corp 584,375
7,000 Monsanto Co 554,750
12,100 Storage Technology Corp * (a) 263,175
6,900 Sun Microsystems Inc * 220,800
50,000 Tandem Computers Inc * 850,000
2,200 Thomas & Betts Corp 146,575
15,709,552
TELECOMMUNICATIONS - 0.2%
4,600 Frontier Corp 105,225
3,900 General Instrument Corp * (a) 123,825
4,200 Southern New England Telecommunications Corp 139,125
368,175
TOBACCO - 2.5%
4,000 Loews Corp 388,500
80,100 Philip Morris Cos Inc 4,866,075
5,254,575
UTILITIES - 12.2%
8,500 Allegheny Power System Inc 199,750
17,700 American Electric Power Inc 599,588
21,200 Baltimore Gas and Electric Co 522,050
11,200 Carolina Power and Light Co 308,000
27,400 Centerior Energy Corp 267,150
26,700 Central & South West Corp 657,488
19,800 Cinergy Corp 490,050
8,200 CMS Energy Corp 196,800
32,600 Consolidated Edison 900,575
28,200 Detroit Edison Co 807,225
24,400 Dominion Resources Inc (a) 927,200
14,000 DPL Inc 292,250
7,300 DQE 245,463
35,300 Duke Power Co 1,385,525
23,500 Entergy Corp 525,813
14,900 Florida Progress Corp 467,488
16,900 FPL Group Inc 606,288
21,800 General Public Utilities 659,450
10,300 Houston Industries Inc 393,975
12,000 Illinova Corp 280,500
9,200 Kansas City Power and Light Co 219,650
15,600 Long Island Lighting 249,600
7,100 New England Electric System 234,300
8,600 New York State Electric and Gas Corp 184,900
18,000 Niagara Mohawk Power Corp 267,750
9,400 Nipsco Industries Inc 297,275
15,800 Northeast Utilities (a) 359,450
10,800 Northern States Power Co 488,700
18,300 Ohio Edison Co 384,300
4,800 Oklahoma Gas and Electric Co 169,800
12,800 Pacific Enterprises 313,600
52,000 Pacific Gas and Electric Co 1,332,500
42,000 PacifiCorp (a) 803,250
17,500 Panhandle Eastern Corp 393,750
28,400 Peco Energy Co 759,700
12,200 Penn Power and Light Co 253,150
11,700 Pinnacle West Capital Corp 251,550
11,700 Potomac Electric Power Co 226,688
33,300 Public Service Enterprise Group Inc 969,863
5,400 Public Service of Colorado 165,375
6,100 Puget Sound Power and Light Co 131,913
7,800 San Diego Gas and Electric Co 168,675
6,100 Scana Corp 269,163
54,800 SCE Corp 897,350
89,300 Southern Co 1,841,813
16,300 Teco Energy 350,450
16,200 Texas Utilities Co 532,575
32,500 Unicom Corp 828,750
14,500 Union Electric Co 549,188
7,500 Western Resources Inc 238,125
15,000 Wisconsin Energy Corp 416,250
25,282,031
TOTAL STOCK (Cost $184,555,737) 202,675,375
PAR VALUE SHORT-TERM INVESTMENTS - 6.6%
REPURCHASE AGREEMENT - 1.8%
$3,664,697 Salomon Brothers Repurchase Agreement, dated 2/28/95, due 3/1/95,
with a maturity value of $3,665,267 and an effective yield of
5.60%, collateralized by a U.S. Treasury Bond with a rate of 6.25%,
a maturity date of 8/15/23,
and with an aggregate market value of $3,764,545. 3,664,697
U.S. GOVERNMENT - 0.3%
700,000 U.S. Treasury Bill, 4.92% due 3/2/95 (b) 699,891
CASH EQUIVALENTS - 4.5%
1,331,655 Bank of Boston Time Deposit, 6.16% due 3/1/95 1,331,655
4,883,538 Dreyfus Cash Management Money Market Fund Plus, A Shares 4,883,538
480,756 National Westminster Time Deposit, 6.00% due 3/1/95 480,756
2,704,751 Provident Institutional Prime Money Market Fund 2,704,751
9,400,700
TOTAL SHORT-TERM INVESTMENTS (at amortized cost) 13,765,288
TOTAL INVESTMENTS - 104.4%
(Cost $198,321,025) * * $ 216,440,663
Other Assets and Liabilities (net) - (4.4%) (9,149,565)
TOTAL NET ASSETS - 100.0% $ 207,291,098
NOTES TO THE SCHEDULE OF INVESTMENTS:
ADR American Depositary Receipt
(a) All or a portion of this security is on loan.
(b) This security is held as collateral for open futures contracts.
* Non-income producing security
** The aggregate identified cost for federal income tax
purposes is $199,156,781, resulting in gross unrealized
appreciation and depreciation of $19,574,594 and
$2,290,712, respectively, and net unrealized appreciation
of $17,283,882.
|
See accompanying notes to the financial statements.
GMO U.S. SECTOR ALLOCATION FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - FEBRUARY 28, 1995
ASSETS:
Investments, at value (cost $184,555,737) (Note 1) $ 202,675,375
Short-term investments, at amortized cost (Note 1) 13,765,288
Receivable for investments sold 851,224
Dividends and interest receivable 741,915
Receivable for variation margin on open futures contracts 7,200
Receivable for expenses waived or borne by Manager (Note 2) 19,182
Total assets 218,060,184
LIABILITIES:
Payable for investments purchased 1,216,498
Payable upon return of securities loaned (Note 1) 9,399,240
Payable to affiliate for management fee (Note 2) 76,501
Accrued expenses 76,847
Total liabilities 10,769,086
NET ASSETS(equivalent to $11.06 per share based
on 18,734,305 shares outstanding, unlimited shares authorized) $ 207,291,098
NET ASSETS CONSIST OF:
Paid-in capital $ 188,342,765
Undistributed net investment income 918,110
Accumulated net realized loss on investments and
closed futures contracts (96,031)
Net unrealized appreciation on investments and
open futures contracts 18,126,254
NET ASSETS $ 207,291,098
|
See accompanying notes to the financial statements.
GMO U.S. SECTOR ALLOCATION FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - YEAR ENDED FEBRUARY 28, 1995
INVESTMENT INCOME:
Dividends (net of withholding taxes of $30,563) $ 5,491,421
Interest (including securities lending income of $18,550) 399,386
Total income 5,890,807
EXPENSES:
Management fee (Note 2) 934,108
Custodian and transfer agent fees 88,081
Audit fees 53,685
Legal fees 8,451
Registration fees 7,002
Insurance 2,273
Trustee fee (Note 2) 853
Miscellaneous 577
Total expenses 1,095,030
Less: expenses waived or borne by Manager (Note 2) (179,986)
Net expenses 915,044
Net investment income 4,975,763
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
AND FUTURES CONTRACTS:
Net realized gain (loss) on:
Investments 9,060,538
Closed futures contracts (181,625)
Net realized gain 8,878,913
Change in net unrealized appreciation (depreciation) on:
Investments 760,991
Open futures contracts 164,835
Net unrealized gain 925,826
Net realized and unrealized gain on investments
and futures contracts 9,804,739
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 14,780,502
|
See accompanying notes to the financial statements.
GMO U.S. SECTOR ALLOCATION FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
YEAR ENDED
FEBRUARY 28, 1995 FEBRUARY 28, 1994
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 4,975,763 $ 4,436,144
Net realized gain on investments
and closed futures contracts 8,878,913 6,521,684
Change in net unrealized appreciation (depreciation)
on investments and open futures contracts 925,826 12,513,031
Net increase in net assets resulting from operations 14,780,502 23,470,859
Distributions to shareholders from:
Net investment income (4,670,650) (4,637,080)
Net realized gains (12,614,921) (3,930,145)
(17,285,571) (8,567,225)
Fund share transactions: (Note 5)
Proceeds from sale of shares 47,339,037 41,143,899
Net asset value of shares issued to shareholders
in payment of distributions declared 5,887,140 919,208
Cost of shares repurchased (10,457,780) (59,146,614)
Net increase (decrease) in net assets resulting
from Fund share transactions 42,768,397 (17,083,507)
Total increase (decrease) in net assets 40,263,328 (2,179,873)
NET ASSETS:
Beginning of period 167,027,770 169,207,643
End of period (including undistributed net
investment income of $918,110 and
$615,928, respectively) $ 207,291,098 $ 167,027,770
|
See accompanying notes to the financial statements.
GMO U.S. SECTOR ALLOCATION FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
YEAR ENDED FEBRUARY 28,
1995 1994 1993*
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.26 $ 10.38 $ 10.00
Income from investment operations:
Net investment income (a) 0.28 0.29 0.05
Net realized and unrealized gain
on investments and futures contracts 0.49 1.21 0.33
Total from investment operations 0.77 1.50 0.38
Less distributions to shareholders:
From net investment income (0.27) (0.30) -
From net realized gains (0.70) (0.32) -
Total distributions (0.97) (0.62) -
NET ASSET VALUE, END OF PERIOD $ 11.06 $ 11.26 $ 10.38
TOTAL RETURN (B) 7.56% 14.64% 3.80%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period $ 207,291 $ 167,028 $ 169,208
Net expenses to average
daily net assets (a) 0.48% 0.48% 0.48%**
Net investment income to average
daily net assets (a) 2.61% 2.56% 3.20%**
Portfolio turnover rate 101% 53% 9%
* For the period from January 4, 1993 (commencement of operations) to February 28, 1993.
** Annualized.
(a) Net of fees and expenses voluntarily waived or borne by the Manager of $.01 for all
periods presented.
(b) Calculation excludes subscription fees. The total returns would have been
lower had certain expenses not been waived during the periods shown.
|
See accompanying notes to the financial statements.
GMO U.S. SECTOR ALLOCATION FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS
FEBRUARY 28, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO U.S. Sector Allocation Fund (the "Fund") is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, non-diversified management investment company. The Trust was established as a Massachusetts Business Trust under the laws of the Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees to create an unlimited number of series ("Funds"), each of which issues a separate series of shares. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market quotations are available are valued at the last quoted sale price on each business day, or if there is no such reported sale, at the most recent quoted bid price. Unlisted securities for which market quotations are readily available are valued at the most recent quoted bid price. Short-term investments with a remaining maturity of sixty days or less are valued at amortized cost which approximates market value. Other assets and securities for which no quotations are readily available are valued at fair value as determined in good faith by the Trustees.
FUTURES CONTRACTS
The Fund may purchase futures contracts on the S&P 500 index. Stock index futures contracts represent commitments for future delivery of cash based upon the level of a specified index of equity securities at a given date. The Fund may use futures contracts to manage its exposure to the stock markets. Buying futures tends to increase the Fund's exposure to the underlying instrument. Selling futures tends to decrease the Fund's exposure to the underlying instrument or hedge other Fund instruments. Upon purchase of a futures contract, the Fund is required to deposit with its custodian, in a segregated account in the name of the futures broker, an amount of cash or U.S. government obligations in accordance with the initial margin requirements of the broker. Futures contracts are marked to market daily and an appropriate payable or receivable for the change in commitment value ("variation margin") is recorded by the Fund. The payable or receivable is liquidated on the following business day. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Losses may arise from changes in the value of the underlying instrument, if there is an illiquid secondary market for the contracts, or if counterparties do not perform under the contract terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. See Note 6 for all open futures contracts held as of February 28, 1995.
REPURCHASE AGREEMENTS
The Fund may enter into repurchase agreements with certain banks and broker/dealers whereby the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets remains sufficient to protect the Fund in the event of default by the seller. In connection with transactions in repurchase agreements, if the seller defaults, the value of the collateral declines, or if the seller enters insolvency proceedings, realization of collateral by the Fund may be delayed or limited.
SECURITY LENDING
The Fund may lend its securities to certain member firms of the New York Stock Exchange. The loans are collateralized at all times with cash or securities with a market value at least equal to the market value of the securities on loan. As with other extensions of credit, the Fund may bear the risk of delay in recovery or even loss of rights in the collateral should the borrower of the securities fail financially. The Fund receives compensation for lending its securities. At February 28, 1995, the Fund loaned securities having a market value of $9,282,750, collateralized by cash in the amount of $9,400,700, which was invested in short-term instruments.
TAXES
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. It is the policy of the Fund to distribute all of its taxable income, including any net realized gain on investments not offset by loss carryovers, to shareholders within the prescribed time periods. Therefore, no provision for federal income or excise tax is necessary.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment income and net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryover for federal income tax purposes. The Fund's present policy is to declare and pay distributions from net investment income quarterly, and net realized short-term and long-term capital gains at least annually. All distributions will be paid in shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions.
Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences are primarily due to differing treatments for partnership interests.
The following reclassification represents the cumulative amount necessary to report these balances on a tax basis, excluding certain temporary differences, as of February 28, 1995. This reclassification has no impact on net investment income, realized gain/loss and net asset value of the Fund and is primarily attributable to certain differences in the computation of distributable income and capital gains under federal tax rules versus generally accepted accounting principles.
Undistributed Net Investment Accumulated Net Realized
Income (Loss) Gain (Loss) Paid-in Capital
($2,931) $2,931 -
|
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions area accounted for on trade date. Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an individual Fund. Expenses which are not readily identifiable to a specific Fund are allocated in such manner as deemed equitable by the Trustees, taking into consideration, among other things, the nature and type of expense and the relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is .17% of the amount invested. The Manager may waive such premium to the extent that a transaction results in minimal brokerage and transaction costs to the Fund. All purchase premiums are paid toand recorded as paid-in capital by the Fund. For the year ended February 28, 1995, the Fund received $76,910 in purchase premiums. There is no premium for cash redemptions, reinvested distributions or in-kind transactions.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the "Manager") for management and investment advisory services is paid monthly at the annual rate of .49% of average daily net assets. The Manager has agreed to waive a portion of its fee and bear other expenses until further notice to the extent that the Fund's annual expenses (including the management fee but excluding brokerage commissions and transfer taxes) exceed .48% of average daily net assets. In addition, the Fund's organizational expenses have been borne by the manager.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee during the year ended February 28, 1995, was $853. No remuneration is paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended February 28, 1995, aggregated $219,706,758 and $182,418,057, respectively.
4. PRINCIPAL SHAREHOLDERS
At February 28, 1995, 85% of the outstanding shares of the Fund were held by three shareholders each holding in excess of 10% of the Fund's outstanding shares.
5. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value). Transactions in Fund shares were as follows:
Year Ended Year Ended
February 28, 1995 February 28, 1994
Shares sold 4,299,814 3,633,930
Shares issued to shareholders in
reinvestment of distributions 561,797 82,939
Shares repurchased (957,241) (5,185,868)
Net increase (decrease) 3,904,370 (1,468,999)
Fund shares:
Beginning of period 14,829,935 16,298,934
End of period 18,734,305 14,829,935
|
6. FINANCIAL INSTRUMENTS
A summary of outstanding futures contracts at February 28, 1995 is as follows:
Number of Net Unrealized
Contracts Type Expiration Date Contract Value Appreciation
4 S&P 500 March 1995 $977,100 $6,616
|
At February 28, 1995, the Fund has cash and/or securities to cover any margin requirements on these contracts.
* * *
GMO U.S. SECTOR ALLOCATION FUND
(A SERIES OF GMO TRUST)
FEDERAL INCOME TAX INFORMATION ON DISTRIBUTIONS - (UNAUDITED)
For the fiscal year ended February 28, 1995, all of the Fund's distributions are from investment company taxable income, except that the Fund has designated 50.99% of distributions as net capital gain dividends.
GMO CORE II SECONDARIES FUND
(A SERIES OF GMO TRUST)
ANNUAL REPORT
FEBRUARY 28, 1995
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees of GMO Trust and the Shareholders of GMO Core II Secondaries Fund (A Series of GMO Trust)
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of GMO Core II Secondaries Fund at February 28, 1995, and the results of its operations, the changes in its net assets and the financial highlights for the periods presented, in conformity with generally accepted accounting principles. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Trust's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with generally accepted auditing standards which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 28, 1995 by correspondence with the custodian and brokers and the application of alternative auditing procedures where confirmations from brokers were not received, provide a reasonable basis for the opinion expressed above.
Price Waterhouse LLP
Boston, Massachusetts
April 14, 1995
GMO CORE II SECONDARIES FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
FEBRUARY 28, 1995
SHARES DESCRIPTION VALUE ($)
STOCK - 97.9%
ADVERTISING - 0.0%
100 Grey Advertising 17,800
AEROSPACE - 2.4%
23,000 Alliant Techsystems Inc * 868,250
6,700 Curtiss Wright Corp 253,763
35,100 E-Systems Inc 1,535,625
3,800 Hi-Shear Industries * 16,150
8,550 Keane Inc * 185,963
16,100 Logicon Inc 525,263
27,300 Rohr Inc * (a) 307,125
49,100 Thiokol Corp 1,270,463
23,800 UNC Inc * 133,875
15,900 United Industial Corp 85,463
10,300 Watkins Johnson 375,950
16,800 Wyman-Gordon Co * 105,000
5,662,890
AGRICULTURE - 0.0%
1,000 Monk-Austin Inc 12,250
AUTOMOTIVE - 1.2%
500 Bandag Inc 30,000
51,000 Breed Technologies Inc (a) 1,211,250
800 Hayes Wheels International Inc 13,600
6,400 Lamson and Sessions Co * 36,800
15,300 Oshkosh Truck 206,550
17,000 Smith (A O) Corp Class A 382,500
27,700 SPX Corp 422,425
18,900 Standard Products Corp 408,713
18,850 TBC Corp 190,856
2,902,694
BANKING AND FINANCIAL SERVICES - 7.3%
27,600 Alex Brown Inc 1,048,800
10,600 Amplicon Inc 172,250
4,300 Baldwin and Lyons Inc Class B 74,175
17,000 Bank of Boston 512,125
4,295 BankAmerica Corp 206,697
11,600 Banponce Corp 350,900
16,800 BB&T Financial Corp 535,500
48,100 California Federal Bank * 523,088
2,100 CCB Financial Corp 79,275
400 Central Fidelity Banks Inc 10,900
1,200 Centura Banks Inc 29,550
2,200 CMAC Investment Corp 75,075
3,500 Coast Savings and Loan * 51,625
14,900 Colonial Group Class A 499,150
55,400 Comdisco Inc 1,412,700
1,215 Commerce Bancshares Inc 37,361
14,100 Compass Bancshares 387,750
18,400 Danaher Corp 542,800
4,300 Dauphin Deposit Corp 108,575
13,200 Deposit Guaranty Corp 425,700
13,100 Dime Bancorp Inc * 116,263
8,300 Downey Financial Corp 135,913
17,300 Eaton Vance Corp 523,325
49,300 Edwards (A G) Inc 1,109,250
7,900 Finova Group Inc 264,650
4,500 First Bancorp Inc 105,750
2,068 First Bank System Inc 80,394
1,700 First Citizens Bancshares Class A 76,500
25,950 First Commerce Corp 687,675
1,200 First Empire State Corp 198,600
7,700 First Hawaiian Inc 207,900
1,100 Firstier Financial Inc 34,788
7,700 Foothill Group 140,525
2,224 Glendale Federal Bank * 20,850
25,500 Hibernia Corp Class A 197,625
11,200 Inter-Regional Financial Group 278,600
7,600 Jefferies Group Inc 230,850
6,400 LDI Corp * 23,200
17,375 Legg Mason Inc 393,109
1,750 Mercantile Bancorp 64,531
8,100 Mercantile Bankshares 169,088
21,100 Money Store Inc 527,500
2,900 Morgan Keegan Inc 43,500
11,500 North American Mortgage Co 186,875
2,300 NS Bancorp Inc 67,563
7,400 Orange and Rockland Utilities 235,875
972 Pimco Advisors L. P. Class A 17,253
14,800 Piper Jaffrey Inc (a) 173,900
20,310 Premier Bancorp * 324,960
7,600 Price (T Rowe) Associates Inc 243,200
16,942 Quick and Reilly Group 592,970
15,000 Raymond James Financial Corp 266,250
17,900 Riggs National Corp * 163,338
9,800 Southern National Corp 219,275
17,600 Standard Federal Bank 523,600
12,900 Star Banc Corp 549,863
5,900 Student Loan Group 140,125
1,000 Tejon Ranch 12,750
7,400 Trustmark Corp 112,850
2,100 Union Bank 70,350
2,400 United Carolina Bancshares 64,800
200 US Trust Corp 13,313
600 Value Line Inc 19,200
25,000 Washington Federal Inc 500,000
800 West One Bancorp 21,850
500 Westamerica Bancorp 15,625
3,200 Wilmington Trust Corp 79,200
17,329,367
CHEMICALS - 1.4%
9,600 Carlisle Plastics Inc * 52,800
22,200 Church & Dwight Co Inc 399,600
10,800 Hexcel Corp * 48,600
11,600 IMC Fertilizer Group Inc 542,300
800 Pratt And Lambert Inc 14,200
1,900 Stepan Co 34,438
46,600 Sterling Chemicals Inc * 524,250
21,100 Vigoro Corp 743,775
37,800 Wellman Inc 1,020,600
3,380,563
COMMUNICATIONS - 0.0%
500 Tekelec * 16,375
COMPUTER AND DATA PROCESSING SERVICES - 0.4%
600 Artisoft Inc * 5,175
2,900 Printronix Inc * 50,025
32,900 Stratus Computer Inc * 867,738
1,200 Volt Information Sciences Inc * 34,674
957,612
COMPUTER AND OFFICE EQUIPMENT - 1.3%
30,400 Ceridian Corp * 957,600
3,500 Cherry Corp Class B * 50,750
6,900 Chipcom Corp * 307,050
4,600 Duplex Product * 36,800
22,300 FileNet Corp * 696,875
7,600 Intuit Inc * 503,500
36,000 Western Digital * 540,000
3,092,575
CONSTRUCTION - 0.6%
1,200 Ameron Inc 40,650
15,200 Apogee Enterprises Inc 260,300
6,800 Blount Inc Class A 316,200
15,000 Fedders Corp * 105,000
1,900 Florida Rock Industries 55,100
4,200 Grossmans Inc * 10,500
6,700 Hechinger Co Class A 77,469
332 Horton (D R) Inc * 3,362
200 IMCO Recycling Inc 2,975
1,700 International Aluminium Corp 54,188
8,400 Medusa Corp 207,900
1,100 Pitt-Des Moines 37,400
9,500 Plygem Industries Inc 186,438
3,600 Puerto Rican Cement Co 105,750
600 Texas Industries Inc 18,750
1,300 TJ International Inc 22,588
1,504,570
CONSUMER GOODS - 6.9%
21,800 Armor All Products Corp 430,550
57,400 Bed Bath and Beyond Inc * 1,391,950
1,200 Bic Corp 38,550
12,084 Block Drug Co Inc Class A 410,856
28,500 BMC Industries 473,813
51,700 Callaway Golf Company (a) 1,744,875
3,400 Chemed Corp 107,525
12,400 Coleman Co Inc * (a) 437,100
56,900 Cypress Semiconductor Corp * 1,614,538
3,300 Delta Woodside Industries 35,888
2,500 Fab Industries Inc 77,188
3,000 Farah Inc * 22,125
9,000 Garan Inc 146,250
42,200 Gymboree Corp * 1,012,800
34,700 Herbalife International Inc 394,713
6,900 Hydron Technologies * 34,069
7,000 Interface Inc 98,875
13,950 Jason Inc * 122,063
9,900 Johnson Worldwide Associates * 198,000
43,200 Jones Apparel Group Inc * 1,015,200
12,100 K Swiss Inc Class A 228,388
23,910 Lancaster Colony Corp 818,918
16,800 National Service Industries 451,500
21,840 Natures Sunshine Products Inc 270,270
2,100 Nine West Group Inc * 59,063
3,300 Oil Dri America Class A 53,213
7,400 Oneida Ltd 107,300
16,600 Paragon Trade Brands Inc * 230,325
5,100 Park Electrochemical Corp 176,588
1,500 Polaris Industries L.P. Class A 68,250
1,800 Rogers Corp * 88,650
18,100 Russ Berrie and Co 235,300
14,100 Superior Surgical Manufacturing 169,200
18,700 The Men's Wearhouse Inc * 381,013
6,900 Toro Corp 199,238
16,000 Varian Associates Inc 586,000
33,600 Vicor Corp * 1,142,400
5,700 Wabash National Corp 202,350
14,000 WD 40 Co 570,500
2,800 WH Brady Co Class A 138,600
50 Wolverine World Wide 1,356
15,985,350
ELECTRONICS - 0.3%
3,000 C-Cor Electronics * 80,250
5,300 Cirrus Logic Inc * 178,213
3,800 Dynamics Corp of America 88,825
5,300 EDO Corp 18,435
600 Hawaiian Electric Industry Inc 19,800
2,100 Sundstrand Corp 97,650
5,100 Tech Sym Corp * 117,300
1,200 Technitrol 17,700
618,173
ENVIRONMENTAL CONTROL - 0.1%
13,600 Allwaste * 75,643
13,700 Calgon Carbon Corporation 143,850
4,800 Horsehead Resources * 28,200
8,600 Mid American Waste Systems Inc * 48,375
296,068
FOOD AND BEVERAGE - 4.2%
2,300 Alico Inc 38,525
16,600 American Maize Products Co Class A 655,700
16,600 Bob Evans Farms 352,750
15,600 Bruno's Inc 158,925
1,400 Chart House Enterprises Inc * 10,850
10,000 Chiquita Brands International 133,750
38,100 Dean Foods Co 1,181,100
1,300 Dr Pepper/7 Up * 42,738
4,100 Farmer Brothers Co 533,000
7,600 Flowers Industries Inc 139,650
2,900 Golden Poultry Co 18,488
18,000 Great Atlantic & Pacific Tea Co 346,500
20,300 Hudson Foods 583,625
17,400 IBP Inc 554,625
3,100 Imperial Holly Inc 28,675
35,800 International Multifoods Corp 666,775
2,900 Lance Inc 50,025
9,200 Luby's Cafeteria Inc 209,300
1,800 Morningstar Group Inc * 13,050
17,600 Pilgrims Pride Corp 143,000
25,600 Ryans Family Steak House * 198,400
14,400 Sanderson Farms Inc 198,000
15,400 Savannah Foods and Industries Inc 202,125
2,150 Sbarro Inc 52,675
1,500 Seaboard Corp 246,000
900 Showbiz Pizza Time * 8,663
4,000 Smithfield Foods Inc 105,750
5,100 Tasty Baking * 72,675
6,200 Thorn Apple Valley 155,388
7,796 Tootsie Roll Industries Inc 522,349
46,725 Universal Foods Corp 1,465,997
4,100 Uno Restaurant Corp * 63,550
16,500 WLR Foods Inc 433,125
3,640 Zapata Corp 12,285
9,598,033
FOREST PRODUCTS - 0.0%
5,600 Wolohan Lumber Co 84,000
HEALTH CARE - 12.7%
443 Abbey Healthcare Group Inc * (a) 12,570
37,600 Acuson Corp * 465,300
22,100 Adac Laboratories 176,800
3,270 Anika Research Inc * 6,744
400 Aura Systems Inc * (a) 1,350
4,295 Benson Eyeycare * 32,749
5,400 Bergen Brunswig Corp Class A 147,150
16,600 Bindley Western Industries Inc 246,925
6,200 BioMet Inc * 100,363
9,800 Bio-Rad Laboratories Inc Class A * 271,950
51,227 Boston Scientific Corp * (a) 1,107,793
31,100 Centocor Inc * 592,844
760 Columbia/HCA Healthcare Corp 31,445
49 Community Health Systems * 1,366
24,200 Coram Healthcare Corp * 568,700
9,500 Cordis Corp * 617,500
19,900 Coventry Corp * 537,300
31,200 Diagnostek Inc * 483,600
1,500 Diagnostic Prods Corp * 40,500
15,600 FHP Group * 419,250
31,680 FHP International Corp Preferred Series A 5.00% 788,040
23,101 Foundation Health Corp * 690,142
17,573 Foxmeyer Health Corp * 294,344
33,900 HBO and Co 1,305,150
51,000 Health Care Compare * 1,619,250
68,100 Health Management Associates Class A * 1,813,163
5,100 Healthcare Services Group Inc * 77,775
17,700 Healthsource * 769,950
33,600 Healthsouth Rehabilitation * 1,352,400
17,160 Hillhaven Corp * 413,985
1,000 Integrated Health Services (a) 38,250
15,100 Kinetic Concepts Inc 117,025
5,000 Life Technologies Inc 90,000
41,400 Lincare Holdings Inc * 1,159,200
36,700 Marquette Electronics Class A * 816,575
4,300 Medaphis Corp * 242,950
10,900 Med-Chem Products Inc * 51,775
3,500 Mentor Corp 84,875
141,200 Mid Atlantic Medical Services * (a) 2,894,600
700 National Healthcare 17,238
16,500 National Medical Enterprises * 255,750
2,000 Nellcor Inc * 68,000
53,400 Oxford Health Plans * (a) 4,859,400
6,800 Pacificare Health Systems Class A * 470,900
11,000 Perceptive Biosystems Inc * 65,313
3,500 Research Industries Corp * 56,438
10,000 Resound Corporation * 93,125
5,500 Respironics Inc * 164,313
8,500 Seafield Capital Corp 314,500
8,000 Sierra Health Services Inc * 243,000
13,500 Spacelabs Medical Inc * 327,375
10,800 Target Therapeutics Inc * 402,300
7,700 Tecnol Medical Products Inc * 128,975
1,000 United Wisconsin Services 37,000
16,400 Universal Health Services Class B * 410,000
23,600 Utah Medical Products Inc * 228,625
37,050 Vencor Inc * 1,176,338
13,700 Vital Sign Inc 191,800
29,992,038
INSURANCE - 8.3%
5,468 Alleghany Corp 862,577
50,500 Allmerica Property and Casualty 984,750
5,300 Ambac Inc 215,313
700 America Premier Underwriters 17,238
30,600 American Bankers Insurance Group 830,025
7,249 American Heritage Life Investments 141,356
10,100 American National Insurance 505,000
17,700 Argonaut Group Inc 544,275
3,800 Avemco Corp 58,425
1,200 Bankers Life Holding Corp 25,050
2,400 Berkley (WR) 85,800
14,900 Capital Re Corp 348,288
9,300 Capitol American Financial Corp 220,875
6,000 CCP Insurance Inc 127,500
5,500 Citizens Corp 95,563
16,000 Continental Corp 310,000
9,300 Delphi Financial Group Inc * 176,700
20,600 Enhance Financial Services Group Inc 365,650
19,300 Equitable of Iowa Cos 641,725
9,152 First American Financial Corp 185,328
13,863 Frontier Insurance Group Inc 299,787
6,315 Gainsco Inc 58,411
12,100 Gallagher (Arthur J) and Co 423,500
6,800 Guaranty National Corp 117,300
100 Hartford Steam Boiler 4,250
5,000 Home Beneficial Corp Class B 101,250
24,300 Horace Mann Educators 583,200
24,400 Independent Insurance Group 317,200
10,500 Integon Corp 129,938
13,500 John Alden Financial Corp 388,125
3,900 Kansas City Life Insurance Co 179,400
12,700 Liberty Corp 341,313
15,900 Life Re Corp 316,013
5,300 Markel Corp * 239,825
300 Midland Co 15,075
16,000 National Re Corp 486,000
17,100 Old Republic International Corp 423,225
16,418 Orion Capital 582,839
8,200 Penncorp Financial Group Inc 131,200
46,400 Presidential Life Corp 272,600
20,100 Protective Life Corp 954,750
18,500 Provident Life and Accident Insurance Co Class B 434,750
4,000 PXRE Corp 94,000
1,000 Re Capital Corp 18,000
9,900 Reinsurance Group of America 275,963
30,139 Reliastar Financial Corp 1,028,512
5,400 RLI Corp 122,175
7,400 Scor U S Corp 61,975
18,000 Selective Insurance Group 508,500
26,800 Southwestern Life Corp * 21,775
700 SunAmerica Inc 28,700
5,800 The Fund American Cos * 432,825
5,100 Transatlantic Holdings Inc 293,250
7,900 Twentieth Century Industries 98,750
15,420 United Cos Financial Corp 508,860
56,750 USLIFE Corp 2,163,594
14,700 Washington National Corp 271,950
8,600 Zenith National Insurance Corp 180,600
19,650,818
LEISURE - 0.1%
27,550 Casino America Inc * 285,831
2,500 Orion Pictures Corp * 15,000
300,831
MACHINERY - 2.5%
8,800 Applied Power Inc Class A 205,700
1,700 Baldwin Technology Co Inc Class A * 9,350
4,700 Bearings Inc 133,363
3,300 Bw/Ip Inc 52,800
6,850 Commercial Intertech Corp 143,850
18,500 Donaldson Co Inc 464,813
7,500 Fedders Corp Class A * 39,375
700 Gleason Corp 12,863
5,550 Gorman Rupp Co 91,575
4,350 Graco Inc 102,769
14,450 Idex Corp 419,050
8,000 IMO Delaval Inc * 65,000
11,000 Kaydon Corp 302,500
4,700 Kysor Industrial Corp 103,400
700 Lindsay Manufacturing Co * 20,825
15,300 Merisel Inc * 80,325
7,300 National Auto Credit Inc * 73,913
12,700 Regal Beloit Corp 198,438
1,000 Roper Industries Inc 25,000
600 Roto Rooter Inc 15,000
550 Sps Technologies, Rights * 9
4,000 Starrett (L S) Co Class A 90,000
12,000 Syquest Technology Inc * 177,000
12,300 Tecumseh Products Co Class A (a) 575,025
21,600 Tecumseh Products Co Class B 993,600
1,600 Tennant Co 77,600
12,000 Watts Industries Inc Class A 285,000
1,000 Whittaker Corp * 17,875
30,900 Zebra Technologies Corp * 1,123,988
6,200 Zurn Industries Inc 111,600
6,011,606
MANUFACTURING - 4.3%
1,800 Actava Group Inc * 18,900
3,300 Barnes Group Inc 136,538
15,000 Bemis Co 406,875
17,000 Blessings Corp 238,000
17,000 Carlisle Corp 605,625
8,500 Clarcor Inc 167,875
11,267 Commercial Metals Co 290,125
25,200 CSS Industries Inc * 415,800
38,500 Figgie International Class A * 322,438
45,600 Gibson Greetings Inc 427,500
5,500 Handy and Harman 85,250
12,900 Helene Curtis Industries 374,100
26,700 Kaman Corp Class A 303,713
5,200 Katy Industries Inc 51,350
10,600 Kennametal Inc 286,200
5,300 Liqui-Box Corp 177,550
1,200 Litton Industries * 43,800
2,150 Myers Industries 34,131
6,900 Nortek Inc * 69,863
8,400 O'Sullivan Corp 82,950
37,050 Precision Castparts 861,413
22,200 Sealed Air Corp * 929,625
11,100 Sealright Inc 202,575
6,000 Sequa Corp Class A * 168,750
9,800 Shorewood Packaging Corp * 179,463
5,500 SPS Technologies Inc * 165,000
12,600 Standex International Corp 395,325
21,400 Stone Container Corp * (a) 500,225
17,500 Synetic Inc * 441,875
28,200 The Geon Co 817,800
9,500 Tredegar Industries 185,250
16,300 Trimas Corp 366,750
11,400 West Co Inc 296,400
4,600 Worldtex Inc * 18,400
1,300 York International Corp 50,050
10,117,484
METALS AND MINING - 1.0%
6,600 Ashland Coal 180,675
21,900 Brush Wellman Inc 383,250
8,800 Carpenter Technology Corp 477,400
7,050 Castle AM 96,056
2,400 Chaparral Steel Corp 20,400
1,300 Christiana Cos * 40,463
5,500 Maxxam * 158,125
14,900 NL Industries Inc * 176,938
3,200 Penn Virginia Corp 104,800
13,800 Smith International * 184,575
79,300 Sunshine Mining Co * 128,863
31,600 Terra Industries Inc 347,600
6,800 Tyler Corp * 22,950
2,322,095
MISCELLANEOUS - 0.8%
8,700 Beauticontrol Cosmetics Inc 108,750
4,600 Buckeye Partners 154,675
15,800 Devon Group Inc * 406,850
3,600 Donnelly Corp 63,000
21,500 Fremont Gen Corp 440,750
1,000 Greif Brothers Corp 51,250
12,700 Labone Inc 174,625
3,000 McWhorter Technologies Inc * 45,000
13,000 PEC Isreal Economic Corp * 277,875
1,700 Sturm Ruger and Company Inc 51,850
13,900 Sun Distributors L.P. Class B 60,813
800 Weyco Group 26,800
1,500 X-Rite Inc 29,250
1,891,488
OIL AND GAS - 2.0%
400 Atlanta Gas Light 13,500
5,200 Berry Petroleum Class A 46,800
1,200 Brooklyn Union Gas Co 29,400
3,500 Cabot Corp 119,000
800 Colonial Gas Co 16,400
33,200 Columbia Gas Systems * 863,200
500 Connecticut Natural Gas Corp 11,688
5,100 Crown Central Petroleum Class A * 68,850
1,000 Daniel Industries 13,250
3,600 Dekalb Energy Company Class B * 77,400
6,600 El Paso Natural Gas Co 202,950
11,825 Energy Service Co * 138,944
800 Energy Ventures Inc * 11,300
11,050 Equitable Resources Inc 306,638
1,500 Equity Oil * 5,438
600 FINA Inc Class A 45,750
13,500 Giant Industries Inc 114,750
17,300 Harken Energy Corp * 29,194
2,900 Hondo Oil & Gas Co * (a) 38,425
1,000 Indiana Energy Inc 18,750
900 Indresco Inc * 11,138
6,850 K N Energy 147,275
1,400 Laclede Gas Co 27,650
9,800 MCN Corp 180,075
900 MDU Resources Group Inc 24,188
700 Mitchell Energy Class A 11,550
2,300 National Fuel Gas 62,675
700 Nicor Inc 17,325
2,750 North Carolina Natural Gas 59,813
700 Northwest Natural Gas Co 21,175
4,100 Oneok Inc 70,725
4,300 Plains Petroleum 96,750
3,100 Pool Energy Services * 23,638
25,600 Southwest Gas Corp 390,400
13,300 Southwestern Energy Co 167,913
6,300 Teppco Partners 178,763
29,000 Ultramar Corp 746,750
6,400 Wainoco Oil Corp * 27,200
3,200 Washington Energy 44,000
400 Washington Gas Light 15,250
6,600 Western Gas Resources Inc 120,450
4,000 Wiser Oil Co 57,500
4,673,830
PAPER AND ALLIED PRODUCTS - 0.1%
100 American Filtona 2,752
3,900 Glatfelter (PH) Co 71,175
8,900 Riverwood International Inc 147,963
221,890
PHARMACEUTICALS - 0.5%
7,300 Allergan Inc 210,788
24,115 ICN Pharmaceuticals Inc 346,647
9,600 Pharmacy Management Services Inc * 151,500
22,100 Watson Pharmaceutical Inc * (a) 570,456
1,279,391
PRIMARY PROCESSING - 2.9%
39,800 Boise Cascade Corp 1,278,575
2,600 Dexter Corp 55,575
50 Fuller (HB) Co 1,663
5,400 Hanna (MA) Co 131,625
3,900 Lea Ronal Inc 78,000
14,400 Lydall Inc * 504,000
1,200 Mosinee Paper Corp 33,600
5,700 NCH Corp 349,125
30,000 Olin Corp (a) 1,526,250
2,900 Park-Ohio Industries * 39,875
6,700 Pentair Inc 287,681
1,400 Petrolite Corp 35,350
33,900 Pope and Talbot 559,350
5,600 Quanex Corp 131,600
8,400 Rayonier Timberlands L.P. 312,900
61,900 UNR Industries Inc 417,825
23,100 Valspar 825,825
1,000 Weirton Steel Corp * 7,625
6,576,444
PRINTING AND PUBLISHING - 1.0%
7,600 Central Newspapers Class A 204,250
17,600 Clear Channel Communications * 1,001,000
4,000 Houghton Mifflin Co 172,000
11,200 McClatchy Newspapers Inc 264,600
2,500 Paxar Corp * 29,375
6,400 Plenum Publishing 212,800
7,200 Pulitzer Publishing Co 243,000
5,500 Wiley (John) and Sons Class A 280,500
2,407,525
REAL ESTATE - 0.1%
10,100 Hilb Rogal and Hamilton Co 118,675
1,100 Santa Anita Realty Enterprises 18,563
137,238
REFINING - 2.2%
51,700 Diamond Shamrock Inc 1,292,500
11,500 Getty Petroleum Corp * 133,688
16,100 Holly Corp 380,363
51,700 Quaker State Corp 749,650
20,000 Tesoro Petroleum Corp * 207,500
51,900 Tosco Corp 1,498,613
52,900 Valero Energy Corp 945,588
1,600 Vintage Petroleum Inc 27,800
5,235,702
RETAIL TRADE - 7.9%
6,600 Ann Taylor * 217,800
9,425 Arctco Inc 155,513
24,500 Best Buy Co Inc * 529,813
18,600 Big B Inc 267,375
9,700 Blair Corp 328,588
30,800 Burlington Coat Factory Warehouse * 346,500
15,200 Caldor Inc * 347,700
300 Claire's Stores Inc 4,163
17,900 CPI Corp 268,500
8,800 Crown Books * 114,400
3,000 Dart Group Corp Class A 246,000
7,000 Deb Shops Inc 34,125
10,000 Delchamps Inc 172,500
17,000 Dress Barn Inc * 174,250
19,800 Express Scripts Inc Class A * 673,200
19,600 Family Dollar Stores 254,800
26,600 Fastenal Co (a) 1,243,550
20,700 Fay's Inc 139,725
6,780 Genovese Drug Stores Inc Class A 71,190
23,300 Giant Food Inc Class A 553,375
33,100 Good Guys Inc * 393,063
21,400 Goody's Family Clothing * 197,950
2,900 Gottschalks Inc * 22,113
5,900 Hi-Lo Automotive Inc * 61,950
19,300 House of Fabrics * 18,094
24,300 Ingles Markets 236,925
4,100 Intertan * (a) 30,238
28,400 Lands' End Inc * 472,150
7,400 Lechters Inc * 138,750
13,100 Lillian Vernon Corp 240,713
32,900 Longs Drugstores Corp 1,044,575
13,700 MacFrugals Bargains Close Outs Inc * 232,900
20,100 Mercantile Stores 836,663
52,900 Micro Warehouse Inc * 1,520,875
1,500 Oshmans Sporting Goods * 10,313
1,200 Penn Traffic Co * 45,300
20,200 Rite Aid Corp 499,950
1,900 Roses Stores Class B * 178
18,300 Ruddick Corp 372,863
400 Smart & Final Inc 6,050
2,550 Sportmart Inc * 23,269
1,850 Sportmart Inc Class A * 12,488
29,900 Stanhome Inc 837,200
64,650 Staples Inc * 1,567,762
5,600 Stein Mart Inc * 62,300
14,460 Strawbridge and Clothier Class A 310,890
6,200 Syms Corp 43,400
13,900 The Vons Co Inc * 276,263
4,800 Tiffany & Co 151,200
100 Tops Appliance City Inc * (a) 488
16,000 Trans World Entertainment Corp * 88,000
25,100 Value City Department Stores Inc * 191,388
28,200 Venture Stores Inc 391,275
35,300 Waban Inc * 697,175
6,900 Weismarkets Inc 176,813
62,400 Williams-Sonoma Inc 1,326,000
900 Xircom Inc * (a) 14,625
1,400 Younkers Inc * 25,200
18,720,416
SERVICES - 7.1%
7,300 ABM Industries Inc 167,900
22,000 Adia SA ADR 511,500
13,300 American Business Information * 234,413
32,750 Apple South Inc 431,376
3,600 Belo (AH) Corp 202,950
1,200 Berlitz International Inc * 15,300
1,500 BET Holdings Inc Class A * 22,688
7,500 Borg-Warner Security Corp * 48,750
25,000 Bowne and Co Inc 428,125
3,800 C C H Inc 67,450
15,800 CACI International Inc Class A * 150,100
18,100 CDI Corp * 398,200
39,899 Chris Craft Industries Inc * 1,416,415
1,600 Dames and Moore Inc 21,000
20,500 Electro Rent Corp * 394,625
3,400 E-Town Corp 89,675
36,200 Fleming Cos 705,900
69,800 Handleman Co 741,625
27,500 Harland (JH) Co 622,188
14,200 International Dairy Queen Inc Class A * 255,600
600 Jenny Craig Inc 4,350
225 Jones Intercable Inc * 3,656
611 Jones Intercable Inc Class A * 9,891
28,050 La Quinta Motor Inns 697,744
29,600 Lee Enterprises Inc 1,069,300
5,000 Marcus Corp 135,000
20,600 McGrath Rentcorp 345,050
20,800 Nash Finch Co 317,200
8,300 Nashua Corp 163,925
54,100 Outback Steakhouse Inc * (a) 1,413,363
8,100 Owens and Minor Holdings Co 113,400
8,900 Park Communications * 260,325
2,300 PCA International Inc 23,000
28,300 PHH Corp 1,061,250
32,700 Robert Half International Inc * 805,238
25,050 Rollins Inc 632,513
33,600 Safecard Services Inc 693,000
5,000 Safeguard Scientifics Inc * 116,250
2,400 Sanifill Inc * 56,700
1,000 Scoreboard Inc * 4,500
4,700 Sevenson Environmental Services 76,375
7,300 Sizzler International Inc 46,538
9,000 SPS Transaction Services Corp * 286,875
10,800 Super Food Services Inc 117,450
4,000 Total System Services Inc 70,500
15,200 True North Communications Inc 241,300
13 Turner Broadcasting System Class B 250
11,000 Unifirst Corp 132,000
8,100 United Television Inc * 473,850
2,400 USA Waste Services Inc * 26,700
16,000 Western Waste Industries * 260,000
22,400 Westwood One Inc 253,400
16,836,673
TECHNOLOGY - 7.8%
500 ADC Telecommunications Inc * 27,875
2,200 American Business Products 51,150
19,450 American Management Systems Inc * 397,509
3,800 Ametek Inc 67,925
2,800 Analogic Corp * 55,300
15,750 Andrew Corp * 913,500
2,900 Atari Corp * 10,331
20,800 Atmel Corp * 709,800
600 Aydin Corp * 7,275
13,600 Bay Networks Inc * 426,700
1,900 Bisys Group Inc * 36,575
41,100 Cadence Design Sys Inc * 1,053,188
5,300 Caere Corp * 53,000
1,700 Compuware Corp * 62,475
3,575 Control Data Systems Inc 25,472
3,500 CTS Corp 105,000
2,800 Cubic Corp 54,250
9,600 Dell Computer Corp * (a) 398,400
3,900 Diebold Inc 137,963
300 Dionex Corp * 11,925
6,600 Electronics for Imaging * 259,050
17,000 Ennis Business Forms 233,750
40,700 Exabyte * 768,213
2,400 Frame Technology Corp * 39,000
2,100 General Binding Corp 31,500
2,300 Gundle Environmental Systems Inc * 12,075
36,400 Integrated Device Tech Inc * 1,387,750
900 Intergrated Systems Inc * 19,125
1,100 Ionics Inc * 31,625
5,900 Joslyn Corp 147,500
4,100 MacNeal Schwendler Corp 52,788
44,600 Maxim Intergrated Products * 1,466,225
3,000 Methode Electronics Class A 47,250
1,250 Millipore Corp 66,406
10,800 Moorco International Inc 147,150
6,700 MTS Systems Corp 164,150
42,000 Network General Corp * 1,118,250
1,100 Osmonics Inc * 16,225
14,800 Peoplesoft Inc * 514,300
62,500 Quantum Corp * 921,875
35,000 Stratacom Inc * 1,295,000
15,840 Sybase Inc * 645,480
27,800 Symbol Technologies Inc * 726,275
225 System Software Associates Inc 5,203
61,000 Tellabs Inc * 3,172,000
1,300 Thermotrex Corp * 18,363
17,300 United Stationers 263,825
3,200 Walker Interactive Systems * 23,600
9,000 Wallace Computer Services 280,125
18,479,691
TELECOMMUNICATIONS - 0.4%
33,800 Federal Signal Corp 692,900
2,963 Millicom International Cellular SA * 80,742
8,600 Telco Systems Inc * 102,125
875,767
TEXTILES - 0.1%
500 Angelica Corp 12,750
1,300 Crown Crafts 20,963
5,000 Quiksilver Inc * 90,000
5,100 Ross Stores Inc 59,606
183,319
TRANSPORTATION - 3.0%
17,600 AAR Corp 242,000
1,300 Airborne Freight Corp 31,038
24,800 American President Cos 564,200
46,200 Ball Corp 1,513,050
21,300 Expeditors International of Washington Inc 468,600
6,500 Florida East Coast Industries Inc 501,313
7,700 GRC International Inc * 132,825
507 Heartland Express * 14,893
6,600 International Shipholding Corp 133,650
1,100 Offshore Logistics * 14,163
1,200 Oglebay Norton Co 40,200
200 Old Dominion Freight Line * 3,550
22,000 OMI Corp * 115,500
33,500 Overseas Shipholding Group Inc 774,688
41,200 Swift Transportation Co 957,900
1,300 Thor Industries 27,300
31,400 Wisconsin Central Transportation * 1,428,700
6,963,570
UTILITIES - 7.0%
2,200 AES Corp * 40,700
29,300 American Water Works Co 864,350
2,100 Aquarion Co 50,138
30,300 Atlantic Energy Inc 575,700
3,300 Balder Electric 94,050
7,000 Boston Edison Co 171,500
1,000 California Energy Co Inc * 17,125
500 California Water Service Co 16,000
52,300 Centerior Energy Corp 509,925
20,700 Central Hudson Gas and Electric Co 571,838
3,300 Central Louisiana Electric Inc 77,550
38,700 Central Maine Power Co 541,800
5,650 Central Vermont Public Services 78,394
3,600 Cilcorp Inc 127,350
14,117 Cinergy Corp 349,406
4,200 CIPSCO Inc 123,900
14,100 Commonwealth Energy Systems 590,438
27,400 Delmarva Power and Light Co 544,575
78,400 Destec Energy Inc * 784,000
2,000 Digital Systems International Inc * 13,750
1,900 DQE 63,888
10,900 Eastern Enterprises 287,488
12,900 Eastern Utilities Associates 304,763
1,700 Energen Corp 37,400
4,579 Entergy Corp 102,455
1,000 Franklin Electric Inc 33,750
700 Green Mountain Power Corp 19,513
1,700 Idaho Power Co 42,713
1,600 IES Industries 43,800
3,600 Illinova Corp 84,150
1,500 Interstate Power Co 36,750
4,700 Iowa Illinois Gas and Electric Co 102,225
1,800 Ipalco Enterprises Inc 59,175
1,700 IWC Resources Corp 33,150
1,400 Kansas City Power and Light Co 33,425
1,700 Ku Energy Corp 47,388
1,700 LG & E Energy Corp 66,088
3,562 Magma Power Co * 137,360
9,200 Midwest Resources 133,400
1,000 Minnesota Power and Light Co 25,875
3,900 Montana Power Co 92,625
6,300 Nevada Power Co 130,725
11,600 New York State Electric and Gas Corp 249,400
6,600 Oklahoma Gas and Electric Co 233,475
80 Pacific Crest Capital Inc * 320
2,000 Pennsylvania Enterprises Inc 57,500
3,900 Peoples Energy Corp 102,375
9,900 Pinnacle West Capital Corp 212,850
125,500 Portland General Electric Co 2,557,063
122,100 Public Services Co of New Mexico * 1,572,038
26,500 Puget Sound Power and Light Co 573,063
3,000 Republic Waste Industries * 9,938
43,200 Rochester Gas and Electric Corp 945,000
23,700 Sierra Pacific Resources 479,925
800 South Jersey Industries 16,000
1,470 Southeastern Michigan Gas Enterprises 29,033
6,300 Southern California Water Co 109,463
2,100 Southern Indiana Gas and Electric Co 61,163
1,100 Southwesten Public Services Co 32,038
15,200 TNP Enterprises Inc 228,000
8,406 Transco Energy Co 149,207
24,100 Tucson Electric Power Co * 87,363
600 UGI Corp 12,150
12,100 United Illuminating Co 402,325
11,848 United Water Resources Inc 161,429
900 Utilicorp United Inc 25,988
4,200 Washington Water Power 63,000
500 Wisconsin Power and Light Holding Co 15,063
1,300 WPS Resources Corp 38,188
1,300 Yankee Energy System Inc 28,275
16,512,227
TOTAL STOCK (Cost $213,885,660) 230,848,363
PAR VALUE SHORT-TERM INVESTMENTS - 10.1%
REPURCHASE AGREEMENTS - 5.2%
$ 2,849,575 Prudential Securities Group, Inc. Repurchase Agreement
dated 2/28/95, due 3/1/95, with a maturity value of $2,850,030
and an effective yield of 5.75%, collateralized by U.S. Government
Agency Obligations with rates ranging from 3.64% to 11.62%,
maturities ranging from 5/1/00 to 10/25/24, and with an aggregate
market value of $2,906,517. 2,849,575
9,404,322 Salomon Brothers Repurchase Agreement, dated 2/28/95, due
3/1/95, with a maturity value of $9,405,785 and an effective
yield of 5.60%, collateralized by a U.S. Treasury Bond with
a rate of 6.25%, a maturity date of 8/15/23,
and with an aggregate market value of $9,660,551. 9,404,322
12,253,897
U.S. GOVERNMENT - 0.2%
500,000 U.S. Treasury Bill, 4.92% due 3/2/95 (b) 499,922
CASH EQUIVALENTS - 4.7%
54,088 Bank of Boston Time Deposit, 6.16% due 3/1/95 54,088
7,197,674 Dreyfus Cash Management Money Market Fund Plus, A Shares 7,197,674
560,936 National Westminster Time Deposit, 6.05% due 3/1/95 560,936
3,155,849 Provident Institutional Prime Money Market Fund 3,155,849
10,968,547
TOTAL SHORT-TERM INVESTMENTS (at amortized cost) 23,722,366
TOTAL INVESTMENTS - 108.0%
(Cost $237,608,026) * * $ 254,570,729
Other Assets and Liabilities (net) - (8.0%) (18,790,082)
TOTAL NET ASSETS - 100.0% $ 235,780,647
NOTES TO THE SCHEDULE OF INVESTMENTS:
ADR American Depositary Receipt
(a) All or a portion of this security is on loan.
(b) This security is held as collateral for open futures contracts.
* Non-income producing security
** The aggregate identified cost for federal income
tax purposes is $237,646,141, resulting in gross
unrealized appreciation and depreciation of
$25,158,415 and $8,233,827, respectively, and net
unrealized appreciation of $16,924,588.
|
See accompanying notes to the financial statements.
GMO CORE II SECONDARIES FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - FEBRUARY 28, 1995
ASSETS:
Investments, at value (cost $213,885,660) (Note 1) $ 230,848,363
Short-term investments, at amortized cost (Note 1) 23,722,366
Receivable for investments sold 23,111,907
Receivable for Fund shares sold 521,815
Dividends and interest receivable 311,645
Receivable for variation margin on open futures contracts 87,141
Receivable for expenses waived or borne by Manager (Note 2) 7,861
Total assets 278,611,098
LIABILITIES:
Payable for investments purchased 19,513,375
Payable for Fund shares repurchased 12,208,915
Payable upon return of securities loaned (Note 1) 10,961,415
Payable to affiliate for management fee (Note 2) 72,108
Accrued expenses 74,638
Total liabilities 42,830,451
NET ASSETS (equivalent to $13.61 per share based
on 17,325,736 shares outstanding, unlimited shares authorized) $ 235,780,647
NET ASSETS CONSIST OF:
Paid-in capital $ 210,300,226
Undistributed net investment income 707,076
Accumulated net realized gain on investments and
closed futures contracts 7,270,940
Net unrealized appreciation of investments and open futures
contracts 17,502,405
NET ASSETS $ 235,780,647
|
See accompanying notes to the financial statements.
GMO CORE II SECONDARIES FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - YEAR ENDED FEBRUARY 28, 1995
INVESTMENT INCOME:
Dividends (net of withholding taxes of $863) $ 2,998,140
Interest (including securities lending income of $71,659) 520,458
Total income 3,518,598
EXPENSES:
Management fee (Note 2) 865,852
Custodian and transfer agent fees 83,274
Audit fees 53,078
Legal fees 7,010
Registration fees 5,528
Insurance 2,058
Trustee fee (Note 2) 869
Miscellaneous 1,095
Total expenses 1,018,764
Less: expenses waived or borne by Manager (Note 2) (187,546)
Net expenses 831,218
Net investment income 2,687,380
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND
FUTURES CONTRACTS:
Net realized gain (loss) on:
Investments 15,256,562
Closed futures contracts (569,321)
Net realized gain 14,687,241
Change in net unrealized appreciation (depreciation) on:
Investments (8,973,117)
Open futures contracts 408,125
Net unrealized loss (8,564,992)
Net realized and unrealized gain on investments
and futures contracts 6,122,249
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 8,809,629
|
See accompanying notes to the financial statements.
GMO CORE II SECONDARIES FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
YEAR ENDED
FEBRUARY 28, 1995 FEBRUARY 28, 1994
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 2,687,380 $ 2,074,574
Net realized gain on investments
and closed futures contracts 14,687,241 10,560,435
Change in net unrealized appreciation (depreciation)
on investments and open futures contracts (8,564,992) 8,634,849
Net increase in net assets resulting from operations 8,809,629 21,269,858
Distributions to shareholders from:
Net investment income (2,478,510) (2,016,452)
Net realized gains (13,249,265) (4,787,721)
(15,727,775) (6,804,173)
Fund share transactions: (Note 5)
Proceeds from sale of shares 106,039,496 57,853,253
Net asset value of shares issued to shareholders
in payment of distributions declared 13,476,187 5,529,115
Cost of shares repurchased (28,102,815) (28,793,929)
Net increase in net assets resulting
from Fund share transactions 91,412,868 34,588,439
Total increase in net assets 84,494,722 49,054,124
NET ASSETS:
Beginning of period 151,285,925 102,231,801
End of period (including undistributed net
investment income of $707,076 and
$460,639, respectively) $ 235,780,647 $ 151,285,925
|
See accompanying notes to the financial statements.
GMO CORE II SECONDARIES FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
YEAR ENDED FEBRUARY 28/29,
1995 1994 1993 1992*
NET ASSET VALUE, BEGINNING OF PERIOD $ 14.31 $ 12.68 $ 11.12 $ 10.00
Income from investment operations:
Net investment income (a) 0.20 0.21 0.22 0.04
Net realized and unrealized gain
on investments and futures contracts 0.34 2.14 1.59 1.08
Total from investment operations 0.54 2.35 1.81 1.12
Less distributions to shareholders:
From net investment income (0.20) (0.22) (0.21) -
From net realized gains (1.04) (0.50) (0.04) -
Total distributions (1.24) (0.72) (0.25) -
NET ASSET VALUE, END OF PERIOD $ 13.61 $ 14.31 $ 12.68 $ 11.12
TOTAL RETURN (B) 4.48% 18.97% 16.46% 11.20%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period $ 235,781 $ 151,286 $ 102,232$ 58,258
Net expenses to average
daily net assets (a) 0.48% 0.48% 0.49% 0.49%**
Net investment income to average
daily net assets (a) 1.55% 1.66% 2.02% 2.19%**
Portfolio turnover rate 54% 30% 3% 0%
* For the period from the commencement of operations, December 31, 1991 to February 29, 1992.
** Annualized.
(a) Net of fees and expenses voluntarily waived or borne by the Manager of $.01, $.02, $.02, and $.01
per share for the fiscal years ended 1995, 1994 and 1993 and for the period
ended February 29, 1992, respectively.
(b) Calculation excludes subscription and redemption fees. The total returns
would have been lower had certain expenses not been waived during the
periods shown.
|
See accompanying notes to the financial statements.
GMO CORE II SECONDARIES FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS
FEBRUARY 28, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO Core II Secondaries Fund (the "Fund") is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, diversified management investment company. The Trust was established as a Massachusetts Business Trust under the laws of the Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees to create an unlimited number of series ("Funds"), each of which issues a separate series of shares. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market quotations are available are valued at the last quoted sale price on each business day, or if there is no such reported sale, at the most recent quoted bid price. Unlisted securities for which market quotations are readily available are valued at the most recent quoted bid price. Short-term investments with a remaining maturity of sixty days or less are valued at amortized cost which approximates market value. Other assets and securities for which no quotations are readily available are valued at fair value as determined in good faith by the Trustees.
FUTURES CONTRACTS
The Fund may purchase futures contracts on the S&P Mid Cap 400 index and on such other domestic stock indices as the Manager may deem appropriate. Stock index futures contracts represent commitments for future delivery of cash based upon the level of a specified index of equity securities at a given date. The Fund may use futures contracts to manage its exposure to the stock markets. Buying futures tends to increase the Fund's exposure to the underlying instrument. Selling futures tends to decrease the Fund's exposure to the underlying instrument or hedge other Fund instruments. Upon purchase of a futures contract, the Fund is required to deposit with its custodian, in a segregated account in the name of the futures broker, an amount of cash or U.S. Government obligations in accordance with the initial margin requirements of the broker. Futures contracts are marked to market daily and an appropriate payable or receivable for the change in value ("variation margin") is recorded by the Fund. The payable or receivable is liquidated on the following business day. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Losses may arise from the changes in the value of the underlying instrument, if there is an illiquid secondary market for the contracts, or if counterparties do not perform under the contract terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. See Note 6 for all open futures contracts held as of February 28, 1995.
REPURCHASE AGREEMENTS
The Fund may enter into repurchase agreements with certain banks and broker/dealers whereby the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets remains sufficient to protect the Fund in the event of default by the seller. In connection with transactions in repurchase agreements, if the seller defaults, the value of the collateral declines or if the seller enters insolvency proceedings, realization of collateral by the Fund may be delayed or limited.
SECURITY LENDING
The Fund may lend its securities to certain member firms of the New York Stock Exchange. The loans are collateralized at all times with cash or securities with a market value at least equal to the market value of the securities on loan. As with other extensions of credit, the Fund may bear the risk of delay in recovery or even loss of rights in the collateral should the borrower of the securities fail financially. The Fund receives compensation for lending its securities. At February 28, 1995, the Fund loaned securities having a market value of $10,447,364, collateralized by cash in the amount of $10,968,547, which was invested in short-term instruments.
TAXES
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. It is the policy of the Fund to distribute all of its taxable income, including any net realized gain on investments not offset by loss carryovers, to shareholders within the prescribed time periods. Therefore, no provision for federal income or excise tax is necessary.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment income and net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryover for federal income tax purposes. The Fund's present policy is to declare and pay distributions from net investment income quarterly, and net realized short-term and long-term capital gains at least annually. All distributions will be paid in shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions.
Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences are primarily due to differing treatments for futures transactions, partnership interests, non-taxable dividends and losses deferred due to wash sales.
The following reclassification represents the cumulative amount necessary to report these balances on a tax basis, excluding certain temporary differences, as of February 28, 1995. This reclassification has no impact on net investment income, realized gain/loss and net asset value of the Fund and is primarily attributable to certain differences in the computation of distributable income and capital gains under federal tax rules versus generally accepted accounting principles.
UNDISTRIBUTED NET INVESTMENT ACCUMULATED NET REALIZED
INCOME GAIN PAID-IN CAPITAL
$37,567 ($37,567) -
|
Distributions in excess of tax basis earnings and profits will be reported in the Fund's financial statements as a return of capital. Furthermore, differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary over-distributions for financial statement purposes are classified as distributions in excess of net investment income or accumulated net realized gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an individual Fund. Expenses which are not readily identifiable to a specific Fund are allocated in such manner as deemed equitable by the Trustees, taking into consideration, among other things, the nature and type of expense and the relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases and redemptions of Fund shares is .75% of the amount invested and redeemed. The Manager may waive such premium to the extent that a transaction results in minimal brokerage and transaction costs to the Fund. All purchase and redemption premiums are paid to and recorded as paid-in capital by the Fund. For the year ended February 28, 1995, the Fund received $174,223 in purchase premiums and $277 in redemption premiums.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the "Manager") for management and investment advisory services is paid monthly at the annual rate of .50% of average daily net assets. The Manager has agreed to waive a portion of its fee and bear other expenses until further notice to the extent that the Fund's annual expenses (including the management fee but excluding brokerage commissions and transfer taxes) exceed .48% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee during the year ended February 28, 1995, was $869. No remuneration is paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended February 28, 1995 aggregated $174,786,081 and $93,504,081, respectively.
4. PRINCIPAL SHAREHOLDERS
At February 28, 1995, 20% of the outstanding shares of the Fund were held by one shareholder.
5. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value). Transactions in Fund shares were as follows:
YEAR ENDED YEAR ENDED
FEBRUARY 28, 1995 FEBRUARY 28, 1994
Shares sold 7,782,253 4,169,190
Shares issued to shareholders in reinvestment
of distributions 1,047,874 408,736
Shares repurchased (2,079,900) (2,066,228)
Net increase 6,750,227 2,511,698
Fund shares:
Beginning of period 10,575,509 8,063,811
End of period 17,325,736 10,575,509
|
6. FINANCIAL INSTRUMENTS
A summary of outstanding futures contracts at February 28, 1995, is as
follows:
NUMBER OF
CONTRACTS NET UNREALIZED
TYPE EXPIRATION DATE CONTRACT VALUE APPRECIATION
153 S & P Mid Cap 400 March 1995 $ 13,727,925 $ 539,702
|
At February 28, 1995, the Fund had cash and/or securities to cover any margin requirements on these contracts.
* * *
GMO CORE II SECONDARIES FUND
(A SERIES OF GMO TRUST)
FEDERAL INCOME TAX INFORMATION ON DISTRIBUTIONS - (UNAUDITED)
For the fiscal year ended February 28, 1995, all of the Fund's distributions are from investment company taxable income, except that the Fund has designated 81.73% of distributions as net capital gain dividends.
GMO FUNDAMENTAL VALUE FUND
(A SERIES OF GMO TRUST)
ANNUAL REPORT
FEBRUARY 28, 1995
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees of GMO Trust and the Shareholders of
GMO Fundamental Value Fund (A Series of GMO Trust)
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of GMO Fundamental Value Fund at February 28, 1995, and the results of its operations, the changes in its net assets and the financial highlights for the periods presented, in conformity with generally accepted accounting principles. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Trust's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with generally accepted auditing standards which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 28, 1995 by correspondence with the custodian and brokers and the application of alternative auditing procedures where confirmations from brokers were not received, provide a reasonable basis for the opinion expressed above.
Price Waterhouse LLP
Boston, Massachusetts
April 10, 1995
GMO FUNDAMENTAL VALUE FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
FEBRUARY 28, 1995
SHARES DESCRIPTION VALUE ($)
STOCK - 97.5%
AEROSPACE - 1.3%
60,000 Rockwell International Corp 2,310,000
AUTOMOTIVE - 1.8%
10,000 Chrysler Corp 435,000
20,000 General Motors Corp 852,500
25,000 Intermet Corp * 187,500
25,000 Mascotech Industries Inc Convertible Preferred $1.20 346,875
25,000 Navistar International Corp Preferred $6.00 1,306,250
25,000 TBC Corp * 253,125
3,381,250
BANKING AND FINANCIAL SERVICES - 6.2%
75,000 American Express Co 2,531,250
15,000 Chase Manhattan Corp 538,125
45,000 Chemical Banking Corp 1,805,625
10,000 Citicorp 450,000
2,500 Citicorp Convertible Preferred 10.75% 308,125
45,000 Citicorp Convertible Preferred $1.21 866,250
12,500 First Interstate Bancorp 1,017,188
15,000 Great Western Financial 281,250
5,000 John Nuveen and Company Inc Class A 116,250
5,000 Nationsbank Corp 249,375
5,000 Republic New York Corp 249,375
25,000 Salomon 6.75% "DEC" Equity Linked Security (Elks) (b) 834,375
20,000 Shawmut National Corp 512,500
20,000 Summit Properties Inc 340,000
30,000 Travelers Inc 1,166,250
11,265,938
CHEMICALS - 3.7%
97,500 Baxter International Inc 3,034,678
25,000 Borden Chemical and Plastics LP 437,500
25,000 Georgia Gulf Corp * 750,000
10,000 Grace (WR) and Co 450,000
12,500 IMC Global Inc 584,375
20,000 Olin Corp Convertible Preferred Series A $3.64 (a) 1,007,500
20,000 Praxair Inc 452,500
6,716,553
COMMUNICATIONS - 0.2%
10,000 BCE Inc 308,750
COMPUTER AND DATA PROCESSING SERVICES - 0.7%
200,000 SHL System House * 1,200,000
COMPUTER AND OFFICE EQUIPMENT - 0.3%
10,000 Seagate Technology * 240,000
7,500 Storage Technology Convertible Preferred 7.00% 388,125
628,125
CONSTRUCTION - 1.5%
25,000 Fleetwood Enterprises Inc 546,875
12,500 Halliburton Co 465,625
49,500 Owens Corning Fiberglass Corp * (a) 1,664,438
2,676,938
CONSUMER GOODS - 7.8%
25,000 American Safety Razor Co * 306,250
75,000 Black and Decker Corp 2,006,250
50,000 Burlington Industries Inc * 550,000
27,500 Corning Inc 883,438
95,000 Eastman Kodak Co 4,845,000
25,000 Maytag Corp 412,500
10,000 Premark International Inc 432,500
15,000 Procter and Gamble Co 997,500
25,000 United States Shoe Corp 475,000
250,000 Westinghouse Electric Corp Convertible Preferred $1.30 144A 3,406,250
14,314,688
ELECTRONIC EQUIPMENT - 0.5%
10,000 Kuhlman Corp (a) 123,750
15,000 Philips NV ADR 493,125
7,500 Teradyne Inc * 272,813
889,688
FOOD AND BEVERAGE - 4.2%
5,000 Anheuser-Busch Cos Inc 281,875
30,000 Coca Cola Enterprises Inc 615,000
25,000 Coors (Adolph) Co 406,250
50,000 Nestle SA ADR 2,405,010
500,000 RJR Nabisco Holdings Convertible Preferred Series C 9.25% 2,937,500
15,000 Sara Lee Corp 393,750
13,000 Smith Food and Drug Center Class B 349,375
10,000 Supervalu Inc 257,500
7,646,260
HEALTH CARE - 1.0%
4,600 Bard (C R) 123,050
50,000 Beverly Enterprises Inc * 650,000
25,000 Community Psychiatric Centers 290,625
15,000 Glaxo Plc ADR (a) 301,875
10,000 National Medical Enterprises * 155,000
7,500 Upjohn Co 264,375
1,784,925
INSURANCE - 9.5%
25,000 Aetna Life and Casualty Co 1,343,750
92,500 Alexander & Alexander Services Inc 2,011,875
25,000 Alexander & Alexander Services Inc Convertible
Preferred Series A $3.625 1,081,250
25,000 Allstate Corp 687,500
5,000 AON Corp 173,750
12,500 Cigna Corp 946,875
150,000 Continental Corp 2,906,250
17,500 First Colony Corp 391,563
12,500 Gallagher (Arthur J) and Co 437,500
5,000 John Alden Financial Corp 143,750
10,000 Kemper Corp 402,500
20,000 Liberty Corp 537,500
17,500 Life Re Corp 347,813
15,000 National Re Corp 455,625
125,000 Reliance Group Holdings Inc 687,500
10,000 Sedgwick Group ADR 122,473
20,000 TIG Holdings Inc 415,000
22,500 Transamerica Corp 1,229,063
65,356 USF & G Corp 931,316
7,500 USLIFE Corp 285,938
10,000 Vesta Insurance Group Inc 300,000
25,000 Washington National Corp 462,500
75,000 Willis Corroon Group Plc ADR 843,750
5,000 Zurich Reinsurance Centre Inc * 151,250
17,296,291
MACHINERY - 2.2%
10,000 Allegheny Ludlum Corp 211,250
50,000 CBI Industries Inc 1,212,500
15,000 Cincinnati Milacron Inc 315,000
15,000 Cummins Engine Inc 682,500
22,500 FMC Corp * 1,316,250
5,000 Giddings and Lewis Inc 85,000
30,000 Northwestern Steel and Wire * 191,250
4,013,750
MANUFACTURING - 6.1%
25,000 General Electric Co 1,371,875
50,000 Instrument Systems Corp * 450,000
27,500 International Business Machines Corp 2,069,375
105,000 Mascotech Industries Inc 1,286,250
9,100 Minnesota Mining and Manufacturing 498,225
112,500 Teledyne Inc 2,601,563
1,125 Teledyne Inc Preferred Stock Series E 16,875
25,000 United Technologies Corp 1,659,375
75,000 Westinghouse Electric Corp 1,162,500
11,116,038
METALS AND MINING - 1.4%
10,000 Alcan Aluminum Ltd 242,500
15,000 Asarco Inc 408,750
5,000 Battle Mountain Gold Convertible Preferred $3.25 265,000
5,000 Cyprus Amax Minerals Co 135,000
5,000 Echo Bay Financial Convertible Preferred Series A $1.75 141,875
30,000 Falconbridge Ltd 493,212
5,000 Inco Ltd (a) 134,375
5,000 Newmont Mining Corp 180,625
15,000 Placer Dome Inc 305,625
6,000 Santa Fe Pacific Gold Corp * 65,250
25,000 Sherritt Inc * 229,088
2,601,300
MISCELLANEOUS - 1.8%
25,000 Brascan Ltd 328,125
50,000 Freeport-McMoran Corp Preferred 1,625,000
10,000 Pittston Minerals Group 207,500
65,000 Wellcome Plc ADR 1,048,125
3,208,750
OIL AND GAS - 7.3%
10,000 Alberta Energy Company Ltd 134,758
10,000 Amerada Hess Corp 490,000
5,000 Atlantic Richfield Co 548,125
5,000 Atlantic Richfield Co Convertible Preferred 9.00% 122,500
10,000 Dresser Industries Inc 206,250
30,000 Enserch Corp 420,000
50,000 Global Marine Inc * 206,250
5,000 Kerr-McGee Corp 251,875
100,000 Lasmo Plc ADR * 712,500
125,000 Maxus Energy Corp * 484,375
20,500 Mitchell Energy Class A 338,250
15,000 Mitchell Energy Class B 226,875
125,000 Noram Energy Corp 703,125
35,000 Occidental Petroleum Corp 695,625
25,000 Oryx Energy Co * 275,000
12,500 Questar Corp 360,938
15,000 Reading and Bates Corp Preferred $1.625 375,000
25,000 Santa Fe Energy Resources Inc Convertible Preferred 8.25% 225,000
10,000 Texaco Inc 637,500
7,500 Tidewater Inc 147,188
10,000 Union Texas Petroleum Holdings 192,500
50,000 Unocal Corp 1,418,750
25,000 Unocal Corp Convertible Preferred $3.50 144A 1,281,250
65,000 USX - Marathon Group 1,056,250
60,000 Williams Companies Inc 1,725,000
10,000 YPF Sociedad Anonima ADR 190,000
13,424,884
PAPER AND ALLIED PRODUCTS - 0.3%
15,000 Weyerhaeuser Co 611,250
PHARMACEUTICALS - 1.0%
10,000 Allergan Inc 288,750
20,000 Lilly (Eli) & Co 1,340,000
10,000 Teva Pharmaceutical ADR 259,375
1,888,125
PRIMARY PROCESSING - 4.7%
40,000 Armco Inc * 265,000
5,000 Armco Inc Convertible Preferred $3.625 251,250
17,500 Bethlehem Steel Corp * 273,438
25,000 Boise Cascade Corp Preferred Series G $1.58 684,375
5,000 Champion International Corp 205,625
5,000 Dow Chemical Co 335,000
5,000 Du Pont (E I) De Nemours & Co Inc 280,625
10,000 Inland Steel Industries Inc * 287,500
5,000 International Paper Co 381,875
50,000 James River Corp 1,231,250
97,500 James River Corp Convertible Preferred 9.00% 2,218,125
5,000 LTV Corp * 76,875
30,000 National Steel Corp Class B * 495,000
10,000 Pope and Talbot 165,000
22,500 USX-US Steel Group Inc 748,125
95,000 Weirton Steel Corp * 724,375
8,623,438
PRINTING AND PUBLISHING - 0.2%
5,000 Dun and Bradstreet Corp 258,125
10,000 Saatchi & Saatchi Plc ADR * 45,000
303,125
REAL ESTATE - 2.8%
55,000 AMLI Residential Properties Trust 1,038,125
50,000 Crown American Realty 618,750
100,000 Debartolo Realty Corp 1,400,000
15,000 Irvine Apartment Communities 238,125
75,000 JP Realty Inc 1,500,000
25,000 Regency Realty Corp 412,500
5,207,500
REFINING - 1.3%
25,000 Ashland Inc Convertible Preferred $3.125 1,343,750
20,000 Imperial Oil Ltd 680,000
15,000 Sun Co Inc 436,875
2,460,625
RETAIL TRADE - 5.4%
25,000 American Stores Co 612,500
40,000 Federated Department Stores * 880,000
100,000 Food Lion Inc (a) 562,500
75,000 Kmart 956,250
125,000 Price/Costco Inc * 1,703,125
12,500 Rite Aid Corp 309,375
25,000 Scotts Company Class A * 462,500
25,000 Sears Roebuck & Co 1,231,250
10,000 The Limited Inc 175,000
15,000 TJX Cos Inc 202,500
110,000 Wal-Mart Stores Inc 2,612,500
10,000 Williams-Sonoma Inc 212,500
9,920,000
SERVICES - 1.6%
10,000 Fleming Cos 195,000
25,000 Host Marriott Corp * 275,000
25,000 International Technology Corp * (a) 68,750
15,000 International Technology Corp Convertible Preferred 7.00% 255,000
5,000 Lee Enterprises Inc 180,625
25,000 Morningstar Group Inc * 179,688
20,000 Noram Energy Corp Convertible Preferred Series A $3.00 682,500
15,000 Pinkertons Inc * 266,250
15,000 Tele-Communications Class A * 341,250
2,500 Time Warner Inc 96,563
10,000 USA Waste Services Inc * 111,250
18,750 Wackenhut Corp Class B 260,156
2,912,032
TECHNOLOGY - 5.5%
50,000 Avnet Inc 1,937,500
15,000 Bay Networks Inc * 470,625
35,000 Cray Research Inc * 590,625
15,000 Cytec Industries Inc * 581,250
35,000 Data General * 275,625
87,500 Digital Equipment Corp * 2,931,250
2,500 Emerson Electric 165,313
15,000 Fisher Scientific 405,000
5,000 Intel Corp 398,750
5,000 Moorco International Inc 68,125
14,600 Moore Corp Ltd (a) 270,100
5,000 SCI Systems Inc * 90,625
10,000 Storage Technology Corp * 217,500
72,500 Tandem Computers Inc * 1,232,500
5,000 Xerox Corp 554,375
10,189,163
TELECOMMUNICATIONS - 4.7%
12,500 AT & T Corp 646,875
5,000 Bell Atlantic Corp (a) 268,125
15,000 Comsat Corp 266,250
122,500 GTE Corp 4,088,438
60,000 MCI Communications 1,207,500
25,000 Pacific Telesis Group 750,000
5,000 Sprint Corp 146,250
30,000 US West Inc 1,162,500
8,535,938
TEXTILE - 0.1%
10,000 Kellwood Co 176,250
TOBACCO - 0.8%
10,000 BAT Industries Plc ADR 132,500
57,500 Hanson Plc ADR (a) 1,078,125
2,500 Loews Corp 242,813
1,453,438
TRANSPORTATION - 3.6%
22,500 AMR Corp * 1,375,313
5,000 Burlington Northern Inc 280,000
75,000 Canadian Pacific Ltd 1,050,000
5,000 Consolidated Freightways Inc Preferred Series C $1.54 119,375
7,500 Delta Air Lines Inc 435,000
3,500 Delta Air Lines Inc Convertible Preferred Series C $3.50 174,125
25,000 Gencorp Inc 337,500
20,000 Hunt JB Transportation Services Inc 390,000
25,000 Navistar International Corp * 362,500
10,000 Overseas Shipholding Group Inc 231,250
25,000 Ryder System Inc 581,250
10,000 Skywest Inc 145,000
30,000 Southern Pacific Rail Corp * 536,250
15,000 USAir Group Inc * 88,125
15,000 USAir Group Inc Cumulative Convertible Preferred
Series B $4.375 408,750
6,514,438
UTILITIES - 7.8%
75,000 Centerior Energy Corp 731,250
35,000 Cinergy Corp 866,250
10,000 CMS Energy Corp 240,000
20,000 Detroit Edison Co 572,500
25,000 DPL Inc 521,875
50,000 Entergy Corp 1,118,750
10,000 General Public Utilities 302,500
10,000 Illinova Corp 233,750
25,000 Niagara Mohawk Power Corp 371,875
22,500 Northeast Utilities (a) 511,875
25,000 Ohio Edison Co 525,000
10,000 Pacific Gas and Electric Co 256,250
25,000 PacifiCorp 478,125
120,000 Panhandle Eastern Corp 2,700,000
10,000 Public Service Enterprise Group Inc 291,250
5,000 Public Services Co of New Mexico * 64,375
35,000 Tenneco Inc 1,592,515
45,000 Texas Utilities Co 1,479,375
50,000 TransCanada Pipeline Ltd 662,500
7,532 Transco Energy Co 133,693
20,000 Unicom Corp 510,000
20,000 USX-Delhi Group 165,000
14,328,708
WHOLESALE TRADE - 0.2%
20,000 Ogden Corp 427,500
TOTAL STOCK (Cost $166,736,093) 178,335,658
SHORT-TERM INVESTMENTS - 7.0%
PAR VALUE REPURCHASE AGREEMENT - 3.6%
$6,685,539 Salomon Brothers Repurchase Agreement, dated 2/28/95, due 3/1/95,
with a maturity value of $6,686,579 and an effective yield of
5.60%, collateralized by a U.S. Treasury Bond with a rate of 6.25%,
a maturity date of 8/15/23,
and with an aggregate market value of $6,867,693. 6,685,539
U.S. GOVERNMENT - 0.1%
115,000 U.S. Treasury Bill, 5.29% due 3/16/95 114,747
CASH EQUIVALENTS - 3.3%
1,939,199 Bank of Boston Time Deposit 1,939,199
991,089 Dreyfus Cash Management Money Market Fund Plus, A Shares 991,089
1,304,015 National Westminster Time Deposit 1,304,015
1,710,397 Provident Institutional Prime Money Market Fund 1,710,397
5,944,700
TOTAL SHORT-TERM INVESTMENTS (at amortized cost) 12,744,986
TOTAL INVESTMENTS - 104.5%
(Cost $179,481,079) * * 191,080,644
Other Assets and Liabilities (net) - (4.5%) (8,209,737)
TOTAL NET ASSETS - 100.0% $ 182,870,907
Notes to the Schedule of Investments:
ADR American Depositary Receipt
144A Securities exempt from registration under Rule 144A of
the Securities Act of 1933. These securities may be
resold in transactions exempt from registration,
normally to qualified, institutional buyers.
(a) All or a portion of this security is on loan.
(b) A derivative security whose price is linked to the
common stock of Digital Equipment Corporation. Interest
is paid quarterly at an annual rate of 6.75% of the
offering price of $37.50. The redemption value is
determined by the ten days' average closing prices of
Digital Equipment common stock but not to exceed
$50.625.
* Non-income producing security.
** The aggregate identified cost for federal income tax
purposes is $180,294,666, resulting in gross unrealized
appreciation and depreciation of $18,056,665 and
$7,270,687, respectively, and net unrealized appreciation
of $10,785,978.
|
See accompanying notes to the financial statements.
GMO FUNDAMENTAL VALUE FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - FEBRUARY 28, 1995
ASSETS:
Investments, at value (cost $166,736,093) (Note 1) $ 178,335,658
Short-term investments, at amortized cost (Note 1) 12,744,986
Receivable for investments sold 943,649
Dividends and interest receivable 668,906
Receivable for expenses waived or borne by Manager (Note 2) 4,760
Total assets 192,697,959
LIABILITIES:
Payable for investments purchased 3,710,185
Payable upon return of securities loaned (Note 1) 5,944,095
Payable to affiliate for management fee (Note 2) 104,077
Accrued expenses 68,695
Total liabilities 9,827,052
NET ASSETS(equivalent to $12.54 per share based
on 14,581,927 shares outstanding, unlimited shares authorized) $ 182,870,907
NET ASSETS CONSIST OF:
Paid-in capital $ 167,992,729
Undistributed net investment income 890,128
Accumulated net realized gain on investments and
closed futures contracts 2,388,485
Net unrealized appreciation on investments 11,599,565
NET ASSETS $ 182,870,907
|
See accompanying notes to the financial statements.
GMO FUNDAMENTAL VALUE FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - YEAR ENDED FEBRUARY 28, 1995
INVESTMENT INCOME:
Dividends (net of withholding taxes of $54,075) $ 5,822,051
Interest (including securities lending income of $18,706) 392,038
Total income 6,214,089
EXPENSES:
Management fee (Note 2) 1,297,348
Custodian and transfer agent fees 59,763
Audit fees 45,184
Legal fees 7,061
Registration fees 2,617
Insurance 2,038
Trustee fee (Note 2) 837
Miscellaneous 750
Total expenses 1,415,598
Less: expenses waived or borne by Manager (Note 2) (118,250)
Net expenses 1,297,348
Net investment income 4,916,741
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
AND FUTURES CONTRACTS:
Net realized gain (loss) on:
Investments 7,529,398
Closed futures contracts (157,926)
Net realized gain 7,371,472
Change in net unrealized appreciation (depreciation) on:
Investments 1,366,446
Open futures contracts 21,391
Net unrealized gain 1,387,837
Net realized and unrealized gain on investments
and futures contracts 8,759,309
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 13,676,050
|
See accompanying notes to the financial statements.
GMO FUNDAMENTAL VALUE FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
YEAR ENDED
FEBRUARY 28, 1995 FEBRUARY 28, 1994
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 4,916,741 $ 2,616,010
Net realized gain on investments
and closed futures contracts 7,371,472 8,955,513
Change in net unrealized appreciation (depreciation)
on investments and open futures contracts 1,387,837 4,887,710
Net increase in net assets resulting from operations 13,676,050 16,459,233
Distributions to shareholders from:
Net investment income (4,583,693) (2,354,352)
Net realized gains (7,395,946) (8,047,558)
(11,979,639) (10,401,910)
Fund share transactions: (Note 5)
Proceeds from sale of shares 39,104,294 71,322,199
Net asset value of shares issued to shareholders
in payment of distributions declared 8,303,555 8,047,702
Costs of shares repurchased (14,000,000) -
Net increase in net assets resulting
from Fund share transactions 33,407,849 79,369,901
Total increase in net assets 35,104,260 85,427,224
Net assets:
Beginning of period 147,766,647 62,339,423
End of period (including undistributed net
investment income of $890,128 and
$528,164, respectively) $ 182,870,907 $ 147,766,647
|
See accompanying notes to the financial statements.
GMO FUNDAMENTAL VALUE FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
YEAR ENDED FEBRUARY 28/29,
1995 1994 1993 1992*
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.49 $ 11.71 $ 10.82 $ 10.00
Income from investment operations:
Net investment income (a) 0.34 0.27 0.30 0.11
Net realized and unrealized gain
on investments and futures contracts 0.55 1.64 1.32 0.77
Total from investment operations 0.89 1.91 1.62 0.88
Less distributions to shareholders:
From net investment income (0.32) (0.28) (0.30) (0.06)
From net realized gains (0.52) (0.85) (0.43) --
Total distributions (0.84) (1.13) (0.73) (0.06)
NET ASSET VALUE, END OF PERIOD $ 12.54 $ 12.49 $ 11.71 $ 10.82
TOTAL RETURN (B) 7.75% 16.78% 15.66% 8.87%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of per $ 182,871$ 147,767 $ 62,339$ 32,252
Net expenses to average
daily net assets (a) 0.75% 0.75% 0.73% 0.62%**
Net investment income to average
daily net assets (a) 2.84% 2.32% 2.77% 3.43%**
Portfolio turnover rate 49% 65% 83% 33%
* For the period from the commencement of operations, October 31, 1991 through February 29, 1992.
** Annualized.
(a) Net of fees and expenses voluntarily waived or borne by the Manager of less than $.01, $.01,
$.03, and $.03 per share, for the fiscal years ended 1995, 1994, 1993 and
for the period ended February 29, 1992, respectively.
(b) Calculation excludes subscription fees. The total returns would have been
lower had certain expenses not been waived during the periods shown.
|
See accompanying notes to the financial statements.
GMO FUNDAMENTAL VALUE FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS
FEBRUARY 28, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO Fundamental Value Fund (the "Fund") is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, diversified management investment company. The Trust was established as a Massachusetts Business Trust under the laws of the Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees to create an unlimited number of series ("Funds"), each of which issues a separate series of shares. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market quotations are available are valued at the last quoted sale price on each business day, or if there is no such reported sale, at the most recent quoted bid price. Unlisted securities for which market quotations are readily available are valued at the most recent quoted bid price. Short-term investments with a remaining maturity of sixty days or less are valued at amortized cost which approximates market value. Other assets and securities for which no quotations are readily available are valued at fair value as determined in good faith by the Trustees.
FUTURES CONTRACTS
The Fund may purchase futures contracts on the S&P 500 index. Stock index futures contracts represent commitments for future delivery of cash based upon the level of a specified index of equity securities at a given date. The Fund may use futures contracts to manage its exposure to the stock markets. Buying futures tends to increase the Fund's exposure to the underlying instrument. Selling futures tends to decrease the Fund's exposure to the underlying instrument or hedge other Fund instruments. Upon purchase of a futures contract, the Fund is required to deposit with its custodian, in a segregated account in the name of the futures broker, an amount of cash or U.S. government obligations in accordance with the initial margin requirements of the broker. Futures contracts are marked to market daily and an appropriate payable or receivable for the change in value ("variation margin") is recorded by the Fund. The payable or receivable is liquidated on the following business day. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Losses may arise from the changes in the value of the underlying instrument, if there is an illiquid secondary market for the contracts, or if counterparties do not perform under the contract terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. At February 28, 1995, the Fund had no outstanding futures contracts.
REPURCHASE AGREEMENTS
The Fund may enter into repurchase agreements with certain banks and broker/dealers whereby the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets remains sufficient to protect the Fund in the event of default by the seller. In connection with transactions in repurchase agreements, if the seller defaults, the value of the collateral declines or if the seller enters insolvency proceedings, realization of collateral by the Fund may be delayed or limited.
SECURITY LENDING
The Fund may lend its securities to certain member firms of the New York Stock Exchange. The loans are collateralized at all times with cash or securities with a market value at least equal to the market value of the securities on loan. As with other extensions of credit, the Fund may bear the risk of delay in recovery or even loss of rights in the collateral should the borrower of the securities fail financially. The Fund receives compensation for lending its securities. At February 28, 1995, the Fund loaned securities having a market value of $5,658,100, collateralized by cash in the amount of $5,944,700, which was invested in short-term instruments.
TAXES
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. It is the policy of the Fund to distribute all of its taxable income, including any net realized gain on investments not offset by loss carryovers, to shareholders within the prescribed time periods. Therefore, no provision for federal income or excise tax is necessary.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment income and net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryover for federal income tax purposes. The Fund's present policy is to declare and pay distributions from net investment income quarterly, and net realized short-term and long-term capital gains at least annually. All distributions will be paid in shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions.
The following reclassification represents the cumulative amount necessary to report these balances on a tax basis, excluding certain temporary differences, as of February 28, 1995. This reclassification has no impact on net investment income, realized gain/loss and net asset value of the Fund and is primarily attributable to certain differences in the computation of distributable income and capital gains under federal tax rules versus generally accepted accounting principles.
Undistributed Net Investment Accumulated Net Realized
Income Gain Paid-in Capital
$28,916 ($32,741) $3,825
|
Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. Distributions in excess of tax basis earnings and profits will be reported in the Fund's financial statements as a return of capital. Furthermore, differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary over-distributions for financial statement purposes are classified as distributions in excess of net investment income or accumulated net realized gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis. Premiums and market discounts are amortized and accreted.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an individual Fund. Expenses which are not readily identifiable to a specific Fund are allocated in such manner as deemed equitable by the Trustees, taking into consideration, among other things, the nature and type of expense and the relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is .15% of the amount invested. The Manager may waive such premium to the extent that a transaction results in minimal brokerage and transaction costs to the Fund. All purchase premiums are paid to and recorded as paid-in capital by the Fund. For the year ended February 28, 1995, the Fund received $45,138 in purchase premiums. There is no premium for cash redemptions, reinvested distributions or in-kind transactions.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the "Manager") for management and investment advisory services is paid monthly at the annual rate of .75% of average daily net assets. The Manager has agreed to waive a portion of its fee and bear other expenses until further notice to the extent that the Fund's annual expenses (including the management fee but excluding brokerage commissions and transfer taxes) exceed .75% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee during the year ended February 28, 1995, was $837. No remuneration is paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of securities, excluding short-term investments for the year ended February 28, 1995, aggregated $122,861,745 and $88,380,848, respectively.
4. PRINCIPAL SHAREHOLDERS
At February 28, 1995, 95% of the outstanding shares of the Fund were held by four shareholders each holding in excess of 10% of the Fund's outstanding shares.
5. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value). Transactions in Fund shares were as follows:
Year Ended Year Ended
February 28, 1995 February 28, 1994
Shares sold 3,213,626 5,848,898
Shares issued to shareholders in reinvestment
of distributions 706,233 660,543
Shares repurchased (1,169,385) --
Net increase 2,750,474 6,509,441
Fund shares:
Beginning of period 11,831,453 5,322,012
End of period 14,581,927 11,831,453
* * *
|
GMO FUNDAMENTAL VALUE FUND
(A SERIES OF GMO TRUST)
FEDERAL INCOME TAX INFORMATION ON DISTRIBUTIONS - (UNAUDITED)
For the fiscal year ended February 28, 1995, all of the Fund's distributions are from investment company taxable income, except that the Fund has designated 21.61% of distributions as net capital gain dividends.
GMO INTERNATIONAL CORE FUND
(A SERIES OF GMO TRUST)
ANNUAL REPORT
FEBRUARY 28, 1995
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees of GMO Trust and the Shareholders of GMO International Core Fund
(A Series of GMO Trust)
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of GMO International Core Fund at February 28, 1995, and the results of its operations, the changes in its net assets and the financial highlights for the periods presented, in conformity with generally accepted accounting principles. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Trust's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with generally accepted auditing standards which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 28, 1995 by correspondence with the custodian and brokers and the application of alternative auditing procedures where confirmations from brokers were not received, provide a reasonable basis for the opinion expressed above.
Price Waterhouse LLP
Boston, Massachusetts
April 20, 1995
GMO INTERNATIONAL CORE FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
FEBRUARY 28,1995
SHARES DESCRIPTION VALUE ($)
STOCK AND EQUIVALENTS - 98.4%
AUSTRALIA - 5.3%
602,300 Ampolex Ltd * 1,487,351
293,400 Ashton Mining Ltd 469,327
3,996,230 Australia and New Zealand Banking Group Ltd 14,022,108
2,906,400 Boral Ltd 7,798,528
126,600 Caltex Australia Ltd 326,631
2,792,700 Coles Myer Ltd 9,366,807
48,200 Comalco Ltd 166,994
217,332 Commonwealth Bank of Australia 1,441,857
349,782 Crusader Ltd 335,194
3,090,488 CSR Ltd 10,160,563
142,300 Energy Resources of Australia Ltd Class A * 144,757
12,495,902 Fosters Brewing Group Ltd 10,961,511
968,451 Goodman Fielder Ltd 885,228
88,461 Hardie (James) Industries Ltd 143,460
30,500 Metal Manufactures Ltd 59,580
5,060,776 News Corp Ltd 22,532,528
2,530,388 News Corp Ltd Preferred $.04 * 10,035,182
720,200 North Broken Hill Peko Ltd 1,688,247
311,499 Pacific Dunlop Ltd 686,568
498,700 Pancontinental Mining Ltd * 647,005
1,074,800 Pasminco Ltd * 1,109,204
5,749,322 Pioneer International Ltd 13,816,247
1,768,425 QCT Resources Ltd 1,694,673
196,000 Renison Goldfields Consolidated Ltd 601,043
1,846,908 Santos Ltd 4,955,672
1,426,700 Schroders Property 2,313,722
37,310 Smith (Howard) Ltd 165,018
40,000 Sons of Gwalia Ltd 140,059
869,367 Stockland Trust Group 1,948,196
342,300 TNT Ltd * 486,990
2,051 Tyco International 106,908
2,725,400 Western Mining Corp Holdings Ltd 14,605,638
209,378 Westfield Trust Units 358,076
703,241 Westpac Banking Corp 2,597,154
138,258,026
AUSTRIA - 2.1%
2,055 Allgemeine Baugesellschaft AG 313,375
2,677 Allgemeine Baugesellschaft AG Preferred 7.00% 220,494
6,310 Austrian Airlines * 1,066,428
35,000 Bank Austria AG (Participating Certificate) 1,227,236
36,490 Bau Holding AG Preferred (Non Voting) 2.42% 2,420,736
27,750 Brau Union AG 1,754,676
62,410 Creditanstalt-Bankverein 3,909,910
47,710 Creditanstalt-Bankverein Preferred 1.65% 2,896,292
5,600 EA-Generali AG 1,455,006
3,300 EA-Generali AG Preferred 6.00% 524,064
22,060 EVN Energie-Versorgung Niederoesterreich AG 2,661,215
11,900 Lenzing AG 1,106,144
19,600 Leykam-Muerztaler Papier und Zellstoff AG * 932,835
5,300 Miba Holding AG Series B Preferred 1.34% 226,507
56,850 OEMV AG * 5,516,312
8,700 Oesterreichische Brau Beteiligungs AG 496,033
93,440 Oesterreichische Elektrizitaetswirschafts AG 5,763,143
127,440 Oesterreichische Laenderbank AG 10,051,124
32,700 Oesterreichische Laenderbank AG Preferred (Non Voting) 1,572,193
6,120 Perlmooser Zementwerke AG 426,210
24,930 Radex-Heraklith AG 898,357
8,800 RAS Versicherungs AG 1,410,326
19,950 Steyr-Daimler-Puch AG * 292,599
4,341 Strabag Oesterreich AG 602,946
9,000 Universale Bau AG * 528,872
26,300 Veitsch-Radex AG * 697,383
1,000 Wiener Allianz Versicherungs AG * 236,026
6,760 Wienerberger Baustoffindustrie AG 2,390,017
51,596,459
BELGIUM - 0.4%
18,480 Banque Bruxelles Lambert 2,643,722
747 Banque Bruxelles Lambert VVPR* 103,641
1,296 Banque Nationale de Belgique 1,623,897
170 Bekaert SA 110,032
3,700 Electrabel SA 724,586
1,800 GIB Holdings Ltd 73,966
2,400 Gevaert Photo-Producten NV 120,687
23,120 Groupe Bruxelles Lambert SA 2,808,700
1,750 Petrofina SA Bruxelles 514,646
23,710 Powerfin SA 2,274,395
10,998,272
CANADA - 2.3%
106,100 Abitibi-Price Inc 1,391,788
54,500 Air Canada Inc * 293,801
190,600 Alberta Energy Ltd 2,602,983
114,900 Bank of Montreal 2,240,189
140,010 Bank of Nova Scotia 2,767,493
87,790 BCE Inc 2,729,141
9,485 Bramalea Inc * 6,340
51,100 Brascan Ltd Class A (Convertible) 679,497
13,400 Brunswick Mining & Smelt Ltd 96,316
22,800 CAE Industries Inc 120,863
17,100 Cambridge Shopping Centres Ltd 144,420
159,000 Canadian Imperial Bank of Commerce 3,885,714
29,600 Canadian Marconi Co 292,543
18,100 Canadian Tire Ltd Class A 172,381
23,300 Canfor Corp 276,334
32,500 CCL Industries Class B 274,483
270,800 Cominco Ltd * 4,330,854
82,800 Dominion Textile Inc 490,997
361,900 Domtar Inc * 3,088,994
6,400 Extendicare Inc * 101,204
171,400 Fletcher Challenge Class A 2,294,573
171,800 Gulf Canada Resources Ltd * 632,866
62,600 Hees International Bancorp Inc 528,697
9,400 Hudsons Bay Co 183,270
10,900 Imasco Ltd 330,036
168,800 Imperial Oil Ltd 5,747,996
32,600 John Labatt Ltd 489,146
387,200 MacMillan Bloedel Ltd 5,009,596
13,000 Maple Leaf Foods 120,305
47,100 Mitel Corp 236,981
7,500 Molson Class A 104,447
144,500 National Bank of Canada 1,012,668
12,500 Noma Industries Ltd Class A 46,047
115,400 Noranda Forest Inc 881,312
102,400 Norcen Energy Resource 1,278,850
53,600 Numac Energy Inc * 284,133
32,200 Pagurian Ltd Class A 102,994
36,700 Power Corp 488,014
35,600 Repap Enterprises Inc * 249,488
143,320 Royal Bank of Canada 2,961,689
23,400 Sceptre Resources Ltd * 149,272
34,800 Sears Canada Inc 190,728
5,500 Spar Aerospace Ltd 48,922
180,400 Teck Corp Class B 3,112,022
147,100 Toronto Dominion Bank 2,220,377
10,600 Total Petroleum North America 111,429
48,900 Transcanada Pipelines Ltd 645,849
56,300 United Dominion Inds Ltd 1,067,323
17,200 Westcoast Energy Inc 262,713
56,778,078
FINLAND - 0.5%
67,400 Amer Group Series A 1,238,886
36,500 Cultor OY Series 1 1,075,073
25,800 Instrumentarium Class A 514,228
14,200 Instrumentarum OY B * 270,446
162,650 Kansallis-Osake-Pankki * 171,096
30,960 OY Nokia AB Preferred 1.54% 4,628,050
91,200 Partek OY * 1,161,330
8,600 Sampo Insurance Company Ltd 371,387
15,900 Stockmann AB Series A 841,566
17,700 Stockmann AB Series B 744,767
83,950 Unitas Bank Ltd Class A * 265,858
97,800 Valmet OY * 1,970,941
13,253,628
FRANCE - 7.6%
4,214 Accor SA 452,757
2,816 Agache Financiere 662,009
8,622 Air Liquide 1,239,611
156,184 Alcatel Alsthom Cie Generale d'Electricite SA 12,532,347
102,920 Axa SA 4,429,139
553,550 Banque Nationale de Paris 24,467,190
750 Bic SA 100,544
7,175 BIS SA * 514,392
14,820 Carrefour Supermarche SA 6,032,232
18,156 Club Mediterranee SA 1,474,492
975 Colas SA 161,016
779,885 Compagnie de Suez SA 34,395,550
148,935 Credit Lyonnais 9,401,395
25,356 Credit National 1,847,387
8,875 Dassault Electronique SA * 655,236
12,550 Dollfus-Mieg and Cie 702,234
7,155 Elf Gabon 1,376,229
96,812 Elf Sanofi SA 5,057,849
40,216 Eridania Beghin-Say SA 5,860,113
2,180 Essilor International 307,072
3,700 Esso 467,981
1,358 Europe 1 Communication 313,709
264 Europe 1 Communication (New) * 58,216
157,187 Financiere de Paribas SA 8,945,031
69,130 FINEXTEL 1,128,214
2,380 INGENICO SA 36,992
3,975 Labinal SA 597,756
73,570 Lafarge Coppee SA 4,731,236
4,263 Lefebvre (Jean) Entreprises 264,212
36,020 LVMH Moet Hennessy Louis Vuitton 5,738,566
5,200 Metaleurop SA * 68,599
221,950 Michelin SA Class B * 8,844,365
14,832 Moulinex SA * 296,813
2,225 Navigation Mixte SA 428,832
1,700 Nord-Est 43,929
16,252 Parisienne de Reescompte (CPR-Cie) 1,038,840
39,500 Pechiney International SA 963,134
42,680 Pechiney International SA Preferred 3.43% 2,860,812
64,755 Pernod-Ricard 3,961,793
106,059 Peugeot SA * 14,424,189
1,190 Poliet SA 91,094
1,775 Radiotechnique 193,812
814 Saint Louis 221,727
1,320 Salomon SA 461,885
60,760 Schneider SA 4,167,142
6,542 SIMCO 517,310
750 Skis Rossignol SA 276,860
2,750 Sligos SA 213,182
57,170 Societe Generale d 'Entreprise SA 1,921,587
97,864 Societe Generale Paris 9,288,239
24,600 SOVAC SA 1,751,681
6,175 SPIE Batignolles * 221,950
317,270 Thomson CSF * 7,834,664
10,145 Total SA 559,187
10,560 UAP Co 240,662
8,400 Union Immobiliere de France 672,392
1,800 Vallourec * 91,626
52,920 Worms et Compagnie SA 2,560,148
198,167,161
GERMANY - 8.1%
40,040 Bankgesellschaft Berlin AG 9,175,463
235,910 Bayer AG 57,737,672
66,700 Bayerische Hypotheken-und Wechselbank AG 17,601,231
15,602 Bayerische Motorenwerke AG 8,084,988
66,880 Bayerische Vereinsbank AG 19,852,535
30,950 Berliner Handels- und Frankfurter Bank 8,019,176
20,344 Berliner Kraft und Licht AG Class A 4,005,518
350 Boss (Hugo) AG Preferred 3.84% 245,257
175 Colonia Konzern AG 130,405
100,570 Commerzbank AG 23,170,118
2,820 Daimler-Benz AG 1,366,864
2,000 Deutsche Bank AG 981,029
3,800 Didier-Werke AG * 333,823
1,229 Draegerwerk AG Preferred 2.29% 229,374
145,940 Dresdner Bank AG 39,808,621
300 Escada AG 69,937
800 Escada AG Preferred (Non Voting) 1.43% 173,372
1,070 GEA AG Preferred 3.13% 338,684
6,690 IKB Deutsche Industriebank AG 1,221,145
1,788 IKB Deutsche Industriebank AG (New) 314,145
750 Kaufhof AG Preferred (Non Voting) 5.59% 190,224
24,620 Kloeckner Humboldt-Deutz AG * 993,047
2,250 Kugelfischer George Schaefer AG * 350,709
800 Kugelfischer George Schaefer AG Preferred (Non Voting) * 117,040
300 Pfaff (GM) AG * 31,789
2,075 Philips Kommunikations Industrie AG 723,466
3,188 Porsche AG Preferred * 1,357,801
12,630 Porsche AG Preferred (Non Voting) * 5,526,030
4,090 Puma AG Preferred * 1,005,199
1,870 Rheinmetall Berlin AG 357,956
1,620 Rheinmetall Berlin AG Preferred (Non Voting) 5.60% 229,807
1,500 RWE AG Preferred (Non Voting) 389,369
12,670 Siemens AG 5,872,678
720 Varta AG * 147,076
1,100 Villeroy and Boch AG 238,387
975 Volkswagen AG Preferred .79% 202,299
210,592,234
HONG KONG - 6.1%
571,500 Amoy Properties Ltd 521,125
893,000 Applied International Holdings Ltd 102,796
178,600 Applied International Holdings Ltd Warrants 12/30/99 * 6,699
1,609,000 Cathay Pacific Airways Ltd 2,601,371
1,544,000 Chinese Estates Holdings Ltd 1,198,215
392,775 Cross Harbour Tunnel Co Ltd 772,189
2,925,562 Dairy Farm International 3,519,075
4,296,000 Denway Investments 355,615
1,533,000 Dickson Concepts International Ltd 832,775
7,574,927 Elec and Eltek International Holdings Ltd 881,774
220,262 Furama Hotel Enterprises Ltd 270,645
1,810,000 Goldlion Holdings Ltd 402,664
1,041,000 Great Eagle Holdings Ltd 437,593
2,006,000 Hang Lung Development Co Ltd 2,970,795
200,600 Hang Lung Development Co Ltd Warrants 10/31/97 * 35,286
327,500 Harbour Centre Development Ltd 368,525
978,000 Henderson Land Development Co Ltd 5,451,956
855,600 Hong Kong and China Gas Co Ltd 1,493,966
1,703,700 Hong Kong Ferry Co Ltd 1,828,974
113,580 Hong Kong Ferry Warrants 6/30/96 * 43,337
2,087,000 Hong Kong Land Holdings 3,981,537
71,300 Hong Kong & China Gas Warrants 12/31/95 * 11,528
222,800 Hongkong Aircraft Engineering Co Ltd 717,548
805,500 Hongkong and Shanghai Hotels Ltd Preferred 1.95% 922,030
1,442,400 Hongkong Electric Holdings Ltd 4,318,898
7,374,515 Hopewell Holdings Ltd 5,627,580
3,746,000 Hutchison Whampoa Ltd 15,891,974
916,000 Jardine International Motor Holdings Ltd 1,001,125
74,000 Johnson Electric Holdings Ltd 147,397
686,400 Kowloon Motor Bus Co Ltd 1,234,037
2,047,000 Kumagai Gumi Hong Kong Ltd 1,416,472
1,479,800 Lai Sun Garment International Ltd 1,579,040
183,000 Lane Crawford International Ltd Series A 281,666
250,000 Lane Crawford International Ltd Series B 35,569
1,076,000 Laws International Holdings Ltd 180,922
1,014,435 Mandarin Oriental 1,200,554
2,084,000 National Mutual Asia Ltd 1,361,211
1,740,168 New World Development Co Ltd 4,749,084
1,086,000 Playmate Toys Holding 337,114
615,539 Playmates Properties Holdings 88,372
385,748 Realty Development Corp Ltd Class A 937,989
12,966,890 Regal International Ltd 2,498,954
1,364,000 San Miguel Brewery Ltd 1,182,022
1,144,000 Shun Tak Holdings Ltd 680,644
945,599 Sino Hotels Holdings Ltd * 244,609
3,782,398 Sino Land Co Ltd 3,033,159
2,338,000 South China Morning Post Ltd 1,270,077
2,895,826 Stelux Holdings International Ltd 852,099
2,370,400 Sun Hung Kai Properties Ltd 15,942,676
5,100,136 Swire Pacific Ltd Class A 35,786,378
1,759,707 Tai Cheung Holdings Ltd 1,672,877
536,000 Television Broadcasts Ltd 2,017,409
5,698,944 Wharf Holdings Ltd 19,607,050
1,197,000 Wheelock & Co Ltd 2,020,416
412,000 Wing On International Holdings Ltd 719,395
1,097,500 Winsor Industrial Corp Ltd 1,355,639
802,000 World Trade Centre Group Ltd 98,545
159,098,971
ITALY - 4.6%
3,694,100 Alitalia Linee Aeree Italiane Class A * 2,025,228
338,800 Alitalia Linee Aeree Italiane Class B (Private Placement) * (b) 127,482
79,640 Assicurazioni Generali SPA 1,794,169
2,720,000 Autostrade Concessioni e Costruzioni SPA Class B Preferred 4.98% 3,406,116
547,505 Banca Commerciale Italiana SPA 1,230,166
344,000 Banca Commerciale Italiana SPA (Non Convertible) 791,469
1,196,717 Banca Commerciale Italiana SPA Warrants 11/30/95 * 674,006
10,687,700 Banca di Roma 9,458,211
227,250 Banca Nazionale dell'Agricoltura di Risp * 91,227
634,500 Banca Nazionale dell'Agricoltura SPA (Non Convertible) 269,159
471,050 Banca Nazionale dell'Agricoltura SPA Preferred * 368,317
74,000 Banca Popolare di Bergamo Credit 939,965
357,400 Banca Toscana 828,724
506,600 Banco Ambrosiano Veneto SPA (Non Convertible) 761,874
6,037,450 Banco di Napoli (Non Convertible) 3,852,542
3,300,000 Bastogi-IRBS SPA * 199,701
500,200 Benetton Group SPA 4,795,213
18,500 Bonifiche-Siele Finanziaria SPA * 379,090
20,000 Caffaro SPA di Risp * 23,966
273,750 Caffaro SPA * 328,041
524,000 Cartiere Burgo SPA * 3,610,550
322,000 Cementir Cementerie del Tirreno SPA 269,716
472,500 COFIDE SPA (Non Convertible) * 215,159
594,843 COFIDE SPA * 326,826
434,500 Cogefar Impresit Costruzioni Generali SPA * 396,492
480,000 Comau Finanziaria SPA 760,696
222,500 Compagnia Italiana Grandi Alberghi (Non Convertible) * 126,648
76,967 Credito Fondiario 262,859
2,138,310 Credito Italiano (Non Convertible) 2,306,149
35,000 Danieli and Co SPA 250,495
159,000 Danieli and Co SPA (Non Convertible) 548,737
1,107,000 Edison SPA 4,775,561
79,000 Editoriale l'Espresso SPA 144,368
37,750 Ericsson SPA 508,913
183,000 Falck Acciaierie and Ferriere Lombarde * 371,702
2,466,000 Fiat SPA * 9,478,377
2,283,500 Fiat SPA (Non Convertible) 5,500,109
1,899,000 Fiat SPA Preferred * 4,767,418
644,550 FIDIS SPA 1,454,005
27,000 Filippo SPA * 36,642
188,000 Finmeccanica SPA (Non Convertible) * 146,435
1,313,000 Finmeccanica SPA * 1,170,609
450,000 Gemina SPA (Non Convertible) 297,933
844,940 Gilardini SPA * 2,095,900
593,000 Grassetto SPA * 515,189
4,513,350 Industriali Riunite SPA * 4,367,328
1,840,500 Industriali Riunite (Cie) SPA (Non Convertible) * 1,074,086
734,710 Istituto Bancario San Paolo 4,076,347
363,250 Italcementi Fabbriche Riunite Cemento SPA 2,367,984
274,150 Italcementi Fabbriche Riunite Cemento SPA (Non Convertible) 865,652
17,000 Magona d'Italia SPA 39,724
90,500 Marzotto and Figli SPA 572,065
7,564,220 Montedison SPA * 5,533,808
1,760,000 Montedison SPA (Non Convertible) * 1,067,179
475,000 Montefibre SPA * 391,328
410,000 Montefibre SPA (Non Convertible) * 249,341
1,555,200 Olivetti and Co SPA * 1,728,520
671,500 Olivetti and Co SPA (Non Convertible) * 523,038
274,500 Olivetti and Co SPA Preferred * 380,748
2,543,000 Parmalat Finanziaria SPA 2,247,412
1,133,700 Pirelli and Co 2,567,640
241,000 Pirelli and Co (Non Convertible) 310,456
368,000 Pirelli SPA (Non Convertible) 405,043
302,000 Ratti SPA 602,553
20,100 Recordati Industria Chimica e Farmaceutica SPA 98,212
60,500 Recordati Industria Chimica e Farmaceutica SPA (Non Convertible) 170,372
358,000 Rinascente per l'Esercizio di Grandi Magazzini SPA 1,782,495
317,600 Rinascente per l'Esercizio di Grandi Magazzini SPA (Non Convertible) 851,565
391,100 Rinascente per l'Esercizio di Grandi Magazzini SPA Preferred 5.59% 972,479
272,000 SAFFA SPA * 785,525
34,000 SAFILO SPA * 208,808
390,533 Saipem SPA * 685,598
273,000 Sasib SPA 1,267,677
96,000 Sasib SPA (Non Convertible) 258,550
498,000 Sirti SPA 3,341,886
3,185,270 Snia BPD SPA * 3,721,561
120,000 Snia BPD SPA (Convertible) 143,367
298,000 Snia BPD SPA (Non Convertible) 203,547
1,065,900 Societa Metallurgica SPA * 542,850
176,000 SORIN Biomedica SPA * 474,009
105,000 Stefanel SPA 212,328
238,370 STET SPA 661,981
14,000 Teleco Cavi SPA 60,773
252,000 Telecom Italia SPA di Risp (Non Convertible) 488,449
25,200 Tosi (Franco) SPA 269,515
116,900 Unione Cementi Marchino Emiliane e di Augusta-Casale 791,475
148,100 Unione Cementi Marchino Emiliane e di Augusta-Casale
(Non Convertible) 465,863
120,511,291
JAPAN - 20.9%
60,000 Ajinomoto Co Inc 695,616
99,000 Alps Electric Co Ltd * 1,178,510
360,000 Amada Co Ltd 3,577,455
1,483,000 Aoki Corp 8,136,121
45,700 Arabian Oil Co Ltd 1,925,356
236,000 Asahi Breweries Ltd 2,442,938
50,000 Asics Corp 168,211
19,000 Bank of Kyoto Ltd 133,740
170,000 Bank of Yokohama Ltd 1,295,171
193,000 Banyu Pharmaceutical Co Ltd 1,993,831
58,000 Brother Industries Ltd 321,805
49,000 Canon Sales Co Inc 1,110,812
113,000 Chiba Bank Ltd 860,908
32,300 Chubu Electric Power Co Inc 785,725
13,000 Chudenko Corp 501,941
68,000 Chugai Pharmaceutical Co Ltd 682,780
30,000 Chugoku Bank Ltd 487,552
16,000 Chugoku Electric Power Co Inc 357,745
544,000 Cosmo Oil Co Ltd 3,575,798
221,000 CSK Corp 6,039,439
467,000 Dai Nippon Printing Co Ltd 6,912,789
39,000 Dai Tokyo Fire and Marine Insurance Co Ltd 249,490
815,000 Daicel Chemical Industries Ltd 3,847,006
77,000 Daiichi Seiyaku Co Ltd 1,171,678
81,000 Daikin Industries Ltd 605,372
118,000 Daikyo Inc 853,807
185,000 Dainippon Ink & Chemicals Inc 808,136
46,000 Dainippon Pharmaceutical Co Ltd 480,927
38,000 Dainippon Screen Manufacturing Co Ltd * 250,173
33,000 Daito Trust Construction Co Ltd 283,526
213,000 Daiwa Bank Ltd 1,777,113
95,000 Daiwa Kosho Lease Co Ltd 856,529
14,000 Denny's Japan Co Ltd 428,963
1,779 East Japan Railway Co 7,844,873
72,000 Eisai Co Ltd 1,095,595
14,000 Ezaki Glico Co Ltd 124,631
134,000 Fuji Heavy Industries Ltd * 486,869
265,000 Fuji Photo Film Co Ltd 5,678,278
761,000 Fujisawa Pharmaceutical Co Ltd 8,665,183
262,000 Fujita Corp 1,404,855
57,000 Fujita Kanko Inc 1,115,160
1,281,000 Fujitsu Ltd 11,695,482
13,000 Fujiya Co Ltd 65,266
2,000 Fukuoka City Bank Ltd 14,720
174,000 Fukuyama Transporting Co Ltd 1,610,227
154,000 Furukawa Electric Co Ltd 857,637
256,000 Gakken Co Ltd * 1,854,976
203,000 General Sekiyu (KK) 1,924,828
57,000 Green Cross Corp 476,746
525,000 Hankyu Corp 2,825,941
42,000 Hankyu Department Stores Inc 431,282
198,000 Hanwa Co Ltd * 643,569
745,000 Haseko Corp 3,971,585
262,000 Hazama-Gumi Ltd 1,274,675
72,000 Heiwa Real Estate Co Ltd 521,712
48,000 Higo Bank Ltd 378,614
91,000 Hiroshima Bank Ltd 518,089
262,000 Hitachi Cable Ltd 1,789,969
1,620,000 Hitachi Ltd 14,170,074
38,000 Hitachi Maxell Ltd 593,965
99,000 Hitachi Sales Corp 584,131
95,000 Hokkaido Bank Ltd 351,069
24,000 Hokkaido Takushoku Bank Ltd 82,729
65,000 Hokuriku Bank Ltd 432,638
100,000 Honda Motor Co Ltd 1,511,309
11,000 House Foods Corp 203,820
104,000 Hoya Corp 2,239,222
5,000 Hyogo Bank Ltd * 13,716
249,000 INAX Corp 2,518,224
100,000 Intec Inc 1,283,577
333,000 Itochu Corp 1,961,358
28,000 Itoham Foods Inc 191,294
3,000 Izumiya Co Ltd 46,581
47,000 Japan Airport Terminal Co Ltd 510,843
942,000 Japan Energy Co Ltd 3,373,863
606,000 Japan Synthetic Rubber Co Ltd 3,418,767
805 Japan Tobacco Inc * 6,699,653
150,000 Joshin Denki Co Ltd 1,707,986
196,000 Kajima Corp 1,742,808
25,000 Kaken Pharmaceutical Co Ltd 282,077
108,000 Kamigumi Co Ltd 894,364
299,000 Kankaku Securities Co Ltd 1,210,175
11,000 Kansai Paint Co Ltd 58,185
55,000 Kao Corp 597,795
304,000 Keihin Electric Express Railway Co Ltd 1,759,081
395,000 Keio Teito Electric Railway Co Ltd 2,171,161
166,000 Keisei Electric Railway Co Ltd 1,207,991
962,000 Kinki Nippon Railway Co Ltd 7,707,551
341,000 Kirin Brewery Co Ltd 3,529,838
13,000 Kissei Pharmaceutical Co Ltd 504,632
185,000 Kokusai Kogyo Co Ltd 1,821,179
55,000 Kokuyo Co Ltd 1,326,536
235,000 Komatsu Ltd 1,724,704
14,000 Konami Co Ltd 257,958
82,000 Konica Corp 560,219
240,000 Koyo Seiko Co Ltd 2,062,005
2,126,000 Kumagai Gumi Co Ltd 10,541,421
583,000 Kurabo Industries Ltd 2,172,558
756,000 Kureha Chemical Industry Co Ltd 3,545,034
37,000 Kyodo Printing Co Ltd 363,853
126,000 Kyowa Hakko Kogyo Co Ltd 1,218,198
142,000 Lion Corp 843,724
192,000 Maeda Corp 2,047,099
244,000 Makino Milling Machine Co Ltd * 1,818,539
606,000 Marubeni Corp 2,766,379
240,000 Marudai Food Co Ltd 1,619,792
526,000 Marui Co Ltd 7,513,897
737,000 Matsushita Electric Industrial Co Ltd 10,680,607
556,000 Matsushita Electric Works Ltd 5,611,511
252,000 Mazda Motor Corp * 1,171,244
27,000 Meiji Milk Products Co Ltd 182,506
81,000 Meiji Seika Kaisha Ltd 482,118
79,000 Mercian Corp 539,724
637,000 Minebea Co Ltd 3,890,378
836,000 Mitsubishi Electric Corp 5,434,584
845,000 Mitsubishi Estate Co Ltd 8,528,285
647,000 Mitsubishi Gas Chemical Co Inc 2,645,463
2,520,000 Mitsubishi Materials Corp 11,868,951
386,000 Mitsubishi Oil Co Ltd 3,352,352
144,000 Mitsubishi Rayon Co Ltd 487,428
448,000 Mitsubishi Trust & Banking Corp 6,353,294
70,000 Mitsubishi Warehouse & Transportation Co Ltd 999,948
527,000 Mitsui Fudosan Co Ltd 5,395,197
128,000 Mitsui Mining Co Ltd * 582,993
698,000 Mitsui Petrochemical Industries Ltd 4,913,203
395,000 Mitsui Trust & Banking Co Ltd 3,553,180
57,000 Mitsui-Soko Co Ltd 395,321
33,000 Mochida Pharmaceutical Co Ltd 666,115
26,000 Mori Seiki Co Ltd 460,225
487,000 Nagoya Railroad Co Ltd 2,334,051
21,000 Namco Ltd 456,498
282,000 Nankai Electric Railway Co Ltd 2,055,049
797,000 NEC Corp 7,565,333
270,000 New Japan Securities Co Ltd 1,537,188
428,000 Nichiei Co Ltd 2,144,320
63,000 Nichii Co Ltd 684,747
29,000 Nichirei Corp 178,614
57,000 Nihon Cement Co Ltd 396,501
16,000 Nippon Beet Sugar Manufacturing Co Ltd 66,912
29,000 Nippon Chemi-Con Corp * 159,402
18,000 Nippon Credit Bank Ltd 92,604
44,000 Nippon Denko Co Ltd 157,135
657,000 Nippon Express Co Ltd 5,848,766
19,000 Nippon Flour Mills Co Ltd 94,602
54,000 Nippon Kayaku Co Ltd 340,976
21,000 Nippon Meat Packers Inc 273,899
4,032,000 Nippon Oil Co Ltd 24,207,443
1,057,000 Nippon Sheet Glass Co Ltd 5,416,024
223,000 Nippon Suisan Kaisha Ltd * 1,038,766
38,000 Nippon Yakin Kogyo Co Ltd 188,810
1,318,000 Nissan Motor Co Ltd 9,018,146
22,000 Nisshin Flour Milling Co Ltd 234,563
443,000 Nisshinbo Industries Inc 4,195,901
183,000 Nissho Iwai Corp 831,603
12,000 Nissin Food Products Co Ltd 265,825
58,000 Nitto Boseki Co Ltd * 157,300
383,000 Nitto Denko Corp 5,431,499
606,000 NSK Ltd 3,732,416
435,000 Odakyu Electric Railway Co Ltd 3,179,028
142,000 Okamoto Industries Inc 898,111
61,000 Olympus Optical Co Ltd 574,608
35,000 Ono Pharmaceutical Co Ltd 1,648,465
100,000 Onoda Cement Co Ltd 576,575
33,000 Onward Kashiyama Co Ltd 420,165
845,000 Renown Inc * 3,315,098
152,000 Ricoh Co Ltd 1,294,923
146,000 Royal Co Ltd 1,889,136
39,000 Ryobi Ltd 190,549
252,000 Sagami Railway Co Ltd 1,171,244
56,000 Sanden Corp 314,187
44,000 Sankyo Aluminium Industry Co Ltd 239,118
114,000 Sankyo Co Ltd 2,678,743
18,000 Sanrio Co Ltd 210,548
41,000 Sanwa Shutter Corp 368,811
456,000 Sanyo Electric Co Ltd 2,374,287
107,000 Sapporo Breweries Ltd 976,906
48,000 SECOM Co Ltd 2,543,968
72,000 Seibu Railway Co Ltd 2,630,920
307,000 Seino Transportation Co Ltd 4,830,392
303,000 Sekisui Chemical Co Ltd 3,011,024
547,000 Sekisui House Ltd 6,171,834
717,000 Settsu Corp * 2,597,692
52,000 Shimadzu Corp 324,579
205,000 Shionogi and Co Ltd 1,735,831
208,000 Shiseido Co Ltd 2,260,753
38,000 Shochiku Co Ltd 397,288
34,000 Shokusan Jutaku Sogo Co Ltd * 158,377
282,000 Showa Shell Sekiyu 3,152,632
142,000 Skylark Co Ltd 2,087,263
30,000 Snow Brand Milk Products Co Ltd 204,027
104,000 Sony Corp 4,521,505
43,000 Stanley Electric Co Ltd 284,871
71,000 Sumitomo Coal Mining Co Ltd * 404,958
1,059,000 Sumitomo Corp 9,098,597
31,000 Sumitomo Forestry Co Ltd 433,207
736,000 Sumitomo Metal Industries Ltd * 2,110,367
184,000 Sumitomo Osaka Cement Co Ltd 902,810
265,000 Sumitomo Realty & Development Co Ltd 1,442,886
22,000 Sumitomo Sitix Corp 280,110
370,000 Sumitomo Trust & Banking Co Ltd 4,289,633
58,000 Sumitomo Warehouse Co Ltd 341,018
19,000 SXL Corp Ltd 182,910
238,000 Taisei Corp 1,532,384
96,000 Taisho Pharmaceutical Co Ltd 1,629,729
25,000 Taiyo Yuden Co Ltd 243,259
67,000 Takara Shuzo Co Ltd 506,288
247,000 Takeda Chemical Industries Ltd 2,863,620
447,000 Tanabe Seiyaku Co Ltd 3,424,046
2,170,000 Teijin Ltd 10,175,560
229,000 Teikoku Oil Co Ltd 1,481,549
96,000 Terumo Corp 775,115
33,000 The Japan Steel Works Ltd 94,281
557,000 Toa Nenryo Kogyo (K K) 8,302,676
525,000 Tobu Railway Co Ltd 3,141,142
69,000 Toei Co Ltd 461,405
7,500 Toho Co Ltd 1,180,063
87,000 Tokyo Broadcasting System Inc 1,179,753
78,000 Tokyo Dome Corp 1,396,822
270,000 Tokyo Electric Co Ltd * 1,123,544
145,000 Tokyo Tatemono Co Ltd 813,519
135,000 Tokyotokeiba Co Ltd 628,849
546,000 Tokyu Construction Co Ltd 2,808,985
672,000 Tokyu Corp 4,278,039
161,000 Tokyu Department Store Co Ltd 946,618
297,000 Tokyu Land Corp 1,340,428
388,000 Toppan Printing Co Ltd 4,658,972
111,000 Toshiba Tungaloy Co Ltd * 460,753
39,000 Tostem Corp 1,142,487
58,000 Toto Ltd * 912,582
40,000 Toyo Engineering Corp 233,942
9,000 Toyo Exterior Co Ltd 206,822
228,000 Toyo Ink Manufacturing Co Ltd 1,300,430
103,000 Toyo Trust & Banking Co Ltd 890,275
147,000 Toyota Motor Corp 2,647,689
35,000 Tsumura and Co 394,907
17,000 Uni-Charm Corp 329,072
132,000 Victor Co of Japan Ltd * 1,462,036
222,000 Wacoal Corp 2,252,057
126,000 Yakult Honsha Co Ltd 1,786,864
100,000 Yamaguchi Bank Ltd 1,656,229
44,000 Yamaha Corp 487,345
1,136,000 Yamaichi Securities Co Ltd 7,490,627
91,000 Yamanouchi Pharmaceutical Co Ltd 1,780,343
203,000 Yamato Transport Co Ltd 2,101,341
20,000 Yamazaki Baking Co Ltd 360,230
238,000 Yasuda Trust and Banking Co Ltd 1,741,794
68,000 Yokogawa Bridge Corp 879,872
103,000 Yokogawa Electric Corp 941,452
40,000 Yoshitomi Pharmaceutical Industries Ltd 335,800
540,632,366
MALAYSIA - 0.2%
68,000 DMIB Berhad 74,053
4,513,000 Faber Group Berhad * 4,313,670
194,000 Golden Hope Plantations Berhad 345,024
204,000 Highlands and Lowlands Berhad 359,612
319,000 Idris Hydraulic Berhad * 537,342
65,000 Malaysia Mining Corp Berhad 103,379
44,000 Perlis Plantations 145,647
5,878,727
NEW ZEALAND - 1.0%
814,641 Air New Zealand Ltd Class B 2,631,774
2,267,066 Carter Holt Harvey Ltd 4,997,533
27,250 Ceramco Corp Ltd 43,154
676,200 DB Group Ltd * 406,922
1,433,746 Fay Richwhite and Company Ltd 690,237
178,406 Fisher and Paykel Industries Ltd 457,696
5,238,400 Fletcher Challenge Ltd 13,040,776
2,130,900 Lion Nathan Ltd 4,049,455
30,306,360 Tasman Properties Ltd * 479,939
54,000 Wilson and Horton Ltd 307,857
1,719,000 Wilson (Neill) Ltd * 10,889
27,116,232
NORWAY - 2.9%
84,800 Aker AS Class A 1,120,030
56,600 Aker AS Class B (Non Voting) 721,337
269,090 Bergesen d y AS Class A 5,944,306
118,170 Bergesen d y AS Class B 2,610,423
77,450 Det Norske Luftfartsselskab AS Class B * 2,823,586
112,700 Dyno Industrier AS 3,133,747
183,150 Elkem AS * 2,291,709
194,670 Hafslund Nycomed AS 3,909,398
252,110 Hafslund Nycomed AS Class B 5,062,919
94,140 Kvaerner Industrier AS 4,275,521
195,020 Leif Hoegh and Co AS 2,711,373
745,790 Norsk Hydro AS 28,226,056
39,000 Norske Skogindustrier AS Series A 1,295,301
121,340 Orkla-Borregaard AS Series A 4,479,912
41,450 Orkla-Borregaard AS Series B (Non Voting) 1,434,300
181,910 Unitor AS 2,767,964
190,800 Vard AS Class A * 226,953
63,100 Vital Forsikring AS 633,593
73,668,428
SINGAPORE - 5.3%
2,579,000 Chuan Hup Holdings Ltd 2,313,244
3,941,000 Faber Group Berhad * 3,834,001
51,000 Far East Levingston Shipbuilding Ltd 216,407
790,500 First Capital Corp Ltd 2,148,943
8,711 First Capital Corp Ltd Warrants 5/18/97 * 13,824
1,290,400 Fraser and Neave Ltd 13,622,051
38,000 Golden Hope Plantations Berhad 66,333
67,000 Goodman Fielder Asia Holdings Ltd 117,880
1,634,000 Hai Sun Hup Group Ltd 1,567,089
1,452,200 Haw Par Brothers International Ltd 3,005,899
848,000 Highlands and Lowlands Berhad 1,480,277
2,551,000 Hotel Properties Ltd 4,453,051
425,000 Inchcape Berhad 1,389,933
1,816,627 Jardine Matheson Holdings Ltd * 16,712,968
2,564,594 Jardine Strategic Holdings Ltd * 9,540,290
657,000 Jurong Shipyard Ltd 5,485,011
824,000 Kuala Lumpur Kepong Berhad 2,262,752
1,488,000 Lum Chang Holdings Ltd 1,355,201
524,000 Malaysia Mining Corp Berhad 838,776
150,000 Marco Polo Developments Ltd 184,221
371,000 Metro Holdings Ltd 1,369,476
4,464,000 Neptune Orient Lines Ltd 5,759,603
278,000 Prima Ltd 1,064,546
402,000 Robinson and Co Ltd 1,622,589
235,000 Shangri-La Hotel Ltd 883,672
3,582,200 Singapore Airlines Ltd 35,838,065
350,000 Singapore Land Ltd 1,980,198
2,444,000 Straits Trading Co Ltd 5,598,427
404,000 Times Publishing Ltd 1,075,958
9,505,000 United Industrial Corp Ltd 7,935,316
1,528,000 United Overseas Land Ltd 2,846,517
513,000 Wearne Brothers Ltd 1,160,962
137,743,480
SPAIN - 4.9%
398,150 Argentaria Corporacion Bancaria de Espana SA 12,868,936
91,700 Asland SA 1,229,289
47,893 Asturiana del Zinc SA * 471,697
154,300 Autopistas Concesionaria Espanola SA 1,278,475
227,950 Autopistas del Mare Nostrum SA 2,280,710
20,100 Azucarera de Espana SA 519,264
730,400 Banco Bilbao Vizcaya SA 19,468,638
336,740 Banco Central Hispanoamericano SA 7,830,727
38,500 Banco Exterior de Espana Namen 1,169,155
33,600 Banco Zaragozano SA 492,449
39,305 Bankinter SA 3,219,805
21,025 Cristaleria Espanola SA * 1,055,095
5,290 Cubiertas y MZOV SA 297,720
483,820 Dragados y Construcciones SA 6,050,959
126,550 Ebro Agricolas Compania de Alimentacion SA 1,350,253
84,600 Empresa Nacional de Celulosa SA * 2,278,138
98,410 Empresa Nacional de Electricidad SA 4,284,645
515,200 Ercros SA * 587,962
14,900 Europistas Concesionaria Espanola SA 121,127
20,049 Fabricacion de Automoviles Renault de Espana SA 584,550
2,608,023 FENOSA SA 9,989,136
1,050 Fomento Construcciones y Contratas SA 86,179
1,950,320 Fuerzas Electricas de Cataluna SA 9,680,550
61,186 Grupo Duro Felguera SA * 243,439
28,400 Hornos Ibericos Alba SA * 345,199
182,150 Huarte SA 1,637,372
1,615,680 Iberdrola SA 10,103,358
1,550 Koipe SA 82,387
20,700 Prosegur Cia SA 387,522
314,120 Repsol SA 8,912,974
117,600 Sarrio SA * 519,369
2,115,577 Sevillana de Electricidad 9,095,194
17,400 Tabacalera SA Series A 510,036
91,700 Tableros Defibras Series B * 878,063
91,700 Tableros Fibras Rights 4/12/95 * 53,759
8,400 Telefonica de Espana ADR 315,000
44,780 Telefonica de Espana SA 558,297
274,870 Uralita SA * 2,717,930
120,816 Vallehermoso SA 1,770,705
125,326,063
SWEDEN - 0.8%
79,590 AGA AB Series A 850,937
15,000 AGA AB Series B 160,373
90,100 Bilspedition AB Series B * 353,416
7,000 Celsius Industrier AB Class B 154,925
67,920 Electrolux AB Series B 3,418,075
11,900 Esselte AB Series A 155,592
23,000 Esselte AB Series B 303,857
120,800 Fastighets AB (Hufvudstaden) Series A 707,465
35,600 Hennes and Mauritz AB Series B 2,094,610
96,920 Marieberg Tidnings AB Series A 2,310,047
12,400 Mo Och Domsjoe AB Series B * 617,275
21,300 Pharmacia AB Class A 391,636
8,000 Pharmacia AB Class B 146,549
27,875 Sandvik AB Class B 474,563
22,000 Skandia Group Foersaekrings AB 388,027
508,460 Skandinaviska Enskilda Banken Series A * 2,776,966
24,200 Skandinaviska Enskilda Banken Series C * 124,918
121,140 Skanska AB Series B 2,689,333
46,720 SKF AB Class B * 862,207
3,200 Stora Kopparbergs Bergslags AB Series B 206,149
169,100 Svenska Handelsbanken Series A 2,141,884
19,800 Svenska Handelsbanken Series B 238,659
28,800 Trelleborg Class B AB * 398,133
21,965,596
SWITZERLAND - 5.1%
2,900 Adia SA * 537,882
350 Baer Holdings AG 340,107
3,570 Baloise Holdings 6,621,507
1,160 Banque Cantonale Vaudoise 598,686
1,390 Bobst SA (Bearer) 1,877,545
1,530 Bobst SA (Registered) 987,057
150 CIBA-GEIGY AG (Bearer) 94,835
27,605 CS Holdings (Bearer) 11,419,995
82,126 CS Holdings (Registered) 6,788,367
900 Danzas Holding AG 816,499
190 Elektrowatt AG 49,490
930 Elvia Schweiz Versicherungs 2,868,634
160 Forbo Holding AG (Bearer) 285,150
524 Forbo Holdings Warrants 11/1/95 * 845
675 Helvetia Schweizerische Versicherungsgesellschaft 318,435
4,800 Hilti AG, Schaan (Participating Certificate) 3,522,439
3,820 Holderbank Financiere Glarus AG (Bearer) 2,821,757
17,180 Holderbank Financiere Glarus AG (Registered) 2,618,459
6,770 Interdiscount Holding SA Warrants 11/15/96 * 7,643
600 Interdiscount Holding SA (Bearer) 747,551
770 Interdiscount Holding SA (Participating Certificate) 88,174
1,695 Intershop Holding AG 714,878
775 Magazine zum Globus (Registered) 474,981
6,710 Merkur Holding AG 1,791,065
2,410 Pargesa Holding SA 2,545,946
15 Reisebuero Kuoni AG (Bearer) 459,659
160 Reisebuero Kuoni AG (Participating Certificate) 251,603
1,110 Sandoz AG * 640,910
650 Saurer Group Holdings 204,951
110 Schindler Holding AG (Bearer) 722,955
1,565 Schindler Holding AG (Participating Certificate) 1,943,551
1,500 Schindler Holding AG (Registered) 1,838,636
1,863 Sika Finanz AG 533,337
3,200 Sika Finanz AG (Registered) 159,994
4,190 SMH AG (Bearer) 2,240,208
17,550 SMH AG (Registered) 2,087,517
700 Societe Generale de Surveillance Holdings Ltd (Registered) 191,363
2,220 Sulzer Gebrueder AG 1,405,347
358 Swiss Bank Corp Warrants 6/30/98 (Registered) * 1,732
664 Swiss Bank Corp Warrants 6/30/98 * 5,890
28,414 Swiss Bank Corp (Bearer) 8,134,325
30,868 Swiss Bank Corp (Registered) 4,405,980
23,938 Union Bank of Switzerland (Bearer) 20,018,311
2,800 Union Bank of Switzerland (Registered) 557,719
20,600 Winterthur Schweizerische Versicherungs-Gesellschaft (Registered) 10,017,177
6,850 Winterthur Schweizerische Versicherungs-Gesellschaft 3,441,434
11,710 Zurich Versicherungs-Gesellschaft (Bearer) 11,161,824
14,440 Zurich Versicherungs-Gesellschaft (Registered) 13,880,473
133,242,823
UNITED KINGDOM - 20.3%
4,380 Allied Domecq Plc 34,829
562,312 AMEC Plc 560,594
63,280 Amersham International Plc 822,129
661,660 Amstrad Plc 1,769,506
30,640 Anglian Water Plc 232,492
4,125,994 Argyll Group 17,596,152
18,994,185 ASDA Group Plc 20,363,869
67,340 Associated British Foods 622,856
160,000 Barratt Developments Plc 417,767
1,689,100 Bass Plc 13,511,603
1,979,950 BAT Industries Plc 13,034,005
327,420 Berisford International Plc 1,147,650
520,650 Boots Co Plc 3,925,899
2,317,229 British Aerospace Plc 17,271,108
242,471 British Land Co Plc 1,421,603
8,362,974 British Petroleum Co Plc 52,406,635
999,770 British Steel Plc 2,523,429
2,128,740 BTR Plc 10,560,646
393,750 Bunzl Plc 1,028,099
6,418,620 Burton Group Plc 6,805,293
48,530 Carlton Communications Plc 667,360
115,884 Charter Plc 1,368,021
271,100 Cobham Plc 1,312,748
4,399,565 Costain Group Plc * 1,549,067
509,950 Dixons Group Plc 1,694,639
11,140 East Midlands Electricity 128,159
564,440 English China Clays Plc 3,019,012
4,570,300 Ferranti International Plc * (c) 54,242
26,300 First Leisure Corp.Plc 110,289
1,264,250 Fisons Plc 2,540,780
2,367,695 Forte Plc 8,992,229
2,357,020 General Electric Co Plc 10,816,621
6,876,273 Glaxo Plc 68,987,865
1,217,886 Grand Metropolitan Plc 7,371,713
1,057,755 Great Portland Estates Plc 2,929,230
804,370 Great Universal Stores Plc 6,491,669
204,560 Greenalls Group Plc 1,304,536
341,975 Greycoat Plc * 687,272
1,652,881 Hammerson Property Investment and Development Corp Plc 8,383,010
367,100 Hillsdown Holdings Plc 1,042,748
435,060 Imperial Chemical Industries Plc 4,843,325
1,839,517 Ladbroke Group Plc 4,919,499
280,408 Laing (John) Plc Class A 820,904
4,240,075 Lasmo Plc * 10,299,408
39,680 Lex Service Plc 177,073
201,840 London Electricity Plc 2,306,082
1,031,600 London International Group Plc * 1,550,834
4,058,065 Lonrho Plc 9,311,451
1,488,510 Marks & Spencer Plc 8,774,217
161,766 Meyer International Plc 793,559
128,160 Midland Electricity 1,488,603
1,008,990 National Power Plc 7,400,600
394,321 Norcros Plc 486,715
16,080 Northern Electric Plc 268,962
496,400 Northern Foods Plc 1,590,696
16,890 Northumbrian Water Group Plc 195,646
166,500 NORWEB Plc 2,092,016
199,140 Ocean Group Plc 869,757
1,321,257 Peninsular and Oriental Steam Navigation Co 11,781,798
1,612,256 Pilkington Plc 4,222,429
895,660 Powergen Plc 7,044,171
417,026 Reckitt & Colman Plc 4,144,318
498,773 Redland Plc 3,362,350
1,060,713 Sainsbury Plc 6,865,174
116,360 Scottish & Newcastle Plc 914,225
99,940 Securicor Group Plc Class A (Non-Voting) 1,447,074
1,944,500 Signet Group Plc * 538,488
697,874 Simon Engineering Plc * 866,916
380,170 Slough Estates Plc 1,356,609
2,912,032 Smith & Nephew Plc 7,303,916
2,971,010 Smithkline Beecham Plc Class A 23,671,944
3,573,220 Smithkline Beecham Plc Equity Units 27,282,704
5,500 South West Water Plc 43,126
80,620 South Western Electricity Plc 1,034,651
31,262 Southern Water Plc 269,615
70,260 Suter Plc 169,554
6,902,675 Tarmac Plc 11,469,304
2,872,426 Taylor Woodrow Plc 5,363,659
2,095,660 Tesco 8,307,281
122,260 Thorn EMI Plc Ord 2,014,028
3,141,383 Trafalgar House Plc 3,082,073
292,870 Unigate Plc 1,631,353
674,070 Unilever Plc 12,480,190
640,140 United Biscuits Holdings Plc 3,383,388
6,986 Vodafone Group Plc 20,894
687,200 Wellcome Plc 11,021,412
774,403 Wessex Water Plc 3,345,492
676,884 Whitbread Plc Class A (Limited Voting) 5,762,711
239,600 Wilson (Connolly) Holdings Plc 466,361
884,480 Wimpey (George) Plc 1,686,574
26,260 Wolseley Plc 145,859
526,196,362
TOTAL STOCK AND EQUIVALENTS (Cost $2,501,692,687) 2,551,024,197
Par Value SHORT-TERM INVESTMENT - 0.4%
U.S. GOVERNMENT - 0.4%
$ 10,430,000 U.S. Treasury Bill 5.89% due 2/8/96 (a) 9,830,020
TOTAL SHORT-TERM INVESTMENT (Cost $9,777,724) 9,830,020
TOTAL INVESTMENTS - 98.8%
(Cost $2,511,470,411) * * $ 2,560,854,217
Other Assets and Liabilities (net) - 1.2% 30,791,635
TOTAL NET ASSETS - 100.0% $ 2,591,645,852
NOTES TO THE SCHEDULE OF INVESTMENTS:
ADR American Depositary Receipt
(a) This security is held as collateral for open futures contracts.
(b) Restricted security - This security is restricted as to resale. At
February 28, 1995, restricted securities amounted to $127,482.
(c) Security valued by management (Note 1).
* Non-income producing security.
** The aggregate identified cost for federal
income tax purposes is $2,512,340,919 resulting
in gross unrealized appreciation and depreciation
of $198,384,375 and $149,871,077, respectively,
and net unrealized appreciation of $48,513,298.
|
At February 28, 1995, industry sector diversificatio investments
was as follows:
Percentage of
Industry Sector Net Assets
Services 16.5 %
Banking 16.1
Construction 10.2
Oil and Gas 7.0
Transportation 5.5
Retail Stores 5.2
Technology 4.2
Primary Processing 4.2
Consumer Goods 4.1
Utilities 3.9
Food and Beverage 3.2
Metals and Mining 3.0
Machinery 2.9
Pharmaceuticals 2.7
Automotive 2.6
Insurance 2.4
Real Estate 2.2
Manufacturing 0.8
Miscellaneous 1.7
98.4 %
|
See accompanying notes to the financial statements.
GMO INTERNATIONAL CORE FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - FEBRUARY 28, 1995
ASSETS:
Investments, at value (cost $2,501,692,687) (Note 1) $ 2,551,024,197
Short-term investments, at value (cost $9,777,724) (Note 1) 9,830,020
Foreign currency, at value (cost $ 46,877,222) (Note 1) 46,902,909
Receivable for Fund shares sold 201,537
Receivable for investments sold 160,803,865
Dividends and interest receivable 2,766,728
Foreign withholding taxes receivable 3,604,738
Receivable for open forward foreign currency contracts (Note 5) 1,317,197
Receivable for variation margin on open futures contracts 2,044,183
Receivable for expenses waived or borne by Manager (Note 2) 213,313
Total assets 2,778,708,687
LIABILITIES:
Payable for investments purchased 160,772,812
Payable for open forward foreign currency contracts (Note 5) 14,283,784
Due to Custodian 6,102,542
Payable for Fund shares repurchased 3,797,751
Payable to affiliate for management fee 1,507,939
Accrued expenses 598,007
Total liabilities 187,062,835
NET ASSETS(equivalent to $22.32 per share based
on 116,104,099 shares outstanding, unlimited shares authorized) $ 2,591,645,852
NET ASSETS CONSIST OF:
Paid-in capital $ 2,453,213,046
Accumulated net realized gain 100,721,946
Net unrealized appreciation 37,710,860
NET ASSETS $ 2,591,645,852
|
See accompanying notes to the financial statements.
GMO INTERNATIONAL CORE FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - YEAR ENDED FEBRUARY 28, 1995
INVESTMENT INCOME:
Dividends (net of foreign tax expense of $7,455,318) $ 55,664,794
Interest 2,602,161
Total income 58,266,955
Expenses:
Management fee (Note 2) 19,964,039
Custodian fees 2,182,474
Stamp duties and transfer taxes 116,741
Legal fees 105,483
Audit fees 83,697
Registration fees 72,479
Insurance 31,850
Transfer agent fees 27,493
Trustee fee (Note 2) 13,230
Miscellaneous 2,203
Total expenses 22,599,689
Less: expenses waived or borne by Manager (Note 2) (3,849,845)
Net expenses 18,749,844
Net investment income 39,517,111
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS,
FUTURES CONTRACTS, FOREIGN CURRENCY, FORWARD CONTRACTS
AND FOREIGN CURRENCY RELATED TRANSACTIONS:
Net realized gain (loss) on:
Investments 251,835,142
Closed futures contracts 1,165,193
Foreign currency, forward contracts and foreign
currency related transactions (14,261,791)
Net realized gain 238,738,544
Change in net unrealized appreciation (depreciation) on:
Investments (413,444,424)
Open futures contracts 970,756
Foreign currency, forward contracts and foreign
currency related transactions (11,601,187)
Net unrealized loss (424,074,855)
Net realized and unrealized loss on investments, futures
contracts, foreign currency, forward contracts and
foreign currency related transactions (185,336,311)
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $(145,819,200)
|
See accompanying notes to the financial statements.
GMO INTERNATIONAL CORE FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
YEAR ENDED
FEBRUARY 28, 1995 FEBRUARY 28, 1994
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 39,517,111 $ 23,895,036
Net realized gain on investments, closed futures
contracts, foreign currency, forward contracts
and foreign currency related transactions 238,738,544 63,775,412
Change in net unrealized appreciation (depreciation)
on investments, open futures contracts, foreign
currency, forward contracts and foreign
currency related transactions (424,074,855) 455,871,027
Net increase (decrease) in net assets resulting from
operations (145,819,200) 543,541,475
Distributions to shareholders from:
Net investment income (38,432,195) (22,013,675)
Net realized gains (172,566,881) (34,254,981)
(210,999,076) (56,268,656)
Fund share transactions: (Note 4)
Proceeds from sale of shares 1,196,755,657 1,024,284,607
Net asset value of shares issued to shareholders
in payment of distributions declared 191,594,151 44,737,151
Cost of shares repurchased (726,316,370) (188,195,832)
Net increase in net assets resulting
from Fund share transactions 662,033,438 880,825,926
Total increase in net assets 305,215,162 1,368,098,745
NET ASSETS:
Beginning of period 2,286,430,690 918,331,945
End of period (including undistributed net
investment income of $0 and
$7,595,549, respectively) $ 2,591,645,852 $ 2,286,430,690
|
See accompanying notes to the financial statements.
GMO INTERNATIONAL CORE FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
YEAR ENDED FEBRUARY 28/29,
1995 1994 1993 1992 1991
NET ASSET VALUE, BEGINNING OF PERIOD $ 25.56 $ 18.51 $ 18.80 $ 18.73 $ 18.79
Income (loss) from investment operations:
Net investment income (a) 0.27 0.29 0.29 0.29 0.55
Net realized and unrealized gain (loss)
on investments (1.57) 7.44 (0.04) 0.22 0.69
Total from investment operations (1.30) 7.73 0.25 0.51 1.24
Less distributions to shareholders:
From net investment income (0.35) (0.27) (0.20) (0.28) (0.54)
From net realized gains (1.59) (0.41) (0.34) (0.16) (0.76)
Total distributions (1.94) (0.68) (0.54) (0.44) (1.30)
NET ASSET VALUE, END OF PERIOD $ 22.32 $ 25.56 $ 18.51 $ 18.80 $ 18.73
TOTAL RETURN (B) (5.31%) 42.10% 1.43% 2.84% 7.44%
Ratios/Supplemental Data:
Net assets, end of period $ 2,591,646 $ 2,286,431 $ 918,332 $ 414,341 $ 173,792
Net expenses to average
daily net assets (a) 0.70% 0.71%(c) 0.70% 0.70% 0.78%
Net investment income to average
daily net assets (a) 1.48% 1.48% 2.36% 2.36% 3.32%
Portfolio turnover rate 53% 23% 23% 35% 81%
(a) Net of fees and expenses voluntarily waived or borne by the Manager of $.03,
$.03, $.03, $.02, $.01 per share for the fiscal years ended 1995, 1994, 1993,
1992, and 1991, respectively.
(b) Calculation excludes subscription fees. The total returns would have been
lower had certain expenses not been waived during the periods shown.
(c) Includes stamp duties and transfer taxes not waived or borne by the Manager,
which approximates .01% of average daily net assets.
See accompanying notes to the financial statements.
|
GMO INTERNATIONAL CORE FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENT
AUGUST 31, 1993
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO International Core Fund (the "Fund") is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, diversified management investment company. The Trust was established as a Massachusetts Business Trust under the laws of the Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees to create an unlimited number of series ("Funds"), each of which issues a separate series of shares. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market quotations are available are valued at the last quoted sale price on each business day, or if there is no such reported sale, at the most recent quoted bid price. Unlisted securities for which market quotations are readily available are valued at the most recent quoted bid price. Securities which are primarily traded on foreign exchanges are generally valued at the preceding closing values of such securities on their respective exchanges, and those values are then translated into U.S. dollars at the current exchange rate. Short-term investments with a remaining maturity of sixty days or less are valued at amortized cost which approximates market value. Other assets and securities for which no quotations are readily available are valued at fair value as determined in good faith by the Trustees.
FOREIGN CURRENCY TRANSLATION
The accounting records of the Fund are maintained in U.S. dollars. The market values of foreign securities, currency holdings, other assets and liabilities are translated to U.S. dollars based on the prevailing exchange rates each business day. Income and expenses denominated in foreign currencies are translated at prevailing exchange rates when accrued or incurred. The Fund does not isolate realized and unrealized gains and losses attributable to changes in exchange rates from gains and losses that arise from changes in the market value of investments. Such fluctuations are included with net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net exchange gains and losses on disposition of foreign currencies and the difference between the amount of investment income and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent amounts actually received or paid.
FUTURES CONTRACTS
The Fund may purchase stock index futures contracts. Stock index futures contracts represent commitments for future delivery of cash based upon the level of a specified index of equity securities at a given date. The Fund may use futures contracts to manage its exposure to the stock and currency markets. Buying futures tends to increase the Fund's exposure to the underlying instrument. Selling futures tends to decrease the Fund's exposure to the underlying instrument or hedge other Fund instruments. Upon purchase of a futures contract, the Fund is required to deposit with its custodian, in a segregated account in the name of the futures broker, an amount of cash or U.S. government obligations in accordance with the initial margin requirements of the broker. Futures contracts are marked to market daily and an appropriate payable or receivable for the change in value ("variation margin") is recorded by the Fund. The payable or receivable is liquidated on the following business day. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Losses may arise from the changes in the value of the underlying instrument, if there is an illiquid secondary market for the contracts, or if counterparties do not perform under the contract terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. See Note 5 for all open futures contracts held as of February 28, 1995.
FORWARD CURRENCY CONTRACTS
The Fund may enter into forward currency contracts in connection with settling planned purchases or sales of securities or to hedge the currency exposure associated with some or all of the Fund's portfolio securities. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The market value of a forward currency contract fluctuates with changes in forward currency exchange rates. Forward currency contracts are marked to market daily and the change in value is recorded by the Fund as an unrealized gain or loss. When a forward currency contract is extinguished, through delivery or offset by entering into another forward currency contract, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished or offset. These contracts may involve market risk in excess of the unrealized gain or loss reflected in the Fund's Statement of Assets and Liabilities. In addition, the Fund could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency changes unfavorably to the U.S. dollar. The U.S. dollar value of the currencies the Fund has committed to sell is shown under Note 5 and represents the currency exposure the Fund has acquired or hedged through currency contracts as of February 28, 1995.
TAXES
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). It is the policy of the Fund to distribute all of its taxable income, including any net realized gain on investments not offset by loss carryovers, to shareholders within the prescribed time periods. Therefore, no provision for federal income or excise tax is necessary. Taxes on foreign interest and dividend income have been withheld in accordance with the applicable country's tax treaty with the United States. Dividends received by shareholders of the Fund which are derived from foreign source income and foreign taxes paid by the Fund are to be treated, to the extent allowable under the Code, as if paid and received by the shareholders of the Fund.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment income and net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryover for federal income tax purposes. The Fund's present policy is to declare and pay distributions from net investment income semi-annually, and net realized short-term and long-term capital gains at least annually. All distributions will be paid in shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. There is no premium incurred on reinvested distributions.
Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences are primarily due to differing treatments for foreign currency transactions and redemption in-kind.
The following reclassification represents the cumulative amount necessary to report these balances on a tax basis, excluding certain temporary differences, as of February 28, 1995. This reclassification has no impact on net investment income, realized gain/loss and net asset value of the Fund and is primarily attributable to certain differences in the computation of distributable income and capital gains under federal tax rules versus generally accepted accounting principles.
Undistributed Net Investment Accumulated Net Realized
Income Gain Paid-in Capital
($8,680,465) $7,352,943 $1,327,522
|
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Dividend income is recorded on the ex-dividend date, or when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an individual Fund. Expenses which are not readily identifiable to a specific Fund are allocated in such manner as deemed equitable by the Trustees, taking into consideration, among other things, the nature and type of expense and the relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is .75% of the amount invested. The Manager may waive such premium to the extent that a transaction results in minimal brokerage and transaction costs to the Fund. All purchase premiums are paid to and recorded as paid in capital by the Fund. There is no premium for redemptions or in-kind transactions. For the year ended February 28, 1995, the Fund received $1,914,529 in purchase premiums.
INVESTMENT RISK
There are certain additional risks involved in investing in foreign securities that are not inherent in investments of domestic securities. These risks may involve adverse political and economic developments and the possible imposition of currency exchange blockages or other foreign governmental laws or restrictions. In addition, the securities of some foreign companies and securities markets are less liquid and at times more volatile than securities of comparable U.S. companies and U.S. securities markets.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the "Manager"), for management and investment advisory services is paid monthly at the annual rate of .75% of average daily net assets. The Manager has agreed to waive a portion of its fee until further notice to the extent that the Fund's annual expenses (including management and custody fees but excluding brokerage commissions and transfer taxes) exceed .70% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee during the year ended February 28, 1995, was $13,230. No remuneration is paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended February 28, 1995 aggregated $1,813,370,609 and $1,379,237,707, respectively.
4. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value). Transactions in Fund shares were as follows:
Year Ended Year Ended
February 28, 1995 February 28, 1994
Shares sold 47,709,816 45,915,356
Shares issued to shareholders in reinvestment of
distributions 8,245,854 1,887,116
Shares repurchased (29,287,818) (7,968,846)
Net increase 26,667,852 39,833,626
Fund shares:
Beginning of period 89,436,247 49,602,621
End of period 116,104,099 89,436,247
|
5. FINANCIAL INSTRUMENTS
A summary of outstanding forward currency contracts and futures contracts at February 28, 1995 is as follows:
FUTURES CONTRACTS
Net Unrealized
Number of Appreciation
Contracts Type Expiration Date Contract Value (Depreciation)
Buys
661 Hang Seng March 1995 $ 35,309,190 $ 166,312
309 FT-SE 100 March 1995 36,807,776 (771,429)
$ (605,117)
Sales
252 DAX March 1995 36,290,412 $ (160,940)
521 CAC March 1995 36,035,749 1,736,813
$ 1,575,873
At February 28, 1995 the Fund has cash and/or securities to cover any margin requirements on open
futures contracts.
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FORWARD CURRENCY CONTRACTS
Sales
In Exchange for Net Unrealized
Settlement Units of (in U.S. Dolollars) Appreciation
Date Deliver Currency (Note 1) (Depreciation)
6/1/95 German Marks 108,780,000 $ 66,434,591 $ (8,153,999)
7/3/95 German Marks 97,300,000 61,660,330 (5,125,311)
12/1/95 German Marks 25,070,000 16,279,221 (1,004,474)
2/1/96 British Pounds 83,500,000 132,379,825 1,317,197
$ (12,966,587)
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* * *
GMO INTERNATIONAL CORE FUND
(A SERIES OF GMO TRUST)
FEDERAL INCOME TAX INFORMATION ON DISTRIBUTIONS (UNAUDITED)
For the fiscal year ended February 28, 1995, all of the Fund's distributions are from investment company taxable income, except that the Fund has designated 77.43% of distributions as net capital gain dividends.
GMO INTERNATIONAL SMALL COMPANIES FUND
(A SERIES OF GMO TRUST)
ANNUAL REPORT
FEBRUARY 28, 1995
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees of GMO Trust and the Shareholders of
GMO International Small Companies Fund (A Series of GMO Trust)
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of GMO International Small Companies Fund at February 28, 1995, and the results of its operations, the changes in its net assets and the financial highlights for the periods presented, in conformity with generally accepted accounting principles. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Trust's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with generally accepted auditing standards which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 28, 1995 by correspondence with the custodian and brokers and the application of alternative auditing procedures where confirmations from brokers were not received, provide a reasonable basis for the opinion expressed above.
Price Waterhouse LLP
Boston, Massachusetts
April 14, 1995
GMO INTERNATIONAL SMALL COMPANIES FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
FEBRUARY 28, 1995
SHARES DESCRIPTION VALUE ($)
STOCK AND EQUIVALENTS - 98.6%
AUSTRALIA - 2.6%
43,600 Aberfoyle Ltd * 94,812
41,500 Adelaide Brighton Ltd 44,052
91,100 Australian Gas and Light Co * 286,078
97,600 Australian National Industries Ltd * 97,127
99,000 Bougainville Copper Ltd * 47,436
148,200 Burns Philp & Co Ltd 355,048
91,800 Caltex Australia Ltd 236,846
2,900 Coal & Allied Industries Ltd 27,791
44,900 Crusader Ltd 43,027
82,874 Email Ltd 218,093
86,600 Fairfax Holdings Ltd * 180,659
414,610 Goodman Fielder Ltd 378,981
101,875 Hardie (James) Industries Ltd 165,214
23,200 Metal Manufactures Ltd 45,320
30,800 OPSM Protector Ltd 43,138
75,000 Pacific Magazines and Printing Ltd 152,037
266,000 Pasminco Ltd * 274,515
115,300 Pioneer International Ltd 277,078
52,800 Publishing and Broadcasting Ltd Preferred 4.96% * 134,279
238,200 QCT Resources Ltd 228,266
18,050 Rothmans Holdings Ltd 59,875
252,887 Santos Ltd 678,553
96,500 Seven Network Ltd 214,116
189,800 Southcorp Holdings Ltd 436,523
6,800 Weston Foods Ltd 29,825
47,200 Wills (WD & HO) Holdings Ltd 92,551
4,841,240
AUSTRIA - 2.9%
777 Allgemeine Baugesellschaft AG 118,488
888 Allgemeine Baugesellschaft AG Preferred 7.00% 73,141
800 Austrian Airlines * 135,205
11,700 Bank Austria AG (Participating Certificate) 410,247
700 Bau Holding AG Preferred (Non Voting) 2.42% 46,438
1,150 Brau Union AG 72,716
200 BWT AG 30,246
1,500 Constantia Industrie Holdings AG * 115,245
2,800 Creditanstalt-Bankverein 175,417
1,200 Creditanstalt-Bankverein Preferred 1.65% 72,847
100 EA-Generali AG 25,982
1,100 EA-Generali AG Preferred 6.00% 174,688
500 EVN Energie-Versorgung Niederoesterreich AG 60,318
2,300 Flughafen Wien AG 100,083
1,100 Jenbacher Werke AG 168,705
200 Lenzing AG 18,591
300 Leykam-Muerztaler Papier und Zellstoff AG * 14,278
800 Miba Holding AG Series B Preferred 1.34% 34,190
7,000 OMV AG * 679,229
1,100 Oesterreichische Brau Beteiligungs AG 62,717
3,000 Oesterreichische Elektrizitaetswirschafts AG 185,032
7,200 Oesterreichische Laenderbank AG 567,860
700 Oesterreichische Laenderbank AG Preferred (Non Voting) 33,656
110 Perlmooser Zementwerke AG 7,661
16,930 Radex-Heraklith AG 610,076
300 RAS Versicherungs AG 48,079
2,400 Steyr-Daimler-Puch AG * 35,200
2,180 Strabag Oesterreich AG 302,793
4,000 Universale Bau AG * 235,054
1,700 VA Technologie AG * 182,789
15,100 Veitsch-Radex AG * 400,399
200 Wiener Allianz Versicherungs AG * 47,205
220 Wienerberger Baustoffindustrie AG 77,782
5,322,357
CANADA - 2.0%
6,000 Abitibi-Price Inc 78,706
5,000 Avenor Inc * 102,426
17,000 Brunswick Mining & Smelt Ltd 122,192
18,900 Cameco Corp 461,887
3,100 Canadian Marconi Co 30,638
38,300 Canadian Tire Ltd Class A 364,762
900 Canfor Corp 10,674
1,900 CCL Industries Class B 16,047
21,900 Cominco Ltd * 350,243
18,100 Dominion Textile Inc 107,332
24,400 Domtar Inc * 208,266
18,900 Dylex Ltd Part Class A Preferred $0.01 * 1,834
13,000 Gulf Canada Resources Ltd * 47,889
6,400 Hudsons Bay Co 124,780
13,900 Inter-City Prods Corp * 22,480
1,700 International Forest Products A * 14,205
9,400 Ipsco Inc 151,177
16,800 Maple Leaf Foods 155,472
15,300 Molson Class A 213,073
2,900 Molson Co Ltd Class B 42,731
11,300 Noranda Forest Inc 86,298
30,100 Nova Scotia Power Inc 243,396
15,800 Oshawa Group Ltd Class A 212,938
30,200 Power Corp 401,581
1,700 Scotts Hospitality Inc 9,164
12,100 Sears Canada Inc 66,316
3,600 Semi Tech Corp Class A 26,523
1,700 Slocan Forest Products Ltd 16,343
5,200 Spar Aerospace Ltd 46,253
6,600 Total Petroleum North America 69,381
3,805,007
DENMARK - 0.0%
800 Hafnia Holdings Class A (a) * -
FINLAND - 3.2%
29,000 Amer Group Series A 533,052
25,000 Cultor OY Series 1 736,351
9,500 Cultor OY Serie 2 265,086
4,000 Huhtamaki OY Series L 124,903
700 Instrumentarum OY B * 13,332
98,000 Kesko OY 1,096,000
63,700 Partek OY * 811,149
132,400 Rautaruukki OY * 952,938
69,600 Valmet OY * 1,402,633
5,935,444
HONG KONG - 7.0%
3,940,000 Applied International Holdings Ltd 453,547
518,000 Applied International Holdings Ltd Warrants 12/30/99 * 19,430
127,000 Cathay Pacific Airways Ltd 205,329
73,000 Cross Harbour Tunnel Co Ltd 143,517
194,309 Dairy Farm International 233,729
6,350,000 Denway Investments 525,642
414,000 Dickson Concepts (International) Ltd 224,898
15,540,000 Elec and Eltek International Holdings Ltd 1,808,963
16,780 Furama Hotel Enterprises Ltd 20,618
1,668,000 Goldlion Holdings Ltd 371,074
19,000 Harbour Centre Development Ltd 21,380
46,500 Hong Kong Ferry Co Ltd 49,919
3,100 Hong Kong Ferry Warrants 6/30/96 * 1,183
52,000 Hongkong and Shanghai Hotels Ltd Preferred 1.95% 59,523
520,000 Jardine International Motor Holdings Ltd 568,324
50,000 Kowloon Motor Bus Co Ltd 89,892
1,671,000 Kumagai Gumi Hong Kong Ltd 1,156,289
682,000 Lai Sun Garment International Ltd 727,737
252,000 Lane Crawford International Ltd Series A 387,868
3,680,000 Laws International Holdings Ltd 618,767
74,862 Mandarin Oriental 88,597
952,000 Playmate Toys Holding 295,518
211,455 Playmates Properties Holdings 30,358
40,000 Realty Development Corp Ltd Class B 18,625
7,734,000 Regal Hotels International Ltd 1,490,482
80,800 San Miguel Brewery Ltd 70,020
1,076,000 Shun Tak Holdings Ltd 640,186
160,000 South China Morning Post Ltd 86,917
1,933,595 Stelux Holdings International Ltd 568,962
214,500 Swire Pacific Ltd Class A 1,505,093
26,000 Television Broadcasting Ltd 97,859
105,000 Wing On International Holdings Ltd 183,341
263,000 Winsor Industrial Corp Ltd 324,859
13,088,446
ITALY - 7.0%
69,000 Alitalia Linee Aeree Italiane Class A * 37,828
118,000 Alitalia Linee Aeree Italiane Class B (Private Placement) (b) * 44,400
375,000 Autostrade Concessioni e Costruzioni SPA Class B Preferred 469,593
474,400 Banca Nazionale dell'Agricoltura di Risp * 190,442
635,800 Banca Nazionale dell'Agricoltura SPA (Non Convertible) 269,711
36,500 Banca Nazionale dell'Agricoltura SPA Preferred * 28,540
4,000 Bonifiche-Siele Finanziaria SPA * 81,965
70,000 Caffaro SPA * 83,883
12,000 Calcestruzzi SPA * 57,520
285,200 Caltagirone SPA 234,107
62,000 Cantoni ITC SPA * 96,585
33,500 Cartiere Burgo SPA * 230,827
215,000 Cementir Cementerie del Tirreno SPA 180,090
41,100 Cia Italiana dei Grandi Alberghi Cigahotels SPA * 21,892
212,100 COFIDE SPA * 96,583
24,000 Cogefar Impresit Costruzioni Generali SPA * 21,901
360,000 Comau Finanziaria SPA 570,522
40,000 Danieli and Co SPA (Non Convertible) 138,047
32,000 Falck Acciaierie and Ferriere Lombarde * 64,997
294,000 Fiat SPA (Non Convertible) 708,138
178,000 Fiat SPA Preferred * 446,867
473,500 Finmeccanica SPA (Non Convertible) * 368,814
102,000 Fornara SPA (a) * 4,400
245,000 Gemina SPA (Non Convertible) 162,208
80,833 Gilardini SPA * 200,509
229,900 Grassetto SPA * 199,734
94,500 Industriali Riunite SPA * 91,443
32,000 Industriali Riunite (Cie) SPA (Non Convertible) * 18,675
36,000 Italcementi Fabbriche Riunite Cemento SPA 234,680
57,000 Italcementi Fabbriche Riunite Cemento SPA (Non Convertible) 179,982
76,800 Latina di Assicurazioni SPA (Non Convertible) * 196,487
3,000 Marzotto and Figli SPA 20,312
895,000 Montedison SPA (Non Convertible) * 542,685
60,000 Montefibre SPA (Non Convertible) * 36,489
340,000 Montefibre SPA * 280,108
179,000 Olivetti and Co SPA (Non Convertible) * 139,425
41,000 Olivetti and Co SPA (Private Placement) (b) * 56,869
191,000 Parmalat Finanziaria SPA 168,799
83,000 Pirelli and Co (Non Convertible) 106,920
162,000 Pirelli SPA (Non Convertible) 178,307
132,000 Ratti SPA 263,368
17,000 Recordati Industria Chimica e Farmaceutica SPA 83,065
81,000 Recordati Industria Chimica e Farmaceutica SPA (Non Convertible) 228,101
32,000 Rinascente per l'Esercizio di Grandi Magazzini SPA 159,329
151,000 Rinascente per l'Esercizio di Grandi Magazzini SPA (Non Convertible) 404,869
237,000 Rinascente per l'Esercizio di Grandi Magazzini SPA
(Private Placement) (b) 589,306
180,000 SAFFA SPA * 519,833
14,000 Sasib SPA 65,009
42,000 Sirti SPA 281,846
105,000 Snia BPD SPA 125,447
650,000 Snia BPD SPA (Non Convertible) 443,979
670,000 Societa Metallurgica SPA * 341,223
45,000 SORIN Biomedica SPA * 121,195
27,000 Stefanel SPA 54,599
12,900 Tosi (Franco) SPA 137,966
3,500 Unione Cementi Marchino Emiliane e di Augusta-Casale 23,697
633,410 Unione Cementi Marchino Emiliane e di Augusta-Casale
(Non Convertible) 1,992,455
13,096,571
JAPAN - 18.5%
6,000 Aida Engineering Ltd 45,277
6,000 Ajinomoto Co Inc 69,562
5,000 Alps Electric Co Ltd * 59,521
8,000 Amada Co Ltd 79,499
47,000 Aoki Corp 257,854
4,800 Arabian Oil Co Ltd 202,226
26,000 Asahi Breweries Ltd 269,137
6,000 Asics Corp 20,185
3,000 Bank of Kyoto Ltd 21,117
16,000 Bank of Yokohama Ltd 121,898
7,000 Banyu Pharmaceutical Co Ltd 72,315
5,000 Canon Sales Co Inc 113,348
12,000 Chiba Bank Ltd 91,424
1,000 Chudenko Corp 38,611
7,000 Chugai Pharmaceutical Co Ltd 70,286
3,000 Chugoku Bank Ltd 48,755
57,000 Cosmo Oil Co Ltd 374,670
3,000 CSK Corp 81,983
31,000 Daicel Chemical Industries Ltd 146,328
8,000 Daiichi Seiyaku Pharmaceutical Co Ltd 121,733
23,000 Dainippon Ink & Chemicals Inc 100,471
5,000 Dainippon Pharmaceutical Co Ltd 52,275
4,000 Dainippon Screen Manufacturing Co Ltd * 26,334
4,000 Daito Trust Construction Co Ltd 34,367
20,000 Daiwa Bank Ltd 166,865
8,000 Denki Kagaku Kogyo * 26,665
1,000 Denny's Japan Co Ltd 30,640
2,000 Descente Ltd 11,242
7,000 Eisai Co Ltd 106,516
33,000 Fuji Heavy Industries Ltd * 119,901
18,000 Fujisawa Pharmaceutical Co Ltd 204,958
14,000 Fujita Corp 75,069
6,000 Fujita Kanko Inc 117,385
54,000 Fujiya Co Ltd 271,104
1,000 Fukuoka City Bank Ltd 7,360
18,000 Fukuyama Transporting Co Ltd 166,575
19,000 Furukawa Electric Co Ltd 105,812
80,000 Gakken Co Ltd * 579,680
34,000 General Sekiyu (KK) 322,385
36,000 Godo Shusei Co Ltd * 172,538
6,000 Green Cross Corp 50,184
55,000 Hankyu Corp 296,051
5,000 Hankyu Department Stores Inc 51,343
11,000 Hanwa Co Ltd * 35,754
19,000 Haseko Corp 101,289
9,000 Hazama Ltd 43,787
4,000 Higo Bank Ltd 31,551
8,000 Hiroshima Bank Ltd 45,546
19,000 Hitachi Maxell Ltd 296,983
68,000 Hitachi Sales Corp 401,221
6,000 Hokkaido Bank Ltd 22,173
8,000 Hokuriku Bank Ltd 53,248
2,000 Honen Corp 11,759
1,000 House Foods Corp 18,529
3,000 Hoya Corp 64,593
22,000 Hyogo Bank Ltd * 60,349
4,000 INAX Corp 40,453
39,000 Intec Inc 500,595
8,000 Itoham Foods Inc 54,656
22,000 Japan Airport Terminal Co Ltd 239,118
100,000 Japan Energy Co Ltd 358,160
100,000 Japan Synthetic Rubber Co Ltd 564,153
30,000 Joshin Denki Co Ltd 341,597
2,000 Kaken Pharmaceutical Co Ltd 22,566
11,000 Kamigumi Co Ltd 91,093
6,000 Kao Corp 65,214
32,000 Keihin Electric Express Railway Co Ltd 185,166
42,000 Keio Teito Electric Railway Co Ltd 230,858
17,000 Keisei Electric Railway Co Ltd 123,710
1,000 Kissei Pharmaceutical Co Ltd 38,818
2,000 Kobori Juken Co Ltd 19,254
15,000 Koito Manufacturing Co Ltd 111,795
50,000 Kokusai Kogyo Co Ltd 492,211
5,000 Kokuyo Co Ltd 120,594
29,000 Komatsu Ltd 212,836
1,000 Konami Co Ltd 18,426
10,000 Konica Corp 68,319
49,000 Koyo Seiko Co Ltd 420,993
19,000 Kumagai Gumi Co Ltd 94,208
104,000 Kurabo Industries Ltd 387,558
227,000 Kureha Chemical Industry Co Ltd 1,064,448
4,000 Kyodo Printing Co Ltd 39,335
13,000 Kyowa Hakko Kogyo Co Ltd 125,687
16,000 Lion Corp 95,068
56,000 Maeda Corp 597,071
52,000 Makino Milling Machine Co Ltd * 387,558
43,000 Marubeni Corp 196,294
95,000 Marudai Food Co Ltd 641,168
13,000 Matsushita Electric Works Ltd 131,204
24,000 Matsushita Refrigeration Co 180,115
6,000 Matsuzakaya Co Ltd 68,941
31,000 Mazda Motor Corp * 144,082
9,000 Mercian Corp 61,488
200 Mitsubishi Chemical Corp 961
14,000 Mitsubishi Gas Chemical Co Inc 57,243
32,000 Mitsubishi Materials Corp 150,717
41,000 Mitsubishi Oil Co Ltd 356,079
18,000 Mitsubishi Rayon Co Ltd 60,929
21,000 Mitsubishi Trust & Banking Corp 297,811
7,000 Mitsubishi Warehouse & Transportation Co Ltd 99,995
49,000 Mitsuboshi Belting Ltd 285,058
13,000 Mitsui Mining Co Ltd * 59,210
22,000 Mitsui Toatsu Chemicals Inc 76,746
19,000 Mitsui Trust & Banking Co Ltd 170,912
6,000 Mitsui-Soko Co Ltd 41,613
3,000 Mochida Pharmaceutical Co Ltd 60,556
75,000 Nagasakiya Co Ltd * 378,086
51,000 Nagoya Railroad Co Ltd 244,428
30,000 Nakkai Electric Railway Co Ltd 218,622
2,000 Namco Ltd 43,476
131,000 Nichiei Co Ltd 656,322
8,000 Nichii Co Ltd 86,952
6,000 Nihon Cement Co Ltd 41,737
1,000 Nippon Beet Sugar Manufacturing Co Ltd 4,182
109,000 Nippon Chemi-Con Corp * 599,130
3,000 Nippon Denko Co Ltd 10,714
5,000 Nippon Kayaku Co Ltd 31,572
2,000 Nippon Meat Packers Inc 26,086
4,000 Nippon Metal Industry Co Ltd 14,782
147,000 Nippon Oil Co Ltd 882,563
13,000 Nippon Piston Ring Co Ltd 64,324
12,000 Nippon Sheet Glass Co Ltd 61,488
8,000 Nippon Suisan Kaisha Ltd * 37,265
4,000 Nippon Yakin Kogyo Co Ltd 19,875
46,000 Nissan Fire & Marine Insurance Co Ltd 298,080
2,000 Nisshin Flour Milling Co Ltd 21,324
22,000 Nissho Iwai Corp 99,974
1,000 Nissin Food Products Co Ltd 22,152
7,000 Nitto Boseki Co Ltd * 18,985
5,000 Nitto Denko Corp 70,907
16,000 NSK Ltd 98,546
46,000 Odakyu Electric Railway Co Ltd 336,173
15,000 Okamoto Industries Inc 94,871
7,000 Olympus Optical Co Ltd 65,939
3,000 Ono Pharmaceutical Co Ltd 141,297
10,000 Onoda Cement Co Ltd 57,657
223,000 Renown Inc * 874,872
18,000 Ricoh Co Ltd 153,346
47,000 Royal Co Ltd 608,147
4,000 Ryobi Ltd 19,544
26,000 Sagami Railway Co Ltd 120,843
21,000 Sanden Corp 117,820
4,000 Sankyo Aluminium Industry Co Ltd 21,738
30,000 Sanrio Co Ltd 350,914
4,000 Sanwa Shutter Corp 35,982
131,000 Sanyo Securities Co Ltd 542,415
11,000 Sapporo Breweries Ltd 100,430
5,000 SECOM Co Ltd 264,997
9,000 Seino Transportation Co Ltd 141,608
10,000 Sekisui Chemical Co Ltd 99,374
217,000 Settsu Corp * 786,191
31,000 Shionogi and Co Ltd 262,492
12,000 Shiseido Co Ltd 130,428
4,000 Shochiku Co Ltd 41,820
4,000 Shokusan Jutaku Sogo Co Ltd * 18,633
122,000 Showa Denko * 376,337
30,000 Showa Shell Sekiyu 335,386
5,000 Skylark Co Ltd 73,495
3,000 Snow Brand Milk Products Co Ltd 20,403
5,000 Stanley Electric Co Ltd 33,125
7,000 Sumitomo Coal Mining Co Ltd * 39,925
3,000 Sumitomo Forestry Co Ltd 41,923
21,000 Sumitomo Osaka Cement Co Ltd 103,038
19,000 Sumitomo Trust & Banking Co Ltd 220,278
6,000 Sumitomo Warehouse Co Ltd 35,278
29,000 Taisei Corp 186,719
10,000 Taisho Pharmaceutical Co Ltd 169,763
6,000 Taiyo Yuden Co Ltd 58,382
7,000 Takara Shuzo Co Ltd 52,896
24,000 Tanabe Seiyaku Co Ltd 183,841
24,000 Teikoku Oil Co Ltd 155,271
10,000 Terumo Corp 80,741
55,000 Tobu Railway Co Ltd 329,072
7,000 Toei Co Ltd 46,809
700 Toho Co Ltd 110,139
5,000 Tokai Carbon Co Ltd 19,719
8,000 Tokyo Dome Corp 143,264
77,000 Tokyo Electric Co Ltd * 320,418
39,000 Tokyo Rope Manufacturing Co Ltd * 220,020
8,000 Tokyo Sowa Bank Ltd 36,437
14,000 Tokyotokeiba Co Ltd 65,214
96,000 Tokyu Construction Co Ltd 493,887
71,000 Tokyu Corp 451,995
7,000 Tokyu Department Store Co Ltd 41,157
30,000 Toppan Printing Co Ltd 360,230
24,000 Toshiba Tungaloy Co Ltd * 99,622
4,000 Tostem Corp 117,178
6,000 Toto Ltd * 94,405
11,000 Toyo Engineering Corp 64,334
4,000 Toyo Kanetsu (KK) 21,490
10,000 Toyo Trust & Banking Co Ltd 86,434
26,000 Tsugami Corp 116,267
4,000 Tsumura and Co 45,132
1,000 Uni-Charm Corp 19,357
163,000 Victor Co of Japan Ltd * 1,805,393
6,000 Wacoal Corp 60,866
3,000 Yamaguchi Bank Ltd 49,687
5,000 Yamaha Corp 55,380
9,000 Yamanouchi Pharmaceutical Co Ltd 176,078
21,000 Yamato Transport Co Ltd 217,380
2,000 Yamazaki Baking Co Ltd 36,023
16,000 Yasuda Trust and Banking Co Ltd 117,095
7,000 Yokogawa Electric Corp 63,982
4,000 Yoshitomi Pharmaceutical Industries Ltd 33,580
34,364,819
NEW ZEALAND - 0.6%
25,000 Air New Zealand Ltd Class B 80,765
4,500 Ceramco Corp Ltd 7,126
658,000 DB Group Ltd * 395,969
15,510 Fernz Corp Ltd 51,580
9,201 Fisher and Paykel Industries Ltd 23,605
42,500 Fletcher Challenge Ltd 53,843
14,500 Independent Newspapers Ltd 48,589
218,000 Lion Nathan Ltd 414,276
2,500 Steel and Tube Holdings Ltd 10,214
8,500 Wilson and Horton Ltd 48,459
250,000 Wilson (Neill) Ltd * 1,584
1,136,010
NORWAY - 4.2%
11,100 Aker AS Class A 146,608
4,700 Aker AS Class B (Non Voting) 59,899
16,000 Bergesen d y AS Class A 353,446
8,000 Bergesen d y AS Class B 176,723
123,700 Den Norske Bank AS Series A * 326,763
8,600 Det Norske Luftfartsselskab AS Class B * 313,529
6,900 Dyno Industrier AS 191,862
14,700 Elkem AS * 183,937
29,150 Hafslund Nycomed AS 585,396
11,250 Hafslund Nycomed AS Class B 225,925
3,050 Kvaerner Industrier AS 138,521
1,200 Kvaerner Industrier AS Class B (Non Voting) 51,905
14,400 Leif Hoegh and Co AS 200,204
79,750 Norsk Hydro AS 3,018,313
12,430 Norske Skogindustrier AS Series A 412,836
6,580 Norske Skogindustrier AS Series B 208,376
6,050 Orkla-Borregaard AS Series A 223,368
3,650 Orkla-Borregaard AS Series B (Non Voting) 126,301
46,300 Unitor AS 704,506
13,000 Vard AS Class A * 15,463
9,760 Vital Forsikring AS Series A 98,001
7,761,882
SINGAPORE - 5.9%
42,000 Amcol Holdings Ltd 84,617
6,000 Boustead Holdings Berhad 10,391
2,391,000 Chuan Hup Holdings Ltd 2,144,617
21,000 Fraser and Neave Ltd 221,686
247,000 Hai Sun Hup Group Ltd 236,886
16,500 Haw Par Brothers International Ltd 34,153
178,000 Hotel Properties Ltd 310,719
122,000 Inchcape Berhad 398,993
138,888 Jardine Matheson Holdings Ltd * 1,277,770
911,500 Jardine Strategic Holdings Ltd * 3,390,780
47,000 Kulim Berhad 67,127
45,000 Low Keng Huat Singapore Ltd 23,597
24,000 Natsteel Ltd 55,639
170,000 Neptune Orient Lines Ltd 219,340
210,000 Parkway Holdings Ltd 469,452
97,000 Prima Ltd 371,442
223,000 Robinson and Co Ltd 900,093
34,000 Straits Trading Co Ltd 77,883
245,000 Times Publishing Ltd 652,499
46,000 Wearne Brothers Ltd 104,102
11,051,786
SPAIN - 6.0%
11,050 Acerinox SA 1,170,367
7,500 Asland SA 100,542
36,403 Asturiana del Zinc SA * 358,532
9,300 Azucarera de Espana SA 240,256
27,600 Banco Zaragozano SA 404,511
900 Bodegas y Bebidas SA 24,622
225 Bodegas y Bebidas SA (New) * 6,033
15,650 Cristileria Espanola SA * 785,362
22,000 Empresa Nacional de Celulosa SA * 592,424
40,400 Ercros SA * 46,106
19,950 Espanola de Carburos Metalicos SA 746,963
138,100 Espanola de Tubos por Extrusion SA * 115,504
3,500 Fabricacion de Automoviles Renault de Espana SA 102,046
3,783 Grupo Anaya SA * 94,625
27,400 Grupo Duro Felguera SA * 109,016
273,700 Huarte SA 2,460,328
1,010 Koipe SA 53,685
275,820 Sarrio SA * 1,218,133
43,850 Tableros Defibras Series B * 419,881
43,850 Tableros Fibras Rights 4/12/95 * 25,707
215,000 Uralita SA * 2,125,932
11,200,575
SWEDEN - 5.1%
65,400 Bilspedition AB Series B * 256,531
40,700 Celsius Industrier AB Class B 900,777
1,000 Esselte AB Series A 13,075
600 Esselte AB Series B 7,927
28,200 Euroc Industri AB Series A 618,364
57,860 Marieberg Tidnings AB Series A 1,379,069
3,300 Mo Och Domsjoe AB Series B * 164,275
34,600 Pharmacia AB Class B 633,823
138,420 Skandinaviska Enskilda Banken Series A * 755,984
3,000 SKF AB Class B * 55,364
295,400 Stena Line AB Class B 1,734,032
46,400 Svenska Handelsbanken Series B 559,282
3,600 Svenska Kullagerfabriken AB 66,192
64,300 Sydkraft AB Series A 998,356
55,600 Sydkraft AB Series C * 742,113
31,900 Trelleborg AB Series B * 440,987
9,326,151
SWITZERLAND - 9.9%
1,000 Adia SA * 185,476
50 Ascom Holding AG * 54,433
550 Ascom Holding AG * 124,189
1,290 Baloise Holdings 2,392,645
3,220 Bobst SA (Registered) 2,077,336
625 CIBA-GEIGY AG (Bearer) 395,145
475 CS Holdings (Bearer) 196,504
500 CS Holdings (Registered) 41,329
100 Danzas Holding AG 90,722
350 Elektrowatt AG (Bearer) 91,166
40 Elvia Schweiz Versicherungs 123,382
170 EMS-Chemie Holdings AG * 509,979
250 Fischer (George) AG (Registered) * 58,869
30 Forbo Holding AG (Bearer) 53,466
40 Forbo Holding AG (Registered) 36,128
125 Helvetia Schweizerische Versicherungsgesellschaft 58,969
150 Hero AG (Bearer) 75,844
500 Hero AG (Registered) 64,514
1,175 Hilti AG, Schaan (Participating Certificate) 862,264
625 Holderbank Financiere Glarus AG (Bearer) 461,675
2,700 Holderbank Financiere Glarus AG (Registered) 411,516
50 Interdiscount Holding SA (Bearer) 62,296
3,350 Interdiscount Holding SA (Participating Certificate) 383,614
3,350 Interdiscount Holding SA Warrants 11/15/96 * 3,782
150 Landis and Gyr AG 91,327
930 Magazine zum Globus (Participating Certificate) 573,727
300 Magazine zum Globus (Registered) 183,864
20 Merkur Holding AG 5,338
30 Reisebuero Kuoni AG (Bearer) 919,318
700 Reisebuero Kuoni AG (Participating Certificate) 1,100,762
4,550 Saurer Group Holdings 1,434,660
10 Schindler Holding AG (Bearer) 65,723
190 Schindler Holding AG (Participating Certificate) 235,958
300 Schindler Holding AG (Registered) 367,727
1,050 Schweizerische Rueckversicherungsgesellschaft (Bearer) 627,434
100 Schweizerische Rueckversicherungsgesellschaft (Registered) 59,756
20 SIG AG (Bearer) 39,676
20 SIG AG (Registered) 19,354
450 Sika Finanz AG 128,825
4,600 Sika Finanz AG (Registered) 229,991
890 SMH AG (Bearer) 475,844
3,700 SMH AG (Registered) 440,103
280 Societe Generale de Surveillance Holdings Ltd (Bearer) 406,661
750 Societe Generale de Surveillance Holdings Ltd (Registered) 205,032
175 Sulzer Gebrueder AG 110,782
350 Swiss Bank Corp (Bearer) 100,198
250 Swiss Bank Corp (Registered) 35,684
2,150 Swissair AG (Participating Certificate) * 246,200
630 Union Bank of Switzerland (Bearer) 526,842
250 Union Bank of Switzerland (Registered) 49,796
400 Winterthur Insurance (Registered) 194,508
120 Winterthur Schweizerische Versicherungs-Gesellschaft (Bearer) 60,288
10 Zellweger Luwa AG * 6,532
330 Zurich Versicherungs-Gesellschaft (Bearer) 314,552
450 Zurich Versicherungs-Gesellschaft (Registered) 432,563
18,504,268
UNITED KINGDOM - 23.7%
320,404 AMEC Plc 319,425
101,926 Amstrad Plc 272,585
6,380 Anglian Water Plc 48,411
55,800 Argyll Group 237,971
1,257,000 ASDA Group Plc 1,347,643
2,700 Associated British Foods 24,973
85,400 Astec (BSR) Plc 108,113
52,590 Barratt Developments Plc 137,315
23,360 Bass Plc 186,863
135,600 BAT Industries Plc 892,654
129,063 Berisford International Plc 452,383
30,300 Boots Co Plc 228,474
351,980 British Aerospace Plc 2,623,413
93,150 Bunzl Plc 243,219
630,125 Burton Group Plc 668,085
11,170 Carlton Communications Plc 153,604
26,973 Charter Plc 318,419
49,290 Cobham Plc 238,677
947,025 Costain Group Plc * 333,443
42,968 Dawson International Plc 76,154
149,202 Dixons Group Plc 495,820
2,640 East Midlands Electricity 30,372
133,540 English China Clays Plc 714,263
938,880 Ferranti International Plc * 11,143
6,200 First Leisure Corp Plc 26,000
1,018,500 Forte Plc 3,868,144
123,123 Glaxo Plc 1,235,261
78,945 Grand Metropolitan Plc 477,844
97,680 Greenalls Group Plc 622,933
37,302 Greycoat Plc * 74,966
40,734 Hammerson Property Investment and Development Corp Plc 206,593
116,070 Hazlewood Foods Plc 189,185
86,850 Hillsdown Holdings Plc 246,697
1,601,770 Ladbroke Group Plc 4,283,682
40,843 Laing (John) Plc 118,923
8,859 Laing (John) Plc Class A (Non Voting) 25,935
1,266,000 Lasmo Plc * 3,075,193
79,940 Lex Service Plc 356,733
47,740 London Electricity Plc 545,444
223,137 London International Group Plc * 335,448
1,007,401 Lonrho Plc 2,311,536
49,420 Manweb Plc 619,382
96,020 Marks & Spencer Plc 566,002
45,117 Marley Plc 86,745
23,500 McAlpine (Alfred) Plc 58,385
43,462 Meyer International Plc 213,207
30,320 Midland Electricity 352,173
212,347 Norcros Plc 262,102
56,240 Northern Electric Plc 940,699
117,400 Northern Foods Plc 376,204
34,838 Northumbrian Water Group Plc 403,547
83,160 NORWEB Plc 1,044,877
47,100 Ocean Group Plc 205,712
61,880 Reckitt & Colman Plc 614,951
62,494 Sainsbury Plc 404,475
4,440 Scottish & Newcastle Plc 34,885
148,200 Sears Plc 232,174
23,640 Securicor Group A Plc (Non Voting) 342,294
79,880 SEEBOARD Plc 546,549
571,340 Signet Group Plc * 158,221
116,394 Simon Engineering Plc * 144,587
32,569 Smithkline Beecham Plc Class A 259,498
25,860 Smithkline Beecham Plc Equity Units 197,450
29,080 South Wales Electricity 374,354
19,396 South West Water Plc 152,085
49,760 South Western Electricity Plc 638,604
446 Southern Water Plc 3,846
19,350 Storehouse Plc 67,977
171,893 T and N Plc 440,660
841,015 Tarmac Plc 1,397,409
702,869 Taylor Woodrow Plc 1,312,462
400,217 Trafalgar House Plc 392,661
38,469 Trafalgar House Plc Cumulative Convertible Redeemable
Preferred 6.00% 50,831
124,550 Transport Development Group Plc 367,581
29,505 Unilever Plc 546,276
151,440 United Biscuits Holdings Plc 800,419
14,840 Welsh Water Plc 139,258
10,262 Wessex Water Plc 44,333
12,740 Whitbread Plc Class A (Limited Voting) 108,463
135,730 Wilson (Connolly) Holdings Plc 264,187
373,085 Wimpey (George) Plc 711,419
5,290 Wolseley Plc 29,383
44,070,266
TOTAL STOCK AND EQUIVALENTS (Cost $192,284,532) 183,504,822
PAR VALUE SHORT-TERM INVESTMENTS - 0.7%
$ 1,300,000 Republic Bank of New York Deposit, 6.00% due 3/1/95
(at amortized cost) 1,300,000
TOTAL INVESTMENTS - 99.3%
(Cost $193,584,532) * * 184,804,822
Other Assets and Liabilities (net) - 0.7% 1,380,378
TOTAL NET ASSETS - 100.0% $ 186,185,200
Notes to the Schedule of Investments:
(a) Security is valued by management (Note 1).
(b) Restricted security - This security is not
registered under the Securities Act of 1933. At
February 28, 1995, restricted securities amounted
to $690,575 or 0.4% of net assets.
* Non-income producing security.
** The aggregate identified cost for federal income
tax purposes is $193,590,857 resulting in gross
unrealized appreciation and depreciation of
$9,030,569 and $17,816,604, respectively, and net
unrealized depreciation of $8,786,035.
|
At February 28, 1995, industry sector diversification of the Fund's equity investments was as follows:
PERCENTAGE OF
INDUSTRY SECTOR NET ASSETS
Services 20.6 %
Construction 14.3
Consumer Goods 9.2
Machinery 7.0
Retail Stores 6.4
Oil and Gas 6.0
Transportation 4.8
Technology 4.4
Utilities 4.4
Banking 3.4
Primary Processing 3.4
Metals and Mining 2.5
Insurance 2.4
Food and Beverage 2.2
Miscellaneous 7.6
98.6 %
|
See accompanying notes to the financial statements.
GMO INTERNATIONAL SMALL COMPANIES FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - FEBRUARY 28, 1995
ASSETS:
Investments, at value (cost $192,284,532) (Note 1) $ 183,504,822
Short-term investments, at amortized cost (Note 1) 1,300,000
Foreign currency, at value (cost $4,031,644) (Note 1) 4,039,541
Cash 21,311
Receivable for investments sold 2,170,699
Receivable for Fund shares sold 500,000
Dividends and interest receivable 194,533
Receivable for open forward foreign currency contracts 95,026
Receivable for foreign tax reclaims 75,612
Receivable for expenses waived or borne by Manager (Note 2) 138,530
Total assets 192,040,074
LIABILITIES:
Payable for investments purchased 3,724,728
Payable for Fund shares repurchased 984,515
Payable for open forward foreign currency contracts 832,161
Payable to affiliate for management fee (Note 2) 180,144
Accrued expenses 133,326
Total liabilities 5,854,874
NET ASSETS(equivalent to $11.95 per share based
on 15,585,433 shares outstanding, unlimited shares authorized) $ 186,185,200
NET ASSETS CONSIST OF:
Paid-in capital $ 194,013,481
Undistributed net investment income 706,457
Accumulated net realized gain on investments, foreign currency, forward
contracts and foreign currency related transactions 981,267
Net unrealized depreciation on investments, foreign currency,
forward contracts and foreign currency related transactions (9,516,005)
NET ASSETS $ 186,185,200
|
See accompanying notes to the financial statements.
GMO INTERNATIONAL SMALL COMPANIES FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - YEAR ENDED FEBRUARY 28, 1995
INVESTMENT INCOME:
Dividends (net of foreign tax expense of $535,667) $ 3,626,690
Interest 234,023
Total income 3,860,713
EXPENSES:
Management fee (Note 2) 2,184,055
Custodian fees 384,653
Audit fees 57,710
Transfer agent fees 27,223
Registration fees 14,468
Stamp duties and transfer taxes 13,766
Legal fees 6,424
Insurance 2,095
Trustee fee (Note 2) 877
Miscellaneous 1,008
Total expenses 2,692,279
Less: expenses waived or borne by Manager (Note 2) (1,368,080)
Net expenses 1,324,199
Net investment income 2,536,514
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FOREIGN
CURRENCY, FORWARD CONTRACTS AND FOREIGN CURRENCY RELATED
TRANSACTIONS:
Net realized gain (loss) on:
Investments 10,513,218
Foreign currency, forward contracts and foreign
currency related transactions (865,809)
Net realized gain 9,647,409
Change in net unrealized appreciation (depreciation) on:
Investments (31,174,311)
Foreign currency, forward contracts and foreign
currency related transactions (652,541)
Net unrealized loss (31,826,852)
Net realized and unrealized loss on investments,
foreign currency, forward contracts and foreign
currency related transactions (22,179,443)
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $ (19,642,929)
|
See accompanying notes to the financial statements.
GMO INTERNATIONAL SMALL COMPANIES FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
YEAR ENDED
FEBRUARY 28, 1995 FEBRUARY 28, 1994
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 2,536,514 $ 1,002,016
Net realized gain on investments, foreign
currency, forward contracts and foreign currency
related transactions 9,647,409 6,068,886
Change in net unrealized appreciation (depreciation) on
investments, foreign currency, forward contracts
and foreign currency related transactions (31,826,852) 24,443,182
Net increase (decrease) in net assets
resulting from operations (19,642,929) 31,514,084
Distributions to shareholders from:
Net investment income (2,988,635) (829,189)
Net realized gains (13,044,663) (561,334)
(16,033,298) (1,390,523)
Fund share transactions: (Note 5)
Proceeds from sale of shares 110,097,988 80,216,853
Net asset value of shares issued to shareholders
in payment of distributions declared 14,268,183 771,191
Cost of shares repurchased (35,149,466) (14,268,984)
Net increase in net assets resulting
from Fund share transactions 89,216,705 66,719,060
Total increase in net assets 53,540,478 96,842,621
NET ASSETS:
Beginning of period 132,644,722 35,802,101
End of period (including undistributed net investment
income of $706,457 and $599,953, respectively) $ 186,185,200 $ 132,644,722
|
See accompanying notes to the financial statements.
GMO INTERNATIONAL SMALL COMPANIES FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
YEAR ENDED FEBRUARY 28/29,
1995 1994 1993 1992 *
NET ASSET VALUE, BEGINNING OF PERIOD $ 14.45 $ 8.91 $ 9.62 $ 10.00
Income (loss) from investment operations:
Net investment income (a) 0.18 0.15 0.35 0.06
Net realized and unrealized gain (loss)
on investments (1.52) 5.59 (0.68) (0.43)
Total from investment operations (1.34) 5.74 (0.33) (0.37)
Less distributions to shareholders from:
Net investment income (0.20) (0.12) (0.38) (0.01)
Net realized gains (0.96) (0.08) -- --
Total distributions (1.16) (0.20) (0.38) (0.01)
NET ASSET VALUE, END OF PERIOD $ 11.95 $ 14.45 $ 8.91 $ 9.62
TOTAL RETURN (B) (9.66%) 64.67% (3.30%) (3.73%)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period $186,185 $132,645 $ 35,802 $24,467
Net expenses to average
daily net assets (a) 0.76%(c) 0.75% 0.75% 0.85%**
Net investment income to average
daily net assets (a) 1.45% 1.50% 4.02% 1.91%**
Portfolio turnover rate 58% 38% 20% 1%
* For the period from the commencement of operations, October 15, 1991
through February 29, 1992.
** Annualized.
(a) Net of fees and expenses voluntarily waived or borne by the Manager of
$.08, $.09, $.09 and $.05 for the fiscal years ended 1995, 1994, 1993 and
for the period ended February 29, 1992, respectively.
(b) Calculation excludes subscription and redemption fees. The total returns
would have been lower had certain expenses not been waived during the
periods shown.
(c) Includes stamp duties and transfer taxes not waived or borne by the
Manager, which approximate .01% of average daily net assets.
|
See accompanying notes to the financial statements.
GMO INTERNATIONAL SMALL COMPANIES FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS
FEBRUARY 28, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO International Small Companies Fund (the "Fund") is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, diversified management investment company. The Trust was established as a Massachusetts Business Trust under the laws of the Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees to create an unlimited number of series ("Funds"), each of which issues a separate series of shares. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market quotations are available are valued at the last quoted sale price on each business day, or if there is no such reported sale, at the most recent quoted bid price. Unlisted securities for which market quotations are readily available are valued at the most recent quoted bid price. Securities which are primarily traded on foreign exchanges are generally valued at the preceding closing values of such securities on their respective exchanges, and those values are then translated into U.S. dollars at the current exchange rate. Short-term investments with a remaining maturity of sixty days or less are valued at amortized cost which approximates market value. Other assets and securities for which no quotations are readily available are valued at fair value as determined in good faith by the Trustees.
FOREIGN CURRENCY TRANSLATION
The accounting records of the Fund are maintained in U.S. dollars. The market values of foreign securities, currency holdings, other assets and liabilities are translated to U.S. dollars based on the prevailing exchange rates each business day. Income and expenses denominated in foreign currencies are translated at prevailing exchange rates when accrued or incurred. The Fund does not isolate realized and unrealized gains and losses attributable to changes in exchange rates from gains and losses that arise from changes in the market value of investments. Such fluctuations are included with net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net exchange gains and losses on disposition of foreign currencies and the difference between the amount of investment income and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent amounts actually received or paid.
FORWARD CURRENCY CONTRACTS
The Fund may enter into forward currency contracts in connection with planned purchases or sales of securities or to hedge the currency exposure associated with some or all of the Fund's portfolio securities. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The market value of a forward currency contract fluctuates with changes in forward currency exchange rates. Forward currency contracts are marked to market daily and the change in value is recorded by the Fund as an unrealized gain or loss. When a forward currency contract is extinguished, through delivery or offset by entering into another forward currency contract with the same broker, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished or offset. These contracts may involve market risk in excess of the unrealized gain or loss reflected in the Fund's Statement of Assets and Liabilities. In addition, the Fund could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency changes unfavorably to the U.S. dollar. The U. S. dollar value of the currencies the Fund has committed to sell is shown under Note 6, and represents the currency exposure the Fund has acquired or hedged through currency contracts as of February 28, 1995.
TAXES
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). It is the policy of the Fund to distribute all of its taxable income, including any net realized gain on investments not offset by loss carryovers, to shareholders within the prescribed time periods. Therefore, no provision for federal income or excise tax is necessary. Taxes on foreign interest and dividend income have been withheld in accordance with the applicable country's tax treaty with the United States. Dividends received by shareholders of the Fund which are derived from foreign source income and foreign taxes paid by the Fund are to be treated, to the extent allowable under the Code, as if paid and received by the shareholders of the Fund.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment income and net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryover for federal income tax purposes. The Fund's present policy is to declare and pay distributions from net investment income semi-annually, and net realized short-term and long-term capital gains at least annually. All distributions will be paid in shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. There is no premium incurred on reinvested distributions.
Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences are primarily due to differing treatments for foreign currency transactions.
The following reclassification represents the cumulative amount necessary to report these balances on a tax basis, excluding certain temporary differences, as of February 28, 1995. This reclassification has no impact on net investment income, realized gain/loss and net asset value of the Fund and is primarily attributable to certain differences in the computation of distributable income and capital gains under federal tax rules versus generally accepted accounting principles.
Undistributed Net Investment Accumulated Net Realized
Income Gain Paid-in Capital
$558,625 ($558,625) -
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SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Dividend income is recorded on the ex-dividend date, or when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an individual Fund. Expenses which are not readily identifiable to a specific Fund are allocated in such manner as deemed equitable by the Trustees, taking into consideration, among other things, the nature and type of expense and the relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is 1.25% of the amount invested. In the case of cash redemptions, the premium is .75% of the amounts redeemed. The Manager may waive such premium to the extent that a transaction results in minimal brokerage and transaction costs to the Fund. All purchase and redemption premiums are paid to and recorded as paid-in capital by the Fund. For the year ended February 28, 1995, the Fund received $912,912, and $41,963 in purchase and redemption premiums, respectively. There is no premium for reinvested distributions or in-kind transactions.
INVESTMENT RISK
There are certain additional risks involved in investing in foreign securities that are not inherent in investments of domestic securities. These risks may involve adverse political and economic developments and the possible imposition of currency exchange blockages or other foreign governmental laws or restrictions. In addition, the securities of some foreign companies and securities markets are less liquid and at times more volatile than securities of comparable U.S. companies and U.S. securities markets.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the "Manager"), for management and investment advisory services is paid monthly at the annual rate of 1.25% of average daily net assets. The Manager has agreed to waive a portion of its fee and bear other expenses until further notice to the extent that the Fund's annual expenses (including management and custody fees but excluding brokerage commissions and transfer taxes) exceed .75% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee during the year ended February 28, 1995, was $877. No remuneration is paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended February 28, 1995, aggregated $171,720,430 and $98,589,111, respectively.
4. PRINCIPAL SHAREHOLDERS
At February 28, 1995, 12% of the outstanding shares of the Fund were held by one shareholder.
5. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value). Transactions in Fund shares were as follows:
Year Ended Year Ended
February 28, 1995 February 28, 1994
Shares sold 7,848,879 6,240,437
Shares issued to shareholders in reinvestment
of distributions 1,117,555 59,556
Shares repurchased (2,560,141) (1,140,840)
Net increase 6,406,293 5,159,153
Fund shares:
Beginning of period 9,179,140 4,019,987
End of period 15,585,433 9,179,140
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6. FINANCIAL INSTRUMENTS
A summary of open forward currency contracts at February 28, 1995 is as follows:
FORWARD CURRENCY CONTRACTS TO SELL
Settlement Units of In Exchange for Net Unrealized
Date Deliver Currency (in U.S. Dollars) Appreciation
(Note 1) (Depreciation)
2/1/96 British Pounds 6,000,000 $ 9,512,700 $ 95,026
6/1/95 Deutsche Marks 3,872,000 2,364,226 (290,738)
7/3/95 Deutsche Marks 6,100,000 3,865,653 (321,320)
12/1/95 Deutsche Marks 4,760,000 3,090,909 (190,718)
2/1/96 Deutsche Marks 1,450,000 971,720 (29,385)
(737,135)
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* * *
GMO INTERNATIONAL SMALL COMPANIES FUND
(A SERIES OF GMO TRUST)
FEDERAL INCOME TAX INFORMATION ON DISTRIBUTIONS - (UNAUDITED)
For the fiscal year ended February 28, 1995, all of the Fund's distributions are from investment company taxable income, except that the Fund has designated 80.00% of distributions as net capital gain dividends.
GMO JAPAN FUND
(A SERIES OF GMO TRUST)
ANNUAL REPORT
FEBRUARY 28, 1995
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees of GMO Trust and the Shareholders of GMO Japan Fund (A Series of GMO Trust)
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of GMO Japan Fund at February 28, 1995, and the results of its operations, the changes in its net assets and the financial highlights for the periods presented, in conformity with generally accepted accounting principles. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Trust's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with generally accepted auditing standards which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 28, 1995 by correspondence with the custodian, provide a reasonable basis for the opinion expressed above.
Price Waterhouse LLP
Boston, Massachusetts
April 14, 1995
GMO JAPAN FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
FEBRUARY 28, 1995
SHARES DESCRIPTION VALUE ($)
STOCK AND EQUIVALENTS - 87.1%
AUTOMOTIVE - 7.0%
15,000 Fuji Heavy Industries Ltd * 54,500
8,000 Honda Motor Co Ltd 120,905
126,000 Mazda Motor Corp * 585,622
313,000 Nissan Motor Co Ltd 2,141,639
74,000 Toyota Motor Corp 1,332,850
4,235,516
BANKING - 4.8%
54,000 Asahi Bank Ltd 631,644
21,000 Bank of Fukuoka Ltd 154,557
20,000 Bank of Tokyo Ltd 293,981
10,000 Gunma Bank Ltd 107,655
14,000 Hiroshima Bank Ltd 79,706
23,000 Mitsui Trust & Banking Co Ltd 206,894
24,000 Sanwa Bank Ltd 469,541
42,000 Sumitomo Trust & Banking Co Ltd 486,931
14,000 Tokai Bank Ltd 160,861
42,000 Yasuda Trust and Banking Co Ltd 307,375
2,899,145
CONSTRUCTION - 7.2%
11,000 Aoki Corp 60,349
2,000 Chudenko Corp 77,222
4,000 Daito Trust Construction Co Ltd 34,367
56,000 Fujita Corp 300,274
11,000 Haseko Corp 58,641
8,000 Hazama-Gumi Ltd 38,921
4,000 INAX Corp 40,453
20,000 Kajima Corp 177,838
18,000 Kumagai Gumi Co Ltd 89,250
13,000 Maeda Corp 138,606
30,000 Matsushita Electric Works Ltd 302,779
26,000 Mitsubishi Paper Mills Ltd 151,255
6,000 Nihon Cement Co Ltd 41,737
20,000 Obayashi Corp * 151,131
7,000 Okumura Corp 60,069
10,000 Onoda Cement Co Ltd 57,657
4,000 Sanwa Shutter Corp 35,982
70,000 Sekisui Chemical Co Ltd 695,616
61,000 Sekisui House Ltd 688,267
15,000 Shimizu Corp 149,061
7,000 Sumitomo Forestry Co Ltd 97,821
33,000 Sumitomo Osaka Cement Co Ltd 161,917
78,000 Taisei Corp 502,210
6,000 Tokyu Construction Co Ltd 30,868
4,000 Tostem Corp 117,178
6,000 Toto Ltd * 94,405
4,353,874
CONSUMER GOODS - 10.4%
6,000 Ajinomoto Co Inc 69,562
13,000 Ezaki Glico Co Ltd 115,729
33,000 Fuji Photo Film Co Ltd 707,106
2,000 Hitachi Maxell Ltd 31,261
6,000 Kao Corp 65,214
6,000 Katokichi Co Ltd 129,186
26,000 Konica Corp 177,631
93,000 Matsushita Electric Industrial Co Ltd 1,347,756
1,700 Nintendo Co Ltd 89,571
11,000 Nippon Meat Packers Inc 143,471
36,000 Nippon Suisan Kaisha Ltd * 167,693
18,000 Nisshinbo Industries Inc 170,488
1,000 Nissin Food Products Co Ltd 22,152
7,000 Olympus Optical Co Ltd 65,939
14,000 Onward Kashiyama Co Ltd 178,252
5,700 QP Corp 58,708
217,000 Sanyo Electric Co Ltd 1,129,872
19,000 Snow Brand Milk Products Co Ltd 129,217
12,000 Sony Corp 521,712
9,000 Tokyo Style Co Ltd 129,496
43,000 Victor Co of Japan Ltd * 476,269
13,000 Wacoal Corp 131,877
6,000 Yakult Honsha Co Ltd 85,089
5,000 Yamaha Corp 55,380
2,000 Yamazaki Baking Co Ltd 36,023
6,234,654
FOOD AND BEVERAGE - 2.6%
26,000 Asahi Breweries Ltd 269,137
86 Japan Tobacco Inc * 715,739
36,000 Kirin Brewery Co Ltd 372,652
5,000 Mercian Corp 34,160
11,000 Sapporo Breweries Ltd 100,430
7,000 Takara Shuzo Co Ltd 52,896
1,545,014
INSURANCE - 0.4%
15,000 Dai Tokyo Fire and Marine Insurance Co Ltd 95,958
15,000 Nichido Fire & Marine Insurance Co Ltd 107,914
6,000 Sumitomo Marine & Fire Insurance Co Ltd 46,706
250,578
MACHINERY - 2.9%
6,000 Aida Engineering Ltd 45,277
23,000 Aisin Seiki Co Ltd 264,272
45,000 Amada Co Ltd 447,182
15,000 Daikin Industries Ltd 112,106
17,000 Furukawa Electric Co Ltd 94,674
33,000 Komatsu Ltd 242,192
12,000 Koyo Seiko Co Ltd 103,100
2,000 Kurita Water Industries Ltd 43,683
16,000 NHK Spring Co Ltd 76,683
15,000 NSK Ltd 92,387
22,000 Stanley Electric Co Ltd 145,748
690 Sumitomo Rubber Industries Ltd 5,307
1,672,611
METALS AND MINING - 1.3%
81,000 Mitsubishi Materials Corp 381,502
23,000 Nippon Sheet Glass Co Ltd 117,851
7,000 Sumitomo Coal Mining Co Ltd * 39,925
9,000 Toyo Seikan Kaisha Ltd 258,061
797,339
OIL AND GAS - 7.3%
4,900 Arabian Oil Co Ltd 206,439
58,000 Cosmo Oil Co Ltd 381,243
35,000 General Sekiyu (KK) 331,867
100,000 Japan Energy Co Ltd 358,160
41,000 Mitsubishi Oil Co Ltd 356,079
13,000 Mitsui Mining Co Ltd * 59,210
225,000 Nippon Oil Co Ltd 1,350,862
30,000 Showa Shell Sekiyu 335,386
24,000 Teikoku Oil Co Ltd 155,271
59,000 Toa Nenryo Kogyo (KK) 879,458
4,413,975
PHARMACEUTICALS - 2.5%
7,000 Banyu Pharmaceutical Co Ltd 72,315
7,000 Chugai Pharmaceutical Co Ltd 70,286
5,000 Dainippon Pharmaceutical Co Ltd 52,275
39,000 Fujisawa Pharmaceutical Co Ltd 444,076
3,000 Kaken Pharmaceutical Co Ltd 33,849
4,000 Kissei Pharmaceutical Co Ltd 155,271
3,000 Mochida Pharmaceutical Co Ltd 60,556
4,000 Ono Pharmaceutical Co Ltd 188,396
10,000 Taisho Pharmaceutical Co Ltd 169,763
10,000 Yamanouchi Pharmaceutical Co Ltd 195,642
4,000 Yoshitomi Pharmaceutical Industries Ltd 33,580
1,476,009
PRIMARY PROCESSING - 5.4%
10,000 Daicel Chemical Industries Ltd 47,203
13,000 Daido Steel Co Ltd 63,920
21,000 Dainippon Ink & Chemicals Inc 91,734
27,000 Denki Kagaku Kogyo * 89,995
10,000 Kansai Paint Co Ltd 52,896
6,000 Kureha Chemical Industry Co Ltd 28,135
51,000 Mitsubishi Gas Chemical Co Inc 208,530
253,000 Mitsubishi Kasei Corp 1,215,175
16,000 Mitsubishi Rayon Co Ltd 54,159
27,000 Mitsui Petrochemical Industries Ltd 190,052
20,000 Nippon Yakin Kogyo Co Ltd 99,374
43,000 Nisshin Steel Co Ltd 180,270
6,000 Shin-Etsu Chemical Co Ltd 96,889
152,000 Sumitomo Metal Industries Ltd * 435,837
58,000 Teijin Ltd 271,974
11,550 Toagosei Chemical Industry Co Ltd 59,540
13,000 Toray Industries Inc 81,549
3,267,232
PRINTING AND PUBLISHING - 1.9%
33,000 Dai Nippon Printing Co Ltd 488,484
4,000 Kyodo Printing Co Ltd 39,335
49,000 Toppan Printing Co Ltd 588,375
1,116,194
REAL ESTATE - 3.5%
12,000 Daikyo Inc 86,828
10,000 Daiwa Kosho Lease Co Ltd 90,161
7,000 Heiwa Real Estate Co Ltd 50,722
90,000 Mitsubishi Estate Co Ltd 908,338
56,000 Mitsui Fudosan Co Ltd 573,304
28,000 Sumitomo Realty & Development Co Ltd 152,456
15,000 Tokyo Tatemono Co Ltd 84,157
32,000 Tokyu Land Corp 144,423
2,090,389
RETAIL STORES - 1.3%
5,000 Hankyu Department Stores Inc 51,343
27,000 Marui Co Ltd 385,694
4,000 Matsuzakaya Co Ltd 45,960
7,000 Nichii Co Ltd 76,083
7,000 Tokyu Department Store Co Ltd 41,157
13,000 UNY Co Ltd 195,124
795,361
SERVICES - 9.1%
5,000 Canon Sales Co Inc 113,348
5,000 CSK Corp 136,639
13,000 Daiichi Seiyaku Co Ltd 197,816
1,000 Denny's Japan Co Ltd 30,640
7,000 Eisai Co Ltd 106,516
6,000 Fujita Kanko Inc 117,385
6,000 Green Cross Corp 50,184
10,000 Hanwa Co Ltd * 32,503
3,000 Hoya Corp 64,593
44,000 Itochu Corp 259,158
11,000 Kamigumi Co Ltd 91,093
6,000 Kokuyo Co Ltd 144,713
12,000 Kyowa Hakko Kogyo Co Ltd 116,019
15,000 Lion Corp 89,126
105,000 Marubeni Corp 479,323
6,000 Mitsui-Soko Co Ltd 41,613
2,000 Namco Ltd 43,476
5,000 Nippon Kayaku Co Ltd 31,572
23,000 Nippon Shinpan Co Ltd 171,420
20,000 Nissho Iwai Corp 90,886
14,000 Okamoto Industries Inc 88,546
12,000 Sankyo Co Ltd 281,973
5,000 SECOM Co Ltd 264,997
10,000 Shionogi and Co Ltd 84,675
39,000 Shiseido Co Ltd 423,891
4,000 Shochiku Co Ltd 41,820
5,000 Skylark Co Ltd 73,495
93,000 Sumitomo Corp 799,027
6,000 Sumitomo Warehouse Co Ltd 35,278
26,000 Takeda Chemical Industries Ltd 301,434
7,000 Tanabe Seiyaku Co Ltd 53,620
10,000 Terumo Corp 80,741
7,000 Toei Co Ltd 46,809
700 Toho Co Ltd 110,139
10,000 Tokyo Broadcasting System Inc 135,604
8,000 Tokyo Dome Corp 143,264
14,000 Tokyotokeiba Co Ltd 65,214
2,000 Uni-Charm Corp 38,714
3,000 Yamaichi Securities Co Ltd 19,782
5,497,046
TECHNOLOGY - 8.2%
5,000 Alps Electric Co Ltd * 59,521
4,000 Dainippon Screen Manufacturing Co Ltd * 26,334
67,000 Fujitsu Ltd 611,707
177,000 Hitachi Ltd 1,548,212
2,000 Makita Corp 31,054
152,000 Mitsubishi Electric Corp 988,106
300 Murata Manufacturing Co Ltd 9,906
60,000 NEC Corp 569,536
4,000 Omron Corp 67,905
29,000 Ricoh Co Ltd 247,058
11,000 Rohm Co Ltd 404,223
4,000 TDK Corp 165,209
33,000 Tokyo Electric Co Ltd * 137,322
7,000 Yokogawa Electric Corp 63,982
4,930,075
TRANSPORTATION - 10.6%
189 East Japan Railway Co 833,435
18,000 Fukuyama Transporting Co Ltd 166,575
56,000 Hankyu Corp 301,434
5,000 Japan Airport Terminal Co Ltd 54,345
32,000 Keihin Electric Express Railway Co Ltd 185,166
42,000 Keio Teito Electric Railway Co Ltd 230,858
16,000 Keisei Electric Railway Co Ltd 116,433
102,000 Kinki Nippon Railway Co Ltd 817,225
7,000 Mitsubishi Warehouse & Transportation Co Ltd 99,995
52,000 Nagoya Railroad Co Ltd 249,221
30,000 Nakkai Electric Railway Co Ltd 218,622
70,000 Nippon Express Co Ltd 623,156
46,000 Odakyu Electric Railway Co Ltd 336,173
25,000 Sagami Railway Co Ltd 116,195
19,000 Seibu Railway Co Ltd 694,270
20,000 Seino Transportation Co Ltd 314,684
56,000 Tobu Railway Co Ltd 335,055
71,000 Tokyu Corp 451,995
22,000 Yamato Transport Co Ltd 227,731
6,372,568
UTILITIES - 0.7%
8,000 Chugoku Electric Power Co Inc 178,873
7,600 Kyushu Electric Power Co Inc 175,436
2,500 Tohoku Electric Power Co Inc 60,815
415,124
TOTAL STOCK AND EQUIVALENTS (Cost $54,982,140) 52,362,704
PAR VALUE SHORT-TERM INVESTMENTS - 0.8%
$ 500,000 Republic Bank of New York Deposit, 6.00% due 3/1/95
(at amortized cost) 500,000
TOTAL INVESTMENTS - 87.9%
(Cost $55,482,140) * * $ 52,862,704
Other Assets and Liabilities (net) - 12.1% 7,260,459
TOTAL NET ASSETS - 100.0% $ 60,123,163
NOTES TO THE SCHEDULE OF INVESTMENTS:
* Non-income producing security.
** The aggregate identified cost for federal income tax
purposes is $55,672,217 resulting in gross unrealized
appreciation and depreciation of $1,547,820 and $4,357,333,
respectively, and net unrealized depreciation of
$2,809,513.
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See accompanying notes to the financial statements.
GMO JAPAN FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - FEBRUARY 28, 1995
ASSETS:
Investments, at value (cost $54,982,140) (Note 1) $ 52,362,704
Short-term investments, at amortized cost (Note 1) 500,000
Foreign currency, at value (cost $1,195,431) (Note 1) 1,205,331
Cash 48,718
Receivable for Fund shares sold 6,000,000
Dividends and interest receivable 143,040
Total assets 60,259,793
LIABILITIES:
Payable to affiliate for management fee (Note 2) 43,290
Accrued expenses 93,340
Total liabilities 136,630
NET ASSETS(equivalent to $9.12 per share based
on 6,591,242 shares outstanding, unlimited shares authorized) $ 60,123,163
NET ASSETS CONSIST OF:
Paid-in capital $ 51,478,963
Distributions in excess of net investment income (401,346)
Accumulated net realized gain on investments, closed futures
contracts, foreign currency and foreign currency related
transactions 11,647,848
Net unrealized depreciation on investments, foreign
currency and foreign currency related transactions (2,602,302)
NET ASSETS $ 60,123,163
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See accompanying notes to the financial statements.
GMO JAPAN FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - YEAR ENDED FEBRUARY 28, 1995
INVESTMENT INCOME:
Dividends (net of foreign tax expense of $636,314) $ 3,606,109
Interest 80,066
Total income 3,686,175
EXPENSES:
Management fee (Note 2) 3,394,922
Custodian fees 350,102
Audit fees 57,689
Stamp duties and transfer taxes 34,137
Transfer agent fees 27,251
Legal fees 19,563
Insurance 5,390
Trustee fee (Note 2) 2,098
Registration 1,000
Miscellaneous 451
Total expenses 3,892,603
Less: expenses waived or borne by Manager (Note 2) (113,442)
Net expenses 3,779,161
Net investment loss (92,986)
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, CLOSED FUTURES
CONTRACTS, FOREIGN CURRENCY AND FOREIGN CURRENCY RELATED TRANSACTIONS:
Net realized gain (loss) on:
Investments 152,057,790
Closed futures contracts (65,647)
Foreign currency and foreign currency related
transactions (505,154)
Net realized gain 151,486,989
Change in net unrealized appreciation (depreciation) on:
Investments (156,239,782)
Foreign currency and foreign currency related transactions (151,244)
Net unrealized loss (156,391,026)
Net realized and unrealized loss on investments, closed futures
contracts, foreign currency and foreign currency related
transactions (4,904,037)
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $ (4,997,023)
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See accompanying notes to the financial statements.
GMO JAPAN FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
YEAR ENDED
FEBRUARY 28, 1995 FEBRUARY 28, 1994
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment loss $ (92,986) $ (50,840)
Net realized gain on investments, closed futures contracts,
foreign currency and foreign currency related
transactions 151,486,989 11,352,587
Change in net unrealized appreciation (depreciation) on
investments, foreign currency and foreign
currency related transactions (156,391,026) 156,341,625
Net increase (decrease) in net assets resulting from operations (4,997,023) 167,643,372
Distributions to shareholders:
From net investment income -- (1,074)
In excess of net investment income -- (479,900)
From net realized gains (42,616,601) (6,613,389)
(42,616,601) (7,094,363)
Fund share transactions: (Note 5)
Proceeds from sale of shares 95,499,568 27,100,000
Net asset value of shares issued to shareholders
in payment of distributions declared 41,776,818 7,094,363
Cost of shares repurchased (479,890,795) (50,815,336)
Net decrease in net assets resulting
from Fund share transactions (342,614,409) (16,620,973)
Total increase (decrease) in net assets (390,228,033) 143,928,036
NET ASSETS:
Beginning of period 450,351,196 306,423,160
End of period (including distributions in excess of net
investment income of $401,346 and $370,352,
respectively) $ 60,123,163 $ 450,351,196
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See accompanying notes to the financial statements.
GMO JAPAN FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
YEAR ENDED FEBRUARY 28/29,
1995 1994 1993 1992 1991 *
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.13 $ 7.37 $ 7.73 $ 9.48 $ 10.00
Income (loss) from investment operations:
Net investment income (loss) (a) -- (d) -- 0.01 -- (0.01)
Net realized and unrealized gain (loss)
on investments (1.08) 3.94 (0.36) (1.74) (0.39)
Total from investments (1.08) 3.94 (0.35) (1.74) (0.40)
Less distributions to shareholders:
From net investment income -- -- (0.01) -- --
In excess of net investment income -- (0.01) -- -- --
From net realized gains (0.93) (0.17) -- --
From paid-in capital (c) -- -- (0.01) (0.12)
Total distributions (0.93) (0.18) (0.01) (0.01) (0.12)
NET ASSET VALUE, END OF PERIOD $ 9.12 $ 11.13 $ 7.37 $ 7.73 $ 9.48
TOTAL RETURN (B) (10.62%) 53.95% (4.49%) (18.42%) (3.79%)
Ratios/Supplemental Data:
Net assets, end of period (000's) $ 60,123 $ 450,351 $ 306,423 $ 129,560 $ 60,509
Net expenses to average
daily net assets (a) 0.83% 0.87% 0.88% 0.93% 0.95%**
Net investment income to average
daily net assets (a) (0.02%) (0.01%) 0.12% (0.11%) (0.32%)**
Portfolio turnover rate 60% 8% 17% 25% 11%
* For the period from the commencement of operations, June 8, 1990 through February 28, 1991.
** Annualized
(a) Net of fees and expenses voluntarily waived or borne by the Manager of less than $.01 for the year ended February 28,
1995, and $.01 for each of the other periods presented.
(b) Calculation excludes subscription and redemption fees. The total returns would have been lower had certain expenses not
been waived during the periods presented.
(c) Return of capital for book purposes only. A distribution was required for tax purposes to avoid the payment of
federal excise tax.
(d) Based on average month end shares outstanding.
|
See accompanying notes to the financial statements.
GMO JAPAN FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO Japan Fund (the "Fund") is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, non-diversified management investment company. The Trust was established as a Massachusetts Business Trust under the laws of the Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees to create an unlimited number of series ("Funds"), each of which issues a separate series of shares. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market quotations are available are valued at the last quoted sale price on each business day, or if there is no such reported sale, at the most recent quoted bid price. Unlisted securities for which market quotations are readily available are valued at the most recent quoted bid price. Securities which are primarily traded on foreign exchanges are generally valued at the preceding closing values of such securities on their respective exchanges. Those values are then translated into U.S. dollars at the current exchange rate. Short-term investments with a remaining maturity of sixty days or less are valued at amortized cost which approximates market value. Other assets and securities for which no quotations are readily available are valued at fair value as determined in good faith by the Trustees.
FOREIGN CURRENCY TRANSLATION
The accounting records of the Fund are maintained in U.S. dollars. The market values of foreign securities, currency holdings, other assets and liabilities are translated to U.S. dollars based on the prevailing exchange rates each business day. Income and expenses denominated in foreign currencies are translated at prevailing exchange rates when accrued or incurred. The Fund does not isolate realized and unrealized gains and losses attributable to changes in exchange rates from gains and losses that arise from changes in the market value of investments. Such fluctuations are included with net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net exchange gains and losses on disposition of foreign currencies and the difference between the amount of investment income and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent amounts actually received or paid.
FUTURES CONTRACTS
The Fund may purchase Japanese futures contracts. Japanese futures contracts represent commitments for future delivery of cash based upon the level of a specified index of equity securities at a given date. The Fund may use futures contracts to manage its exposure to the stock and currency markets. Buying futures tends to increase the Fund's exposure to the underlying instrument. Selling futures tends to decrease the Fund's exposure to the underlying instruments or hedge other Fund instruments. Upon purchase of a futures contract, the Fund is required to deposit with its custodian, in a segregated account in the name of the futures broker, an amount of cash and U.S. government obligations in accordance with the initial margin requirements of the broker. Futures contracts are marked to market daily and an appropriate payable or receivable for the change in commitment value ("variation margin") is recorded by the Fund. The payable or receivable is liquidated on the following business day. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Losses may arise from the changes in the value of the underlying instrument, if there is an illiquid secondary market for the contracts, or if counterparties do not perform under the contract terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. At February 28, 1995, there were no outstanding futures contracts.
FORWARD CURRENCY CONTRACTS
The Fund may enter into forward currency contracts in connection with planned purchases or sales of securities or to hedge the currency exposure associated with some or all of the Fund's portfolio securities. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The market value of a forward currency contract fluctuates with changes in forward currency exchange rates. Forward currency contracts are marked to market daily and the change in value is recorded by the Fund as an unrealized gain or loss. When a forward currency contract is extinguished, through delivery or offset by entering into another forward currency contract with the same broker, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished or offset. These contracts may involve market risk in excess of the unrealized gain or loss reflected in the Fund's Statement of Assets and Liabilities. In addition, the Fund could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency changes unfavorably to the U.S. dollar. At February 28, 1995, there were no outstanding forward currency contracts.
TAXES
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. It is the policy of the Fund to distribute all of its taxable income, including any net realized gain on investments not offset by loss carryovers, to shareholders within the prescribed time periods. Therefore, no provision for federal income or excise tax is necessary. Taxes on foreign interest and dividend income has been withheld in accordance with the applicable country's tax treaty with the United States.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment income and net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryover for federal income tax purposes. The Fund's present policy is to declare and pay distributions from net investment income semi-annually, and net realized short-term and long-term capital gains, if any, at least annually. All distributions will be paid in shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. There is no premium incurred on reinvested distributions.
Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences are primarily due to differing treatments for foreign currency transactions and redemptions in-kind.
The following reclassification represents the cumulative amount necessary to report these balances on a tax basis, excluding certain temporary differences, as of February 28, 1995. This reclassification has no impact on net investment income, realized gain/loss and net asset value of the Fund and is primarily attributable to certain differences in the computation of distributable income and capital gains under federal tax rules versus generally accepted accounting principles.
Distribution in Excess of Net Accumulated Net Realized
Investment Income Gain Paid-in Capital
$61,992 ($95,036,617) $94,974,625
|
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Dividend income is recorded on the ex-dividend date, or when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an individual Fund. Expenses which are not readily identifiable to a specific Fund are allocated in such manner as deemed equitable by the Trustees, taking into consideration, among other things, the nature and type of expense and the relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is .40% of the amount invested. In the case of cash redemptions, the premium is .70% of the amount redeemed. The Manager may waive such premium to the extent that a transaction results in minimal brokerage and transaction costs to the Fund. All purchase and redemption premiums are paid to and recorded as paid in capital by the Fund. There is no premium for in-kind transactions. For the year ended February 28, 1995 the Fund received $452,607 in purchase premiums and $361,976 in redemption premiums.
INVESTMENT RISK
There are certain additional risks involved in investing in foreign securities that are not inherent in investments of domestic securities. These risks may involve adverse political and economic developments and the possible imposition of currency exchange blockages or other foreign governmental laws or restrictions. In addition, the securities of some foreign companies and securities markets are less liquid and at times more volatile than securities of comparable U.S. companies and U.S. securities markets.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the "Manager"), for management and investment advisory services is paid monthly at the annual rate of .75% of average daily net assets. The Manager has agreed to waive a portion of its fee until further notice to the extent that the Fund's annual expenses (including management fee but excluding brokerage commissions, transfer taxes and custodian fees) exceed .75% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee during the year ended February 28, 1995, was $2,098. No remuneration is paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended February 28, 1995, aggregated $247,277,226 and $637,393,069, respectively.
4. PRINCIPAL SHAREHOLDERS
At February 28, 1995, 92% of the outstanding shares of the Fund were held by two shareholders, each holding in excess of 10% of the Fund's outstanding shares.
5. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value). Transactions in Fund shares were as follows:
Year Ended Year Ended
February 28, 1995 February 28, 1994
Shares sold 8,607,105 3,348,625
Shares issued to shareholders in reinvestment
of distributions 4,075,787 777,039
Shares repurchased (46,537,969) (5,270,795)
Net decrease (33,855,077) (1,145,131)
Fund shares:
Beginning of period 40,446,319 41,591,450
End of period 6,591,242 40,446,319
|
* * *
GMO JAPAN FUND
(A SERIES OF GMO TRUST)
FEDERAL INCOME TAX INFORMATION ON DISTRIBUTIONS - (UNAUDITED)
For the fiscal year ended February 28, 1995, the Fund has designated 100% of distributions as net capital gain dividends.
GMO EMERGING MARKETS FUND
(A SERIES OF GMO TRUST)
ANNUAL REPORT
FEBRUARY 28, 1995
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees of GMO Trust and the Shareholders of GMO Emerging Markets Fund
(A Series of GMO Trust)
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of GMO Emerging Markets Fund at February 28, 1995, and the results of its operations, the changes in its net assets and the financial highlights for the periods presented, in conformity with generally accepted accounting principles. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Trust's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with generally accepted auditing standards which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 28, 1995 by correspondence with the custodian and brokers and the application of alternative auditing procedures where confirmations from brokers were not received, provide a reasonable basis for the opinion expressed above.
Price Waterhouse LLP
Boston, Massachusetts
April 20, 1995
GMO EMERGING MARKETS FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
FEBRUARY 28, 1995
SHARES DESCRIPTION VALUE ($)
STOCK AND EQUIVALENTS - 94.2%
ARGENTINA - 4.3%
3,591,376 Acindar Industria Argentina de Aceros SA Class A * 1,741,730
2,657,777 Alpargatas SA * 1,275,669
714,000 Astra Cia Argentina 835,338
550,791 Atanor Cia Naci * 671,931
8,316,007 Cia Celulosa Argentina SA Class B * 1,746,274
441,794 Ciadea SA 2,429,746
149,954 Corcemar Class B * 554,802
252,381 Garovaglio y Zorraquin * 757,105
749,900 Indupa SA Industrial y Comercial * 299,945
254,966 Industrias Petroq Koppers * 777,607
62,740 Juan Minetti SA 191,347
1,077,200 Ledesma SA 1,184,861
67,983 Pirelli Cables Industria * 71,379
468,308 Rigolleau Christalerias Preferred * 351,213
4,886,300 Siderca * 2,443,028
55,000 YPF Sociedad Anonima ADR 1,045,000
16,376,975
BRAZIL - 14.1%
5,521,000 Acos Villares SA Preferred * 2,536,148
199,446,000 Banco de Brasil SA Preferred 2,584,106
354,319,000 Banco Estado Sao Paulo Preferred 2,549,928
2,380,000 Banco Itau SA Preferred 644,759
121,940,000 Banco Nacional Preferred 2,872,556
2,319,000 Brasinca Industrial SA Preferred * 1,611,555
7,802,000 Caemi Mineracao e Metalurgica SA Preferred 799,498
1,836,000 Copene-Petroquimica do Nordeste SA Class A Preferred 1,557,010
56,343,771 Electrobras Class B Preferred 12,409,566
6,200,000 Electrobras Ordinary 1,402,120
17,000,000 Hering Preferred * 200,236
1,300,000 Iochpe Maxion Preferred 712,014
147,000,000 Ipiranga Brasileira de Petroleo Preferred 2,287,244
335,746,000 Olvebra Preferred * 134,457
141,700,000 Paranapanema Preferred 2,169,729
40,500,000 Petroleo Brasileiro SA Preferred 4,126,802
42,500,000 Siderurgica de Nacional * 1,101,296
2,490,000 Siderurgica de Tubarao Preferred Series B 1,965,018
16,000 Telecomunicacoes Brasileiras SA ADR 456,000
378,731,000 Telecomunicacoes Brasileiras SA Ordinary 9,100,250
93,200,000 Telecomunicacoes Brasileiras SA Preferred 2,755,383
249,222 Telecomunicacoes de Sao Paulo SA Preferred 30,676
54,006,351
CHINA - 0.9%
722,208 China First Pencil Co Ltd Class B * 202,218
1,157,033 Kong Wah 125,708
1,100,000 Maanshan Iron & Steel Series H 220,526
1,172,900 Shanghai Chlor-Alkali Chemical Co Series B 300,262
1,490,900 Shanghai Erfangji Textile Machinery Co Ltd Series B 292,216
434,160 Shanghai Hai Xing Shipping Company Ltd Series B 260,496
877,000 Shanghai Hero Co Ltd Series B * 254,330
1,000,000 Shanghai Petrochemical Co Series H 310,418
437,800 Shanghai Phoenix Bicycle B * 130,464
612,500 Shenzhen China Bicycle Co 261,431
770,000 Shenzhen Konka Electronic B * 383,431
316,000 Sime Darby H.K. 347,410
2,200,000 Tianjin Bohai Chemical Industry (Group) Co Ltd Series H * 278,859
3,367,769
CZECH REPUBLIC - 0.1%
19,100 Czech Republic Fund Inc 200,550
GREECE - 7.9%
25,720 Aktor SA * 393,108
34,820 Alpha Leasing (Registered) 892,472
32,400 Aluminum Co of Greece Preferred * 1,710,966
11,000 Aluminum Co of Greece (Registered) * 514,767
29,200 ATTI-KAT SA * 406,181
750,470 Balkan Export 924,712
236,900 Boutaris Wine Co 1,169,646
238,546 Commercial Bank of Greece (Registered) 8,167,595
81,329 Credit Bank Athens (Registered) 3,732,626
64,270 Ergo Bank SA (Registered) 2,483,374
108,880 Etba Leasing (Registered) 2,056,800
87,500 Etma Rayon Manufacturers * 456,432
6,000 Hellas Can Sa Packaging Manufacturers 103,039
93,600 Hellenic Technodom SA 1,707,875
13,820 Heracles General Cement (Registered) 121,634
32,850 Ionian Bank 572,602
64,100 Klonatex SA Preferred * 674,241
67,975 National Bank of Greece (Registered) 3,204,372
6,250 National Investment Bank for Industrial Development
(Registered) * 135,507
3,975 National Mortgage Bank of Greece * 70,823
14,500 Petzetakis SA 75,326
88,750 Petzetakis SA Preferred 346,738
83,800 Shelman * 492,897
30,413,733
INDIA - 3.0%
160,000 Arvind Mills Ltd GDR 580,800
7,000 Bajaj Auto GDR 144A * 161,000
120,300 Bombay Dyeing & Manufacturing Co Ltd GDR 1,203,000
48,000 Garden Silk Mills Ltd GDR * 336,000
10,000 Grasim Industries GDR (New) 144A 215,000
15,500 Grasim Industries Ltd GDS 333,250
25,000 Great Eastern Shipping Co GDR 144A * 190,750
91,000 Great Eastern Shipping Co Ltd GDR 694,330
300,000 Hindustan Development Corp GDR 144A * 225,000
97,000 Hindustan Development Corp Units * 145,500
40,000 Indian Aluminum 144A 390,000
34,000 Indian Petrochemicals Corporation Ltd GDR * 425,000
90,000 Indo Gulf Fertilizers GDR 144A 184,500
68,000 JCT Ltd GDR Series S * 892,840
85,000 Mahindra Mahindra GDR 839,800
87,400 Morgan Stanley India Fund Inc 863,075
96,200 Reliance Industries Ltd GDR 1,563,250
55,500 Southern Petrochemicals Industries Corp Ltd GDR 541,125
43,000 Tube Investment GDR 144A * 258,000
8,000 Usha Beltron GDR 144A 50,000
525,000 Videocon International Ltd GDR * 1,522,500
11,614,720
INDONESIA - 6.6%
214,000 Andayani Megah (Foreign Registered) 219,648
771,500 Astra International (Foreign Registered) 1,305,267
522,500 Bank Bali (Foreign Registered) 1,178,660
1,056,000 Bank Dagang Nasional (Foreign Registered) 1,774,690
414,400 Bank International (Foreign Registered) 1,016,721
800,250 Bank Private Development Finance (Foreign Registered) 532,537
50,000 Cipendawa Farm Enterprise (Foreign Registered) 63,163
370,000 Ciputra Devlopment (Foreign Registered) * 667,719
910,000 Dharmala Intiland (Foreign Registered) 646,628
860,000 Duta Anggada Realty (Foreign Registered) 591,699
397,500 Gadjah Tunggal (Foreign Registered) 488,693
1,870,000 Great River Industries (Foreign Registered) 1,328,784
3,816,500 Hadtex Indosyntec (Foreign Registered) 1,980,138
2,082,100 Indah Kiat Pulp and Paper (Foreign Registered) 3,052,933
2,448,000 Jakarta International Hotel and Development
(Foreign Registered) 2,374,554
422,000 JAPFA Comfeed (Foreign Registered) 380,781
221,500 Jaya Real Property (Foreign Registered) 542,133
223,000 Kawasan Industri Jababeka (Foreign Registered) * 379,799
552,000 Metrodata Electronic (Foreign Registered) 410,918
2,123,500 Multipolar (Foreign Registered) 1,269,406
3,000 Pabrik Kertas Tjiwi (Foreign Registered) 5,820
35,000 Pakuwon Jati (Foreign Registered) 21,712
1,991,500 Pan Brothers Textile (Foreign Registered) * 741,891
874,500 Polysindo Eka Perkasa (Foreign Registered) 1,578,164
1,258,500 Rig Tenders Indonesia (Foreign Registered) 292,496
156,000 Semen Gresik (Foreign Registered) 721,408
2,500 Trafindo Perkasa (Foreign Registered) 1,917
1,690,500 Ungul Indah Corp (Foreign Registered) 1,735,117
25,303,396
MALAYSIA - 14.8%
731,000 Amalgamated Steel Mills Berhad 1,116,796
1,062,000 Berjaya Industrial Berhad 807,083
94,000 Berjaya Leisure Berhad 87,639
238,000 Cement Industries of Malaysia Berhad 722,554
152,000 Cold Storage Berhad 248,892
2,178,000 Golden Hope Plantations Berhad 3,873,517
1,144,000 Guinness Anchor Berhad 1,927,020
1,243,000 IGB Corp Berhad 1,071,237
483,000 Kedah Cement Berhad 624,385
912,000 Kuala Lumpur Kepong Berhad 2,518,696
2,225,000 Kumpulan Guthrie Berhad 3,399,275
239,000 Landmarks Berhad 395,095
1,248,000 Malayan Cement Berhad 1,906,650
1,169,000 Malayan United Industries Berhad 1,666,893
530,000 Malayawata Steel 876,153
858,000 Malaysia Mining Corp Berhad 1,364,599
1,165,000 Malaysian International Ship (Alien Market) 3,194,594
363,000 Malaysian Tobacco Co Berhad 568,798
3,716,000 MBF Capital Berhad 4,206,930
218,000 Nestle Malaysia 1,409,069
1,302,000 Nylex Berhad 2,626,697
76,000 Oriental Holdings Berhad 401,920
1,055,000 Rashid Hussain Berhad 2,768,975
383,000 RJ Reynolds Berhad 582,133
353,000 Rothmans of Pall Mall Berhad 2,364,626
248,000 Shell Refinery Co 777,201
2,753,200 Sime Darby Berhad 6,686,844
1,156,000 Sime UEP Properties Berhad 2,173,656
1,089,000 Tan Chong Motor Holdings Berhad 1,288,328
244,000 Tenaga Nasional Berhad 974,949
1,196,000 Tractors Malaysia Holdings Berhad 1,546,097
1,135,600 UMW Holdings Berhad 2,802,578
133,600 UMW Holdings Berhad Warrants (a) * 30,616
57,010,495
MEXICO - 12.2%
6,680,000 Aerovias de Mexico SA de CV CPO 372,051
159,300 Celanese Mexicana SA Class A 2,094,425
160,000 Cementos de Mexico SA de CV 403,983
1,885,400 Cydsa SA Class A * 3,054,825
1,605,000 Fomento Economico Mexicano SA de CV 2,432,557
106,000 Grupo Carso A1 * 393,587
290,000 Grupo Embotellador de Mexico SA 964,219
2,800,600 Grupo Financiero Banamex Accival SA de CV Class C 2,410,643
18,602,000 Grupo Financiero Bancomer SA de CV Class C 3,390,744
60,400 Grupo Financiero Invermex Series L 37,718
992,000 Grupo Financiero Invermexico Class B 617,803
123,000 Grupo Financiero Serfin Class L 102,552
833,700 Grupo Financiero Serfin SA de CV Class B 745,757
2,050,000 Grupo Gigante SA * 366,749
921,000 Grupo Industrial Alfa SA 6,777,316
880,213 Grupo Mexico Class B 2,344,263
90,886 Grupo Mexico Class B Warrants 8/9/01 * 168,734
434,000 Grupo Posadas SA de CV Series L * 167,008
220,000 Grupo Posadas SA de CV * 92,827
4,690 Grupo Sidek SA de CV Class B * 2,454
2,430,000 Grupo Situr SA de CV * 926,886
46,000 Grupo Tribasa SA ADR * 270,250
109,100 Industrias Penoles SA de CV 220,225
157,000 Sears Roebuck de Mexico SA * 423,966
188,000 Telefonos de Mexico ADR Series L 5,193,500
1,441,900 Telefonos de Mexico SA Class L 2,024,744
1,133,100 Tubos de Acero de Mexico SA * 3,805,686
1,549,400 Vitro SA 4,963,310
223,000 Vitro SA ADR 1,979,125
46,747,907
POLAND - 1.0%
59,500 Bank Rozwoju Eksportu SA * 744,582
11,300 Bank Slaski SA * 388,638
310,000 Elektrim SA 1,091,866
67,500 Exbud Sa * 335,640
100,350 Polifarb Cieszyn * 374,239
66,000 Vistula * 317,242
311,000 Wielkopolski * 618,572
3,870,779
PORTUGAL - 5.8%
171,700 Banco Chemical (Registered) 1,810,834
91,500 Banco Comercial Portugues SA * 1,147,149
140,100 Banco De Fomento Exterior SA 1,232,843
212,800 Banco Espirito Santo e Commercial de Lisboa (Registered) 3,503,905
5,400 Banco Portugues do Atlantico SA (Registered) 96,817
337,100 Banco Totta & Acores (Registered) 6,888,248
142,000 Banif Banco Internacional Funchal 1,338,483
15,400 Cel-Cat Fabrica Nacional de Condutores Electricos SA 274,179
27,000 CIMPOR Cimentos de Portugal SA (Registered) 483,194
19,000 Crisal Cristais Alcob * 286,799
30,200 Efacec (New) * 357,720
37,200 Empresa Fabril de Maquinas Electricas * 440,635
44,500 Fisipe Fibra Sint 366,656
32,200 Investimentos Participacoes e Gestao SA 741,596
33,800 Modelo Supermercados SA 1,020,400
2,000 Radio Marconi SA (Registered) 79,758
23,800 Soja de Portugal Sociedada Gest (Bearer) 313,915
60,700 Sonae Investimentos 1,377,571
16,200 Unicer Uniao Cervejeira SA (New) * 238,020
16,200 Unicer Uniao Cervejeira SA (Registered) 238,020
22,236,742
SOUTH AFRICA - 9.9%
58,400 AECI Ltd 402,759
329,700 Amalgamated Bank of South Africa 943,203
106,800 Anglo-American Corp of South Africa Ltd 5,285,441
4,200 Anglovaal N 110,498
188,000 Barlow Ltd 1,740,741
204,300 De Beers Centenary Link (Units) 4,252,989
51,000 De Beers Cons Mines Ltd ADR 1,058,250
408,700 Deelkraal Gold Mining Co Ltd 360,157
193,800 Del Monte Royal Foods Ltd 321,762
54,400 Elandsrand Gold Mining Co Ltd 274,432
58,500 Engen Ltd 414,655
48,500 Financiere Richemont AG 449,074
90,000 First National Bank Holdings 488,506
321,900 Free State Consolidated Gold Mines 3,741,111
290,400 Genbel Investments Ltd 623,080
19,700 Harmony Gold Mining * 166,054
27,000 Hartebeestfontein Gold Mining Co Ltd 106,897
35,200 Impala Platinum Holdings Ltd 728,276
21,200 Johannesburg Consol Investment Co 519,847
62,200 Kloof Gold Mining Company 722,886
114,400 Liblife Strategic Investments Ltd 315,586
120,800 Loraine Gold Mines Ltd. * 431,980
97,500 Malbak Ltd 510,536
108,200 Pick'N Pay Stores Ltd 221,098
226,700 Randfontein Estates Gold Mining Co Ltd 1,606,877
249,300 Rembrandt Group Ltd 1,671,552
81,200 Sappi Ltd 1,389,630
252,705 Sasol Ltd 1,888,026
3,378,576 South African Iron & Steel Industrial Corp Ltd 3,693,565
24,600 Standard Bank Investment Corp Ltd 722,605
15,105 Tongaat-Hulett Group Ltd 150,471
13,800 Vaal Reefs Exploration & Mining 944,674
22,600 Western Areas Gold Mining Co Ltd 245,338
52,400 Western Deep Levels 1,686,437
38,188,993
SOUTH KOREA - 4.5%
35,892 Boram Bank Co Ltd 418,168
8,860 Central Investment and Finance 179,523
13,215 Cho Hung Bank Co Ltd 152,291
54,110 Daegu Bank 705,092
63,870 Haitai Confectionery Co Ltd 1,083,845
1,853 Han Shin Construction 19,242
40,000 Han Wha Corp * 612,930
111,176 Hana Bank 2,029,228
50,407 Hanil Bank 591,747
14,800 Hannong Corp 1,246,375
12,950 Hanshin Construction Preferred * 85,278
35,000 Kia Motors GDS 144A * 490,000
150,814 Korea First Bank 1,715,601
38,632 Korea Fund 753,324
38,325 Korea Long Term Credit Bank 1,049,794
445 Kumho Construction and Engineering * 6,424
34,000 Kwang Ju Bank 400,431
17,500 Kwangju Investment & Finance Co Ltd 498,639
3,787 Kyungki Bank Ltd 36,928
28,041 Sam Hee Investment and Finance Co Ltd 340,902
33,400 Shin Han Investment and Finance Co Ltd 647,147
16,622 Shin Poong Paper Manufacturing 1,081,961
109,800 Shinhan Bank 2,248,421
20,161 Shinhan Bank (New) * 412,845
7,387 Shinhan Investment and Finance Preferred 85,128
6,300 Sung Bo Chemical Co 195,466
5,000 Tongyang Nylon 174,128
17,260,858
SRI LANKA - 0.1%
32,600 Hayleys Ltd * 126,640
57,000 John Keells Holdings Ltd * 238,832
13,000 National Development Bank * 84,927
450,399
TAIWAN - 3.7%
15,034 Asia Cement Corp GDR 330,748
34,200 Chia Hsin Cement GDR 504,450
101,300 China Steel Corp GDS 2,026,000
12,000 President Enterprises Corp GDS * 213,000
836,600 R O C Taiwan Fund * 9,307,175
93,493 Tuntex Distinct Corp GDR 144A * 1,075,170
57,853 Tuntex Distinct Corp GDR * 665,310
6,731 Tuntex Distinct Corp GDS (New) 144A * 77,407
4,165 Tuntex Distinct Corp GDS (New) * 47,898
14,247,158
THAILAND - 2.8%
1,517,000 Bangkok Rubber Public Co Ltd (Foreign Registered) 1,607,631
1,460 Bangkok Land Public Co Ltd Warrants 12/31/96
(Foreign Registered) (a) * 59
357,000 Bank of Ayudhya Public Co Ltd (Foreign Registered) 1,545,950
11,500 Carpets International Thailand Public Co Ltd (Foreign Registered) 45,188
267,900 CP Feedmill Public Co Ltd (Foreign Registered) 1,815,361
549,700 GFPT Co Ltd (Foreign Registered) * 330,613
694,700 NEP Realty and Industry Co Ltd (Foreign Registered) * 369,077
533,200 Padaeng Industry Co Ltd (Foreign Registered) 932,566
441,000 Prasit Development Public Co Ltd (Foreign Registered) 831,075
675,000 Saha Union Public Co Ltd (Foreign Registered) 967,572
695,600 Siam City Bank Public Co Ltd (Foreign Registered) 760,028
125,000 Thai Farmers Bank Public Co Ltd (Foreign Registered) 1,032,478
2,705,500 Unicord (Foreign Registered) * 705,122
10,942,720
TURKEY - 1.4%
900,000 Adana Cimento Sanayi * 385,404
392,000 Akal Tekstil 74,712
11,665,000 Eregli Demir ve Celik Fabrikalari Turk Anonim Sirketi 1,280,476
5,495,000 Goltas Cimento AS (a) (b)* 994,270
600,000 Mardin Cimento 155,609
26,263,600 Yapi ve Kredi Bankasi AS 2,249,355
5,139,826
VENEZUELA - 1.1%
320,666 Ceramic Carabobo Class A ADR 240,500
650,000 Ceramic Carabobo Class B ADR 487,500
9,200 Mantex SAICA ADR 58,604
174,975 Siderurgica Venezolana Sivensa 56,011
1,028,000 Siderurgica Venezuela ADR 1,285,000
82,500 Sudamtex ADR 443,025
120,000 Venezolana de Cementos 197,897
2,333 Venezolana de Prerreducidos Caroni GDS 13,648
527,000 Venezolano de Pulpa y Papel GDS 144A 1,512,490
4,294,675
TOTAL STOCK AND EQUIVALENTS (Cost $454,651,201) 361,674,046
PAR VALUE CONVERTIBLE BONDS - 1.6%
India - 0.3%
USD 500,000 Essar Gujarat Ltd, 5.50% due 8/5/98 650,000
USD 700,000 Sterlite, 3.50% due 6/30/99 591,500
1,241,500
TAIWAN - 0.9%
USD 400,000 Far East Department Stores, 3.00% due 7/06/01, 144A 338,000
USD 750,000 Formosa Chemical and Fiber, 1.75% due 7/19/01 731,250
USD 500,000 Formosa Chemical and Fiber, 1.75% due 7/19/01, 144A 487,500
USD 300,000 Nan Ya Plastics Corp, 1.75% due 7/19/01 271,500
USD 650,000 Nan Ya Plastics Corp, 1.75% due 7/19/01, 144A 588,250
CHF 550,000 Pacific Construction, 2.13% due 10/01/98 496,754
USD 500,000 Teco Electric & Machine, 2.75% due 4/15/04 144A 420,000
3,333,254
THAILAND - 0.4%
USD 1,530,000 Bangkok Bank Public Co, 3.25% due 3/3/04 1,281,375
USD 566,000 Bangkok Land Ltd, 4.50% due 10/13/03 (Foreign Registered) 404,690
1,686,065
TOTAL CONVERTIBLE BONDS (Cost $6,967,863) 6,260,819
SHORT-TERM INVESTMENT - 1.4%
$ 5,500,000 Republic Bank of New York Deposit, 6.00% due 3/1/95 5,500,000
TOTAL SHORT-TERM INVESTMENT (at amortized cost) 5,500,000
TOTAL INVESTMENTS - 97.2%
(Cost $467,119,064) * * 373,434,865
Other Assets and Liabilities (net) - 2.8% 10,823,897
TOTAL NET ASSETS - 100.0% $ 384,258,762
NOTES TO THE SCHEDULE OF INVESTMENTS:
ADR American Depositary Receipt
GDR Global Depositary Receipt
GDS Global Depositary Shares
144A Securities exempt from registration under
Rule 144A of the Securities Act of 1933.
These securities may be resold in
transactions exempt from registration,
normally to qualified institutional buyers.
(a) Security valued by management (Note 1).
(b) This security has been purchased on a when-issued basis.
* Non-income producing security.
** The aggregate identified cost for federal
income tax purposes is $468,048,723
resulting in gross unrealized appreciation
and depreciation of $12,705,789 and
$107,319,647, respectively, and net
unrealized depreciation of $94,613,858.
The principal amount of each security is stated in currency in which the security
is denominated: USD - United States Dollar CHF - Swiss Franc
|
At February 28, 1995, industry sector diversification of the Fund's equity investments was as follows:
Percentage of
Industry Sector Net Assets
Banking 17.6 %
Metals and Mining 12.8
Construction 6.8
Financial Services 6.1
Utilities 5.9
Consumer Goods 5.8
Miscellaneous 4.8
Primary Processing 4.6
Telecommunications 4.2
Services 5.3
Oil and Gas 3.6
Investment Companies 2.9
Food and Beverage 2.6
Automotive 2.2
Manufacturing 2.1
Insurance 1.8
Transportation 1.6
Chemicals 1.4
Machinery 1.1
Textiles 1.0
94.2 %
|
See accompanying notes to the financial statements.
GMO EMERGING MARKETS FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - FEBRUARY 28, 1995
ASSETS:
Investments, at value (cost $461,619,064) (Note 1) $ 367,934,865
Short-term investments, at amortized cost (Note 1) 5,500,000
Foreign currency, at value (cost $4,279,240) (Note 1) 4,297,707
Cash 267,451
Receivable for investments sold 5,333,892
Receivable for Fund shares sold 8,503,193
Dividends and interest receivable 856,495
Foreign withholding taxes receivable 3,787
Total assets 392,697,390
LIABILITIES:
Payable for investments purchased 5,191,939
Payable for Fund shares repurchased 2,583,000
Payable to affiliate for management fee (Note 2) 303,501
Accrued expenses 360,188
Total liabilities 8,438,628
NET ASSETS(equivalent to $9.52 per share based
on 40,355,453 shares outstanding, unlimited shares authorized) $ 384,258,762
NET ASSETS CONSIST OF:
Paid-in capital $ 473,471,619
Accumulated net realized gain on investments, swap contracts
and foreign currency related transactions 4,506,417
Net unrealized depreciation on investments,
foreign currency and foreign currency related transactions (93,719,274)
NET ASSETS $ 384,258,762
|
See accompanying notes to the financial statements.
GMO EMERGING MARKETS FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - YEAR ENDED FEBRUARY 28, 1995
INVESTMENT INCOME:
Dividends (net of foreign tax expense of $785,221) $ 5,708,825
Interest 1,613,039
Total income 7,321,864
EXPENSES:
Management fee (Note 2) 3,004,553
Custodian fees 920,828
Stamp duties and transfer taxes 310,532
IOF fees (Note 1) 228,444
IPMF taxes (Note 1) 109,156
Audit fees 68,738
Registration fees 63,891
Transfer agent fees 27,189
Legal fees 15,977
Insurance 3,598
Trustee fee (Note 2) 797
Miscellaneous 802
Total expenses 4,754,505
Net investment income 2,567,359
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS,
SWAP CONTRACTS AND FOREIGN CURRENCY RELATED TRANSACTIONS:
Net realized gain (loss) on:
Investments 11,504,282
Swap contracts 184,985
Foreign currency and foreign currency related transactions (940,628)
Net realized gain 10,748,639
Change in net unrealized appreciation (depreciation) on:
Investments (99,219,068)
Foreign currency and foreign currency related transactions 3,250
Net unrealized loss (99,215,818)
Net realized and unrealized loss on investments, swap contracts
and foreign currency related transactions (88,467,179)
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $ (85,899,820)
|
See accompanying notes to the financial statements.
GMO EMERGING MARKETS FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
YEAR ENDED PERIOD ENDED
FEBRUARY 28, 1995 FEBRUARY 28, 1994*
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 2,567,359 $ 136,972
Net realized gain on investments, swap contracts
and foreign currency related transactions 10,748,639 604,768
Net unrealized appreciation (depreciation) on investments,
foreign currency and foreign currency related
transactions (99,215,818) 5,496,544
Net increase (decrease) in net assets
resulting from operations (85,899,820) 6,238,284
Distributions to shareholders from:
Net investment income (2,332,870) (17,227)
Net realized gains (7,201,224) -
(9,534,094) (17,227)
Fund share transactions: (Note 5)
Proceeds from sale of shares 374,416,514 111,221,997
Net asset value of shares issued to shareholders
in payment of distributions declared 8,065,981 2,038
Cost of shares repurchased (17,198,392) (3,036,519)
Net increase in net assets resulting
from Fund share transactions 365,284,103 108,187,516
Total increase in net assets 269,850,189 114,408,573
NET ASSETS:
Beginning of period 114,408,573 -
End of period (including undistributed net
investment income of $0 and
$235,005, respectively) $ 384,258,762 $ 114,408,573
* Period from December 9, 1993 (commencement of operations) to February 28, 1994.
|
See accompanying notes to the financial statements.
GMO EMERGING MARKETS FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
PERIOD FROM DECEMBER 9, 1993
YEAR ENDED (COMMENCEMENT OF OPERATIONS) TO
FEBRUARY 28, 1995 FEBRUARY 28, 1994
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.13 $ 10.00
Income (loss) from investment operations:
Net investment income (a) 0.05 0.02
Net realized and unrealized gain (loss)
on investments (2.37) 2.11
Total from investment operations (2.32) 2.13
Less distributions to shareholders from:
Net investment income (0.07) (0.00)(c)
Net realized gains (0.22) --
Total distributions (0.29) (0.00)
NET ASSET VALUE, END OF PERIOD $ 9.52 $ 12.13
TOTAL RETURN (B) (19.51%) 21.35%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 384,259 $ 114,409
Net expenses to average
daily net assets 1.58% 1.64%* (a)
Net investment income to average
daily net assets 0.85% 0.87%* (a)
Portfolio turnover rate 50% 2%
* Annualized.
(a) Net of fees and expenses voluntarily waived or borne by the Manager of $.003
for the period ended February 28, 1994.
(b) Calculation excludes subscription fees. The total return would have been
lower had certain expenses not been waived during the period shown.
(c) The per share income distribution was $ 0.004.
|
See accompanying notes to the financial statements.
GMO EMERGING MARKETS FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS
FEBRUARY 28, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO Emerging Markets Fund (the "Fund") is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, non-diversified management investment company. The Trust was established as a Massachusetts Business Trust under the laws of the Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees to create an unlimited number of series ("Funds"), each of which issues a separate series of shares. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market quotations are available are valued at the last quoted sale price on each business day, or if there is no such reported sale, at the most recent quoted bid price. Unlisted securities for which market quotations are readily available are valued at the most recent quoted bid price. Securities which are primarily traded on foreign exchanges are generally valued at the preceding closing values of such securities on their respective exchanges, and those values are then translated into U.S. dollars at the current exchange rate. Short-term investments with a remaining maturity of sixty days or less are valued at amortized cost which approximates market value. Other assets and securities for which no quotations are readily available are valued at fair value as determined in good faith by the Trustees.
FOREIGN CURRENCY TRANSLATION
The accounting records of the Fund are maintained in U.S. dollars. The market values of foreign securities, currency holdings, other assets and liabilities are translated to U.S. dollars based on the prevailing exchange rates each business day. Income and expenses denominated in foreign currencies are translated at prevailing exchange rates when accrued or incurred. The Fund does not isolate realized and unrealized gains and losses attributable to changes in exchange rates from gains and losses that arise from changes in the market value of investments. Such fluctuations are included with net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net exchange gains and losses on disposition of foreign currencies and the difference between the amount of investment income and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent amounts actually received or paid.
FORWARD CURRENCY CONTRACTS
The Fund may enter into forward currency contracts in connection with settling planned purchases or sales of securities or to hedge the currency exposure associated with some or all of the Fund's portfolio securities. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The market value of a forward currency contract fluctuates with changes in forward currency exchange rates. Forward currency contracts are marked to market daily and the change in value is recorded by the Fund as an unrealized gain or loss. When a forward currency contract is extinguished, through delivery or offset by entering into another forward currency contract, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished or offset. These contracts may involve market risk in excess of the unrealized gain or loss reflected in the Fund's Statement of Assets and Liabilities. In addition, the Fund could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency changes unfavorably to the U.S. dollar. As of February 28, 1995, there were no outstanding forward currency contracts.
SWAP AGREEMENTS
A swap is an agreement to exchange the return generated by one instrument for the return generated by another instrument. The Fund entered into equity swap agreements which involve a commitment by one party in the agreement to pay interest in exchange for a market linked return based on a notional amount. To the extent that the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty, respectively. Equity swaps are marked to market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss in the Statement of Operations. Payments received or made at the end of measurement period are recorded as realized gain or loss in the Statement of Operations. Entering into these agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that there is no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform and that there may be unfavorable changes in the price of the security or index underlying these transactions. As of February 28, 1995, there were no outstanding swap agreements.
TAXES
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). It is the policy of the Fund to distribute all of its taxable income, including any net realized gain on investments not offset by loss carryovers, to shareholders within the prescribed time periods. Therefore, no provision for federal income or excise tax is necessary. Taxes on foreign interest and dividend income have been withheld in accordance with the applicable country's tax treaty with the United States.
The Fund was subject to a .25% Imposto Provisorio Sobre Morimentacoes Financeiras (IPMF) tax on debits (withdrawals) for banking transactions in Brazil. This tax was repealed effective January 1, 1995. In addition, the Fund is subject to an Imposto Sobre Operacues Financeiras (IOF) tax which is imposed on certain investment transactions in Brazil.
Dividends received by shareholders of the Fund which are derived from foreign source income and foreign taxes paid by the Fund are to be treated, to the extent allowable under the Code, as if paid and received by the shareholders of the Fund.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment income and net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryover for federal income tax purposes. The Fund's present policy is to declare and pay distributions from net investment income semi-annually, and net realized short-term and long-term capital gains at least annually. All distributions will be paid in shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. There is no premium incurred on reinvested distributions.
Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences are primarily due to differing treatments for foreign currency transactions.
The following reclassification represents the cumulative amount necessary to report these balances on a tax basis, excluding certain temporary differences, as of February 28, 1995. This reclassification has no impact on net investment income, realized gain/loss and net asset value of the Fund and is primarily attributable to certain differences in the computation of distributable income and capital gains under federal tax rules versus generally accepted accounting principles.
Undistributed Net Investment Accumulated Net Realized
Income Gain Paid-in Capital
($469,494) $469,494 -
|
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Dividend income is recorded on the ex-dividend date, or when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an individual Fund. Expenses which are not readily identifiable to a specific Fund are allocated in such manner as deemed equitable by the Trustees, taking into consideration, among other things, the nature and type of expense and the relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is 2% of the amount invested. The Manager may waive such premium to the extent that a transaction results in minimal brokerage and transaction costs to the Fund. All purchase premiums are paid to and recorded as paid-in capital by the Fund. For the year ended February 28, 1995, the Fund received $7,203,554 in purchase premiums. There is no premium for cash redemptions, reinvested distributions or in-kind transactions.
INVESTMENT RISK
There are certain additional risks involved in investing in foreign securities that are not inherent in investments of domestic securities. These risks may involve adverse political and economic developments and the possible imposition of currency exchange blockages or other foreign governmental laws or restrictions. In addition, the securities of some foreign companies and securities markets are less liquid and at times more volatile than securities of comparable U.S. companies and U.S. securities markets.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the "Manager"), for management and investment advisory services is paid monthly at the annual rate of 1% of average daily net assets. The Manager has agreed to waive a portion of its fee until further notice to the extent that the Fund's annual expenses (including management but excluding custody fees, brokerage commissions and transfer taxes) exceed 1.20% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee during the year ended February 28, 1995, was $797. No remuneration is paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended February 28, 1995, aggregated $490,764,611 and $142,687,568, respectively.
4. PRINCIPAL SHAREHOLDERS
At February 28, 1995, 15% of the outstanding shares of the Fund were held by one shareholder.
5. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value). Transactions in Fund shares were as follows:
Period from December 9, 1993
Year Ended (Commencement of Operations)
February 28, 1995 to February 28, 1994
Shares sold 31,656,227 9,700,010
Shares issued to shareholders in
reinvestment of distributions 708,112 189
Shares repurchased (1,438,354) (270,731)
Net increase 30,925,985 9,429,468
Fund shares:
Beginning of period 9,429,468 --
End of period 40,355,453 9,429,468
|
* * *
GMO GLOBAL HEDGED EQUITY FUND
(A SERIES OF GMO TRUST)
ANNUAL REPORT
FEBRUARY 28, 1995
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees of GMO Trust and the Shareholders of
GMO Global Hedged Equity Fund (A Series of GMO Trust)
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of GMO Global Hedged Equity Fund at February 28, 1995, and the results of its operations, the changes in its net assets and the financial highlights for the period from July 29, 1994 (commencement of operations) to February 28, 1995, in conformity with generally accepted accounting principles. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Trust's management; our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with generally accepted auditing standards which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at February 28, 1995 by correspondence with the custodian and brokers and the application of alternative auditing procedures where confirmations from brokers were not received, provides a reasonable basis for the opinion expressed above.
Price Waterhouse LLP
Boston, Massachusetts
April 20, 1995
GMO GLOBAL HEDGED EQUITY FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
FEBRUARY 28, 1995
SHARES DESCRIPTION VALUE ($)
STOCK AND EQUIVALENTS - 86.0%
AUSTRALIA - 2.8%
143,967 Australia and New Zealand Banking Group Ltd 505,156
12,100 Australian Gas Light Co * 37,997
54,300 Boral Ltd 145,699
110,000 Bougainville Copper Ltd * 52,706
21,600 Burns Philp & Co Ltd 51,748
127,800 Coles Myer Ltd 428,645
176,005 CSR Ltd 578,650
566,400 Fosters Brewing Group Ltd 496,851
91,200 Goodman Fielder Ltd 83,363
2,500 Newcrest Mining Ltd 9,141
146,053 News Corp Ltd 650,284
72,798 News Corp Ltd Preferred $.04 * 288,707
41,500 Pacific Dunlop Ltd 91,469
40,800 Pasminco Ltd * 42,106
293,500 Pioneer International Ltd 705,312
38,200 QCT Resources Ltd 36,607
59,762 Santos Ltd 160,355
62,100 Schroders Property 100,709
10,100 Smith (Howard) Ltd 44,671
27,200 Southcorp Holdings Ltd 62,558
48,200 Stockland Trust Group 108,013
44,600 TNT Ltd * 63,452
112,100 Western Mining Corp Ltd 600,753
148,200 Westfield Trust Units 253,450
107,100 Westpac Banking Corp 395,533
5,993,935
AUSTRIA - 1.0%
100 Allgemeine Baugesellschaft AG 15,249
100 Allgemeine Baugesellschaft AG Preferred 7.00% 8,237
160 Austrian Airlines * 27,041
1,200 Bank Austria AG (Participating Certificate) 42,077
1,410 Bau Holding AG Preferred (Non Voting) 2.42% 93,539
1,600 Brau Union AG 101,170
400 Constantia Industrie Holding AG * 30,732
2,710 Creditanstalt-Bankverein 169,778
2,030 Creditanstalt-Bankverein Preferred 1.65% 123,234
100 EA-Generali AG 25,982
100 EA-Generali AG Preferred 6.00% 15,881
840 EVN Energie-Versorgung Niederoesterreich AG 101,334
500 Interunfall Versicherungs AG (Bearer) 80,132
700 Lenzing AG 65,067
1,000 Leykam-Muerztaler Papier und Zellstoff AG * 47,594
200 Miba Holding AG Series B Preferred 1.34% 8,547
1,950 OMV AG * 189,214
300 Oesterreichische Brau Beteiligungs AG 17,105
3,960 Oesterreichische Elektrizitaetswirschafts AG 244,243
5,060 Oesterreichische Laenderbank AG 399,079
1,000 Oesterreichische Laenderbank AG Preferred (Non Voting) 48,079
440 Perlmooser Zementwerke AG 30,643
1,300 Radex-Heraklith AG 46,846
600 Steyr-Daimler-Puch AG * 8,800
100 Strabag Oesterreich AG 13,890
300 Universale Bau AG * 17,629
1,300 Veitsch-Radex AG * 34,471
100 Wiener Allianz Versicherungs AG * 23,603
140 Wienerberger Baustoffindustrie AG 49,497
2,078,693
belgium - 0.2%
1,010 Banque Bruxelles Lambert NPV 144,489
20 Banque Nationale de Belgique 25,060
200 Barco NV 15,036
650 Electrabel NPV 127,292
1,080 Groupe Bruxelles Lambert NPV 131,202
160 Petrofina SA Bruxelles 47,053
50 Reunies Electrobel et Tractionel SA 15,136
50 Solvay SA Act 25,807
531,075
CANADA - 0.8%
1,400 Abitibi-Price Inc 18,365
3,900 Air Canada Inc * 21,024
1,600 Alberta Energy Ltd 21,851
6,100 Bank of Montreal 118,931
7,490 Bank of Nova Scotia 148,050
600 BC Telecom Inc 10,728
1,010 BCE Inc 31,398
12,500 Canadian Imperial Bank of Commerce 305,481
3,900 Cominco Ltd * 62,372
600 Dofasco Inc 7,439
4,800 Domtar Inc * 40,970
2,100 Fletcher Challenge Class A 28,113
1,500 Hudsons Bay Co 29,245
3,800 Imasco Ltd 115,058
4,400 Imperial Oil Ltd 149,829
8,100 Inco Ltd 217,601
2,500 Maple Leaf Foods 23,136
9,600 National Bank of Canada 67,278
2,000 Noranda Forest Inc 15,274
5,900 Ranger Oil Ltd 35,517
4,180 Royal Bank of Canada 86,379
7,000 Toronto Dominion Bank 105,660
800 Transcanada Pipelines Ltd 10,566
1,600 United Dominion Inds Ltd 30,332
1,700,597
FINLAND - 0.1%
24,600 Kansallis-Osake-Pankki * 25,877
1,000 Kesko OY 11,184
500 Kymmene OY Sh Fria * 14,395
740 OY Nokia AB Preferred 1.54% 110,619
6,000 Unitas Bank Ltd Class A * 19,001
181,076
FRANCE - 4.6%
200 Accor SA 21,488
150 Agache Financiere 35,263
190 Air Liquide (Registered) 27,317
1,075 Air Liquide 154,556
6,780 Alcatel Alsthom Cie Generale d'Electricite SA 544,033
500 Axa SA 21,517
36,220 Banque Nationale de Paris 1,600,942
25 Bongrain SA 12,653
250 Bouygues 25,695
1,000 Carnaudmetalbox SA Act 32,738
1,025 Carrefour Supermarche SA 417,209
1,950 Casino Guichard Perrachon Act 53,003
450 Club Mediterranee SA 36,546
27,785 Compagnie de Suez SA 1,225,412
3,560 Credit Commercial de France * 145,250
640 Credit Foncier de France (Bearer) 83,062
2,050 Credit Local de France SA 162,502
8,980 Credit Lyonnais 566,855
1,760 Credit National SA 128,230
250 Dassault Electronique SA * 18,457
1,200 Dollfus-Mieg and Cie 67,146
5,125 Elf Sanofi SA 267,751
1,580 Eridania Beghin-Say SA 230,231
925 Essilor International 130,294
80 Europe 1 Communication (New) * 17,641
2,965 Financiere de Paribas SA 168,729
3,800 FINEXTEL 62,017
1,530 Groupe Danone 219,973
200 Labinal SA 30,076
2,510 Lafarge Coppee SA (Bearer) 161,416
450 Lefebvre (Jean) Entreprises 27,890
3,400 LVMH Moet Hennessy Louis Vuitton 541,675
625 Lyonnaise des Eaux 52,943
12,870 Michelin SA Class B * 512,850
1,600 Pechiney International SA 39,013
2,470 Pechiney International SA Preferred 3.43% 165,562
2,545 Pernod-Ricard 155,706
3,195 Peugeot SA * 434,525
150 Radiotechnique 16,378
100 Saint Louis 27,239
200 Saint-Gobain 23,470
3,340 Schneider SA 229,069
375 SEFIMEG 24,174
550 SIMCO 43,491
3,680 Societe Generale d 'Entreprise SA 123,691
1,110 Societe Generale Paris 105,350
940 SOVAC SA 66,934
6,710 Thomson CSF * 165,697
2,910 Total SA Class B 160,398
1,100 UAP Co 25,069
3,800 Worms et Compagnie SA 183,835
9,792,961
GERMANY - 4.6%
150 AEG AG 14,572
660 Bankgesellschaft Berlin AG 151,244
9,690 Bayer AG 2,371,574
1,140 Bayerische Hypotheken-und Wechselbank AG 300,831
230 Bayerische Hypotheken-und Wechselbank AG (New) 59,200
1,490 Bayerische Motorenwerke AG 772,121
3,710 Bayerische Vereinsbank AG 1,101,270
50 Beiersdorf AG (Bearer) 32,986
2,540 Berliner Handels- und Frankfurter Bank 658,117
590 Berliner Kraft und Licht AG Class A 116,165
50 Boss (Hugo) AG Preferred 3.84% 35,037
1,300 Bremer Vulkan Verbund AG * 78,564
5,350 Commerzbank AG 1,232,576
530 Daimler-Benz AG 256,893
200 Didier-Werke AG * 17,570
50 Douglas Holding AG 16,237
3,210 Dresdner Bank AG 875,604
100 Escada AG Preferred (Non Voting) 1.43% 21,672
100 Gehe AG 38,865
50 Kaufhof AG Preferred (Non Voting) 5.59% 12,682
1,050 Kloeckner Humboldt-Deutz AG * 42,352
350 Kugelfischer George Schaefer AG * 54,555
150 Kugelfischer George Schaefer AG Preferred (Non Voting) * 21,945
50 Linotype-Hell AG * 11,895
100 Philips Kommunikations Industrie AG 34,866
150 Porsche AG Preferred (Non Voting) * 65,630
100 Porsche AG Preferred * 42,591
250 Puma AG Preferred (Non Voting) * 61,442
150 Rheinelektra AG 128,183
650 RWE AG Preferred (Non Voting) 168,727
50 Salamander AG 10,853
400 SAP AG 361,784
540 Siemens AG 250,296
400 Villeroy and Boch AG Preferred (Non Voting) 86,686
1,150 Volkswagen AG 310,938
300 Volkswagen AG Preferred (Non Voting) 0.79% 62,246
9,878,769
HONG KONG - 3.4%
73,000 Cathay Pacific Airways Ltd 118,024
55,000 Cross Harbour Tunnel Co Ltd 108,129
157,156 Dairy Farm International 189,038
74,000 Denway Investments 6,126
44,000 Dickson Concepts International Ltd 23,902
275,000 Elec and Eltek International Holdings Ltd 32,012
175,000 Goldlion Holdings Ltd 38,932
153,000 Hang Lung Development Co Ltd 226,586
2,600 Hang Lung Development Co Ltd Warrants 10/31/97 * 457
118,000 Harbour Centre Development Ltd 132,781
1,000 Henderson Land Development Co Ltd 5,575
140,000 Hong Kong Ferry Co Ltd 150,294
31,000 Hong Kong Land Holdings 59,141
12,000 Hongkong Aircraft Engineering Co Ltd 38,647
18,000 Hongkong and Shanghai Hotels Ltd Preferred 1.95% 20,604
20,000 Hongkong Electric Holdings Ltd 59,885
114,807 Hopewell Holdings Ltd 87,611
175,000 Hutchison Whampoa Ltd 742,417
56,000 Jardine International Motor Holdings Ltd 61,204
45,200 Kowloon Motor Bus Co Ltd 81,262
118,000 Kumagai Gumi Hong Kong Ltd 81,653
92,000 Lai Sun Garment International Ltd 98,170
16,000 Lane Crawford International Ltd Series A 24,627
81,000 Mandarin Oriental 95,861
206,000 National Mutual Asia Ltd 134,553
76,000 New World Development Co Ltd 207,411
74,000 Playmate Toys Holding 22,971
1,088,000 Regal Hotels International Ltd 209,677
55,600 San Miguel Brewery Ltd 48,182
80,000 Shun Tak Holdings Ltd 47,597
12,956 Sino Hotels Holdings Ltd * (c) 3,351
51,826 Sino Land Co Ltd 41,560
64,000 South China Morning Post Ltd 34,767
319,000 Stelux Holdings International Ltd 93,866
18,000 Sun Hung Kai Properties Ltd 121,063
350,000 Swire Pacific Ltd Class A 2,455,862
106,000 Tai Cheung Holdings Ltd 100,770
15,000 Television Broadcasts Ltd 56,457
266,000 Wharf Holdings Ltd 915,165
70,000 Wheelock & Co Ltd 118,153
23,000 Wing On International Holdings Ltd 40,160
91,000 Winsor Industrial Corp Ltd 112,404
7,246,907
ITALY - 2.4%
181,100 Alitalia Linee Aeree Italiane Class A * 99,285
83,000 Alitalia Linee Aeree Italiane Class B (Private Placement) * (b) 31,231
285,000 Autostrade Concessioni e Costruzioni SPA Class B Preferred 4.98% 356,891
12,300 Banca Commerciale Italiana SPA 27,636
658,340 Banca di Roma 582,606
56,000 Banca Nazionale dell'Agricoltura SPA (Non Convertible) 23,756
17,500 Banca Toscana 40,578
880,400 Banco di Napoli (Non Convertible) 561,790
380,000 Bastogi-IRBS SPA * 22,996
2,300 Benetton Group SPA 22,049
3,000 Bonifiche-Siele Finanziaria SPA * 61,474
20,000 Caffaro SPA * 23,966
18,500 Cartiere Burgo SPA * 127,472
29,970 Cia Italiana dei Grandi Alberghi Cigahotels SPA * 15,964
30,000 Comau Finanziaria SPA 47,544
16,300 Credito Italiano 17,482
24,590 Credito Italiano (Non convertible) 26,520
14,000 Danieli and Co SPA (Non Convertible) 48,316
19,000 Edison SPA 81,965
9,000 Editoriale l'Espresso SPA 16,447
2,500 Ericsson SPA 33,703
86,000 Fiat SPA * 330,552
163,000 Fiat SPA (Non Convertible) 392,607
115,000 Fiat SPA Preferred * 288,706
6,750 FIDIS SPA 15,227
54,000 Finmeccanica SPA * 48,144
12,500 Gilardini SPA * 31,007
76,850 Industriali Riunite SPA * 74,364
20,420 Istituto Bancario San Paolo 113,295
11,750 Italcementi Fabbriche Riunite Cemento SPA 76,597
35,750 Italcementi Fabbriche Riunite Cemento SPA (Non Convertible) 112,884
325,000 Montedison SPA * 237,762
160,000 Montedison SPA (Non Convertible) * 97,016
85,000 Montefibre SPA * 70,027
35,000 Olivetti and Co SPA * 38,901
17,000 Olivetti and Co SPA (Non Convertible) * 13,241
75,000 Parmalat Finanziaria SPA 66,282
28,800 Pirelli and Co 65,227
15,000 Pirelli and Co (Non Convertible) 19,323
12,000 Rinascente per l'Esercizio di Grandi Magazzini SPA 59,748
7,000 Rinascente per l'Esercizio di Grandi Magazzini SPA
(Non Convertible) 18,769
9,000 Rinascente per l'Esercizio di Grandi Magazzini SPA
Preferred 5.59% 22,379
20,000 Saipem SPA * 35,111
7,000 Sasib SPA 32,505
4,000 Sasib SPA (Non Convertible) 10,773
16,500 Sirti SPA 110,725
131,630 Snia BPD SPA * 153,792
11,000 Societa Italiana per L'Esercizio delle Telecomunicazioni SPA 26,495
115,000 Societa Metallurgica SPA * 58,568
27,000 SORIN Biomedica SPA * 72,717
36,130 STET SPA 100,337
9,000 Telecom Italia SPA di Rsip 17,445
5,700 Tosi (Franco) SPA 60,962
5,141,159
JAPAN - 7.6%
1,000 Ajinomoto Co Inc 11,594
7,000 Alps Electric Co Ltd * 83,329
2,000 Amada Co Ltd 19,875
49,000 Aoki Corp 268,827
1,400 Arabian Oil Co Ltd 58,982
7,000 Asahi Breweries Ltd 72,460
13,000 Banyu Pharmaceutical Co Ltd 134,299
1,000 Canon Sales Co Inc 22,670
2,400 Chubu Electric Power Co Inc 58,382
2,000 Chugai Pharmaceutical Co Ltd 20,082
16,000 Cosmo Oil Co Ltd 105,171
6,000 CSK Corp 163,967
9,000 Dai Nippon Printing Co Ltd 133,223
4,000 Dai Tokyo Fire and Marine Insurance Co Ltd 25,589
38,000 Daicel Chemical Industries Ltd 179,370
2,000 Daiichi Seiyaku Co Ltd 30,433
3,000 Daikyo Inc 21,707
7,000 Dainippon Ink & Chemicals Inc 30,578
5,000 Daiwa House Industry Co Ltd 72,978
3,000 Daiwa Kosho Lease Co Ltd 27,048
97 East Japan Railway Co 427,742
2,000 Eisai Co Ltd 30,433
5,000 Fuji Photo Film Co Ltd 107,137
17,000 Fujisawa Pharmaceutical Co Ltd 193,572
18,000 Fujita Corp 96,517
1,000 Fujita Kanko Inc 19,564
22,000 Fujitsu Ltd 200,859
5,000 Fukuyama Transporting Co Ltd 46,271
5,000 Furukawa Electric Co Ltd 27,845
11,000 Gakken Co Ltd * 79,706
10,000 General Sekiyu (KK) 94,819
16,000 Hankyu Corp 86,124
16,000 Hanwa Co Ltd * 52,006
35,000 Haseko Corp 186,585
11,000 Hazama-Gumi Ltd 53,517
2,000 Heiwa Real Estate Co Ltd 14,492
8,000 Hitachi Cable Ltd 54,656
7,000 Hitachi Maxell Ltd 109,415
4,000 Hokuriku Bank Ltd 26,624
5,000 Honda Motor Co Ltd 75,565
13,000 INAX Corp 131,474
4,000 Intec Inc 51,343
12,000 Itochu Corp 70,680
6,000 Japan Airport Terminal Co Ltd 65,214
29,000 Japan Energy Co Ltd 103,866
24,000 Japan Synthetic Rubber Co Ltd 135,397
5,000 Joshin Denki Co Ltd 56,933
3,000 Kamigumi Co Ltd 24,843
38,000 Kankaku Securities Co Ltd 153,802
9,000 Keihin Electric Express Railway Co Ltd 52,078
12,000 Keio Teito Electric Railway Co Ltd 65,959
5,000 Keisei Electric Railway Co Ltd 36,385
30,000 Kinki Nippon Railway Co Ltd 240,360
15,000 Kirin Brewery Co Ltd 155,271
6,000 Koito Manufacturing Co Ltd 44,718
5,000 Kokusai Kogyo Co Ltd 49,221
1,000 Kokuyo Co Ltd 24,119
8,000 Komatsu Ltd 58,713
78,000 Kumagai Gumi Co Ltd 386,750
21,000 Kurabo Industries Ltd 78,257
32,000 Kureha Chemical Industry Co Ltd 150,054
3,000 Kyowa Hakko Kogyo Co Ltd 29,005
12,000 Maeda Corp 127,944
13,000 Marubeni Corp 59,345
11,000 Marudai Food Co Ltd 74,240
15,000 Marui Co Ltd 214,275
16,000 Matsushita Electric Works Ltd 161,482
22,000 Mazda Motor Corp * 102,251
8,000 Meiji Seika Kaisha Ltd 47,617
19,000 Mitsubishi Electric Corp 123,513
41,000 Mitsubishi Estate Co Ltd 413,798
10,000 Mitsubishi Gas Chemical Co Inc 40,888
10,000 Mitsubishi Materials Corp 47,099
12,000 Mitsubishi Oil Co Ltd 104,218
14,000 Mitsubishi Trust & Banking Corp 198,540
2,000 Mitsubishi Warehouse & Transportation Co Ltd 28,570
16,000 Mitsui Fudosan Co Ltd 163,801
4,000 Mitsui Mining Co Ltd * 18,219
12,000 Mitsui Petrochemical Industries Ltd 84,468
13,000 Mitsui Trust & Banking Co Ltd 116,940
1,000 Mochida Pharmaceutical Co Ltd 20,185
15,000 Nagoya Railroad Co Ltd 71,891
8,000 Nankai Electric Railway Co Ltd 58,299
21,000 NEC Corp 199,338
14,000 New Japan Securities Co Ltd 79,706
15,000 Nichiei Co Ltd 75,151
6,000 Nichii Co Ltd 65,214
20,000 Nippon Express Co Ltd 178,045
142,000 Nippon Oil Co Ltd 852,544
41,000 Nippon Sheet Glass Co Ltd 210,082
11,000 Nippon Suisan Kaisha Ltd * 51,240
27,000 Nissan Motor Co Ltd 184,742
7,000 Nissho Iwai Corp 31,810
14,000 Nitto Denko Corp 198,540
5,000 NSK Ltd 30,796
13,000 Odakyu Electric Railway Co Ltd 95,005
4,000 Okamoto Industries Inc 25,299
1,000 Ono Pharmaceutical Co Ltd 47,099
3,000 Onoda Cement Co Ltd 17,297
34,000 Renown Inc * 133,389
5,000 Ricoh Co Ltd 42,596
6,000 Royal Co Ltd 77,636
7,000 Sagami Railway Co Ltd 32,535
3,000 Sankyo Co Ltd 70,493
17,000 Sanyo Electric Co Ltd 88,515
3,000 Sapporo Breweries Ltd 27,390
1,000 SECOM Co Ltd 52,999
11,000 Seibu Railway Co Ltd 401,946
3,000 Seino Transportation Co Ltd 47,203
3,000 Sekisui Chemical Co Ltd 29,812
41,000 Sekisui House Ltd 462,605
28,000 Settsu Corp * 101,444
11,000 Shionogi and Co Ltd 93,142
23,000 Shiseido Co Ltd 249,987
8,000 Showa Shell Sekiyu 89,436
1,000 Skylark Co Ltd 14,699
4,000 Sony Corp 173,904
9,000 Sumitomo Corp 77,325
28,000 Sumitomo Metal Industries Ltd * 80,286
8,000 Sumitomo Realty & Development Co Ltd 43,559
13,000 Sumitomo Trust & Banking Co Ltd 150,717
21,000 Taisei Corp 135,210
2,000 Taisho Pharmaceutical Co Ltd 33,953
18,000 Takeda Chemical Industries Ltd 208,685
15,000 Tanabe Seiyaku Co Ltd 114,901
86,000 Teijin Ltd 403,271
7,000 Teikoku Oil Co Ltd 45,288
8,000 The Japan Steel Works Ltd 22,856
17,000 Toa Nenryo Kogyo K K 253,403
16,000 Tobu Railway Co Ltd 95,730
200 Toho Co Ltd 31,468
2,000 Tokyo Dome Corp 35,816
4,000 Tokyo Tatemono Co Ltd 22,442
4,000 Tokyotokeiba Co Ltd 18,633
20,000 Tokyu Construction Co Ltd 102,893
20,000 Tokyu Corp 127,323
10,000 Tokyu Department Store Co Ltd 58,796
9,000 Tokyu Land Corp 40,619
8,000 Toppan Printing Co Ltd 96,061
8,000 Toshiba Tungaloy Co Ltd * 33,207
1,000 Tostem Corp 29,295
1,000 Toto Ltd * 15,734
6,000 Toyo Trust & Banking Co Ltd 51,861
19,000 Victor Co of Japan Ltd * 210,445
6,000 Wacoal Corp 60,866
4,000 Yakult Honsha Co Ltd 56,726
7,000 Yamaha Corp 77,532
99,000 Yamaichi Securities Co Ltd 652,792
9,000 Yamanouchi Pharmaceutical Co Ltd 176,078
6,000 Yamato Transport Co Ltd 62,109
10,000 Yasuda Trust and Banking Co Ltd 73,185
3,000 Yokogawa Bridge Corp 38,818
10,000 Yokogawa Electric Corp 91,403
16,326,963
MALAYSIA - 0.4%
29,000 Antah Holding Berhad 23,061
39,200 Bandar Raya Dev Warrants 10/28/97 * 48,218
65,000 DMIB Berhad 70,786
52,000 Faber Group Berhad * 49,703
46,000 Golden Hope Plantations Berhad 81,810
49,000 Highlands and Lowlands Berhad 86,377
29,000 Kuala Lumpur Kepong Berhad 80,090
62,000 Malaysian United Industries Berhad 88,407
35,000 Malaysian Mosaics Berhad 57,037
61,000 Malaysian Resources Corp 107,531
26,000 Perlis Plantations 86,064
36,000 Selangor Properties Berhad 42,166
821,250
NEW ZEALAND - 0.5%
9,000 Air New Zealand Ltd Class B 29,075
26,000 Carter Holt Harvey Ltd 57,315
64,500 DB Group Ltd * 38,815
78,000 Fisher and Paykel Industries Ltd 200,107
60,000 Fletcher Challenge Ltd 149,367
7,000 Independent Newspapers Ltd 23,457
251,500 Lion Nathan Ltd 477,938
976,074
NORWAY - 1.4%
3,900 Aker AS Class A 51,511
2,600 Aker AS Class B (Non Voting) 33,136
12,510 Bergesen d y AS Class A 276,351
7,830 Bergesen d y AS Class B 172,968
37,994 Den Norske Bank AS Series A * 100,364
5,350 Det Norske Luftfartsselskab AS Class B * 195,044
5,400 Dyno Industrier AS 150,153
4,300 Elkem AS Class A* 53,805
2,280 Hafslund Nycomed AS Class A 45,787
21,990 Hafslund Nycomed AS Class B 441,607
5,310 Kvaerner Industrier AS 241,162
400 Kvaerner Industrier AS Class B (Non Voting) 17,302
5,880 Leif Hoegh and Co AS 81,750
21,600 Norsk Hydro AS 817,499
5,010 Orkla-Borregaard AS Series A 184,971
2,900 Saga Petroleum AS Series A 37,407
7,390 Unitor AS 112,447
3,013,264
SINGAPORE - 2.4%
5,000 Amcol Holdings Ltd 10,073
166,000 Chuan Hup Holdings Ltd 148,894
6,000 DBS Land Ltd 15,648
44,000 Faber Group Berhad * 42,805
92,000 First Capital Corp Ltd 250,098
19,000 Fraser and Neave Ltd 200,573
153,000 Hai Sun Hup Group Ltd 146,735
119,000 Haw Par Brothers International Ltd 246,317
170,000 Hotel Properties Ltd 296,754
61,000 Inchcape Berhad 199,496
78,056 Jardine Matheson Holdings Ltd * 718,115
138,000 Jardine Strategic Holdings Ltd * 513,360
10,000 Jurong Shipyard Ltd 83,486
21,000 Lum Chang Holdings Ltd 19,126
32,000 Metro Holdings Ltd 118,122
15,000 Natsteel Ltd 34,774
197,000 Neptune Orient Lines Ltd 254,176
7,000 Prima Ltd 26,805
33,000 Robinson and Co Ltd 133,198
13,000 Shangri-La Hotel Ltd 48,884
89,000 Singapore Airlines Ltd 890,399
133,000 Straits Trading Co Ltd 304,661
31,000 Times Publishing Ltd 82,561
468,000 United Industrial Corp Ltd 390,713
23,000 United Overseas Land Ltd 42,847
13,000 Wearne Brothers Corp Ltd 29,420
5,248,040
SPAIN - 2.5%
15,920 Argentaria Corporacion Bancaria de Espana SA 514,564
13,200 Asturiana del Zinc SA * 130,006
3,600 Autopistas Concesionaria Espanola SA 29,828
600 Azucarera de Espana SA 15,500
31,960 Banco Bilbao Vizcaya SA 851,886
29,540 Banco Central Hispanoamericano SA 686,939
2,450 Banco Zaragozano SA 35,908
470 Bankinter SA 38,502
2,350 Cristaleria Espanola SA * 117,930
6,780 Dragados y Construcciones SA 84,795
16,900 Empresa Nacional de Celulosa SA * 455,089
2,690 Empresa Nacional de Electricidad SA 117,119
173,830 FENOSA SA 665,796
200 Fomento Construcciones y Contratas SA 16,415
39,650 Fuerzas Electricas de Cataluna SA 196,806
800 Huarte SA 7,191
39,480 Iberdrola SA 246,881
7,880 Repsol SA 223,590
127,830 Sevillana de Electricidad 549,561
5,950 Tableros Defibras Series B * 56,974
5,950 Tableros Fibras Rights 4/12/95 * 3,488
19,900 Telefonica de Espana SA 248,104
7,700 Vallehermoso SA 112,853
5,405,725
SWEDEN - 0.5%
3,880 Electrolux AB Series B 195,261
400 Hennes and Mauritz AB Series B 23,535
2,680 Marieberg Tidnings AB Series A 63,877
2,500 Mo Och Domsjoe AB Series B * 124,451
1,450 Pharmacia AB Class A 26,661
26,440 Skandinaviska Enskilda Banken Series A * 144,403
2,560 Skanska AB Series B 56,833
2,200 SKF AB Class B * 40,601
800 Svenska Cellulosa AB 14,165
5,100 Svenska Handelsbanken Series A 64,599
3,000 Sydkraft AB Series A 46,580
3,800 Trelleborg AB Class B * 52,531
4,300 Volvo AB Series A * 86,090
8,500 Volvo AB Series B 170,179
1,109,766
SWITZERLAND - 3.1%
170 Baloise Holdings 315,310
475 Banque Cantonale Vaudoise (Bearer) 245,151
20 CIBA-GEIGY AG (Bearer) 12,645
1,060 CS Holdings (Bearer) 438,515
2,400 CS Holdings (Registered) 198,379
60 Elektrowatt AG (Bearer) 15,628
10 Elvia Schweiz Versicherungs 30,846
250 Helvetia Schweizerische Versicherungsgesellschaft 117,939
100 Hero AG (Bearer) 50,562
300 Hero AG (Registered) 38,708
50 Hilti AG, Schaan (Participating Certificate) 36,692
40 Holderbank Financiere Glarus AG (Bearer) 29,547
120 Holderbank Financiere Glarus AG (Registered) 18,290
40 Interdiscount Holding SA (Bearer) 49,837
50 Intershop Holding AG 21,088
100 Landis and Gyr AG 60,885
40 Merkur Holding AG (Registered) 10,677
20 Pargesa Holding SA (Bearer) 21,128
125 Schindler Holding AG (Participating Certificate) 155,236
60 Schindler Holding AG (Registered) 73,545
650 Schweizerische Rueckversicherungsgesellschaft (Bearer) 388,412
25 Schweizerische Rueckversicherungsgesellschaft (Registered) 14,939
20 SIG Schweiz Industrie AG (Bearer) 19,354
5 SIG Schweiz Insustrie AG (Registered) 9,919
1,060 SMH AG 566,735
4,400 SMH AG (Registered) 523,366
1,060 Swiss Bank Corp (Bearer) 303,456
1,200 Swiss Bank Corp (Registered) 171,283
940 Union Bank of Switzerland (Bearer) 786,081
1,050 Winterthur Schweizerische Versicherungs-Gesellschaft (Registered) 510,584
230 Winterthur Schweizerische Versicherungs-Gesellschaft (Bearer) 115,552
530 Zurich Versicherungs-Gesellschaft (Registered) 505,189
780 Zurich Versicherungs-Gesellschaft (Bearer) 749,776
6,605,254
UNITED KINGDOM - 11.5%
54,600 AMEC Plc 54,433
4,520 Amersham International Plc 58,724
8,740 Anglian Water Plc 66,318
194,762 Argyll Group 830,603
1,037,750 ASDA Group Plc 1,112,583
4,490 BAA Plc 30,908
26,300 Barratt Developments Plc 68,670
123,670 Bass Plc 989,272
55,390 BAT Industries Plc 364,632
8,700 Berisford International Plc 30,495
7,050 Boots Co Plc 53,160
132,290 British Aerospace Plc 986,003
29,910 British Land Co Plc 175,362
246,530 British Steel Plc 622,244
91,960 BTR Plc 456,212
17,000 Bunzl Plc 44,388
272,190 Burton Group Plc 288,587
2,090 Carlton Communications Plc 28,741
4,995 Charter Plc (Registered) 58,966
194,000 Costain Group Plc * 68,307
22,000 Dixons Group Plc 73,109
900 Eastern Group Plc 9,912
41,040 English China Clays Plc 219,510
94,800 Fisons Plc 190,521
250,040 Forte Plc 949,623
331,543 Glaxo Plc 3,326,285
27,432 Grand Metropolitan Plc 166,043
105,920 Great Portland Estates Plc 293,323
3,900 Greenalls Group Plc 24,871
31,220 Guinness Plc * 205,274
108,971 Hammerson Property Investment and Development Corp Plc 552,674
161,577 Hillsdown Holdings Plc 458,959
284,152 Ladbroke Group Plc 759,920
288,650 Lasmo Plc * 701,149
25,100 Lex Service Plc 112,009
8,720 London Electricity Plc 99,629
28,550 London International Group Plc * 42,920
596 Lonrho Plc 1,368
35,570 Marks & Spencer Plc 209,672
13,700 MEPC Plc 85,743
18,080 Meyer International Plc 88,693
6,420 Midland Electricity 74,570
94,940 National Power Plc 696,353
19,500 Norcros Plc 24,069
7,500 North West Water Group Plc 61,004
21,400 Northern Foods Plc 68,576
2,010 Northumbrian Water Group Plc 23,283
7,180 NORWEB Plc 90,214
8,600 Ocean Group Plc 37,561
266,054 Pilkington Plc 696,784
63,390 Powergen Plc 498,549
7,120 Rank Organisation Plc 41,575
18,000 Reckitt & Colman Plc 178,880
56,799 Redland Plc 382,896
38,048 Sainsbury Plc 246,255
9,990 Scottish Power Plc 51,853
355,800 Sears Plc 557,406
4,310 Securicor Group Plc (Non Voting) 62,406
7,740 Severn Trent Plc 61,547
79,000 Signet Group Plc * 21,877
25,740 Slough Estates Plc 91,851
101,178 Smith & Nephew Plc 253,773
160,108 Smithkline Beecham Plc Class A 1,275,683
168,540 Smithkline Beecham Plc Equity Units 1,286,858
17,400 South Western Electricity Plc 223,306
15,970 Southern Water Plc 137,731
60,950 Storehouse Plc 214,120
373,711 Tarmac Plc 620,948
228,823 Taylor Woodrow Plc 427,279
25,985 Tesco 103,006
5,280 Thorn EMI Plc Ord 86,979
17,600 Transport Development Group Plc 51,942
6,290 Unigate Plc 35,037
27,235 Unilever Plc 504,247
27,640 United Biscuits Holdings Plc 146,088
79 Vodafone Group Plc 236
7,320 Welsh Water Plc 68,690
10,890 Wessex Water Plc 47,046
13,165 Whitbread Plc Class A (Limited Voting) 112,081
107,750 Wimpey (George) Plc 205,463
1,130 Wolseley Plc 6,276
24,734,113
UNITED STATES - 36.2%
500 3Com Corp * 26,063
9,800 Aetna Life and Casualty Co 526,750
7,900 AFLAC Inc 298,225
10,900 Albertsons Inc 335,175
1,800 Alco Standard Corp 122,400
3,300 Allegheny Power Systems 77,550
800 Allmerica Property & Casualty 15,600
800 Allstate Corp 22,000
3,200 Ambac Corp 130,000
6,900 American Electric Power 233,738
57,500 American Express 1,940,625
15,800 American General Corp 499,675
16,500 American Home Products 1,179,750
12,700 Amgen Inc * 876,300
13,500 Amoco Corp 799,875
9,500 Amp Inc 712,500
21,200 Anheuser-Busch Cos Inc 1,195,150
7,100 AON Corp 246,725
15,300 Apple Computer Inc 604,350
11,400 Archer Daniels Midland * 216,600
9,800 Ashland Inc 317,275
2,000 Atlantic Richfield Co 219,250
13,900 Autozone Inc * 368,350
5,700 Avery Dennison Corp 213,750
8,100 Baltimore Gas and Electric Co 199,463
1,700 Bandag Inc 102,000
8,000 Bear Stearns Co Inc 150,000
5,300 Beneficial Corp 196,763
1,200 BHC Communications Inc Class A * 89,100
52,100 Boeing Co 2,403,089
6,600 Boston Scientific Corp * 142,725
37,700 Bristol-Myers Squibb Co 2,337,400
5,100 Brown Forman Corp Class B 165,113
4,600 Callaway Golf Co 155,250
14,400 Capital Cities/ ABC Inc 1,274,400
4,300 Carolina Power & Light 118,250
10,400 Centerior Energy Corp 101,400
10,400 Central & South West Corp 256,100
3,000 Chase Manhattan Corp 107,625
7,800 Chemical Banking Corp 312,975
8,700 Chevron Corp 413,250
5,300 Cigna Corp 401,475
7,700 Cinergy Corp 190,575
3,300 Circuit City Stores Inc 71,363
22,600 Citicorp 1,017,000
2,700 Clorox Company 163,013
4,100 CMS Energy Corp 98,400
2,000 Columbia Gas Systems * 52,000
29,600 Columbia/HCA Healthcare Corp 1,224,700
46,500 Compaq Computer Corp * 1,604,250
6,100 Computer Sciences Corp * 299,663
9,000 Conagra Incorporated * 294,750
800 Conseco Inc 28,500
12,700 Consolidated Edison Co of New York 350,838
1,600 Consolidated Papers Inc 77,400
9,000 Corning Inc 289,125
7,100 CPC International 379,850
5,400 CPL Inc 112,725
4,300 Danaher Corp 126,850
900 De Luxe Corp 25,200
3,900 Dean Foods Co 120,900
19,300 Dean Witter Discover & Co 779,238
10,800 Detroit Edison Co 309,150
9,300 Dominion Resources Inc 353,400
6,900 Dover Corp 410,550
8,900 Dow Chemical Co 596,300
2,800 DQE 94,150
6,900 Du Pont (E.I.) De Nemours 387,263
13,700 Duke Power Co 537,725
3,500 Dun & Bradstreet Corp 181,125
5,500 E G & G Inc 79,063
3,600 E Systems Inc 157,500
24,700 Eastman Kodak 1,259,700
3,900 Eaton Corp 195,488
5,200 Edwards AG Inc 117,000
1,700 El Paso Natural Gas Co 52,275
700 Emerson Electric Corp 46,288
9,100 Entergy Corp 203,613
900 Equifax Inc 27,788
27,000 Exxon Corp 1,728,000
3,800 F M C Corp * 222,300
900 First American Bank Corp 30,488
2,400 First Chicago Corp 121,500
1,500 First USA Inc 55,313
1,900 Fleming Cos 37,050
5,700 Florida Progress 178,838
6,500 FPL Group 233,188
1,900 Frontier Corp 43,463
2,400 Gap Inc 78,000
900 Geico Corp 43,988
1,500 General Instrument Corp * 47,625
8,300 General Public Utilities 251,075
7,300 Genuine Parts Co 283,788
4,600 Georgia Gulf Corp * 138,000
1,500 Glatfelter (PH) Co 27,375
3,600 Grainger W W Inc 220,050
9,500 Harley-Davidson 256,500
15,000 Heinz (HJ) Co 590,625
1,200 Hershey Foods Corp 58,800
2,600 Hewlett Packard Co 299,000
3,100 Hormel (Geo A) & Co 82,925
7,100 Household International Inc 310,625
4,000 Houston Inds Inc 153,000
1,545 Hubbell Inc Class B 83,430
3,300 IBP Inc 105,188
4,600 Illinova Corp 107,525
38,700 International Business Machines Corp 2,912,175
5,500 International Flavors & Fragrances 264,688
4,800 Jefferson Pilot Corp 273,600
9,800 Johnson & Johnson 556,150
3,500 Kansas City Power & Light Co 83,563
7,700 Kellogg Co 416,763
500 Kerr-McGee Corp 25,188
18,600 Kroger Co * 488,250
27,000 Lilly (Eli) and Co 1,809,000
5,200 Litton Industries * 189,800
2,600 Liz Claiborne 41,925
12,100 Lockheed Corp 939,263
1,600 Loctite Corp 73,600
1,500 Loews Corp 145,688
6,000 Long Island Lighting 96,000
8,000 LSI Logic Corp * 436,000
8,200 Lyondell Petrochemical 197,825
9,000 Manpower Inc 263,250
400 Mapco 21,850
7,900 Marion Merrell Dow Inc 196,513
1,900 Marsh & McLennan Cos Inc 155,800
18,000 Martin Marietta Corp 859,500
3,200 Mattel Inc 71,600
1,500 MBIA Inc 93,000
1,800 Mc Graw Hill Inc 126,900
14,300 Medtronic Inc 858,000
6,100 Melville Corp 198,250
32,900 Merck & Co. 1,394,138
800 MGIC Investment Corp 30,500
16,700 Micron Tech 1,035,400
15,500 Microsoft Corp * 976,500
4,200 Millipore Corp 223,125
17,000 Minnesota Mining & Manufacturing 930,750
8,200 Mobil Corp 713,400
10,300 Morgan Stanley Group Inc 693,963
300 Murphy Oil Corp 13,125
1,800 Mylan Laboratories 56,250
17,700 National Medical Enterprises Inc * 274,350
3,400 National Service Industries 91,375
2,700 New England Electronic System 89,100
3,300 New York State Electric & Gas Corp 70,950
8,000 Newell Co 191,000
7,000 Niagara Mohawk Power Corp 104,125
3,300 Nike Inc Class B 237,188
3,600 Nipsco Industry 113,850
6,700 Nordstrom Inc 283,075
6,000 Northeast Utilities 136,500
4,100 Northern States Power 185,525
1,600 Northrop Grumman Corp 71,000
3,200 Occidental Petroleum Corp 63,600
7,000 Ohio Edison Co 147,000
1,800 Oklahoma Gas & Electric 63,675
4,000 Old Republic International Corp 99,000
3,700 Omni Group Inc 196,563
16,100 Pacific Corp 307,913
4,900 Pacific Enterprises 120,050
19,900 Pacific Gas & Electric Co 509,938
6,700 Panhandle Eastern Corp 150,750
5,800 Parker Hannifin Corp 271,150
10,800 Peco Energy Co 288,900
4,700 Pennsylvania Power & Light Co. 97,525
100 Pennzoil Co 4,738
7,200 Pep Boys Manny Moe & Jack 235,800
8,400 Phelps Dodge Corp 457,800
30,600 Philip Morris Cos Inc 1,858,950
200 Phillips Petroleum Co 6,675
4,500 Pinnacle West Capital Corp 96,750
4,300 Polaroid Corp 129,000
4,500 Potomac Electric Power Co 87,188
26,100 PPG Industries Inc 959,175
8,800 Premark International Inc 380,600
3,100 Provident Life & Accident Class B 72,850
4,700 Providian Corp 166,263
2,000 Public Service Co of Colorado 61,250
12,700 Public Service Enterprise Group Inc 369,888
2,300 Puget Sound Power & Light 49,738
22,800 Raytheon Co 1,607,400
5,900 Readers Digest Association Class A (Non Voting) 271,400
4,400 Reebok International Ltd 161,150
14,300 Rite Aid Corp 353,925
1,800 Rockwell International Corp 69,300
1,800 Rohm & Haas Co. 101,025
6,800 Royal Dutch Petroleum Co ADR 762,450
400 SAFECO Corp 22,000
3,600 San Diego Gas & Electric 77,850
23,200 Sara Lee Corp 609,000
2,400 Scana Corp 105,900
20,800 SCE Corp 340,600
400 Snap On Tools Corp 13,600
34,600 Southern Co 713,625
1,600 Southern New England Telecommunications Corp 53,000
10,500 St Paul Cos 510,563
600 Stone Container Corp * 14,025
4,700 Storage Technology Corp * 102,225
500 Student Loan Marketing Association 18,438
2,600 Sun Microsystems Inc * 83,200
19,100 Tandem Computers Inc * 324,700
6,200 Teco Energy Inc 133,300
3,400 Texaco Inc 216,750
6,200 Texas Utilities Co 203,825
3,500 Textron Inc 191,625
800 Thomas & Betts Corp 53,300
7,600 Torchmark Corp 318,250
4,500 Transamerica Corp 245,813
400 Transatlantic Holdings Inc 23,000
3,100 Twentieth Century Industries 38,750
900 Tyson Foods Inc Class A 22,163
25,400 U S Healthcare Inc 1,092,200
12,400 Unicom Corp 316,200
10,200 Unilever NV 1,239,300
5,600 Union Electric 212,100
3,800 United Health Care 163,400
2,900 Universal Foods Corp 90,988
16,700 Upjohn Co 588,675
3,400 V F Corporation 175,100
1,000 Vulcan Materials 53,250
2,500 Walgreen Co 118,125
1,200 Weis Markets 30,750
4,600 Wellpoint Health Networks Inc Class A * 151,225
2,900 Western Resources 92,075
8,700 Whitman Corp 164,213
3,900 Williams Companies Inc 112,125
5,800 Wisconsin Energy Corp 160,950
2,300 York International Corp 88,550
77,779,868
TOTAL STOCK AND EQUIVALENTS (Cost $182,320,182) 184,565,489
PAR VALUE U.S. GOVERNMENT - 9.3%
$ 2,900,000 U.S. Treasury Note 6.125% due 7/31/96 (a) 2,880,516
17,300,000 U.S. Treasury Note 6.875% due 10/31/96 (a) 17,345,953
20,226,469
TOTAL U.S. GOVERNMENT (Cost $20,149,891) 20,226,469
PRINCIPAL AMOUNT
OF CONTRACTS
(000's omitted) PURCHASED CALL OPTION - 0.4%
OPTION - 0.4%
30,000 U.S. Treasury Note 7.25%, Expires 3/7/95, Strike $98.13 778,200
TOTAL PURCHASED CALL OPTION (Cost $520,313) 778,200
PAR VALUE SHORT-TERM INVESTMENTS - 17.0%
$ 5,200,000 Bank of New York Time Deposit, 5.25% due 3/1/95 5,200,000
10,400,000 First National Bank of Chicago Time Deposit, 6.00% due 3/1/95 10,400,000
10,400,000 Morgan Guaranty Time Deposit, 5.94% due 3/1/95 10,400,000
10,400,000 Republic Bank of New York Deposit, 6.00% due 3/1/95 10,400,000
36,400,000
TOTAL SHORT-TERM INVESTMENTS (at amortized cost) 36,400,000
TOTAL INVESTMENTS - 112.7%
(Cost $239,390,386) * * $ 241,970,158
Other Assets and Liabilities (net) - (12.7%) (27,332,037)
TOTAL NET ASSETS - 100.0% $ 214,638,121
Notes to the Schedule of Investments:
ADR American Depositary Receipt
(a) All or a portion of this security is held as collateral for open futures contracts.
(b) Restricted security - This security is restricted as to resale. At
February 28, 1995, restricted securities amounted to $31,231.
(c) Security valued by management (Note 1).
* Non-income producing security.
** The aggregate identified cost for federal
income tax purposes is $239,508,656, resulting
in gross unrealized appreciation and
depreciation of $6,537,950 and $4,076,448,
respectively, and net unrealized appreciation of
$2,461,502.
|
See accompanying notes to the financial statements.
GMO GLOBAL HEDGED EQUITY FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
FEBRUARY 28, 1995
At February 28, 1995, industry sector diversification of the Fund's equity investments was as follows:
PERCENTAGE OF
INDUSTRY SECTOR NET ASSETS
Services 9.3 %
Banking 9.2
Utilities 5.7
Construction 5.2
Food and Beverage 4.8
Health Care 4.8
Oil and Gas 4.8
Consumer Goods 3.6
Retail Stores 3.4
Technology 3.1
Computer and Office Equipment 3.0
Insurance 3.0
Financial Services 2.9
Primary Processing 2.9
Transportation 2.5
Metals and Mining 2.5
Aerospace 2.4
Automotive 2.0
Miscellaneous 10.9
86.0 %
|
See accompanying notes to the financial statements.
GMO GLOBAL HEDGED EQUITY FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - FEBRUARY 28, 1995
ASSETS:
Investments, at value (cost $202,990,386) (Note 1) $ 205,570,158
Short-term investments, at amortized cost (Note 1) 36,400,000
Foreign currency, at value (cost $153,978) (Note 1) 153,549
Receivable for Fund shares sold 1,412,946
Receivable for investments sold 2,826,702
Dividends and interest receivable 677,573
Foreign withholding taxes receivable 13,595
Receivable for open swap contracts (Notes 1 and 6) 926,320
Receivable for expenses waived or borne by Manager (Note 2) 14,672
Total assets 247,995,515
LIABILITIES:
Payable for investments purchased 32,541,224
Payable for daily variation margin on open futures contracts
(Note 1) 582,825
Payable to affiliate for management fee (Note 2) 102,346
Accrued expenses 130,999
Total liabilities 33,357,394
NET ASSETS(equivalent to $10.12 per share based
on 21,216,892 shares outstanding, unlimited shares authorized) $ 214,638,121
NET ASSETS CONSIST OF:
Paid-in capital $ 213,478,584
Undistributed net investment income 745,109
Accumulated net realized gain on investments, closed futures
contracts, foreign currency and foreign currency related
transactions 110,686
Net unrealized appreciation on investments, open futures contracts,
open swap contracts, foreign currency and foreign currency
related transactions 303,742
NET ASSETS $ 214,638,121
See accompanying notes to the financial statements.
|
GMO GLOBAL HEDGED EQUITY FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - PERIOD FROM JULY 29, 1994
(COMMENCEMENT OF OPERATIONS) TO FEBRUARY 28, 1995
INVESTMENT INCOME:
Interest $ 1,088,179
Dividends (net of foreign tax expense of $42,493) 791,851
Total income 1,880,030
EXPENSES:
Management fee (Note 2) 324,126
Custodian fees 135,351
Audit fees 40,008
Registration fees 22,998
Transfer agent fees 14,863
Legal fees 1,324
Insurance 516
Trustee fee (Note 2) 216
Miscellaneous 484
Total expenses 539,886
Less: expenses waived or borne by Manager (Note 2) (80,409)
Net expenses 459,477
Net investment income 1,420,553
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS,
SWAP CONTRACTS, FOREIGN CURRENCY AND FOREIGN CURRENCY RELATED
TRANACTIONS:
Net realized gain (loss) on:
Investments (852,492)
Closed futures contracts 1,018,347
Foreign currency and foreign currency related
transactions (35,636)
Net realized gain 130,219
Change in net unrealized appreciation (depreciation) on:
Investments 2,579,772
Open futures contracts (3,209,526)
Open swap contracts 926,320
Foreign currency and foreign currency related
transactions 7,176
Net unrealized gain 303,742
Net realized and unrealized gain on investments, futures
contracts, swap contracts, foreign currency and foreign
currency related transactions 433,961
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 1,854,514
See accompanying notes to the financial statements.
|
GMO GLOBAL HEDGED EQUITY FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS - PERIOD FROM JULY 29, 1994
(COMMENCEMENT OF OPERATIONS) TO FEBRUARY 28, 1995
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 1,420,553
Net realized gain on investments, closed futures contracts,
foreign currency and foreign currency related
transactions 130,219
Change in net unrealized appreciation on investments, open futures
contracts, open swap contracts, foreign currency and foreign currency
related transactions 303,742
Net increase in net assets resulting from operations 1,854,514
Distributions to shareholders from:
Net investment income (694,977)
Fund share transactions: (Note 5)
Proceeds from sale of shares 214,025,378
Net asset value of shares issued to shareholders
in payment of distributions declared 153,241
Cost of shares repurchased (700,035)
Net increase in net assets resulting
from Fund share transactions 213,478,584
Total increase in net assets 214,638,121
NET ASSETS:
Beginning of period
End of period (including undistributed net income of
$745,109) $ 214,638,121
See accompanying notes to the financial statements.
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GMO GLOBAL HEDGED EQUITY FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
PERIOD FROM JULY 29, 1994
(COMMENCEMENT OF OPERATIONS)
TO FEBRUARY 28, 1995
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00
Income from investment operations:
Net investment income (a) 0.11
Net realized and unrealized gain
on investments 0.08
Total from investment operations 0.19
Less distributions to shareholders :
From net investment income (0.07)
NET ASSET VALUE, END OF PERIOD $ 10.12
TOTAL RETURN (B) 1.92%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $214,638
Net expenses to average
daily net assets (a) 0.92%*
Net investment income to average
daily net assets (a) 2.85%*
Portfolio turnover rate 194%
* Annualized.
(a) Net of fees and expenses voluntarily waived or borne by the Manager of $.006
for the period ended February 28, 1995.
(b) Calculation excludes subscription fees. The total returns would have been
lower had certain expenses not been waived during the period shown.
See accompanying notes to the financial statements.
|
GMO GLOBAL HEDGED EQUITY FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS
FEBRUARY 28, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO Global Hedged Equity Fund (the "Fund"), which commenced operations on July 29, 1994, is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, non-diversified management investment company. The Trust was established as a Massachusetts Business Trust under the laws of the Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees to create an unlimited number of series ("Funds"), each of which issues a separate series of shares. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market quotations are available are valued at the last quoted sale price on each business day, or if there is no such reported sale, at the most recent quoted bid price. Unlisted securities for which market quotations are readily available are valued at the most recent quoted bid price. Securities which are primarily traded on foreign exchanges are generally valued at the preceding closing values of such securities on their respective exchanges, and those values are then translated into U.S. dollars at the current exchange rate. Short-term investments with a remaining maturity of sixty days or less are valued at amortized cost which approximates market value. Other assets and securities for which no quotations are readily available are valued at fair value as determined in good faith by the Trustees.
FOREIGN CURRENCY TRANSLATION
The accounting records of the Fund are maintained in U.S. dollars. The market values of foreign securities, currency holdings, other assets and liabilities are translated to U.S. dollars based on the prevailing exchange rates each business day. Income and expenses denominated in foreign currencies are translated at prevailing exchange rates when accrued or incurred. The Fund does not isolate realized and unrealized gains and losses attributable to changes in exchange rates from gains and losses that arise from changes in the market value of investments. Such fluctuations are included with net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net exchange gains and losses on disposition of foreign currencies and the difference between the amount of investment income and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent amounts actually received or paid.
FUTURES CONTRACTS
The Fund may purchase index futures contracts. Stock index futures contracts represent commitments for future delivery of cash based upon the level of a specified index of equity securities at a given date. The Fund may use futures contracts to manage its exposure to the stock and currency markets. Buying futures tends to increase the Fund's exposure to the underlying instrument. Selling futures tends to decrease the Fund's exposure to the underlying instrument or hedge other Fund instruments. Upon purchase of a futures contract, the Fund is required to deposit with its custodian, in a segregated account in the name of the futures broker, an amount of cash or U.S. government obligations in accordance with the initial margin requirements of the broker. Futures contracts are marked to market daily and an appropriate payable or receivable for the change in value ("variation margin") is recorded by the Fund. The payable or receivable is liquidated on the following business day. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Losses may arise from the changes in the value of the underlying instrument, if there is an illiquid secondary market for the contracts, or if counterparties do not perform under the contract terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. See Note 6 for all open futures contracts held as of February 28, 1995.
FORWARD CURRENCY CONTRACTS
The Fund may enter into forward currency contracts in connection with settling planned purchases or sales of securities or to hedge the currency exposure associated with some or all of the Fund's portfolio securities. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The market value of a forward currency contract fluctuates with changes in forward currency exchange rates. Forward currency contracts are marked to market daily and the change in value is recorded by the Fund as an unrealized gain or loss. When a forward currency contract is extinguished, through delivery or offset by entering into another forward currency contract, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished or offset. These contracts may involve market risk in excess of the unrealized gain or loss reflected in the Fund's Statement of Assets and Liabilities. In addition, the Fund could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency changes unfavorably to the U.S. dollar. At February 28, 1995 there were no outstanding forward currency contracts.
OPTIONS
The Fund may write call and put options on securities it owns or in which it may invest. When the Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the current value of the option written. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are offset against the proceeds or amounts paid on the transaction to determine the realized gain or loss. If a written put option is exercised, the premium reduces the cost basis of the securities purchased by the Fund. The Fund as a writer of an option has no control over whether the underlying securities may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the security underlying the written option. There is the risk the Fund may not be able to enter into a closing transaction because of an illiquid market.
The Fund may also purchase put and call options. The Fund pays a premium which is included in the Fund's Statement of Assets and Liabilities as an investment and subsequently marked to market to reflect the current value of the option. The risk associated with purchasing put and call options is limited to the premium paid.
In some cases, depending upon the executing broker, premiums on purchased and written options are not paid or received until the contracts expire or are closed or exercised. These contracts are marked to market daily, and the daily change in market value is paid to or received from the respective broker. A corresponding payable or receivable is recorded for the accumulated unrealized position received or paid. Upon settlement, the net payable or receivable for original premiums and accumulated unrealized gains and losses is paid to or received from the broker and a gain or loss is realized.
SWAP AGREEMENTS
A swap is an agreement to exchange the return generated by one instrument for the return generated by another instrument. The Fund entered into equity swap agreements which involve a commitment by one party in the agreement to pay interest in exchange for a market linked return based on a notional amount. To the extent that the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty, respectively. Equity swaps are marked to market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss in the Statement of Operations. Payments received or made at the end of measurement period are recorded as realized gain or loss in the Statement of Operations. Entering into these agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that there is no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform and that there may be unfavorable changes in the price of the security or index underlying these transactions. See Note 6 for summary of all open swap agreements as of February 28, 1995.
TAXES
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). It is the policy of the Fund to distribute all of its taxable income, including any net realized gain on investments not offset by loss carryovers, to shareholders within the prescribed time periods. Therefore, no provision for federal income or excise tax is necessary. Taxes on foreign interest and dividend income have been withheld in accordance with the applicable country's tax treaty with the United States. Dividends received by shareholders of the Fund which are derived from foreign source income and foreign taxes paid by the Fund are to be treated, to the extent allowable under the Code, as if paid and received by the shareholders of the Fund.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment income and net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryover for federal income tax purposes. The Fund's present policy is to declare and pay distributions from net investment income semi-annually, and net realized short-term and long-term capital gains at least annually. All distributions will be paid in shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. There is no premium incurred on reinvested distributions.
Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences are primarily due to differing treatments for foreign currency transactions.
The following reclassification represents the cumulative amount necessary to report these balances on a tax basis, excluding certain temporary differences, as of February 28, 1995. This reclassification has no impact on net investment income, realized gain/loss and net asset value of the Fund and is primarily attributable to certain differences in the computation of distributable income and capital gains under federal tax rules versus generally accepted accounting principles.
Undistributed Net Investment Accumulated Net
Income Realized Gain Paid-in Capital
$19,533 ($19,533) -
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SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Dividend income is recorded on the ex-dividend date, or when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an individual Fund. Expenses which are not readily identifiable to a specific Fund are allocated in such manner as deemed equitable by the Trustees, taking into consideration, among other things, the nature and type of expense and the relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is .60% of the amount invested. In the case of cash redemptions, the premium is 1.40% of the amount redeemed. The Manager may waive such premium to the extent that a transaction results in minimal brokerage and transaction costs to the Fund. All purchase premiums are paid to and recorded as paid-in capital by the Fund. For the period ended February 28, 1995, the Fund received $653,233 in purchase premiums and no redemption premiums. There is no premium for reinvested distributions or in-kind transactions.
INVESTMENT RISK
There are certain additional risks involved in investing in foreign securities that are not inherent in investments in domestic securities. These risks may involve adverse political and economic developments and the possible imposition of currency exchange blockages or other foreign governmental laws or restrictions. In addition, the securities of some foreign companies and securities markets are less liquid and at times more volatile than securities of comparable U.S. companies and U.S. securities markets.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the "Manager"), for management and investment advisory services is paid monthly at the annual rate of 0.65% of average daily net assets. The Manager has agreed to waive a portion of its fee until further notice to the extent that the Fund's annual expenses (including management but excluding custody fees, brokerage commissions and transfer taxes) exceed 0.65% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee during the period ended February 28, 1995, was $216. No remuneration is paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of securities, excluding U.S. Government obligations and short-term investments, for the period ended February 28, 1995, aggregated $212,483,292 and $29,267,931, respectively. Cost of purchases and proceeds from sales from U.S. Government obligations for the period ended February 28, 1995, aggregated $150,542,777 and $130,476,125, respectively.
4. PRINCIPAL SHAREHOLDERS
At February 28, 1995, 42% of the outstanding shares of the Fund were held by one shareholder.
5. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value). Transactions in Fund shares were as follows:
Period from July 29, 1994
(Commencement of Operations)
to February 28, 1995
Shares sold 21,270,733
Shares issued to shareholders in
reinvestment of distributions 15,401
Share repurchased (69,242)
Net Increase 21,216,892
Fund shares:
Beginning of period ___
End of period 21,216,892
|
6. FINANCIAL INSTRUMENTS
A summary of outstanding at futures contracts February 28, 1995 is as follows:
Net Unrealized
Number of Appreciation
Contracts Type Expiration Date Contract Value (Depreciation)
Buys
40 U.S. Treasury Note March 1995 $ 8,163,750 $ 154,200
Sales
196 S&P 500 March 1995 47,877,900 $ (3,086,990)
124 S&P 500 June 1995 30,538,100 (276,736)
$ (3,363,726)
|
At February 28, 1995 the Fund had cash and/or securities to cover any margin requirements on open futures contracts.
SWAP AGREEMENTS
UNREALIZED
NOTIONAL EXPIRATION APPRECIATION
AMOUNT DATE DESCRIPTION (DEPRECIATION)
8,000,000 9/1/95 Agreement with Morgan Stanley & Co. International
Limited dated 9/1/94 to pay (receive) the notional
amount multiplied by the return on the EASEA index
plus 5.93% of the EASEA dividend yield and to
receive 6 month LIBOR plus 0.10%. (a) $ 447,284
12,500,000 10/31/95 Agreement with Morgan Stanley & Co. International
Limited dated 10/28/94 to pay (receive) the notional
amount multiplied by the return on the EASEA index
plus 5.93% of the EASEA dividend yield and to receive 6
month LIBOR plus 0.05%. (a) 545,987
30,000,000 1/31/96 Agreement with Morgan Stanley & Co. International
Limited dated 1/31/95 to pay (receive) the notional
amount multiplied by the return on the EASEA index plus
5.93% of the EASEA dividend yield and to receive 6
month LIBOR plus 0.05%. (a) (871,419)
50,000,000 1/31/96 Agreement with Swiss Bank Corporation dated 1/31/95 to
pay (receive) the notional amount multiplied by the
return on the EAFE Index and to receive LIBOR plus
0.05%. 426,401
8,000,000 9/29/95 Agreement with Union Bank of Switzerland dated
9/30/94 to pay (receive) the notional amount
multiplied by the return on the EAFE Japan index
multiplied by a stated Japan weight (which is a
percentage of the EAFE Japan Index as a proportion
of the market capitalization weighted EAFE Index
currently at 23%) plus the return on the EASEA
index multiplied by 1 minus the stated Japan
weighting and to receive LIBOR plus 0.10%. 378,067
Net unrealized appreciation $ 926,320
(a) Notional amount is increased (decreased) by each
periodic payment received or made.
|
* * *
GMO DOMESTIC BOND FUND
(A SERIES OF GMO TRUST)
ANNUAL REPORT
FEBRUARY 28, 1995
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees of GMO Trust and the Shareholders of GMO Domestic Bond Fund (A Series of GMO Trust)
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of GMO Domestic Bond Fund at February 28, 1995, and the results of its operations, the changes in its net assets and the financial highlights for the period from August 18, 1994 (commencement of operations) to February 28, 1995, in conformity with generally accepted accounting principles. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Trust's management; our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with generally accepted auditing standards which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at February 28, 1995 by correspondence with the custodian, provides a reasonable basis for the opinion expressed above.
Price Waterhouse LLP
Boston, Massachusetts
April 10, 1995
GMO DOMESTIC BOND FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
FEBRUARY 28, 1995
PAR VALUE DESCRIPTION VALUE ($)
DEBT OBLIGATIONS - 81.1%
ASSET BACKED SECURITIES - 27.9%
$ 2,000,000 Carco Auto Loan 92-A Class A, Variable Rate, 6.48% due 9/15/99 2,000,018
5,000,000 CIT Group Securitization Corp 95-1 Class A4, 8.95% due 8/15/20 5,001,563
2,500,000 Discover Card Trust 91-F Class A, 7.85% due 11/21/00 2,525,146
2,500,000 First USA Credit Card Master Trust 94-4 Class A, Variable Rate, 6.50% due 8/15/03 2,502,734
3,500,000 Fremont SBL Master Trust 93-A Class A, Variable Rate, 6.60% due 3/15/98 3,503,828
10,000,000 Keycorp Student Loan Trust 95-A Class B, Variable Rate, 6.88% due 10/27/21 9,978,125
2,000,000 Potomac Mills Finance Corp, Variable Rate, 6.78% due 10/20/04 1,997,500
5,000,000 Premier Auto Trust 95-1 Class B Certificates, 8.10% due 3/4/01 4,876,563
4,883,303 Resolution Trust Corp 94-C1 Class A3, Variable Rate, 6.61% due 6/25/26 4,863,465
3,257,000 SMS Student Loan Trust 94-B Certificates, Variable Rate, 6.81% due 10/25/23 3,249,875
5,000,000 Society Student Loan Trust 93-A Class A2, Variable Rate, 6.45% due 7/25/03 5,000,000
5,388,000 Society Student Loan Trust 93-A Class B, Variable Rate, 6.75% due 7/25/03 5,376,214
2,500,000 Swift 94-A Class A, Variable Rate, 6.28% due 3/15/99 2,501,172
5,000,000 Woodfield Finance Corp, Variable Rate, 6.84% due 10/13/03 5,050,000
58,426,203
CORPORATE OBLIGATIONS - 4.3%
8,855,000 New England Telephone & Telegraph, 7.88% due 11/15/29 8,998,894
STRUCTURED NOTE - 4.5%
10,000,000 Sallie Mae, Variable Rate, 0.00% due 1/24/96 (c) 9,437,501
U.S. GOVERNMENT - 44.4%
32,000,000 U.S. Treasury Note, 6.25% due 8/31/96 (b) 31,789,952
43,000,000 U.S. Treasury Note, 6.88% due 8/31/99 42,717,748
10,000,000 U.S. Treasury Note, 7.25% due 5/15/04 (a) 10,000,000
10,000,000 U.S. Treasury Bond, 6.25% due 8/15/23 8,506,250
93,013,950
TOTAL DEBT OBLIGATIONS (Cost $168,619,191) 169,876,548
SHORT-TERM INVESTMENTS - 8.8%
REPURCHASE AGREEMENTS - 3.8%
7,957,116 Salomon Brothers Repurchase Agreement, dated 2/28/95, due
3/1/95, with a maturity value of $7,958,477 and an
effective yield of 5.60%, collateralized by a U.S.
Treasury Bond with a rate of 6.25%, a maturity date of
8/15/23, and with an aggregate market value of $8,174,042. 7,957,116
CASH EQUIVALENTS - 5.0%
6,792,113 Bank of Boston Time Deposit, 6.16%, due 3/1/95 6,792,113
83,759 Dreyfus Cash Management Money Market Fund Plus, A Shares 83,759
531,861 National Westminster Time Deposit, 6.00%, due 3/1/95 531,861
2,992,267 Provident Institutional Prime Money Market Fund 2,992,267
10,400,000
TOTAL SHORT-TERM INVESTMENTS (at amortized cost) 18,357,116
TOTAL INVESTMENTS - 89.9%
(Cost $186,976,307) * * $ 188,233,664
Other Assets and Liabilities (net) - 10.1% 21,143,584
TOTAL NET ASSETS - 100.0% $ 209,377,248
NOTES TO THE SCHEDULE OF INVESTMENTS:
(a) All or a portion of this security is on loan.
(b) A portion of this security is held as collateral for open futures contracts.
(c) Interest rate is linked to changes in the daily 3 month LIBOR rate.
Variable rates - The rates shown on variable rate notes
are the current interest rates at February 28,
1995, which are subject to change based on the
terms of the security.
** The aggregate identified cost for federal
income tax purposes is $186,976,307, resulting
in gross unrealized appreciation and
depreciation of $1,544,455 and $287,098,
respectively, and net unrealized appreciation
of $1,257,357.
|
See accompanying notes to the financial statements.
GMO DOMESTIC BOND FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - FEBRUARY 28, 1995
ASSETS:
Investments, at value (cost $168,619,191) (Note 1) $ 169,876,548
Short-term investments, at amortized cost (Note 1) 18,357,116
Receivable for Fund shares sold 30,758,634
Interest receivable 764,664
Receivable for daily variation margin on open futures contracts 96,094
Receivable from expenses waived or borne by the Manager (Note 2) 7,420
Total assets 219,860,476
LIABILITIES:
Payable upon return of securities loaned (Note 1) 10,395,060
Payable to affiliate for management fee (Note 2) 32,555
Accrued expenses 55,613
Total liabilities 10,483,228
NET ASSETS(equivalent to $10.13 per share based
on 20,670,984 shares outstanding, unlimited shares authorized) $ 209,377,248
NET ASSETS CONSIST OF:
Paid-in capital $ 205,605,620
Undistributed net investment income 1,322,007
Accumulated net realized loss on investments and
closed futures contracts (103,743)
Net unrealized appreciation on investments
and open futures contracts 2,553,364
NET ASSETS $ 209,377,248
|
See accompanying notes to the financial statements.
GMO DOMESTIC BOND FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - PERIOD FROM AUGUST 18, 1994 (COMMENCEMENT OF OPERATIONS) TO FEBRUARY 28, 1995
INVESTMENT INCOME:
Interest (including securities lending income of $29,793) $ 2,759,584
EXPENSES:
Management fee (Note 2) 95,643
Audit fees 30,009
Custodian and transfer agent fees 20,909
Registration fees 15,773
Legal fees 1,037
Insurance 374
Trustee fee (Note 2) 154
Miscellaneous 476
Total expenses 164,375
Less: expenses waived or borne by Manager (Note 2) (68,732)
Net expenses 95,643
Net investment income 2,663,941
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND
FUTURES CONTRACTS:
Net realized loss on:
Investments (57,305)
Closed futures contracts (46,438)
Net realized loss (103,743)
Change in net unrealized appreciation (depreciation) on:
Investments 1,257,357
Open futures contracts 1,296,007
Net unrealized gain 2,553,364
Net realized and unrealized gain on investments
and futures contracts 2,449,621
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 5,113,562
|
See accompanying notes to the financial statements.
GMO DOMESTIC BOND FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS - PERIOD FROM AUGUST 18, 1994 (COMMENCEMENT OF OPERATIONS) TO FEBRUARY 28, 1995
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 2,663,941
Net realized loss on investments
and closed futures contracts (103,743)
Change in net unrealized appreciation (depreciation) of investments
and open futures contracts 2,553,364
Net increase in net assets resulting from operations 5,113,562
Distributions to shareholders from net
investment income (1,341,934)
Fund share transactions: (Note 5)
Proceeds from sale of shares 210,727,193
Net asset value of shares issued to shareholders
in payment of distributions declared 957,879
Cost of shares repurchased (6,079,452)
Net increase in net assets resulting from Fund
share transactions 205,605,620
Total increase in net assets 209,377,248
NET ASSETS:
Beginning of period -
End of period (including undistributed net
investment income of $1,322,007) $ 209,377,248
|
See accompanying notes to the financial statements.
GMO DOMESTIC BOND FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
PERIOD FROM AUGUST 18, 1994
(COMMENCEMENT OF OPERATIONS)
TO FEBRUARY 28, 1995
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00
Income from investment operations:
Net investment income (a) 0.24
Net realized and unrealized gain
on investments and futures contracts 0.07
Total from investment operations 0.31
Less distributions to shareholders from
net investment income (0.18)
NET ASSET VALUE, END OF PERIOD $ 10.13
TOTAL RETURN (B) 3.16%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 209,377
Net expenses to average
daily net assets (a) 0.25%*
Net investment income to average
daily net assets (a) 6.96%*
Portfolio turnover rate 65%
* Annualized
(a) Net of fees and expenses voluntarily waived or borne by the Manager of $.01 for the period .
(b) The total returns would have been lower had certain expenses not been waived during
the period shown.
|
See accompanying notes to the financial statements.
GMO DOMESTIC BOND FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS
FEBRUARY 28, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO Domestic Bond Fund (the "Fund"), which commenced operations on August 18, 1994, is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, non-diversified management investment company. The Trust was established as a Massachusetts Business Trust under the laws of the Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees to create an unlimited number of series ("Funds"), each of which issues a separate series of shares. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market quotations are available are valued at the last quoted sale price on each business day, or if there is no such reported sale, at the most recent quoted bid price. Unlisted securities for which market quotations are readily available are valued at the most recent quoted bid price. Short-term investments with a remaining maturity of sixty days or less are valued at amortized cost which approximates market value. Other assets and securities for which no quotations are readily available are valued at fair value as determined in good faith by the trustees.
FUTURES CONTRACTS
The Fund may use futures contracts to manage its exposure to the bond markets. Buying futures tends to increase the Fund's exposure to the underlying instrument. Selling futures tends to decrease the Fund's exposure to the underlying instrument or hedge other Fund instruments. Upon purchase of a futures contract, the Fund is required to deposit with its custodian, in a segregated account in the name of the futures broker, an amount of cash or U.S. government obligations in accordance with the initial margin requirements of the broker. Futures contracts are marked to market daily and an appropriate payable or receivable for the change in value ("variation margin") is recorded by the Fund. The payable or receivable is liquidated on the following business day. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts nvolve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Losses may arise from the changes in the value of the underlying instrument, if there is an illiquid secondary market for the contracts, or if counterparties do not perform under the contract terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. See Note 6 for all open futures contracts held as of February 28, 1995.
REPURCHASE AGREEMENTS
The Fund may enter into repurchase agreements with certain banks and broker/dealers whereby the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets remains sufficient to protect the Fund in the event of default by the seller. In connection with transactions in repurchase agreements, if the seller defaults, the value of the collateral declines or if the seller enters insolvency proceedings, realization of collateral by the Fund may be delayed or limited.
INDEXED SECURITIES
The Fund may also invest in indexed securities whose redemption values and/or coupons are linked to the prices of other securities, securities indicies, or other financial indicators. The Fund uses indexed securities to increase or decrease its exposure to different underlying instruments and to gain exposure to markets that may be difficult to invest in through conventional securities. Indexed securities may be more volatile than their underlying instruments, but any loss is limited to the amount of the original investment.
SECURITY LENDING
The Fund may lend its securities to certain member firms of the New York Stock Exchange. The loans are collateralized at all times with cash or securities with a market value at least equal to the market value of the securities on loan. As with other extensions of credit, the Fund may bear the risk of delay in recovery or even loss of rights in the collateral should the borrower of the securities fail financially. The Fund receives compensation for lending its securities. At February 28, 1995, the Fund loaned securities having a market value of $10,000,000, collateralized by cash in the amount of $10,400,000, which was invested in short-term instruments.
TAXES
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. It is the policy of the Fund to distribute all of its taxable income, including any net realized gain on investments not offset by loss carryovers, to shareholders within the prescribed time periods. Therefore, no provision for federal income or excise tax is necessary.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment income and net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryover for federal income tax purposes. The Fund's present policy is to declare and pay distributions from net investment income quarterly, and net realized short-term and long-term capital gains at least annually. All distributions will be paid in shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions.
Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. Distributions in excess of tax basis earnings and profits will be reported in the Fund's financial statements as a return of capital. Furthermore, differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary over-distributions for financial statement purposes are classified as distributions in excess of net investment income or accumulated net realized gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis. Premiums and market discounts are amortized and accreted.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an individual Fund. Expenses which are not readily identifiable to a specific Fund are allocated in such manner as deemed equitable by the Trustees, taking into consideration, among other things, the nature and type of expense and the relative size of the Funds.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the "Manager") for management and investment advisory services is paid monthly at the annual rate of .25% of average daily net assets. The Manager has agreed to waive a portion of its fee and bear other expenses until further notice to the extent that the Fund's annual expenses (including the management fee but excluding brokerage commissions and transfer taxes) exceed .25% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee during the period ended February 28, 1995, was $154. No remuneration is paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of securities, excluding U.S. Government obligations and short-term investments, for the period ended February 28, 1995 aggregated $79,487,741 and $2,586,383, respectively. Cost of purchases and proceeds from sales of U.S. Government obligations for the period ended February 28, 1995, aggregated $127,878,360 and $36,383,672, respectively.
4. PRINCIPAL SHAREHOLDERS
At February 28, 1995, 80% of the outstanding shares of the Fund were held by two shareholders, each holding in excess of 10% of the Fund's outstanding shares.
5. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value). Transactions in Fund shares were as follows:
Period from August 18, 1994
(Commencement of Operations)
to February 28, 1995
Shares sold 21,191,425
Shares issued to shareholders in reinvestment
of distributions 98,345
Shares repurchased (618,786)
Fund shares:
Beginning of period --
End of period 20,670,984
|
6. FINANCIAL INSTRUMENTS
A summary of outstanding futures contracts at February 28, 1995, is as
follows:
Number of Net Unrealized
Contracts Type Expiration Date Contract Value Appreciation
30 U.S. Treasury Bond March 1995 $ 3,119,062 $ 188,212
110 U.S. Treasury Note 5 Yr March 1995 11,383,282 364,332
50 U.S. Treasury Note 10 Yr March 1995 5,218,750 218,375
160 U.S. Treasury Bond June 1995 16,550,000 336,613
70 U.S. Treasury Note 5 Yr June 1995 7,217,657 59,163
50 U.S. Treasury Note 10 Yr June 1995 5,192,188 129,312
$1,296,007
At February 28, 1995, the Fund has sufficient cash and/or securities to
cover any commitments or margin on these contracts.
|
* * *
GMO SHORT-TERM INCOME FUND
(A SERIES OF GMO TRUST)
ANNUAL REPORT
FEBRUARY 28, 1995
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees of GMO Trust and the Shareholders of GMO Short-Term Income Fund (A Series of GMO Trust)
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of GMO Short-Term Income Fund at February 28, 1995, and the results of its operations, the changes in its net assets and the financial highlights for the periods presented, in conformity with generally accepted accounting principles. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Trust's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with generally accepted auditing standards which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 28, 1995 by correspondence with the custodian, provide a reasonable basis for the opinion expressed above.
Price Waterhouse LLP
Boston, Massachusetts
April 10, 1995
GMO SHORT-TERM INCOME FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
FEBRUARY 28, 1995
PAR VALUE DESCRIPTION VALUE ($)
DEBT OBLIGATIONS - 89.1%
ASSET BACKED SECURITIES - 24.2%
$ 1,000,000 Fremont SBL Master Trust 93-A Class A, Variable Rate, 6.60% due 3/15/98 1,001,094
1,000,000 Premier Auto Trust 94-4 Class B Certificates, 6.85% due 5/2/99 983,719
1,984,813
STRUCTURED NOTES - 28.2%
1,000,000 Sallie Mae, Variable Rate, 0.00% due 1/24/96 (a) 943,750
1,500,000 Toyota Motor Credit, Variable Rate, 0.00% due 7/28/96 (b) 1,357,500
2,301,250
U.S. GOVERNMENT - 36.7%
3,000,000 U.S. Treasury Note, 6.88% due 10/31/96 3,006,558
TOTAL DEBT OBLIGATIONS (Cost $7,301,796) 7,292,621
SHORT-TERM INVESTMENTS - 22.2%
REPURCHASE AGREEMENTS - 15.2%
415,615 Cantor Fitzgerald Repurchase Agreement dated 2/28/95, due
3/1/95, with a maturity value of $415,678 and an effective
yield of 5.48%, collateralized by U.S. Treasury Bonds with
rates ranging from 4.25% to 8.75% and maturities ranging from
5/15/96 to 5/15/17, with an aggregate market of $425,097. 415,615
415,615 Prudential Securities Group, Inc. Repurchase Agreement dated
2/28/95, due 3/1/95, with a maturity value of $415,681 and an effective
yield of 5.75%, collateralized by U.S. Government Agency Obligations
with rates ranging from 3.64% to 11.62%, maturities ranging from 5/1/00
to 10/25/24, and with an aggregate market value of $423,879. 415,615
415,615 Salomon Brothers Repurchase Agreement, dated 2/28/95, due
3/1/95, with a maturity value of $415,680 and an effective
yield of 5.60%, collateralized by a U.S. Treasury Bond with a
rate of 6.25%, a maturity date of 8/15/23, and with an aggregate
market value of $426,939. 415,615
1,246,845
CASH EQUIVALENTS - 7.0%
575,905 Bank of Boston Time Deposit, 5.39% due 3/1/95 575,905
TOTAL SHORT-TERM INVESTMENTS (at amortized cost) 1,822,750
TOTAL INVESTMENTS - 111.3%
(Cost $9,124,546) * * $ 9,115,371
Other Assets and Liabilities (net) - (11.3%) (921,875)
TOTAL NET ASSETS - 100.0% $ 8,193,496
NOTES TO SCHEDULE OF INVESTMENTS:
Variable rates - The rates shown on variable rate notes are
the current interest rates at February 28, 1995,
which are subject to change based on the terms of
the security.
(a) Interest rate linked to changes in the daily 3 month LIBOR rate.
(b) Interest rate linked to changes in the 3 year Danish Kroner swap rate.
** The aggregate identified cost for federal income
tax purposes is $9,124,546, resulting in gross
unrealized appreciation and depreciation of $13,460
and $22,635, respectively, and net unrealized
depreciation of $9,175.
|
See accompanying notes to the financial statements.
GMO SHORT-TERM INCOME FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - FEBRUARY 28, 1995
ASSETS:
Investments, at value (cost $7,301,796) (Note 1) $ 7,292,621
Short-term investments, at amortized cost (Note 1) 1,822,750
Interest receivable 79,873
Receivable for expenses waived or borne by Manager (Note 2) 840
Total assets 9,196,084
LIABILITIES:
Payable for Fund shares repurchased 979,726
Payable to affiliate for management fee (Note 2) 1,584
Accrued expenses 21,278
Total liabilities 1,002,588
NET ASSETS (equivalent to $9.56 per share based
on 856,832 shares outstanding, unlimited shares authorized) $ 8,193,496
NET ASSETS CONSIST OF:
Paid-in capital $ 8,271,506
Undistributed net investment income 99,101
Accumulated net realized loss on investments (167,936)
Net unrealized depreciation on investments (9,175)
NET ASSETS $ 8,193,496
|
See accompanying notes to the financial statements.
GMO SHORT-TERM INCOME FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - YEAR ENDED FEBRUARY 28, 1995
INVESTMENT INCOME:
Interest (including securities lending income of $160) $ 687,713
EXPENSES:
Management fee (Note 2) 32,631
Audit fees 17,895
Custodian and transfer agent fees 3,612
Registration fee 2,000
Legal fees 541
Insurance 156
Trustee fee (Note 2) 65
Miscellaneous 424
Total expenses 57,324
Less: expenses waived or borne by Manager (Note 2) (24,693)
Net expenses 32,631
Net investment income 655,082
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized loss on investments (168,682)
Change in net unrealized appreciation (depreciation)
on investments (44,099)
Net realized and unrealized loss on investments (212,781)
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 442,301
|
See accompanying notes to the financial statements.
GMO SHORT-TERM INCOME FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
YEAR ENDED
FEBRUARY 28, 1995 FEBRUARY 28, 1994
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 655,082 $ 446,120
Net realized gain (loss) on investments (168,682) 58,828
Net change in unrealized appreciation (depreciation)
on investments (44,099) (144,254)
Net increase in net assets resulting from operations 442,301 360,694
Distributions to shareholders from:
Net investment income (612,710) (475,362)
Net realized gains (161,684)
(612,710) (637,046)
Fund share transactions: (Note 5)
Proceeds from sale of shares 31,888,771 4,364,168
Net asset value of shares issued to shareholders
in payment of distributions declared 502,424 454,522
Cost of shares repurchased (32,122,310) (6,946,696)
Net increase in net assets resulting
from Fund share transactions 268,885 (2,128,006)
Total increase (decrease) in net assets 98,476 (2,404,358)
NET ASSETS:
Beginning of period 8,095,020 10,499,378
End of period (including undistributed net
investment income of $99,101 and
$56,729, respectively) $ 8,193,496 $ 8,095,020
|
See accompanying notes to the financial statements.
GMO SHORT-TERM INCOME FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
YEAR ENDED FEBRUARY 28/29,
1995 1994 1993 1992 (C) 1991 (B)(C)*
Net asset value, beginning of period $ 9.79 $ 10.05 $ 10.11 $ 10.00 $ 10.00
Income from investment operations:
Net investment income (a) 0.63 0.44 0.46 0.56 0.67
Net realized and unrealized gain
(loss) on investments (0.28) (0.09) 0.30 0.11 --
Total from investment operations 0.35 0.35 0.76 0.67 0.67
Less distributions to shareholders from:
Net investment income (0.58) (0.46) (0.38) (0.56) (0.67)
Net realized gains -- (0.15) (0.44) -- --
Total distributions (0.58) (0.61) (0.82) (0.56) (0.67)
Net asset value, end of period $ 9.56 $ 9.79 $ 10.05 $ 10.11 $ 10.00
Total Return (d) 3.78% 3.54% 8.25% 11.88% 3.83%
Ratios/Supplemental Data:
Net assets, end of period (000's) $ 8,193 $ 8,095 $ 10,499 $ 9,257 $ 40,850
Net expenses to average
daily net assets (a) 0.25% 0.25% 0.25% 0.25% 0.25%**
Net investment income to average
daily net assets (a) 5.02% 4.35% 4.94% 5.83% 7.88%**
Portfolio turnover rate 335% 243% 649% 135% --
* For the period from the commencement of operations, April 17, 1990 to February 28, 1991.
** Annualized.
(a)Net of fees and expenses voluntarily waived or borne by the Manager of $.02, $.02, $.03, $.03 and
$.09 per share for the fiscal years ended 1995, 1994, 1993, 1992 and for
the period ended February 28, 1991, respectively.
(b)The per share amounts and the number of shares outstanding have been
restated to reflect a one for ten reverse stock split effective December
1, 1991.
(c)The Fund operated as a money market fund from April 17, 1990 until June
30, 1991. Subsequently, the Fund became a short-term income fund.
(d)The total returns would have been lower had certain expenses not been
waived during the period shown.
|
See accompanying notes to the financial statements.
GMO SHORT-TERM INCOME FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO Short-Term Income Fund ( the "Fund") is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, non-diversified management investment company. The Trust was established as a Massachusetts Business Trust under the laws of the Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees to create an unlimited number of series ("Funds"), each of which issues a separate series of shares. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market quotations are available are valued at the last quoted sale price on each business day, or if there is no such reported sale, at the most recent quoted bid price. Unlisted securities for which market quotations are readily available are valued at the most recent quoted bid price. Short-term investments with a remaining maturity of sixty days or less may be valued at amortized cost which approximates market value, unless circumstances dictate otherwise. Other assets and securities for which no quotations are readily available are valued at fair value as determined in good faith by the Trustees.
REPURCHASE AGREEMENTS
The Fund may enter into repurchase agreements with certain banks and broker/dealers whereby the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets remains sufficient to protect the Fund in the event of default by the seller. In connection with transactions in repurchase agreements, if the seller defaults, the value of the collateral declines or if the seller enters insolvency proceedings, realization of collateral by the Fund may be delayed or limited.
INDEXED SECURITIES
The Fund may also invest in indexed securities whose redemption values and/or coupons are linked to the prices of other securities, securities indicies, or other financial indicators. The Fund uses indexed securities to increase or decrease its exposure to different underlying instruments and to gain exposure to markets that may be difficult to invest in through conventional securities. Indexed securities may be more volatile than their underlying instruments, but any loss is limited to the amount of the original investment.
SECURITY LENDING
The Fund may lend its securities to certain member firms of the New York Stock Exchange. The loans are collateralized at all times with cash or securities with a market value at least equal to the market value of the securities on loan. As with other extensions of credit, the Fund may bear the risk of delay in recovery or even loss of rights in the collateral should the borrower of the securities fail financially. The Fund receives compensation for lending its securities. At February 28, 1995, the Fund had no securities on loan.
TAXES
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. It is the policy of the Fund to distribute all of its taxable income, including any net realized gain on investments not offset by loss carryovers, to shareholders within the prescribed time periods. Therefore, no provision for federal income or excise tax is necessary.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment income and net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryover for federal income tax purposes. The Fund's present policy is to declare and pay distributions from net investment income quarterly, and net realized short-term and long-term capital gains at least annually. All distributions will be paid in shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions.
Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. Distributions in excess of tax basis earnings and profits will be reported in the Fund's financial statements as a return of capital. Furthermore, differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary over-distributions for financial statement purposes are classified as distributions in excess of net investment income or accumulated net realized gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Interest income is recorded on the accrual basis. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis. Premium and market discount are amortized and accreted.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an individual Fund. Expenses which are not readily identifiable to a specific Fund are allocated in such manner as deemed equitable by the Trustees, taking into consideration, among other things, the nature and type of expense and the relative size of the Funds.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the "Manager") for management and investment advisory services is paid monthly at the annual rate of .25% of average daily net assets. The Manager has agreed to waive a portion of its fee and bear other expenses until further notice to the extent that the Fund's annual expenses (including the management fee but excluding brokerage commissions and transfer taxes) exceed .25% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee during the year ended February 28, 1995, was $65. No remuneration is paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of securities, excluding short-term investments and U.S. Government obligations, for the year ended February 28, 1995, aggregated $4,260,813 and $3,034,523, respectively. Cost of purchases and proceeds from sales of U.S. Government obligations during the year aggregated $21,016,294 and $17,838,594, respectively.
4. PRINCIPAL SHAREHOLDERS
At February 28, 1995, 66% of the outstanding shares of the Fund were held by two shareholders each holding in excess of 10% of the Fund's outstanding shares.
5. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value). Transactions in Fund shares were as follows:
YEAR ENDED YEAR ENDED
FEBRUARY 28, 1995 FEBRUARY 28, 1994
Shares sold 3,299,162 433,133
Shares issued to shareholders in reinvestment
of distributions 52,796 46,009
Shares repurchased (3,322,035) (696,894)
Net increase (decrease) 29,923 (217,752)
Fund shares:
Beginning of period 826,909 1,044,661
End of period 856,832 826,909
|
* * *
GMO INTERNATIONAL BOND FUND
(A SERIES OF GMO TRUST)
ANNUAL REPORT
FEBRUARY 28, 1995
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees of GMO Trust and the Shareholders of GMO International Bond Fund (A Series of GMO Trust)
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of GMO International Bond Fund at February 28, 1995, and the results of its operations, the changes in its net assets and the financial highlights for the periods presented, in conformity with generally accepted accounting principles. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Trust's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with generally accepted auditing standards which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 28, 1995 by correspondence with the custodian and brokers and the application of alternative auditing procedures where confirmations from brokers were not received, provide a reasonable basis for the opinion expressed above.
Price Waterhouse LLP
Boston, Massachusetts
April 20, 1995
GMO INTERNATIONAL BOND FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
FEBRUARY 28, 1995
PAR VALUE DESCRIPTION VALUE ($)
DEBT OBLIGATIONS - 83.4%
ARGENTINA - 2.2%
AGP 5,500,000 Argentina Bocon - Pro 1, Variable Rate, Peso Deposit Rate 1 mo., due 4/1/07 1,595,000
USD 4,500,000 Argentina Bocon - Pro 2, Variable Rate, 1 mo. LIBOR, due 4/1/07 1,800,000
3,395,000
BELGIUM - 2.6%
USD 4,000,000 BBL International Variable Rate, 5.00% due 4/23/99 3,940,000
BRAZIL - 4.9%
USD 4,141,653 Republic of Brazil Capitalization Bond, 8.00% due 4/15/14 1,682,547
USD 8,000,000 Republic of Brazil New Money Bond, Variable Rate, 6 mo. LIBOR + 13/16 (6.75%),
due 4/15/09 4,120,000
USD 4,000,000 Republic of Brazil Par Bonds Series YL3, 4.00% Step Up, due 4/15/24 1,540,000
7,342,547
BULGARIA - 0.4%
USD 1,000,000 Bulgaria Discount, 6 mo. LIBOR + 13/16 (7.56%), due 7/28/24 433,750
USD 1,000,000 Bulgaria, FLIRB, 2.00% due 7/28/12 192,500
626,250
CANADA - 5.6%
CAD 2,000,000 Province of British Columbia, 7.88% due 11/30/23 1,212,807
GBP 2,000,000 Province of Ontario, 6.88% due 9/15/00 2,836,639
CAD 3,000,000 Province of Quebec, 7.50% due 12/1/03 1,914,618
CAD 1,500,000 Province of Saskatchewan, 11.00% due 1/9/01 1,184,239
CAD 2,000,000 Societe Quebec D'Ass D'Eaux, 8.13% due 8/11/03 1,306,238
8,454,541
CHINA - 0.6%
USD 1,000,000 Bank of China, 8.25% due 3/15/14 928,827
DENMARK - 2.2%
DKK 20,000,000 Kingdom of Denmark, 8.00% due 11/15/01 3,320,451
FINLAND - 1.9%
JPY 250,000,000 Republic of Finland, 5.25% due 4/16/98 2,713,289
FRANCE - 12.9%
ECU 4,500,000 Caisse Francaise Development, 5.50% due 2/9/01 4,911,030
SEK 20,000,000 Credit Foncier, 6.50% due 2/22/99 2,355,326
ECU 5,000,000 Government of France, 8.25% due 4/25/22 5,976,990
ECU 4,750,000 Societe Nationale Chemins de France, 9.38% due 3/12/01 6,265,199
19,508,545
GERMANY - 6.0%
JPY 150,000,000 Deutsche Bank Finance NV, 4.38% due 7/16/98 1,592,296
GBP 1,300,000 Dresdner Finance Bank, 6.00% due 12/7/99 1,818,135
JPY 300,000,000 KFW International Finance, 6.00% due 11/29/99 3,397,104
ECU 2,000,000 KFW International Finance, 5.50% due 1/31/01 2,191,239
8,998,774
INDONESIA - 0.7%
USD 1,000,000 Tjiwi Kimia International, 13.25% due 8/1/01 1,005,000
JAPAN - 2.2%
CAD 5,000,000 Japan Highway Public Corp., 7.88% due 9/27/02 3,355,433
JORDAN - 0.9%
USD 2,000,000 Jordan Par, 4.00% Step Up, due 12/23/23 144A 720,000
USD 1,000,000 Jordan PDI, Variable Rate, 6 mo. LIBOR + 13/16 (7.63%), due 12/23/05 670,000
1,390,000
MEXICO - 2.5%
FRF 35,000,000 Mexico Par Bond, 6.63% due 12/31/19 3,391,209
CHF 1,500,000 United Mexican States Par Bond, 3.75% due 12/31/19 441,105
3,832,314
MULTINATIONAL - 1.1%
ITL 3,000,000,000 Nordic Investment Bank, 10.80% due 5/24/03 1,658,034
SOUTH AFRICA - 1.1%
ZAL 8,000,000 Republic of South Africa R153, 13.00% due 8/31/10 1,627,586
SOUTH KOREA - 0.7%
USD 1,200,000 Korea Electric Power, 6.38% due 12/1/03 1,053,000
SPAIN - 6.6%
ESP 160,000,000 Government of Spain, 11.60% due 1/15/97 1,261,208
ESP 500,000,000 Government of Spain, 10.25% due 11/30/98 3,742,142
ESP 500,000,000 Government of Spain, 11.30% due 1/15/02 3,796,806
ESP 160,000,000 Government of Spain, 10.90% due 8/30/03 1,182,992
9,983,148
SUPRA NATIONAL - 1.6%
JPY 200,000,000 World Bank, 6.75% due 6/18/01 2,345,398
SWEDEN - 2.2%
SEK 10,000,000 Kingdom of Sweden, 11.00% due 1/21/99 1,398,501
SEK 20,000,000 Kingdom of Sweden, 6.00% due 2/9/05 1,960,187
3,358,688
THAILAND - 0.6%
THB 25,000,000 Thai Military Bank, 6.75% due 2/28/97 943,514
TURKEY - 0.4%
GBP 600,000 Republic of Turkey, 9.00% due 10/27/03 677,949
UNITED KINGDOM - 4.1%
GBP 2,000,000 Guaranteed Export Financial Corp., 12.88% due 9/29/02 3,771,008
GBP 1,500,000 UK Treasury, 9.75% due 8/27/02 2,501,570
6,272,578
UNITED STATES - 18.2%
Asset Backed Securities - 14.3%
USD 1,436,155 BCI Home Equity Loan 94-1 Class A-1, Variable Rate, 6.37% due 4/15/09 1,430,452
USD 1,500,000 First International Funding Co, Variable Rate, 6.80% due 6/3/98 1,511,250
USD 2,500,000 First USA Credit Card Master Trust 94-4 Class A, Variable Rate, 6.50% due 8/15/03 2,502,736
USD 2,000,000 Fremont SBL Master Trust 93-A Class A, Variable Rate, 6.60% due 3/15/98 2,002,188
USD 1,000,000 Potomac Mills Finance Corp, Variable Rate, 6.78% due 10/20/04 998,750
USD 2,000,000 Premier Auto Trust 94-4 Class B Certificates, 6.85% due 5/2/99 1,967,438
USD 976,661 Resolution Trust Corp 94-C1 Class A3, Variable Rate, 6.61% due 6/25/26 972,693
USD 3,766,000 Society Student Loan 94-A, Variable Rate, 5.01% due 7/26/21 3,748,347
USD 4,500,000 Society Student Loan Trust 93-A Class B, Variable Rate, 6.75% due 7/25/03 4,490,156
USD 2,000,000 Woodfield Finance Corp, Variable Rate, 6.84% due 10/13/03 2,020,000
21,644,010
CORPORATE OBLIGATIONS - 1.3%
USD 2,000,000 New England Telephone & Telegraph, 7.88% due 11/15/29 2,032,500
STRUCTURED NOTE - 0.6%
USD 1,000,000 Bankers Trust Medium Term Note, 17.10% due 10/14/97 (b) 841,200
U.S. GOVERNMENT - 2.0%
USD 3,000,000 U.S. Treasury Note, 6.88% due 10/31/96 (a) 3,006,558
TOTAL UNITED STATES 27,524,268
VENEZUELA - 1.2%
USD 1,000,000 Government of Venezuela FLIRB Series A, Variable Rate, 7.00% due 3/31/07 448,750
USD 3,000,000 Government of Venezuela FLIRB Series B, Variable Rate, 7.00% due 3/31/07 1,346,250
1,795,000
TOTAL DEBT OBLIGATIONS (Cost $127,422,217) 126,050,134
LOAN PARTICIPATIONS - 2.0%
Ivory Coast - 0.3%
FRF 15,000,000 Ivory Coast Syndicated Loan, (Sub-participation with Banque Paribas)* 422,535
JAMAICA - 0.4%
USD 1,000,000 Republic of Jamaica Syndicated Loan Tranche B, LIBOR + 13/16,
(Sub-participation with Salomon) 630,000
MOROCCO - 0.4%
USD 1,000,000 Kingdom of Morocco Registered Loan Agreement Tranche A, LIBOR + 13/16,
(Sub-participation with Banque Paribas) 620,000
RUSSIA - 0.9%
ECU 1,000,000 Russia Vnesheconombank Promissory Note,
(Sub-participation with Bank of America Illinois)* 253,801
FRF 25,000,000 Russia Vnesheconombank Syndicated Loan, (Sub-participation with Banque Paribas)* 1,129,189
1,382,990
TOTAL LOAN PARTICIPATIONS (Cost $3,862,999) 3,055,525
PRINCIPAL AMOUNT
OF CONTRACTS
(000's omitted) CALL OPTIONS PURCHASED - 0.0%
CROSS CURRENCY OPTIONS - 0.0%
DEM 30,000 DEM Call/ BEF Put, Expires 8/13/95 Strike 21.07 58,386
OPTIONS ON BONDS - 0.0%
USD 6,000 Argentina Par Bond 4.25%, Expires 4/11/95, Strike 49.00 0
TOTAL CALL OPTIONS PURCHASED (Cost $493,386) 58,386
PUT OPTIONS PURCHASED - 0.3%
OPTIONS ON BONDS - 0.3%
USD 5,820 Brazil IDU, Brady Bond, Expires 4/13/95 Strike 78.88 161,476
USD 1,940 Brazil IDU, Brady Bond, Expires 4/17/95 Strike 78.75 48,500
USD 4,850 Brazil IDU, Brady Bond, Expires 5/10/95 Strike 79.44 162,397
USD 1,940 Brazil IDU, Brady Bond, Expires 5/2/95 Strike 75.88 30,070
402,443
TOTAL PUT OPTIONS PURCHASED (Cost $227,326) 402,443
PAR VALUE SHORT-TERM INVESTMENTS - 13.5%
REPURCHASE AGREEMENTS - 9.9%
$ 7,500,779 Prudential Securities Group, Inc. Repurchase Agreement
dated 2/28/95, due 3/1/95, with a maturity value of $7,501,978
and an effective yield of 5.75%, collateralized by U.S. Government
Agency Obligations with rates ranging from 3.64% to 11.62%, maturities
ranging from 5/1/00 to 10/25/24, and with an aggregate market
value of $7,650,745. 7,500,779
7,500,779 Salomon Brothers Repurchase Agreement, dated 2/28/95, due
3/1/95, with a maturity value of $7,501,946 and an
effective yield of 5.60%, collateralized by a U.S.
Treasury Bond with a rate of 6.25%, a maturity date of
8/15/23, and with an aggregate market value of $7,705,145. 7,500,779
15,001,558
CASH EQUIVALENTS - 3.6%
5,341,614 Bank of Boston Time Deposit, 5.39% due 3/1/95 5,341,614
TOTAL SHORT-TERM INVESTMENTS (at amortized cost) 20,343,172
TOTAL INVESTMENTS - 99.2%
(Cost $152,349,100) * * $ 149,909,660
Other Assets and Liabilities (net) - 0.8% 1,279,711
TOTAL NET ASSETS - 100.0% $ 151,189,371
NOTES TO THE SCHEDULE OF INVESTMENTS:
The principal amount of each security is stated in the
currency in which the security is denominated.
AGP - Argentinian Peso FRF - French Franc
BEF - Belgian Franc GBP - Pound Sterling
CAD - Canadian Dollar ITL - Italian Lira
CHF - Swiss Franc JPY - Japanese Yen
DEM - German Mark SEK - Swedish Krona
DKK - Danish Krone THB - Thai Baht
ECU - European Currency Unit USD - United States Dollar
ESP - Spanish Peseta ZAL - South African Rand
(a) All or a portion of this security is held as collateral for open futures contract
(b) Principal is linked to the value of the Brazilian Capitalization Bond and the
Brazilian IDU Bond.
Variable Rates - The rates shown on variable rate notes are
the current interest rates at February 28, 1995,
which are subject to change based on the terms of
the security.
144A Securities exempt from registration under Rule 144A
of the Securities Act of 1933. These securities may
be resold in transactions exempt from registration,
normally to qualified, institutional buyers.
* Non performing. Borrower not currently paying interest.
** The aggregate identified cost for federal income
tax purposes is $152,349,100 resulting in gross
unrealized appreciation and depreciation of
$2,194,224 and $4,633,664, respectively, and net
unrealized depreciation of $2,439,440.
|
See accompanying notes to the financial statements.
GMO INTERNATIONAL BOND FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - FEBRUARY 28, 1995
ASSETS:
Investments, at value (cost $132,005,928) (Note 1) $ 129,566,488
Short-term investments, at amortized cost (Note 1) 20,343,172
Foreign currency, at value (cost $481,256) (Note 1) 482,818
Interest receivable 3,790,113
Receivable for investments sold 690,534
Receivable for option premiums 64,190
Receivable for Fund shares sold 419,000
Receivable from brokers for open futures contracts (Note 1) 211,280
Receivable for open forward foreign currency contracts (Note 6) 1,232,076
Receivable for expenses waived or borne by Manager (Note 2) 9,548
Total assets 156,809,219
LIABILITIES:
Payable for investments purchased 4,181,496
Written options outstanding, at value (premiums $354,160) (Note 6) 461,060
Payable for Fund shares repurchased 356,000
Premiums payable on options purchased (Note 1) 58,386
Payable for open forward foreign currency contracts (Note 6) 430,916
Payable to affiliate for management fee (Note 2) 44,739
Accrued expenses 87,251
Total liabilities 5,619,848
NET ASSETS (equivalent to $9.64 per share based
on 15,687,479 shares outstanding, unlimited shares authorized) $ 151,189,371
NET ASSETS CONSIST OF:
Paid-in capital $ 152,319,198
Undistributed net investment income 3,765,102
Accumulated net realized loss (3,341,397)
Net unrealized depreciation (1,553,532)
NET ASSETS $ 151,189,371
|
See accompanying notes to the financial statements.
GMO INTERNATIONAL BOND FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - YEAR ENDED FEBRUARY 28, 1995
INVESTMENT INCOME:
Interest (including securities lending income of $1,019, and
net of foreign tax expense of $4,780) $ 6,831,915
EXPENSES:
Management fee (Note 2) 345,558
Custodian and transfer agent fees 90,017
Audit fees 71,584
Legal Fees 8,934
Registration 8,525
Insurance 974
Trustee fee (Note 2) 388
Miscellaneous 821
Total expenses 526,801
Less: expenses waived or borne by Manager (Note 2) (181,243)
Net expenses 345,558
Net investment income 6,486,357
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES
CONTRACTS, WRITTEN OPTIONS, FOREIGN CURRENCY, FORWARD
CONTRACTS AND FOREIGN CURRENCY RELATED TRANSACTIONS:
Net realized gain (loss) on:
Investments (2,465,597)
Closed futures contracts (1,398,771)
Written options 1,262,439
Foreign currency, forward contracts and
foreign currency related transactions 6,033,088
Net realized gain 3,431,159
Change in net unrealized appreciation (depreciation) on:
Investments (1,864,869)
Open futures contracts (47,387)
Written options (158,727)
Foreign currency, forward contracts and foreign
currency related transactions 911,221
Net unrealized loss (1,159,762)
Net realized and unrealized gain on investments,
futures contracts, written options, foreign currency,
forward contracts and foreign currency related
transactions 2,271,397
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 8,757,754
|
See accompanying notes to the financial statements.
GMO INTERNATIONAL BOND FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
YEAR ENDED PERIOD ENDED
FEBRUARY 28, 1995 FEBRUARY 28,
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 6,486,357 $ 317,154
Net realized gain (loss) on investments, closed futures
contracts, written options, foreign currency, forward
contracts and foreign currency related transactions 3,431,159 (163,626)
Change in net unrealized depreciation on investments,
open futures contracts, written options, foreign currency,
forward contracts and foreign currency
related transactions (1,159,762) (393,770)
Net increase (decrease) in net assets resulting from operations 8,757,754 (240,242)
Distributions to shareholders from:
Net investment income (6,618,737) -
Net realized gains (3,028,602) -
(9,647,339) -
Fund share transactions: (Note 5)
Proceeds from sale of shares 137,180,193 39,771,720
Net asset value of shares issued to shareholders
in payment of distributions declared 6,467,224
Cost of shares repurchased (31,018,305) (81,634)
Net increase in net assets resulting
from Fund share transactions 112,629,112 39,690,086
Total increase in net assets 111,739,527 39,449,844
NET ASSETS:
Beginning of period 39,449,844 -
End of period (including undistributed net investment
income of $3,765,102 and $41,678, re $ 151,189,371 $ 39,449,844
* Period from December 22, 1993 (commencement of operations) to February 28,
1994.
|
See accompanying notes to the financial statements.
GMO INTERNATIONAL BOND FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
PERIOD FROM DECEMBER 22, 1993
YEAR ENDED (COMMENCEMENT OF OPERATIONS) TO
FEBRUARY 28, 1995 FEBRUARY 28, 1994
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.96 $ 10.00
Income (loss) from investment operations:
Net investment income (a) 0.98 0.08
Net realized and unrealized loss
on investments (0.21) (0.12)
Total from investment operations 0.77 (0.04)
Less distributions to shareholders:
From net investment income (0.75) -
From net realized gains (0.34) -
Total distributions (1.09) -
NET ASSET VALUE, END OF PERIOD $ 9.64 $ 9.96
TOTAL RETURN (B) 8.23% (0.40%)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period $ 151,189 $ 39,450
Net expenses to average
daily net assets (a) 0.40% 0.40%*
Net investment income to average
daily net assets (a) 7.51% 5.34%*
Portfolio turnover rate 141% 14%
* Annualized.
(a) Net of fees and expenses voluntarily waived or borne by the Manager of $.02
and .01 for the fiscal year ended February 28, 1995 and for the period ended
February 28, 1994, respectively.
(b) Calculation excludes subscription fees. The total return would have been
lower had certain expenses not been waived during the periods shown.
|
See accompanying notes to the financial statements.
GMO INTERNATIONAL BOND FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS
FEBRUARY 28, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO International Bond Fund (the "Fund") is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, non-diversified management investment company. The Trust was established as a Massachusetts Business Trust under the laws of the Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees to create an unlimited number of series ("Funds"), each of which issues a separate series of shares. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market quotations are available are valued at the last quoted sale price on each business day, or if there is no such reported sale, at the most recent quoted bid price. Unlisted securities for which market quotations are readily available are valued at the most recent quoted bid price. Securities which are primarily traded on foreign exchanges are generally valued at the preceding closing values of such securities on their respective exchanges, and those values are then translated into U.S. dollars at the current exchange rate. Short-term investments with a remaining maturity of sixty days or less are valued at amortized cost which approximates market value. Other assets and securities for which no quotations are readily available are valued in good faith by the Trustees.
FOREIGN CURRENCY TRANSLATION
The accounting records of the Fund are maintained in U.S. dollars. The market values of foreign securities, currency holdings and other assets and liabilities are translated to U.S. dollars based on the prevailing exchange rates each business day. Income and expenses denominated in foreign currencies are translated at prevailing exchange rates when accrued or incurred. The Fund does not isolate realized and unrealized gains and losses attributable to changes in exchange rates from gains and losses that arise from changes in the market value of investments. Such fluctuations are included with net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net exchange gains and losses on disposition of foreign currencies and the difference between the amount of investment income and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent amounts actually received or paid.
FUTURES CONTRACTS
The Fund may use futures contracts to manage its exposure to the bond and currency markets. Buying futures tends to increase the Fund's exposure to the underlying instrument. Selling futures tends to decrease the Fund's exposure to the underlying instrument or hedge other Fund instruments. Upon purchase of a futures contract, the Fund is required to deposit with its custodian, in a segregated account in the name of the futures broker, an amount of cash or U.S. government obligations in accordance with the initial margin requirements of the broker. Futures contracts are marked to market daily and an appropriate payable or receivable for the change in value ("variation margin") is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Losses may arise from the changes in the value of the underlying instrument, if there is an illiquid secondary market for the contracts, or if counterparties do not perform under the contract terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. See Note 6 for all open futures contracts held as of February 28, 1995.
FORWARD CURRENCY CONTRACTS
The Fund may enter into forward currency contracts and forward cross currency contracts in connection with settling planned purchases or sales of securities or to hedge the currency exposure associated with some or all of the Fund's portfolio securities. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The market value of a forward currency contract fluctuates with changes in forward currency exchange rates. Forward currency contracts are marked to market daily and the change in value is recorded by the Fund as an unrealized gain or loss. When a forward currency contract is extinguished, through delivery or offset by entering into another forward currency contract, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished or offset. These contracts may involve market risk in excess of the unrealized gain or loss reflected in the Fund's Statement of Assets and Liabilities. In addition, the Fund could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency changes unfavorably to the U.S. dollar. The U.S. dollar value of the currencies the Fund has committed to buy or sell is shown under Note 6 and represents the currency exposure the Fund has acquired or hedged through currency contracts as of February 28, 1995.
OPTIONS
The Fund may write call and put options on securities it owns or in which it may invest. When the Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the current value of the option written. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are offset against the proceeds or amounts paid on the transaction to determine the realized gain or loss. If a written put option is exercised, the premium reduces the cost basis of the securities purchased by the Fund. The Fund as a writer of an option has no control over whether the underlying securities may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the security underlying the written option. There is the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. See Note 6 for a summary of open written option contracts as of February 28, 1995.
The Fund may also purchase put and call options. The Fund pays a premium which is included in the Fund's Statement of Assets and Liabilities as an investment and subsequently marked to market to reflect the current value of the option. The risk associated with purchasing put and call options is limited to the premium paid.
In some cases, depending upon the executing broker, premiums on purchased and written options are not paid or received until the contracts expire or are closed or exercised. These contracts are marked to market daily, and the daily change in market value is paid to or received from the respective broker. A corresponding payable or receivable is recorded for the accumulated unrealized position received or paid. Upon settlement, the net payable or receivable for original premiums and accumulated unrealized gains and losses is paid to or received from the broker and a gain or loss is realized.
LOAN AGREEMENTS
The Fund may invest in loan agreements which are indirect interests in amounts owed by a corporate, governmental, or other borrower to lenders or lending syndicates. A loan is often administered by a bank or other financial institution (the lender) that acts as agent for all holders. The lender administers the terms of the loan, as specified in the loan agreement. The Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt by the lender of payments from the borrower. The Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, the Fund may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. In addition, if the Fund invests in the indebtedness of an emerging country, there is a risk that the governmental entities responsible for the repayment of the debt may be unable or unwilling to pay the principal and interest when due.
INDEXED SECURITIES
The Fund may also invest in indexed securities whose redemption values and/or coupons are linked to the prices of other securities, securities indices, or other financial indicators. The Fund uses indexed securities to increase or decrease its exposure to different underlying instruments and to gain exposure to markets that may be difficult to invest in through conventional securities. Indexed securities may be more volatile than their underlying instruments, but any loss is limited to the amount of the original investment.
REPURCHASE AGREEMENTS
The Fund may enter into repurchase agreements with certain banks and broker/dealers whereby the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets remains sufficient to protect the Fund in the event of default by the seller. In connection with transactions in repurchase agreements, if the seller defaults and the value of the collateral declines or if the seller enters insolvency proceedings, realization of collateral by the Fund may be delayed or limited.
SECURITY LENDING
The Fund may lend its securities to certain member firms of the New York Stock Exchange. The loans are collateralized at all times with cash or securities with a market value at least equal to the market value of the securities on loan. As with other extensions of credit, the Fund may bear the risk of delay in recovery or even loss of rights in the collateral should the borrower fail financially. The Fund receives compensation for lending its securities. At February 28, 1995, the Fund had no securities on loan.
TAXES
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. It is the policy of the Fund to distribute all of its taxable income, including any net realized gain on investments not offset by loss carryovers, to shareholders within the prescribed time periods. Therefore, no provision for federal income or excise tax is necessary. Withholding taxes on foreign interest and dividend income have been withheld in accordance with the applicable country's tax treaty with the United States.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment income and net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryover for federal income tax purposes. The Fund's present policy is to declare and pay distributions from net investment income semi-annually, and net realized short-term and long-term capital gains at least annually. All distributions will be paid in shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions.
Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences are primarily due to differing treatments for foreign currency transactions.
The following reclassification represents the cumulative amount necessary to report these balances on a tax basis, excluding certain temporary differences, as of February 28, 1995. This reclassification has no impact on net investment income, realized gain/loss and net asset value of the Fund and is primarily attributable to certain differences in the computation of distributable income and capital gains under federal tax rules versus generally accepted accounting principles.
Undistributed Net Investment Accumulated Net Realized
Income Loss Paid-in Capital
$3,855,804 ($3,855,804) __
|
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Interest income is recorded on the accrual basis. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an individual Fund. Expenses which are not readily identifiable to a specific Fund are allocated in such a manner as deemed equitable by the Trustees, taking into consideration, among other things, the nature and type of expense and the relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is .15% of the amount invested. The Manager may waive such premium to the extent that a transaction results in minimal brokerage and transaction costs to the Fund. All purchase premiums are paid to and recorded as paid-in capital by the Fund. For the year ended February 28, 1995, the Fund received $190,309 in purchase premiums. There is no premium for cash redemptions, reinvested distributions or in-kind transactions.
INVESTMENT RISK
There are certain additional risks involved in investing in foreign securities that are not inherent in investments in domestic securities. These risks may involve adverse political and economic developments and the possible imposition of currency exchange blockages or other foreign governmental laws or restrictions. In addition, the securities of some foreign companies and securities markets are less liquid and at times more volatile than securities of comparable U.S. companies and U.S. securities markets.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the "Manager"), for management and investment advisory services is paid monthly at the annual rate of .40% of average daily net assets. The Manager has agreed to waive a portion of its fee and bear other expenses until further notice to the extent that the Fund's annual expenses exceed .40% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee during the year ended February 28, 1995, was $388. No remuneration is paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of securities, excluding short-term investments and U.S. Government obligations for the year ended February 28, 1995, aggregated $189,148,454 and $95,702,553, respectively. Cost of purchases and proceeds from sales of U.S. Government obligations were $14,017,544 and $10,917,031, respectively.
4. PRINCIPAL SHAREHOLDERS
At February 28, 1995, 61% of the outstanding shares of the Fund were held by three shareholders, each holding in excess of 10% of the Fund's outstanding shares.
5. SHARE TRANSACTIONS
The Declaration of Trust permits Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value). Transactions in Fund shares were as follows:
Period from
December 22, 1993
Year Ended (Commencement of Operations) to
February 28, 1995 February 28, 1994
Shares sold 14,201,980 3,968,013
Shares issued to shareholders in
reinvestment of distributions 696,838 --
Shares repurchased (3,171,314) (8,038)
Net increase 11,727,504 3,959,975
Fund shares:
Beginning of period 3,959,975 --
End of period 15,687,479 3,959,975
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6. FINANCIAL INSTRUMENTS
A summary of outstanding financial instruments at February 28, 1995 is as follows:
FORWARD CURRENCY CONTRACTS
Net Unrealized
Settlement Units of Appreciation
Date Deliver/Receive Currency In Exchange for (Depreciation)
Sales
3/31/95 Australian Dollars 5,000,000 $ 3,664,250 $ (17,332)
4/28/95 French Francs 5,000,000 952,744 (18,322)
3/2/95 German Deutsche Marks 94,000 64,230 35
3/31/95 Swedish Krona 63,000,000 8,691,140 134,191
$ 98,572
Buys
5/1/95 Canadian Dollars 30,000,000 $ 21,217,908 $ 281,509
4/28/95 Danish Krone 20,000,000 3,347,280 88,496
5/2/95 European Currency Units 30,000,000 37,408,500 654,600
3/2/95 German Deutsche Marks 85,500 58,422 (32)
3/31/95 German Deutsche Marks 36,000,000 24,657,534 (50,018)
3/1/95 Italian Lira 871,941 520 2
3/31/95 Italian Lira 15,000,000,000 9,121,036 (173,140)
$ 801,417
|
FORWARD CROSS CURRENCY CONTRACTS
Net Unrealized
Settlement Units of Appreciation
Date Deliver/Receive Currency In Exchange for (Depreciation)
4/28/95 German Deutsche Marks/ DEM 10,000,000 FRF 34,770,000 $ (88,167)
French Francs
3/31/95 German Deutsche Marks/ DEM 5,000,000 CHF 4,254,500 17,717
Swiss Francs
3/31/95 Italian Lira/ ITL 4,490,400,000 DEM 4,000,000 (83,905)
German Deutsche Marks
3/31/95 Spanish Pesetas/ ESP 1,326,675,000 DEM 15,000,000 55,526
German Deutsche Marks
$ (98,829)
|
FUTURES CONTRACTS
Net Unrealized
Number of Appreciation
Contracts Type Expiration Date Contract Value (Depreciation)
Buys
50 Australian Dollar 3 Year March 1995 $ 343,302 $ 104,937
75 Australian Dollar 10 Year March 1995 579,674 246,180
40 Canadian Government Bond March 1995 2,918,189 148,534
94 Italian Government Bond 5 Year March 1995 14,234,387 (224,823)
48 Italian Government Bond 10 Year March 1995 5,988,536 (160,918)
25 Italian Government Bond June 1995 2,969,821 (106,480)
120 Japanese Yen March 1995 15,532,580 401,100
62 Japanese Yen June 1995 8,111,925 135,997
145 MATIF ECU Bond March 1995 14,459,052 220,200
85 U.K. Gilt March 1995 6,848,069 (11,324)
$ 753,403
Sales
64 German Deutsche Mark March 1995 5,477,600 $ (377,280)
20 MATIF March 1995 2,076,077 1,537
70 Swiss Government Bond March 1995 5,612,669 (60,799)
45 U.S. Treasury Note March 1995 4,696,875 (252,056)
$ (688,598)
|
At February 28, 1995, the Fund has cash and/or securities to cover any margin requirements on open futures contracts.
WRITTEN OPTION TRANSACTIONS
Puts Calls
Numbers of Numbers of
Contracts Premiums Contracts Premiums
Outstanding, beginning of period -- $ -- 42 $ 175,725
Options written 37 498,641 68 1,643,313
Options terminated in closing
transactions (20) (62,932) -- --
Options exercised (13) (240,063) (23) (474,032)
Options expired (1) (28,070) (85) (1,158,422)
Outstanding, end of period 3 $ 167,576 2 $ 186,584
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SUMMARY OF WRITTEN OPTIONS OUTSTANDING
Principal Amount
of Contracts
(000's omitted) Exercise Price Expiration Date Value
Calls
DEM Call/FRF Put 20,000 DEM 3.63 DEM 8/31/95 $ 64,190
Japanese Yen Call 1,000,000 JPY 90.00 JPY 6/22/95 41,370
$ 105,560
Puts
Republic of Brazil
Capitalization Bond Put 5,000 USD 45.94 USD 5/10/95 $ 355,500
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* * *
GMO INTERNATIONAL BOND FUND
(A SERIES OF GMO TRUST)
FEDERAL INCOME TAX INFORMATION ON DISTRIBUTIONS (UNAUDITED)
For the fiscal year ended February 28, 1995, all of the Fund's distributions are from investment company taxable income, except that the Fund has designated 1.02% of the total distributions as net capital gain dividends.
GMO CURRENCY HEDGED INTERNATIONAL BOND FUND
(A SERIES OF GMO TRUST)
ANNUAL REPORT
FEBRUARY 28, 1995
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees of GMO Trust and the Shareholders of
GMO Currency Hedged International Bond Fund (A Series of GMO Trust)
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of GMO Currency Hedged International Bond Fund at February 28, 1995, and the results of its operations, the changes in its net assets and the financial highlights for the period from September 30, 1994 (commencement of operations) to February 28, 1995, in conformity with generally accepted accounting principles. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Trust's management; our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with generally accepted auditing standards which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at February 28, 1995 by correspondence with the custodian and brokers and the application of alternative auditing procedures where confirmations from brokers were not received, provides a reasonable basis for the opinion expressed above.
Price Waterhouse LLP
Boston, Massachusetts
April 20, 1995
GMO CURRENCY HEDGED INTERNATIONAL BOND FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
FEBRUARY 28, 1995
PAR VALUE DESCRIPTION VALUE ($)
DEBT OBLIGATIONS - 91.0%
ARGENTINA - 2.3%
AGP 7,500,000 Argentina Bocon - Pro 1, Variable Rate, Peso Deposit Rate 1 mo.,
due 4/1/07 2,175,000
USD 8,000,000 Argentina Bocon - Pro 2, Variable Rate, 1 mo. LIBOR, due 4/1/07 3,200,000
5,375,000
AUSTRALIA - 7.4%
AUD 14,000,000 Government of Australia, 13.00% due 7/15/00 11,743,887
AUD 5,000,000 Queensland Treasury, 6.50% due 6/14/05 2,824,242
AUD 4,000,000 Treasury Corp of Victoria, 12.50% due 7/15/00 3,257,608
17,825,737
BRAZIL - 5.1%
USD 11,388,300 Republic of Brazil Capitalization Bond, 8.00% due 4/15/14 4,627,004
USD 10,000,000 Republic of Brazil New Money Bond, Variable Rate, 6 mo. LIBOR + 13/16, 5,150,000
(6.75%), due 4/15/09
USD 6,500,000 Republic of Brazil Par Bonds Series YL3, 4.00% Step Up, due 4/15/24 2,502,500
12,279,504
BULGARIA - 0.5%
USD 6,400,000 Bulgaria, FLIRB, 2.00% due 7/28/12 1,232,000
CANADA - 4.3%
CAD 8,600,000 Canada (Cayman) Government , 7.25% due 6/1/08 5,220,943
CAD 3,500,000 Government of Canada, 10.75% due 3/15/98 2,694,049
CAD 3,000,000 Government of Canada, 10.25% due 3/15/14 2,447,176
10,362,168
COSTA RICA - 0.5%
USD 1,531,860 Costa Rica, Variable Rate, 3 mo. LIBOR + 13/16 (7.06%), due 5/21/05 1,133,576
DENMARK - 1.4%
DKK 20,000,000 Kingdom of Denmark, 8.00% due 11/15/01 3,320,451
FRANCE - 16.7%
ECU 6,000,000 Caisse Francaise Development, 5.50% due 2/9/01 6,551,940
SEK 20,000,000 Credit Foncier, 6.50% due 2/22/99 2,354,891
ECU 20,000,000 Government of France, 8.25% due 4/25/22 23,907,960
ECU 5,250,000 Societe Nationale Chemins de France, 9.38% due 3/12/01 6,924,694
39,739,485
GERMANY - 2.4%
JPY 500,000,000 KFW International Finance, 6.00% due 11/29/99 5,661,841
ITALY - 2.6%
ECU 5,000,000 Government of Italy, 9.25% due 3/7/11 6,186,375
JORDAN - 0.8%
USD 2,455,000 Jordan Discount, Variable Rate, 6 mo. LIBOR + 13/16 (7.63%), due 12/23/23 1,522,100
USD 1,000,000 Jordan Par, 4.00% Step Up, due 12/23/23 360,000
1,882,100
MEXICO - 2.1%
FRF 51,500,000 Mexico Par Bond, 6.63% due 12/31/19 4,989,922
MULTINATIONAL - 1.6%
ITL 7,000,000,000 Nordic Investment Bank, 10.80% due 5/24/03 3,868,746
PORTUGAL - 1.9%
ECU 4,200,000 Republic of Portugal, 6.00% due 2/16/04 4,450,383
SOUTH AFRICA - 0.6%
ZAL 8,000,000 Republic of South Africa R153, 13.00% due 8/31/10 1,627,586
SPAIN - 3.3%
ESP 500,000,000 Government of Spain, 10.25% due 11/30/98 (a) 3,742,142
ESP 250,000,000 Government of Spain, 11.30% due 1/15/02 1,898,793
ESP 300,000,000 Government of Spain, 10.90% due 8/30/03 2,218,109
7,859,044
SUPRA NATIONAL - 3.2%
ITL 16,000,000,000 Eurofima, 8.38% due 10/27/03 7,712,345
SWEDEN - 4.4%
SEK 40,000,000 Kingdom of Sweden, 11.00% due 1/21/99 5,594,002
SEK 50,000,000 Kingdom of Sweden, 6.00% due 2/9/05 4,900,467
10,494,469
UNITED KINGDOM - 4.0%
GBP 2,400,000 Guaranteed Export Financial Corp., 12.88% due 9/29/02 4,525,209
GBP 3,000,000 UK Treasury, 9.75% due 8/27/02 5,003,141
9,528,350
UNITED STATES - 25.0%
ASSET BACKED SECURITIES - 19.1%
USD 4,920,000 CIT Group Securitization Corp 95-1 Class A4, 8.95% due 8/15/20 4,921,538
USD 2,500,000 Discover Card Trust 91-F Class A, 7.85% due 11/21/00 2,522,023
USD 2,500,000 First USA Credit Card Master Trust 94-4 Class A, Variable Rate, 6.50%
due 8/15/03 2,502,734
USD 5,000,000 First USA Credit Card Master Trust 95-2 A, Variable Rate, 6.37% due 10/15/04 5,000,000
USD 5,000,000 HFC Home Equity Loan Cert 91-1 B, Variable Rate, 6.98% due 1/19/06 5,027,344
USD 10,000,000 Keycorp Student Loan Trust 94-B Class Certificates, Variable Rate, 6.79%
due 11/25/21 9,975,000
USD 1,000,000 Potomac Mills Finance Corp, Variable Rate, 6.78% due 10/20/04 998,750
USD 1,953,321 Resolution Trust Corp 94-C1 Class A3, Variable Rate, 6.61% due 6/25/26 1,945,386
USD 2,000,000 SMS Student Loan Trust 94-B Class Certificates, Variable Rate, 6.81%
due 10/25/23 1,995,625
USD 4,500,000 Society Student Loan Trust 93-A Class A2, Variable Rate, 6.45% due 7/25/03 4,500,000
USD 500,000 Society Student Loan Trust 93-A Class B, Variable Rate, 6.75% due 7/25/03 498,906
USD 2,500,000 Swift 94-A Class A, Variable Rate, 6.28% due 3/15/99 2,501,172
USD 3,000,000 Woodfield Finance Corp, Variable Rate, 6.84% due 10/13/03 3,030,000
45,418,478
CORPORATE OBLIGATIONS - 1.3%
USD 3,000,000 New England Telephone & Telegraph, 7.88% due 11/15/29 3,048,750
STRUCTURED NOTES - 3.8%
USD 2,000,000 Bankers Trust Medium Term Note, 17.10% due 10/14/97 (c) 1,682,400
USD 4,000,000 Sallie Mae, Variable Rate, 0.00% due 1/24/96 (d) 3,775,000
USD 4,000,000 Toyota Motor Credit, Variable Rate, 0.00% due 7/28/96 (e) 3,620,000
9,077,400
U.S. GOVERNMENT - 0.8%
USD 2,000,000 U.S. Treasury Note, 6.88% due 10/31/96 (b) 2,004,372
TOTAL UNITED STATES 59,549,000
VENEZUELA - 0.9%
USD 5,000,000 Government of Venezuela FLIRB Series B, Variable Rate, 7.00% due 3/31/07 2,243,750
TOTAL DEBT OBLIGATIONS (Cost $217,976,754) 217,321,832
LOAN PARTICIPATIONS - 1.7%
JAMAICA - 0.5%
USD 2,000,000 Republic of Jamaica Syndicated Loan Tranche B, LIBOR + 13/16,
(Sub-participation with Salomon) 1,260,000
MEXICO - 0.7%
USD 2,892,725 United Mexican States Combined Old New Money Registered Loan,
LIBOR + 13/16, (Sub-participation with Chase Manhattan
Bank) 1,677,781
RUSSIA - 0.5%
CHF 5,000,000 Russia Vnesheconombank Syndicated Loan,
(Sub-participation with Banque Paribas)* 886,239
ECU 1,000,000 Russia Vnesheconombank Promissory Note,
(Sub-participation with Bank of America, Illinois)* 253,801
1,140,040
TOTAL LOAN PARTICIPATIONS (Cost $4,827,367) 4,077,821
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Principal Amount
of Contracts CALL OPTION PURCHASED - 0.0%
(000's omitted) Cross Currency Options - 0.0%
DEM 40,000 DEM Call / BEF Put, Expires 8/31/95, Strike 21.07 77,848
TOTAL CALL OPTION PURCHASED (Cost $77,848) 77,848
PUT OPTIONS PURCHASED - 0.2%
OPTIONS ON BONDS - 0.2%
USD 5,820 Brazil IDU, Brady Bond, Expires 4/13/95 Strike 78.88 161,476
USD 1,940 Brazil IDU, Brady Bond, Expires 4/17/95 Strike 78.75 48,500
USD 4,850 Brazil IDU, Brady Bond, Expires 5/10/95 Strike 79.44 162,397
USD 1,940 Brazil IDU, Brady Bond, Expires 5/2/95 Strike 75.88 30,070
402,443
TOTAL PUT OPTIONS PURCHASED (Cost $227,326) 402,443
SHARES RIGHTS - 0.0%
MEXICO - 0.0%
7,221,000 Mexico Value Recovery, Series Rights, Expires 6/30/03 0
TOTAL RIGHTS (Cost $0) 0
|
PAR VALUE SHORT-TERM INVESTMENTS - 8.2%
REPURCHASE AGREEMENTS - 6.9%
$ 4,757,722 Prudential Securities Group, Inc. Repurchase Agreement
dated 2/28/95, due 3/1/95, with a maturity value of $4,758,482
and an effective yield of 5.75%, collateralized by U.S. Government
Agency Obligations with rates ranging from 3.64% to 11.62%, maturities
ranging from 5/1/00 to 10/25/24, and with an aggregate market
value of $4,852,826. 4,757,722
11,587,114 Salomon Brothers Repurchase Agreement, dated 2/28/95,
due 3/1/95, with a maturity value of $11,588,916 and
an effective yield of 5.60%, collateralized by a U.S.
Treasury Bond with a rate of 6.25%, a maturity date of
8/15/23,
and with an aggregate market value of $11,902,816. 11,587,114
16,344,836
CASH EQUIVALENTS - 1.3%
1,574,686 Bank of Boston Time Deposit, 6.16% due 3/1/95 1,574,686
512,539 Dreyfus Cash Management Money Market Fund Plus, A Shares 512,539
161,450 National Westminster Bank Time Deposit, 6.00% due 3/1/95 161,450
908,325 Provident Institutional Prime Money Market Fund 908,325
3,157,000
TOTAL SHORT-TERM INVESTMENTS (at amortized cost) 19,501,836
TOTAL INVESTMENTS - 101.1%
(Cost $242,611,131) * * $ 241,381,780
Other Assets and Liabilities (net) - (1.1%) (2,717,342)
TOTAL NET ASSETS - 100.0% $ 238,664,438
NOTES TO THE SCHEDULE OF INVESTMENTS:
The principal amount of each security is stated in the currency in which
the security is denominated.
AGP - Argentinian Peso ESP - Spanish Peseta
AUD - Australian Dollar FRF - French Franc
BEF - Belgian Franc GBP - Great British Pound
CAD - Canadian Dollar ITL - Italian Lira
CHF - Swiss Franc JPY - Japanese Yen
DEM - German Deutsche Mark SEK - Swedish Krona
DKK - Danish Krone USD - United States Dollar
ECU - European Currency Unit ZAL - South African Rand
(a) All or a portion of this security is on loan.
(b) This security is held as collateral for open futures contracts.
(c) Principal is linked to the value of the Brazilian Capitalization Bond and the
Brazilian IDU Bond.
(d) Interest rate linked to changes in the daily 3 month LIBOR rate.
(e) Interest rate linked to changes in the 3 year Danish Krone swap rate.
* Non-performing. Borrower not currently paying interest.
Variable rates - The rates shown on variable rate notes are
the current interest rates at February 28, 1995,
which are subject to change based on the terms of
the security.
** The aggregate identified cost for federal income
tax purposes is $242,611,131 resulting in gross
unrealized appreciation and depreciation of
$3,388,086 and $4,617,437, respectively, and net unrealized
depreciation of $1,229,351.
|
See accompanying notes to the financial statements.
GMO CURRENCY HEDGED INTERNATIONAL BOND FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - FEBRUARY 28, 1995
ASSETS:
Investments, at value (cost $223,109,295) (Note 1) $ 221,879,944
Short-term investments, at amortized cost (Note 1) 19,501,836
Foreign currency, at value (cost $658,377) (Note 1) 657,668
Interest receivable 6,640,720
Receivable for investments sold 3,396,391
Receivable for Fund shares sold 1,211,156
Receivable for open forward foreign currency contracts (Note 6) 1,131,852
Receivable from brokers on options and open futures contracts (Note 1) 214,425
Receivable for expenses waived or borne by Manager (Note 2) 54,586
Total assets 254,688,578
LIABILITIES:
Payable for investments purchased 11,725,916
Payable upon return of securities loaned (Note 1) 3,155,333
Payable for open forward foreign currency contracts (Note 6) 325,372
Written options outstanding, at value (premiums $199,671) (Note 6) 451,785
Payable for Fund shares repurchased 115,497
Premiums payable on options purchased (Note 1) 77,848
Payable to affiliate for management fee (Note 2) 87,707
Accrued expenses 84,682
Total liabilities 16,024,140
NET ASSETS(equivalent to $9.99 per share based
on 23,885,450 shares outstanding, unlimited shares authorized) $ 238,664,438
NET ASSETS CONSIST OF:
Paid-in capital $ 237,927,839
Undistributed net investment income 2,072,925
Accumulated net realized gain 37,085
Net unrealized depreciation (1,373,411)
NET ASSETS $ 238,664,438
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See accompanying notes to the financial statements.
GMO CURRENCY HEDGED INTERNATIONAL BOND FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - PERIOD FROM SEPTEMBER 30, 1994
(COMMENCEMENT OF OPERATIONS) TO FEBRUARY 28, 1995
INVESTMENT INCOME:
Interest (including securities lending income of $6,931) $ 5,420,167
EXPENSES:
Management fee (Note 2) 306,031
Custodian and transfer agent fees 49,260
Audit fees 30,002
Registration fees 29,744
Legal fees 1,834
Insurance 678
Trustee fee (Note 2) 254
Miscellaneous 324
Total expenses 418,127
Less: expenses waived or borne by Manager (Note 2) (173,302)
Net expenses 244,825
Net investment income 5,175,342
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES
CONTRACTS, WRITTEN OPTIONS, FOREIGN CURRENCY, FORWARD CONTRACTS
AND FOREIGN CURRENCY RELATED TRANSACTIONS:
Net realized gain (loss) on:
Investments (1,127,038)
Closed futures contracts 1,160,048
Foreign currency, forward contracts and foreign
currency related transactions (1,031,056)
Net realized loss on investments (998,046)
Change in net unrealized appreciation (depreciation) on:
Investments (1,229,351)
Open futures contracts (768,479)
Written options (252,114)
Foreign currency, forward contracts and foreign
currency related transactions 876,533
Net unrealized loss (1,373,411)
Net realized and unrealized loss on investments, futures
contracts, written options, foreign currency, forward
contracts and foreign currency related transactions (2,371,457)
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 2,803,885
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See accompanying notes to the financial statements.
GMO CURRENCY HEDGED INTERNATIONAL BOND FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS - PERIOD FROM SEPTEMBER 30, 1994
(COMMENCEMENT OF OPERATIONS) TO FEBRUARY 28, 1995
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 5,175,342
Net realized loss on investments, closed futures contracts,
foreign currency, forward contracts, and foreign
currency related transactions (998,046)
Change in net unrealized appreciation (depreciation) on investments,
open futures contracts, written options, foreign currency, forward
contracts and foreign currency related transactions (1,373,411)
Net increase in net assets resulting from operations 2,803,885
Distributions to shareholders from:
Net investment income (2,089,096)
(2,089,096)
Fund share transactions: (Note 5)
Proceeds from sale of shares 251,185,791
Net asset value of shares issued to shareholders
in payment of distributions declared 998,389
Cost of shares repurchased (14,234,531)
Net increase in net assets resulting
from Fund share transactions 237,949,649
Total increase in net assets 238,664,438
NET ASSETS:
Beginning of period
End of period (including undistributed net
investment income of $2,072,925) $ 238,664,438
|
See accompanying notes to the financial statements.
GMO CURRENCY HEDGED INTERNATIONAL BOND FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
PERIOD FROM SEPTEMBER 30, 1994
(COMMENCEMENT OF OPERATIONS)
TO FEBRUARY 28, 1995
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00
Income from investment operations:
Net investment income (a) 0.24
Net realized and unrealized gain (loss)
on investments (0.09)
Total from investment operations 0.15
Less distributions to shareholders:
From net investment income (0.16)
NET ASSET VALUE, END OF PERIOD $ 9.99
TOTAL RETURN (B) 1.49%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 238,664
Net expenses to average
daily net assets (a) 0.40%*
Net investment income to average
daily net assets (a) 8.46%*
Portfolio turnover rate 64%
* Annualized.
(a) Net of fees and expenses voluntarily waived or borne by the Manager of $.01
per share for the period ended February 28, 1995.
(b) Calculation excludes subscription fees. The total return would have been
lower had certain expenses not been waived during the period shown.
|
See accompanying notes to the financial statements.
GMO CURRENCY HEDGED INTERNATIONAL BOND FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS
FEBRUARY 28, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO Currency Hedged International Bond Fund (the "Fund"), which commenced operations on September 30, 1994, is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, non-diversified management investment company. The Trust was established as a Massachusetts Business Trust under the laws of the Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees to create an unlimited number of series ("Funds"), each of which issues a separate series of shares. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market quotations are available are valued at the last quoted sale price on each business day, or if there is no such reported sale, at the most recent quoted bid price. Unlisted securities for which market quotations are readily available are valued at the most recent quoted bid price. Securities which are primarily traded on foreign exchanges are generally valued at the preceding closing values of such securities on their respective exchanges, and those values are then translated into U.S. dollars at the current exchange rate. Short-term investments with a remaining maturity of sixty days or less are valued at amortized cost which approximates market value. Other assets and securities for which no quotations are readily available are valued in good faith by the Trustees.
FOREIGN CURRENCY TRANSLATION
The accounting records of the Fund are maintained in U.S. dollars. The market values of foreign securities, currency holdings and other assets and liabilities are translated to U.S. dollars based on the prevailing exchange rates each business day. Income and expenses denominated in foreign currencies are translated at prevailing exchange rates when accrued or incurred. The Fund does not isolate realized and unrealized gains and losses attributable to changes in exchange rates from gains and losses that arise from changes in the market value of investments. Such fluctuations are included with net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net exchange gains and losses on disposition of foreign currencies and the difference between the amount of investment income and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent amounts actually received or paid.
FUTURES CONTRACTS
The Fund may use futures contracts to manage its exposure to the bond and currency markets. Buying futures tends to increase the Fund's exposure to the underlying instrument. Selling futures tends to decrease the Fund's exposure to the underlying instrument or hedge other Fund instruments. Upon purchase of a futures contract, the Fund is required to deposit with its custodian, in a segregated account in the name of the futures broker, an amount of cash or U.S. government obligations in accordance with the initial margin requirements of the broker. Futures contracts are marked to market daily and an appropriate payable or receivable for the change in value ("variation margin") is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Losses may arise from the changes in the value of the underlying instrument, if there is an illiquid secondary market for the contracts, or if counterparties do not perform under the contract terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. See Note 6 for all open futures contracts held as of February 28, 1995.
FORWARD CURRENCY CONTRACTS
The Fund may enter into forward currency contracts and forward cross currency contracts in connection with settling planned purchases or sales of securities or to hedge the currency exposure associated with some or all of the Fund's portfolio securities. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The market value of a forward currency contract fluctuates with changes in forward currency exchange rates. Forward currency contracts are marked to market daily and the change in value is recorded by the Fund as an unrealized gain or loss. When a forward currency contract is extinguished, through delivery or offset by entering into another forward currency contract, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished or offset. These contracts may involve market risk in excess of the unrealized gain or loss reflected in the Fund's Statement of Assets and Liabilities. In addition, the Fund could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency changes unfavorably to the U.S. dollar. The U.S. dollar value of the currencies the Fund has committed to buy or sell is shown under Note 6 and represents the currency exposure the Fund has acquired or hedged through currency contracts as of February 28, 1995.
OPTIONS
The Fund may write call and put options on securities it owns or in which it may invest. When the Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the current value of the option written. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are offset against the proceeds or amounts paid on the transaction to determine the realized gain or loss. If a written put option is exercised, the premium reduces the cost basis of the securities purchased by the Fund. The Fund as a writer of an option has no control over whether the underlying securities may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the security underlying the written option. There is the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. See Note 6 for summary of all open written option contracts as of February 28, 1995.
The Fund may also purchase put and call options. The Fund pays a premium which is included in the Fund's Statement of Assets and Liabilities as an investment and subsequently marked to market to reflect the current value of the option. The risk associated with purchasing put and call options is limited to the premium paid.
In some cases, depending upon the executing broker, premiums on purchased and written options are not paid or received until the contracts expire or are closed or exercised. These contracts are marked to market daily, and the daily change in market value is paid to or received from the respective broker. A corresponding payable or receivable is recorded for the accumulated unrealized position received or paid. Upon settlement, the net payable or receivable for original premiums and accumulated unrealized gains and losses is paid to or received from the broker and a gain or loss is realized.
LOAN AGREEMENTS
The Fund may invest in loan agreements which are indirect interests in amounts owed by a corporate, governmental, or other borrower to lenders or lending syndicates. A loan is often administered by a bank or other financial institution (the lender) that acts as agent for all holders. The lender administers the terms of the loan, as specified in the loan agreement. The Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt by the lender of payments from the borrower. The Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, the Fund may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. In addition, if the Fund invests in the indebtedness of an emerging country, there is a risk that the governmental entities responsible for the repayment of the debt may be unable or unwilling to pay the principal and interest when due.
INDEXED SECURITIES
The Fund may also invest in indexed securities whose redemption values and/or coupons are linked to the prices of other securities, securities indices, or other financial indicators. The Fund uses indexed securities to increase or decrease its exposure to different underlying instruments and to gain exposure to markets that may be difficult to invest in through conventional securities. Indexed securities may be more volatile than their underlying instruments, but any loss is limited to the amount of the original investment.
REPURCHASE AGREEMENTS
The Fund may enter into repurchase agreements with certain banks and broker/dealers whereby the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets remains sufficient to protect the Fund in the event of default by the seller. In connection with transactions in repurchase agreements, if the seller defaults and the value of the collateral declines or if the seller enters insolvency proceedings, realization of collateral by the Fund may be delayed or limited.
SECURITY LENDING
The Fund may lend its securities to certain member firms of the New York Stock Exchange. The loans are collateralized at all times with cash or securities with a market value at least equal to the market value of the securities on loan. As with other extensions of credit, the Fund may bear the risk of delay in recovery or even loss of rights in the collateral should the borrower fail financially. The Fund receives compensation for lending its securities. At February 28, 1995, the Fund loaned securities having a market value of $3,068,556, collateralized by cash in the amount of $3,157,000, which was invested in short-term instruments.
TAXES
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. It is the policy of the Fund to distribute all of its taxable income, including any net realized gain on investments not offset by loss carryovers, to shareholders within the prescribed time periods. Therefore, no provision for federal income or excise tax is necessary. Taxes on foreign interest and dividend income have been withheld in accordance with the applicable country's tax treaty with the United States.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment income and net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryover for federal income tax purposes. The Fund's present policy is to declare and pay distributions from net investment income semi-annually, and net realized short-term and long-term capital gains at least annually. All distributions will be paid in shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions.
Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences are primarily due to differing treatments for foreign currency transactions and redemptions in-kind.
The following reclassification represents the cumulative amount necessary to report these balances on a tax basis, excluding certain temporary differences, as of February 28, 1995. This reclassification has no impact on net investment income, realized gain/loss and net asset value of the Fund and is primarily attributable to certain differences in the computation of distributable income and capital gains under federal tax rules versus generally accepted accounting principles.
Undistributed Net Investment Accumulated Net Realized
Income Gain (Loss) Paid-in Capital
($1,013,321) $1,035,131 ($21,810)
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Distributions in excess of tax basis earnings and profits will be reported in the Fund's financial statements as a return of capital. Furthermore, differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary over-distributions for financial statement purposes are classified as distributions in excess of net investment income or accumulated net realized gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Interest income is recorded on the accrual basis. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an individual Fund. Expenses which are not readily identifiable to a specific Fund are allocated in such a manner as deemed equitable by the Trustees, taking into consideration, among other things, the nature and type of expense and the relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is .15% of the amount invested. The Manager may waive such premium to the extent that a transaction results in minimal brokerage and transaction costs to the Fund. All purchase premiums are paid to and recorded as paid-in capital by the Fund. For the period ended February 28, 1995, the Fund received $149,247 in purchase premiums. There is no premium for cash redemptions, reinvested distributions or in-kind transactions.
INVESTMENT RISK
There are certain additional risks involved in investing in foreign securities that are not inherent in investments of domestic securities. These risks may involve adverse political and economic developments and the possible imposition of currency exchange blockages or other foreign governmental laws or restrictions. In addition, the securities of some foreign companies and securities markets are less liquid and at times more volatile than securities of comparable U.S. companies and U.S. securities markets.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the "Manager"), for management and investment advisory services is paid monthly at the annual rate of .50% of average daily net assets. The Manager has agreed to waive a portion of its fee and bear other expenses until further notice to the extent that the Fund's annual expenses exceed .40% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee during the period ended February 28, 1995, was $254. No remuneration is paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of securities, excluding short-term investments and U.S. Government obligations during the period ended February 28, 1995 aggregated $296,190,867 and $75,817,376, respectively. Cost of purchases and proceeds from sales of U.S. Government obligations during the period aggregated $19,945,360 and $17,944,391, respectively.
4. PRINCIPAL SHAREHOLDERS
At February 28, 1995, 64% of the outstanding shares of the Fund were held by three shareholders, each holding in excess of 10% of the Fund's outstanding shares.
5. SHARE TRANSACTIONS
The Declaration of Trust permits Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value). Transactions in Fund shares were as follows:
Period from
September 30, 1994
(Commencement of Operations) to
February 28, 1995
Shares sold 25,227,397
Shares issued to shareholders in
reinvestment of distributions 101,052
Shares repurchased (1,442,999)
Net increase 23,885,450
Fund shares:
Beginning of period ___
End of period 23,885,450
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6. FINANCIAL INSTRUMENTS
A summary of outstanding financial instruments at February 28, 1995 is as follows:
FUTURES CONTRACTS
Net Unrealized
Number of Appreciation
Contracts Type Expiration Date Contract Value (Depreciation)
Buys
43 Australian Dollar 10 year March 1995 $ 297,048 $ 130,689
146 Canadian Government Bond March 1995 10,659,319 542,021
142 Italian 5 year Bond March 1995 21,501,127 (340,075)
52 Italian 10 year Bond March 1995 6,487,580 (174,327)
35 Italian 10 year Govt. Bond June 1995 4,157,750 (149,072)
5 Japanese 10 year Govt. Bond June 1995 5,563,179 92,448
6 Japanese 10 year Govt. Bond March 1995 6,623,465 116,785
12 Japanese Yen March 1995 1,553,250 26,760
290 MATIF ECU Bond March 1995 28,903,935 137,414
50 MATIF ECU Bond June 1995 5,039,767 (13,890)
280 U.K. Gilt March 1995 22,439,492 9,420
$ 378,173
Sales
77 Australian Dollar 3 year March 1995 178,696 $ (100,398)
100 German Deutsche Mark March 1995 8,558,750 (447,800)
5 MATIF March 1995 535,898 (6,384)
100 Swiss Government Bond March 1995 8,026,132 (81,164)
100 U.S. Treasury Note March 1995 10,396,875 (510,906)
$ (1,146,652)
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At February 28, 1995, the Fund has cash and/or securities to cover any margin requirements on open futures contracts.
FORWARD CURRENCY CONTRACTS
Net Unrealized
Settlement Units of Appreciation
Date Deliver/Receive Currency In Exchange for (Depreciation)
Buys
5/1/95 Canadian Dollars 35,000,000 $ 24,754,226 $ 328,428
3/2/95 German Deutsche Marks 114,000 77,895 (43)
3/1/95 Italian Lira 1,324,059 789 3
$ 328,388
Sales
3/31/95 Australian Dollars 35,000,000 $ 25,718,000 $ (53,072)
3/31/95 European Currency Units 16,500,000 21,034,200 98,213
4/28/95 French Francs 25,000,000 4,763,720 (91,613)
3/2/95 German Deutsche Marks 141,000 96,344 55
3/31/95 German Deutsche Marks 8,000,000 5,479,452 11,115
3/31/95 Great British Pounds 6,500,000 10,316,800 47,927
3/31/95 Italian Lira 15,000,000,000 9,121,036 173,140
3/31/95 Japanese Yen 900,000,000 9,326,425 (12,835)
3/31/95 Swedish Krona 167,000,000 23,036,957 354,248
$ 527,178
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FORWARD CROSS CURRENCY CONTRACTS
Net Unrealized
Settlement Appreciation
Date Deliver/Receive Units In (Depreciation)
of Exchange
Currency for
3/31/95 German Deutsche Marks/ DEM 10,000,000 CHF 8,509,000 $ 35,433
Swiss Francs
3/31/95 Italian Lira/ ITL 6,735,600,000 DEM 6,000,000 83,290
German Deutsche Marks
3/31/95 Spanish Pesetas/ ESP 2,653,350,000 DEM 30,000,000 (167,809)
German Deutsche Marks
$ (49,086)
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WRITTEN OPTION TRANSACTIONS
Puts Calls
Numbers of Numbers of
Contracts Premiums Contracts Premiums
Outstanding, beginning of period __ $ __ __ $ __
Options written 1 103,386 3 96,285
Options terminated in closing __ __ __ __
transactions
Options expired __ __ __ __
Outstanding, end of period 1 $ 103,386 3 $ 96,285
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SUMMARY OF WRITTEN OPTIONS OUTSTANDING
Principal Amount of
Contracts Expiration
(000's omitted) Exercise Price Date Value
Calls
DEM Call/FRF Put 30,000 DEM 3.63 DEM 8/31/95 $ 96,285
Puts
Republic of Brazil
Capitalization Bond Put 5,000 USD 45.94 USD 5/10/95 $ 355,500
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* * *
GMO EMERGING COUNTRY DEBT FUND
(A SERIES OF GMO TRUST)
ANNUAL REPORT
FEBRUARY 28, 1995
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees of GMO Trust and the Shareholders of GMO Emerging Country Debt Fund (A Series of GMO Trust)
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of GMO Emerging Country Debt Fund at February 28, 1995, and the results of its operations, the changes in its net assets and the financial highlights for the period from April 19, 1994 (commencement of operations) to February 28, 1995, in conformity with generally accepted accounting principles. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Trust's management; our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with generally accepted auditing standards which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at February 28, 1995 by correspondence with the custodian and brokers and the application of alternative auditing procedures where confirmations from brokers were not received, provides a reasonable basis for the opinion expressed above.
Price Waterhouse LLP
Boston, Massachusetts
April 20, 1995
GMO EMERGING COUNTRY DEBT FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS - CONTINUED
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
FEBRUARY 28, 1995
PAR VALUE DESCRIPTION VALUE ($)
DEBT OBLIGATIONS - 80.0%
ARGENTINA - 15.1%
AGP 46,670,000 Argentina Bocon - Pro 1, Variable Rate, Peso Deposit Rate 1 mo., due 4/1/07 13,534,300
USD 45,500,000 Argentina Bocon - Pro 2, Variable Rate, 1 mo. LIBOR, due 4/1/07 18,200,000
USD 10,000,000 Republic of Argentina Discount Bond, 6 mo. LIBOR + 13/16 (7.13%), due 3/31/23 5,112,500
36,846,800
BRAZIL - 15.6%
USD 33,133,227 Republic of Brazil Capitalization Bond, 8.00% due 4/15/14 13,460,373
USD 24,000,000 Republic of Brazil New Money Bond, Variable Rate, 6 mo. LIBOR + 13/16 (6.75%),
due 4/15/09 12,360,000
USD 31,500,000 Republic of Brazil Par Bonds Series YL3, 4.00% Step Up, due 4/15/24 12,127,500
37,947,873
Bulgaria - 3.2%
USD 8,000,000 Bulgaria, Discount, 6 mo. LIBOR + 13/16 (7.56%), due 7/28/24 3,460,000
USD 22,000,000 Bulgaria, FLIRB, 2.00% due 7/28/12 4,235,000
7,695,000
CHINA - 0.8%
USD 2,000,000 Bank of China, 8.25% due 3/15/14 1,857,654
COSTA RICA - 0.8%
USD 3,600,000 Banco Central Costa Rica Par Bond A, 6.25% due 5/21/10 1,872,000
DOMINICAN REPUBLIC - 1.6%
USD 7,750,000 Dominican Republic, Discount Bond, 6 mo. LIBOR + 13/16 (7.13%), due 8/30/24 3,720,000
ECUADOR - 1.5%
USD 2,750,217 Republic of Ecuador Discount, Variable Rate, 6 mo. LIBOR + 13/16 (7.25%),
due 2/28/25 1,216,930
USD 9,400,000 Republic of Ecuador PDI, Variable Rate, 3.00% Step Up, due 2/27/15 (c) 2,373,445
3,590,375
HUNGARY - 0.6%
USD 2,095,000 National Bank of Hungary, 8.88% due 11/1/13 1,566,800
INDONESIA - 0.4%
USD 1,000,000 Tjiwi Kimia International, 13.25% due 8/1/01 1,005,000
JORDAN - 4.5%
USD 4,000,000 Jordan Par, 4.00% Step Up, due 12/23/23 1,440,000
USD 14,169,378 Jordan PDI, Variable Rate, 6 mo. LIBOR + 13/16 (7.63%), due 12/23/05 9,493,483
10,933,483
MEXICO - 8.7%
FRF 190,000,000 Mexico Par Bond, 6.63% due 12/31/19 18,409,422
CHF 1,500,000 United Mexican States Par Bond, 3.75% due 12/31/19 441,105
USD 5,000,000 United Mexican States Par Bond, 6.25% due 12/31/19 2,443,750
21,294,277
NIGERIA - 0.8%
USD 5,000,000 Central Bank of Nigeria Par Bond, 6.25% due 11/15/20 1,943,750
PAKISTAN - 0.8%
USD 2,000,000 Islamic Republic of Pakistan, 11.50% due 12/22/99 1,900,000
PANAMA - 1.4%
USD 4,601,000 Republic of Panama, FRN Variable Rate, 6 mo. LIBOR + 13/16 (7.13%),
due 5/10/02 3,312,720
PHILIPPINES - 0.7%
USD 3,000,000 Central Bank of the Philippines Par, 5.75% Step Up, due 12/1/17 (a) 1,770,000
POLAND - 2.4%
USD 15,000,000 Poland PDI, 3.25% Step Up, due 10/27/14 5,962,500
SOUTH AFRICA - 4.1%
ZAL 22,000,000 Republic of South Africa ESCOM #169, 15.00% due 10/1/98 5,459,259
ZAL 22,000,000 Republic of South Africa R153, 13.00% due 8/31/11 4,475,862
9,935,121
SOUTH KOREA - 0.2%
USD 500,000 Korea Electric Power, 6.38% due 12/1/03 438,750
THAILAND - 0.2%
THB 15,000,000 Thai Military Bank, 6.75% due 2/28/97 566,109
TURKEY - 1.3%
GBP 2,900,000 Republic of Turkey, 9.00% due 10/27/03 3,276,752
URUGUAY - 0.1%
USD 500,000 Banco Central del Uruguay DCN, Variable Rate, 6 mo. LIBOR + 13/16 (7.88%),
due 2/18/07 325,000
UNITED STATES - 6.2%
ASSET BACKED SECURITIES - 1.9%
USD 3,500,000 Fremont SBL Master Trust 93-A Class A, Variable Rate, 6.60% due 3/15/98 3,503,828
USD 1,000,000 Premier Auto Trust 94-4 Class B Certificates, 6.85% due 5/2/99 983,719
4,487,547
STRUCTURED NOTE - 1.0%
USD 3,000,000 Bankers Trust Medium Term Note, 17.10% due 10/14/97 (d) 2,523,600
U.S. GOVERNMENT - 3.3%
USD 8,000,000 U.S. Treasury Note, 6.88% due 10/31/96 (b) 8,017,488
Total United States 15,028,635
VENEZUELA - 9.0%
USD 19,598,000 Republic of Venezuela FLIRB Series A, Variable Rate, 7.00% due 3/31/07 8,786,735
USD 29,334,000 Republic of Venezuela FLIRB Series B, Variable Rate, 7.00% due 3/31/07 13,160,505
21,947,240
TOTAL DEBT OBLIGATIONS (Cost $217,196,565) 194,735,839
LOAN PARTICIPATIONS - 15.5%
CHILE - 1.7%
JPY 463,687,933 Banco del Estado de Chile Syndicated Loan, (Sub-participation with Citicorp) 4,123,803
IVORY COAST - 1.2%
USD 6,000,000 Ivory Coast Syndicated Loan (Sub-participation with Banque Paribas)* 870,000
FRF 79,141,655 Ivory Coast Syndicated Loan (Sub-participation with Banque Paribas,
Morgan Stanley, and Bank of America, Illinois)* 2,229,342
3,099,342
JAMAICA - 1.6%
USD 6,000,000 Republic of Jamaica Syndicated Loan Tranche B,
(Sub-participation with Chase Manhattan Bank and Salomon) 3,780,000
MEXICO - 5.0%
USD 21,000,000 United Mexican States Combined Old New Money Registered Loan, LIBOR + 13/16,
(Sub-participation with Chase Manhattan Bank, Morgan Stanley and Salomon) 12,180,000
MOROCCO - 1.1%
USD 2,000,000 Kingdom of Morocco Registered Loan Agreement Tranche A, LIBOR + 13/16,
(Sub-participation with Banque Paribas) 1,240,000
USD 2,000,000 Kingdom of Morocco Registered Loan Agreement Tranche B, LIBOR + 13/16,
(Sub-participation with Banque Paribas) 1,337,500
2,577,500
NIGERIA - 1.7%
USD 15,000,000 Nigeria Promissory Notes
(Sub-participation with J.P. Morgan and Salomon)* 4,200,000
PANAMA - 1.5%
JPY 386,232,904 Republic of Panama Syndicated Loan
(Sub-participation with Chase Manhattan Bank)* 1,487,815
USD 5,000,000 Republic of Panama Syndicated Loan
(Sub-participation with Chase Manhattan Bank)* 2,187,500
3,675,315
RUSSIA - 1.7%
ECU 3,000,000 Russia Vnesheconombank Promissory Note
(Sub-participation with Bank of America Illinois)* 761,402
FRF 40,750,000 Russia Vnesheconombank Syndicated Loan
(Sub-participation with Banque Paribas and Chase Manhattan Bank)* 1,840,578
NLG 13,276,991 Russia Vnesheconombank Syndicated Loan
(Sub-participation with Chase Manhattan Bank and Morgan Stanley)* 1,616,189
4,218,169
TOTAL LOAN PARTICIPATIONS (Cost $42,230,652) 37,854,129
PRINCIPAL AMOUNT PURCHASED OPTIONS - 2.2%
OF CONTRACTS
(000's omitted) CALL OPTIONS PURCHASED - 1.7%
OPTIONS ON BONDS - 1.3%
USD 4,000 Argentina Par Bond 4.25%, Expires 5/3/95, Strike 50.00 4,000
USD 60,000 Brazil Par Series YL3, 4.00%, Expires 4/13/95 Strike 36.00 2,040,000
USD 20,000 Brazil Par Series YL3, 4.00%, Expires 4/18/95 Strike 34.81 806,000
USD 20,000 Mexican Par Bond 6.63%, Expires 3/31/95 Strike 50.00 314,000
3,164,000
OPTIONS ON LOAN PARTICIPATIONS - 0.4%
FRF 40,000 Russia Vnesheconombank Promissory Note, Expires 6/13/95 Strike 10.00 854,784
TOTAL CALL OPTIONS PURCHASED (Cost $7,455,511) 4,018,784
PUT OPTIONS PURCHASED - 0.5%
OPTIONS ON BONDS - 0.5%
USD 17,460 Brazil IDU, Brady Bond, Expires 4/13/95 Strike 78.88 484,428
USD 5,820 Brazil IDU, Brady Bond, Expires 4/17/95 Strike 78.75 145,500
USD 9,700 Brazil IDU, Brady Bond, Expires 5/10/95 Strike 79.44 324,795
USD 15,520 Brazil IDU, Brady Bond, Expires 5/2/95 Strike 75.88 240,560
1,195,283
TOTAL PUT OPTIONS PURCHASED (Cost $706,184) 1,195,283
SHARES RIGHTS AND WARRANTS - 0.0%
MEXICO - 0.0%
23,534,000 Mexico Value Recovery, Series Rights, Expires 6/30/03 0
NIGERIA - 0.0%
5,000 Central Bank of Nigeria Warrants, Expires 11/15/20 0
TOTAL RIGHTS AND WARRANTS (Cost $0) 0
SHORT-TERM INVESTMENTS - 13.4%
REPURCHASE AGREEMENTS - 9.6%
$ 11,672,695 Prudential Securities Group, Inc. Repurchase Agreement
dated 2/28/95, due 3/1/95, with a maturity value of $11,674,559
and an effective yield of 5.75%, collateralized by U.S. Government
Agency Obligations with rates ranging from 3.64% to 11.62%, maturities
ranging from 5/1/00 to 10/25/24, and with an aggregate market
value of $11,906,094. 11,672,695
11,672,695 Salomon Brothers Repurchase Agreement, dated
2/28/95, due 3/1/95, with a maturity value of
$11,674,511 and an effective yield of 5.60%,
collateralized by a U.S. Treasury Bond with a rate
of 6.25%, a maturity date of 8/15/23,
and with an aggregate market value of $11,990,728. 11,672,695
23,345,390
CASH EQUIVALENTS - 3.8%
7,405,568 Bank of Boston Cash Sweep, 5.39% due 3/1/95 7,405,568
843,228 Bank of Boston Time Deposit, 6.05%, due 3/1/95 843,228
366,661 Dreyfus Cash Management Money Market Fund Plus, A Shares 366,661
93,587 National Westminster Time Deposit, 6.05%, due 3/1/95 93,587
526,524 Provident Institutional Prime Money Market Fund 526,524
9,235,568
TOTAL SHORT-TERM INVESTMENTS (at amortized cost) 32,580,958
TOTAL INVESTMENTS - 111.1%
(Cost $300,169,870) * * 270,384,993
Other Assets and Liabilities (net) - (11.1%) (26,933,649)
TOTAL NET ASSETS - 100.0% $243,451,344
NOTES TO THE SCHEDULE OF INVESTMENTS:
The principal amount of each security is stated in the
currency in which the security is denominated.
AGP - Argentinian Peso JPY - Japanese Yen
CHF - Swiss Franc NLG - Netherlands Guilder
ECU - European Currency Unit THB - Thai Baht
FRF - French Franc USD - United States Dollar
GBP - British Pound Sterling ZAL - South African Rand
(a) All or a portion of this security is on loan.
(b) This security is held as collateral for open futures contracts.
(c) This security has been purchased on a when-issued basis.
(d) Principal is linked to the value of the Brazilian Capitalization Bond and the
Brazilian IDU Bond.
Variable Rates - The rates shown on variable rate notes are
the current interest rates at February 28, 1995, which
are subject to change based on the terms of the
security.
* Non-performing. Borrower not currently paying interest.
** The aggregate identified cost for federal income tax
purposes is $301,145,490 resulting in gross unrealized
appreciation and depreciation of $2,506,846 and
$33,267,343, respectively, and net unrealized
depreciation of $30,760,497.
|
See accompanying notes to the financial statements.
GMO EMERGING COUNTRY DEBT FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - FEBRUARY 28, 1995
ASSETS:
Investments, at value (cost $267,588,912) (Note 1) $ 237,804,035
Short-term investments, at amortized cost (Note 1) 32,580,958
Foreign currency, at value (cost $431,386) (Note 1) 438,317
Interest receivable 6,138,138
Receivable for Fund shares sold 4,283,500
Premium receivable for options written (Note 1) 1,111,088
Receivable from brokers for open futures contracts (Note 1) 10,141
Receivable for expenses waived or borne by Manager (Note 2) 30,156
Total assets 282,396,333
LIABILITIES:
Payable for investments purchased 35,475,790
Payable upon return of securities loaned (Note 1) 1,829,738
Payable for open forward foreign currency contracts (Note 6) 725,486
Written options outstanding, at value (premiums $206,773) (Note 6) 711,000
Payable to affiliate for management fee (Note 2) 88,646
Accrued expenses 114,329
Total liabilities 38,944,989
NET ASSETS(equivalent to $8.39 per share based
on 29,024,789 shares outstanding, unlimited shares authorized) $ 243,451,344
NET ASSETS CONSIST OF:
Paid-in capital $ 280,701,575
Undistributed net investment income 2,358,106
Accumulated net realized loss (7,744,126)
Net unrealized depreciation (31,864,211)
NET ASSETS $ 243,451,344
|
See accompanying notes to the financial statements.
GMO EMERGING COUNTRY DEBT FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - PERIOD FROM APRIL 19, 1994 (COMMENCEMENT OF OPERATIONS) TO FEBRUARY 28, 1995
INVESTMENT INCOME:
Interest (including securities lending income of $2,495) $ 9,250,552
EXPENSES:
Management fee (Note 2) 417,918
Custodian and transfer agent fees 75,793
Audit fees 50,014
Registration fees 44,354
Legal fees 2,723
Insurance 952
Trustee fee (Note 2) 378
Miscellaneous 606
Total expenses 592,738
Less: expenses waived or borne by Manager (Note 2) (174,820)
Net expenses 417,918
Net investment income 8,832,634
REALIZED AND UNREALIZED GAIN ON INVESTMENTS, FUTURES CONTRACTS,
WRITTEN OPTIONS, FOREIGN CURRENCY, FORWARD CONTRACTS AND FOREIGN
CURRENCY RELATED TRANSACTIONS:
Net realized gain (loss) on:
Investments (5,525,604)
Closed futures contracts (157,100)
Foreign currency, forward contracts and foreign
currency related transactions (506,497)
Net realized loss (6,189,201)
Change in net unrealized appreciation (depreciation) on:
Investments (29,784,877)
Open futures contracts (879,743)
Written options (504,227)
Foreign currency, forward contracts and foreign
currency related transactions (695,364)
Net unrealized loss (31,864,211)
Net realized and unrealized loss on investments, futures
contracts, written options, foreign currency, forward
contracts and foreign currency related transactions (38,053,412)
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $ (29,220,778)
|
See accompanying notes to the financial statements.
GMO EMERGING COUNTRY DEBT FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS - PERIOD FROM APRIL 19, 1994
(COMMENCEMENT OF OPERATIONS) TO FEBRUARY 28, 1995
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 8,832,634
Net realized loss on investments, closed futures
contracts, foreign currency, forward contracts
and foreign currency related transactions (6,189,201)
Change in net unrealized depreciation on investments, open
futures contracts, written options, foreign currency, forward
contracts and foreign currency related transactions (31,864,211)
Net decrease in net assets resulting from operations (29,220,778)
Distributions to shareholders from:
Net investment income (6,479,050)
In excess of net realized gains (1,550,403)
(8,029,453)
Fund share transactions: (Note 5)
Proceeds from sale of shares 277,027,720
Net asset value of shares issued to shareholders
in payment of distributions declared 5,095,310
Cost of shares repurchased (1,421,455)
Net increase in net assets resulting
from Fund share transactions 280,701,575
Total increase in net assets 243,451,344
NET ASSETS:
Beginning of period
End of period (including undistributed net
investment income of $2,358,106) $ 243,451,344
|
See accompanying notes to the financial statements.
GMO EMERGING COUNTRY DEBT FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
PERIOD FROM APRIL 19, 1994
(COMMENCEMENT OF OPERATIONS)
TO FEBRUARY 28, 1995
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00
Income (loss) from investment operations:
Net investment income (a) 0.48
Net realized and unrealized gain (loss)
on investments (1.59)
Total from investment operations (1.11)
Less distributions to shareholders:
From net investment income (0.40)
In excess of net realized gains (0.10)
Total distributions (0.50)
NET ASSET VALUE, END OF PERIOD $ 8.39
TOTAL RETURN (B) (11.65%)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 243,451
Net expenses to average
daily net assets (a) 0.50%
Net investment income to average
daily net assets (a) 10.57%
Portfolio turnover rate 104%
* Annualized.
(a) Net of fees and expenses voluntarily waived or borne by the Manager of $.01
per share for the period ended February 28, 1995.
(b) Calculation excludes subscription fees. The total return would have been
lower had certain expenses not been waived during the period shown.
|
See accompanying notes to the financial statements.
GMO EMERGING COUNTRY DEBT FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS
FEBRUARY 28, 1995
1. SIGNIFICANT ACCOUNTING POLICIES The GMO Emerging Country Debt Fund (the "Fund"), which commenced operations on April 19, 1994, is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, non-diversified management investment company. The Trust was established as a Massachusetts Business Trust under the laws of the Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees to create an unlimited number of series ("Funds"), each of which issues a separate series of shares. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market quotations are available are valued at the last quoted sale price on each business day, or if there is no such reported sale, at the most recent quoted bid price. Unlisted securities for which market quotations are readily available are valued at the most recent quoted bid price. Securities which are primarily traded on foreign exchanges are generally valued at the preceding closing values of such securities on their respective exchanges, and those values are then translated into U.S. dollars at the current exchange rate. Short-term investments with a remaining maturity of sixty days or less are valued at amortized cost which approximates market value. Other assets and securities for which no quotations are readily available are valued in good faith by the Trustees.
FOREIGN CURRENCY TRANSLATION
The accounting records of the Fund are maintained in U.S. dollars. The market values of foreign securities, currency holdings and other assets and liabilities are translated to U.S. dollars based on the prevailing exchange rates each business day. Income and expenses denominated in foreign currencies are translated at prevailing exchange rates when accrued or incurred. The Fund does not isolate realized and unrealized gains and losses attributable to changes in exchange rates from gains and losses that arise from changes in the market value of investments. Such fluctuations are included with net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net exchange gains and losses on disposition of foreign currencies and the difference between the amount of investment income and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent amounts actually received or paid.
FUTURES CONTRACTS
The Fund may use futures contracts to manage its exposure to the bond and currency markets. Buying futures tends to increase the Fund's exposure to the underlying instrument. Selling futures tends to decrease the Fund's exposure to the underlying instrument or hedge other Fund instruments. Upon purchase of a futures contract, the Fund is required to deposit with its custodian, in a segregated account in the name of the futures broker, an amount of cash or U.S. government obligations in accordance with the initial margin requirements of the broker. Futures contracts are marked to market daily and an appropriate payable or receivable for the change in value ("variation margin") is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Losses may arise from the changes in the value of the underlying instrument, if there is an illiquid secondary market for the contracts, or if counterparties do not perform under the contract terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. See Note 6 for all open futures contracts held as of February 28, 1995.
FORWARD CURRENCY CONTRACTS
The Fund may enter into forward currency contracts in connection with settling planned purchases or sales of securities or to hedge the currency exposure associated with some or all of the Fund's portfolio securities. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The market value of a forward currency contract fluctuates with changes in forward currency exchange rates. Forward currency contracts are marked to market daily and the change in value is recorded by the Fund as an unrealized gain or loss. When a forward currency contract is extinguished, through delivery or offset by entering into another forward currency contract, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished or offset. These contracts may involve market risk in excess of the unrealized gain or loss reflected in the Fund's Statement of Assets and Liabilities. In addition, the Fund could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency changes unfavorably to the U.S. dollar. The U.S. dollar value of the currencies the Fund has committed to buy or sell is shown under Note 6 and represents the currency exposure the Fund has acquired or hedged through currency contracts as of February 28, 1995.
OPTIONS
The Fund may write call and put options on securities it owns or in which it may invest. When the Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the current value of the option written. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are offset against the proceeds or amounts paid on the transaction to determine the realized gain or loss. If a written put option is exercised, the premium reduces the cost basis of the securities purchased by the Fund. The Fund as a writer of an option has no control over whether the underlying securities may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the security underlying the written option. There is the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. See Note 6 for a summary of open written option contracts as of February 28, 1995.
The Fund may also purchase put and call options. The Fund pays a premium which is included in the Fund's Statement of Assets and Liabilities as an investment and subsequently marked to market to reflect the current value of the option. The risk associated with purchasing put and call options is limited to the premium paid.
In some cases, depending upon the executing broker, premiums on purchased and written options are not paid or received until the contracts expire or are closed or exercised. These contracts are marked to market daily, and the daily change in market value is paid to or received from the respective broker. A corresponding payable or receivable is recorded for the accumulated unrealized position received or paid. Upon settlement, the net payable or receivable for original premiums and accumulated unrealized gains and losses is paid to or received from the broker and a gain or loss is realized.
LOAN AGREEMENTS
The Fund may invest in loan agreements which are indirect interests in amounts owed by a corporate, governmental, or other borrower to lenders or lending syndicates. A loan is often administered by a bank or other financial institution (the lender) that acts as agent for all holders. The lender administers the terms of the loan, as specified in the loan agreement. The Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt by the lender of payments from the borrower. The Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, the Fund may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. In addition, if the Fund invests in the indebtedness of an emerging country, there is a risk that the governmental entities responsible for the repayment of the debt may be unable, or unwilling to pay the principal and interest when due.
INDEXED SECURITIES
The Fund may also invest in indexed securities whose redemption values and/or coupons are linked to the prices of other securities, securities indices, or other financial indicators. The Fund uses indexed securities to increase or decrease its exposure to different underlying instruments and to gain exposure to markets that may be difficult to invest in through conventional securities. Indexed securities may be more volatile than their underlying instruments, but any loss is limited to the amount of the original investment.
REPURCHASE AGREEMENTS
The Fund may enter into repurchase agreements with certain banks and broker/dealers whereby the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets remains sufficient to protect the Fund in the event of default by the seller. In connection with transactions in repurchase agreements, if the seller defaults and the value of the collateral declines or if the seller enters insolvency proceedings, realization of collateral by the Fund may be delayed or limited.
SECURITY LENDING
The Fund may lend its securities to certain member firms of the New York Stock Exchange. The loans are collateralized at all times with cash or securities with a market value at least equal to the market value of the securities on loan. As with other extensions of credit, the Fund may bear the risk of delay in recovery or even loss of rights in the collateral should the borrower of the securities fail financially. The Fund receives compensation for lending its securities. At February 28, 1995, the Fund loaned securities having a market value of $1,770,000, collateralized by cash in the amount of $1,830,000, which was invested in short-term instruments.
TAXES
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. It is the policy of the Fund to distribute all of its taxable income, including any net realized gain on investments not offset by loss carryovers, to shareholders within the prescribed time periods. Therefore, no provision for federal income or excise tax is necessary. Taxes on foreign interest income have been withheld in accordance with the applicable country's tax treaty with the United States.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment income and net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryover for federal income tax purposes. The Fund's present policy is to declare and pay distributions from net investment income semi-annually, and net realized short-term and long-term capital gains at least annually. All distributions will be paid in shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions.
Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences are primarily due to differing treatments for foreign currency transactions.
The following reclassification represents the cumulative amount necessary to report these balances on a tax basis, excluding certain temporary differences, as of February 28, 1995. This reclassification has no impact on net investment income, realized gain/loss and net asset value of the Fund and is primarily attributable to certain differences in the computation of distributable income and capital gains under federal tax rules versus generally accepted accounting principles.
Undistributed Net Investment Accumulated Net Realized
Income Loss Paid-in Capital
$4,522 ($4,522) __
|
Distributions in excess of tax basis earnings and profits will be reported in the Fund's financial statements as a return of capital. Furthermore, differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary over-distributions for financial statement purposes are classified as distributions in excess of net investment income or accumulated net realized gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Interest income is recorded on the accrual basis. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis. Premium and market discounts are amortized or accreted.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an individual Fund. Expenses which are not readily identifiable to a specific Fund are allocated in such manner as deemed equitable by the Trustees, taking into consideration, among other things, the nature and type of expense and the relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is .50% of the amount invested. The Manager may waive such premium to the extent that a transaction results in minimal brokerage and transaction costs to the Fund. All purchase premiums are paid to and recorded as paid-in capital by the Fund. For the period ended February 28, 1995, the Fund received $1,129,714 in purchase premiums. There is no premium for cash redemptions, reinvested distributions or in-kind transactions.
INVESTMENT RISK
There are certain additional risks involved in investing in foreign securities that are not inherent in investments in domestic securities. These risks may involve adverse political and economic developments and the possible imposition of currency exchange blockages or other foreign governmental laws or restrictions. In addition, the securities of some foreign companies and securities markets are less liquid and at times more volatile than securities of comparable U.S. companies and U.S. securities markets.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the "Manager"), for management and investment advisory services is paid monthly at the annual rate of .50% of average daily net assets. The Manager has agreed to waive a portion of its fee and bear other expenses until further notice to the extent that the Fund's annual expenses exceed .50% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee during the period ended February 28, 1995, was $378. No remuneration is paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of securities, excluding short-term investments and U.S. Government obligations during the period ended February 28, 1995 aggregated $341,480,895 and $88,789,320, respectively. Cost of purchases and proceeds from sales of U.S. Government obligations during the period aggregated $17,958,559 and $9,992,597, respectively.
4. PRINCIPAL SHAREHOLDERS
At February 28, 1995, 43% of the outstanding shares of the Fund were held by two shareholders, each holding in excess of 10% of the Fund's outstanding shares.
5. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value). Transactions in Fund shares were as follows:
Period from April 19, 1994
(commencement of operations)
to February 28, 1995
Shares sold 28,628,219
Shares issued to shareholders in
reinvestment of distributions 549,064
Shares repurchased (152,494)
Net increase 29,024,789
Fund shares:
Beginning of period --
End of period 29,024,789
|
6. FINANCIAL INSTRUMENTS
A summary of outstanding financial instruments at February 28, 1995 is as follows:
FORWARD CURRENCY CONTRACTS
Units In Exchange for Net Unrealized
Settlement Date Deliver/Receive of Currency (in U.S. Dollars) Depreciation
Purchases
3/2/95 Brazilian Real 8,800,000 $ 10,377,359 $ (28,476)
Sales
3/2/95 Brazilian Real 8,800,000 10,000,000 $ (348,882)
4/28/95 French Francs 95,000,000 18,102,134 (348,128)
$ (697,010)
|
FUTURES CONTRACTS
Number of Net Unrealized
Contracts Type Expiration Date Contract Value Depreciation
Sales
50 Euro Dollar June 1995 $ 11,686,250 $ (120,375)
40 German Deutsche Mark June 1995 3,423,501 (235,800)
100 MATIF June 1995 10,658,381 (135,693)
50 U.S. Treasury Bond March 1995 5,198,438 (387,875)
$ (879,743)
|
At February 28, 1995, the Fund has cash and/or securities to cover any margin requirements on open futures contracts.
WRITTEN PUT OPTION TRANSACTIONS
Number of
Contracts Premiums
Outstanding, beginning of period -- $ --
Options written 3 249,273
Options exercised (1) (42,500)
Outstanding, end of period 2 $ 206,773
|
SUMMARY OF WRITTEN PUT OPTIONS OUTSTANDING
Principal Amount
of Contracts Expiration
(000's omitted) Exercise Price Date Value
Republic of Brazil
Capitalization Bond Put $10,000 $49.94 5/10/95 $ 711,000
|
* * *
GMO EMERGING COUNTRY DEBT FUND
(A SERIES OF GMO TRUST)
FEDERAL INCOME TAX INFORMATION ON DISTRIBUTIONS (UNAUDITED)
For the fiscal year ended February 28, 1995, all of the Fund's distributions are from investment company taxable income, except that the Fund has designated 1.78% of distributions as net capital gain dividends.
GMO CORE FUND
(A SERIES OF GMO TRUST)
SEMI-ANNUAL REPORT
AUGUST 31, 1995
GMO CORE FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
AUGUST 31, 1995 (UNAUDITED)
SHARES DESCRIPTION VALUE ($)
STOCK - 95.7%
AEROSPACE - 3.1%
577,201 Lockheed Martin 35,137,111
673,150 Raytheon Co 54,441,006
89,578,117
AUTOMOTIVE - 0.1%
48,800 Bandag Inc 2,897,500
BANKING AND FINANCIAL SERVICES - 6.5%
7,000 Bancorp Hawaii Inc 234,500
244,685 Bear Stearns Cos Inc 5,046,618
153,200 Beneficial Corp 7,525,950
6,600 California Federal Bank 103,125
660 California Federal Bank Goodwill Certificate * 4,373
41,153 Charles Schwab & Co * 1,913,615
86,500 Chase Manhattan Corp 4,973,750
228,100 Chemical Banking Corp 13,286,825
666,100 Citicorp 44,212,388
563,671 Dean Witter Discover and Co 28,747,221
151,955 Edwards (A G) Inc 3,703,903
25,000 First Bank of America Corp 1,106,250
71,800 First Chicago Corp 4,550,325
1,100 Glendale Federal Bank * 17,325
307,300 Household International Inc (a) 17,247,213
301,200 Morgan Stanley Group Inc 26,166,750
185,600 Student Loan Marketing Association 10,045,600
385,500 Travelers Inc 18,504,000
187,389,731
COMPUTER AND OFFICE EQUIPMENT - 2.6%
973,000 Micron Technology (a) 74,799,375
COMPUTERS - 0.4%
283,300 Silicon Graphics * (a) 11,969,425
CONSTRUCTION - 0.1%
19,800 Vulcan Materials Inc 1,041,975
56,300 York International Corp 2,505,350
3,547,325
CONSUMER GOODS - 3.5%
325,400 Black and Decker Corp 10,534,825
77,500 Clorox Co 5,240,938
729,100 Eastman Kodak Co 42,014,388
145,900 International Flavors & Fragrances 6,984,963
234,900 Liz Claiborne 5,343,975
58,700 National Service Industries 1,702,300
97,500 Nike Inc Class B (a) 9,030,938
171,400 Polaroid Corp 7,477,325
700 Premark International Inc 36,663
126,900 Reebok International Ltd (a) 4,504,950
171,700 VF Corp 9,400,575
102,271,840
FOOD AND BEVERAGE - 12.7%
614,300 Anheuser-Busch Cos Inc 35,091,888
808,900 Archer Daniels Midland Co 13,447,963
151,600 Brown Forman Corp Class B 5,609,200
1,767,700 Coca-Cola Co 113,574,725
602,200 ConAgra Inc 22,808,295
206,200 CPC International Inc 12,964,825
113,950 Dean Foods Co 3,019,675
437,500 General Mills Co 22,585,938
617,600 Heinz (H J) Co (a) 26,170,800
42,000 Hershey Foods Corp (a) 2,514,750
90,700 Hormel (Geo A) and Co 2,176,800
95,800 IBP Inc 4,718,150
305,500 Kellogg Co 20,621,250
356,900 Pepsico Inc 16,149,725
676,300 Sara Lee Corp 18,767,325
54,200 Tyson Food Inc Class A 1,395,650
301,400 Unilever ADR 37,260,575
82,700 Universal Foods Corp 2,625,725
252,600 Whitman Corp 5,083,575
366,586,834
HEALTH CARE - 4.0%
5,400 Bausch & Lomb Inc 214,650
524,200 Johnson & Johnson 36,169,800
422,500 Medtronic Inc 39,873,438
89,800 Rhone Poulenc Rorer Inc 3,973,650
31,100 Tambrands Inc 1,395,613
520,250 Tenet Healthcare Corp * 8,258,969
485,400 Upjohn Co 20,568,825
136,600 Wellpoint Health Networks Class A * 4,063,850
114,518,795
INSURANCE - 5.9%
286,600 Aetna Life and Casualty Co 19,560,450
230,900 AFLAC Corp 9,438,038
35,400 Allmerica Property and Casualty 854,025
430,200 Allstate Corp 14,573,025
94,400 AMBAC Inc 3,988,400
461,900 American General Corp 16,281,975
205,850 AON Corp 8,028,150
55,600 Chubb Corp 5,073,500
154,200 Cigna Corp 14,918,850
15,300 CNA Financial Corp * 1,466,888
25,300 Geico Corp 1,726,725
19,900 Jefferson Pilot Corp 1,251,213
112,800 Loews Corp 14,819,100
10,000 Marsh & McLennan Cos Inc 823,750
62,000 MBIA Inc 4,216,000
31,800 MGIC Investment (a) 1,780,800
118,000 Old Republic International Corp (a) 3,259,750
90,100 Provident Life and Accident Insurance Co Class B 2,353,863
137,900 Providian Corp 5,291,913
45,200 Safeco Corp (a) 2,921,050
307,100 St Paul Cos (a) 16,660,175
220,250 Torchmark Corp (a) 8,810,000
133,509 Transamerica Corp 9,078,612
11,700 Transatlantic Holdings Inc 819,000
90,500 Twentieth Century Industries * 1,425,375
169,420,627
MACHINERY - 0.8%
112,100 Dover Corp 8,939,975
77,200 FMC Corp * (a) 5,944,400
227,300 Harnischfeger Industries 8,353,275
23,237,650
MANUFACTURING - 6.9%
1,510,027 Boeing Co 96,264,221
123,400 Crown Cork & Seal Inc * (a) 5,553,000
125,600 Danaher Corp 4,144,800
735,944 International Business Machines Corp 76,078,211
352,100 Pall Corp (a) 7,702,188
171,500 Tenneco Inc 8,317,750
7,100 Textron Inc 486,350
198,546,520
OIL AND GAS - 5.4%
280,700 Amoco Corp 17,894,625
56,800 Atlantic Richfield Co 6,198,300
70,500 Cabot Corp 3,392,813
192,622 Chevron Corp 9,318,089
22,500 Columbia Gas Systems * 793,125
27,709 El Paso Natural Gas Co 779,316
730,700 Exxon Corp 50,235,625
3,400 FINA Inc Class A 157,250
213,300 Mobil Corp 20,316,825
7,200 Murphy Oil Corp 291,600
32,100 National Fuel Gas 902,813
82,800 Nicor Inc 2,121,750
29,300 Occidental Petroleum Corp 637,275
100 Pennzoil Co 4,400
43,300 Peoples Energy Corp 1,179,925
200,500 Royal Dutch Petroleum Co ADR (a) 23,909,625
99,200 Texaco Inc 6,423,200
331,100 Williams Companies Inc (a) 12,126,538
156,683,094
PAPER AND ALLIED PRODUCTS - 0.2%
72,200 Consolidated Papers Inc 4,368,100
44,000 Glatfelter (PH) Co (a) 990,000
5,358,100
PHARMACEUTICALS - 12.1%
658,500 Abbott Laboratories 25,516,875
525,320 American Home Products Corp 40,449,640
738,100 Amgen Inc * 35,336,538
1,100,100 Bristol-Myers Squibb Co 75,494,363
780,500 Lilly (Eli) & Co 63,903,438
1,036,200 Merck & Co Inc 51,680,475
148,050 Mylan Laboratories (a) 3,386,644
1,052,800 Pfizer Inc 51,982,000
46,900 Schering-Plough Corp (a) 2,186,713
40,200 Warner Lambert Co 3,633,075
353,569,761
PRINTING AND PUBLISHING - 0.8%
202,500 Dun and Bradstreet Corp 11,719,688
51,400 McGraw Hill Inc 4,047,750
172,500 Readers Digest Association Inc (a) 7,978,125
23,745,563
REFINING - 0.3%
286,100 Ashland Inc (a) 9,369,775
RETAIL TRADE - 1.9%
299,900 American Stores Co 8,809,563
159,100 Circuit City Stores Inc 5,488,950
52,300 Fruit of the Loom Inc * 1,229,050
349,800 Melville Corp 11,674,575
417,300 Rite Aid Corp (a) 11,684,400
396,600 Walgreen Co 9,716,700
34,700 Weismarkets Inc 980,275
70,500 Winn Dixie 4,194,750
53,778,263
SERVICES - 1.2%
35,300 BHC Communications Inc Class A * 3,203,475
117,300 Capital Cities/ABC Inc 13,489,500
56,400 Fleming Cos 1,642,650
173,600 Gannett Co Inc 9,287,600
11,600 Kingworld Productions Inc * 440,800
39,900 Manpower Inc (a) 1,147,125
63,200 Omnicom Group 3,965,800
68,600 Supervalu Inc (a) 2,032,275
35,209,225
TECHNOLOGY - 9.2%
552,800 3Com Corp * (a) 21,559,200
450,400 Apple Computer 19,367,200
75,400 Avery Dennison Corp 3,091,400
303,300 Cisco Systems Inc * 19,904,063
355,200 Digital Equipment Corp * 14,829,600
1,106,800 Hewlett-Packard Inc 88,544,000
464,900 LSI Logic Corp * (a) 22,896,325
456,200 Microsoft Corp * 42,198,500
504,300 Novell Inc * 9,077,400
319,900 Sun Microsystems Inc * (a) 18,514,213
190,500 Vishay Intertechnology Inc * 7,715,250
267,697,151
TELECOMMUNICATIONS - 3.5%
64,100 Alltel Corp 1,810,825
533,100 AT & T Corp 30,120,150
149,800 Bell Atlantic Corp 8,950,550
168,600 Bellsouth Corp 11,591,250
99,600 Cincinnati Bell Inc * 2,714,100
55,000 Frontier Corp 1,533,125
325,900 GTE Corp 11,936,088
144,900 Nynex Corp 6,520,500
145,600 Pacific Telesis Group 4,131,400
203,700 SBC Communications 10,312,313
118,400 Sprint Corp 4,203,200
161,200 US West Inc 7,012,200
100,835,701
TOBACCO - 2.1%
805,800 Philip Morris Cos Inc 60,132,825
UTILITIES - 12.4%
324,800 AES Corp * 6,008,800
442,600 Allegheny Power System Inc (a) 10,788,375
525,800 American Electric Power Inc 17,942,925
187,000 Ameritech Corp 9,583,750
14,100 Atlanta Gas Light (a) 519,938
357,350 Baltimore Gas and Electric Co 9,380,438
80,200 Brooklyn Union Gas Co 2,015,025
17,900 California Energy Co Inc * 373,663
78,300 Carolina Power and Light Co 2,397,938
148,488 Centerior Energy Corp 1,596,246
499,400 Central & South West Corp 12,235,300
454,000 Cinergy Corp 11,633,750
56,300 Cipsco Inc 1,850,863
165,100 CMS Energy Corp (a) 4,065,588
236,800 Consolidated Edison 6,689,600
22,500 Delmarva Power and Light Co (a) 489,375
34,500 Destec Energy Inc * 547,688
431,474 Detroit Edison Co 13,213,891
254,600 Dominion Resources Inc 9,197,425
380,950 DPL Inc 8,476,138
127,200 DQE (a) 3,036,900
439,300 Duke Power Co 17,846,563
207,944 Entergy Corp 4,990,656
194,200 Florida Progress Corp 5,898,825
246,500 FPL Group Inc 9,582,688
158,100 General Public Utilities 4,525,613
36,300 Hawaiian Electric Industry Inc 1,311,338
28,800 Houston Industries Inc 1,220,400
92,800 Idaho Power Co 2,447,600
28,600 IES Industries 722,150
85,100 Illinova Corp 2,138,138
38,300 Ipalco Enterprises Inc (a) 1,326,138
113,000 Kansas City Power and Light Co (a) 2,528,375
30,800 Ku Energy Corp 839,300
38,600 LG&E Energy Corp 1,495,750
127,000 MCN Corp 2,365,375
103,000 Midamerican Energy Co 1,467,750
8,900 Minnesota Power & Light Co 239,188
156,200 Montana Power Co 3,436,400
99,800 Nevada Power Co 2,033,425
88,800 New England Electric System (a) 3,108,000
55,300 New York State Electric and Gas Corp 1,334,113
136,900 Nipsco Industries Inc 4,483,475
186,400 Northern States Power Co 7,945,300
108,000 Oklahoma Gas and Electric Co (a) 3,820,500
372,400 Pacific Enterprises 8,937,600
14,600 Pacific Gas and Electric Co 419,750
1,130,100 PacifiCorp (a) 20,483,063
564,300 Panhandle Eastern Corp 14,107,500
21,500 Portland General Electric Co (a) 516,000
566,300 Potomac Electric Power Co (a) 12,104,663
189,500 PP&L Resources Inc (a) 4,145,313
288,700 Public Service of Colorado (a) 9,346,663
126,700 Puget Sound Power and Light Co 2,739,888
115,200 Scana Corp (a) 2,678,400
1,549,300 Southern Co (a) 32,728,963
57,700 Southwesten Public Service Co (a) 1,731,000
291,300 Teco Energy (a) 6,299,363
37,900 UGI Corp (a) 810,113
150,900 Union Electric Co (a) 5,375,813
53,800 Utilicorp United Inc 1,459,325
24,300 Washington Gas Light 464,738
162,300 Washington Water Power (a) 2,515,650
92,400 Western Resources Inc 2,795,100
384,500 Wisconsin Energy Corp (a) 10,333,438
24,300 Wisconsin Power & Light Holding Co 692,550
12,000 WPS Resources Corp 346,500
360,182,069
TOTAL STOCK (COST $2,247,456,323) 2,771,325,266
PAR VALUE SHORT-TERM INVESTMENTS - 10.0%
REPURCHASE AGREEMENT - 4.3%
$ 125,717,228 Salomon Brothers Repurchase Agreement, dated 8/31/95,
due 9/1/95, with a maturity value of $125,735,737 and an
effective yield of 5.30%, collateralized by U.S. Treasury
Obligations with rates ranging from 6.25% to 6.50%, with
maturity dates ranging from 4/30/97 to 8/15/23 and with an
aggregate market value of $128,432,544. 125,717,228
U.S. GOVERNMENT - 0.1%
4,000,000 U.S. Treasury Bill, 5.29% due 11/30/95 (b) 3,947,196
CASH EQUIVALENTS - 5.6%
78,247,610 Bank of Boston Time Deposit, 5.95% due 9/1/95 78,247,610
14,427,289 Dreyfus Cash Management Money Market Fund Plus, A Shares 14,427,289
12,967,412 Fleet Bank of Massachusetts Time Deposit, 5.95% due 9/1/95 12,967,412
3,420,017 Lehman Prime Value Money Market Fund 3,420,017
37,361,412 National Westminster Time Deposit, 5.95% due 9/1/95 37,361,412
14,000,000 Prudential Securities Group, Inc. Master Note, 5.95% due 9/1/95 14,000,000
160,423,740
TOTAL SHORT-TERM INVESTMENTS (Cost $290,088,018) 290,088,164
TOTAL INVESTMENTS - 105.7%
(Cost $2,537,544,341) * * 3,061,413,430
Other Assets and Liabilities (net) - (5.7%) (166,289,752)
TOTAL NET ASSETS - 100.0% $ 2,895,123,678
NOTES TO THE SCHEDULE OF INVESTMENTS:
ADR American Depositary Receipt
(a) All or a portion of this security is on loan.
(b) This security is held as collateral for open futures contracts.
* Non-income producing security.
* * The aggregate identified cost for federal income tax purposes is $2,537,544,341,
resulting in gross unrealized appreciation and depreciation of $531,834,516
and $7,965,427, respectively, and net unrealized appreciation of $523,869,089.
|
See accompanying notes to the financial statements.
GMO CORE FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - AUGUST 31, 1995 (UNAUDITED)
ASSETS:
Investments, at value (cost $2,247,456,323) (Note 1) $ 2,771,325,266
Short-term investments, at value (cost $290,088,018) (Note 1) 290,088,164
Receivable for investments sold 13,813,501
Receivable for variation margin on open futures contracts 221,759
Receivable for Fund shares sold 2,435
Dividends and interest receivable 8,505,487
Receivable for expenses waived or borne by Manager (Note 2) 167,295
Total assets 3,084,123,907
LIABILITIES:
Payable for investments purchased 26,861,443
Payable upon return of securities loaned (Note 1) 160,409,759
Payable for Fund shares repurchased 345,555
Payable to affiliate for management fee (Note 2) 1,243,035
Accrued expenses 140,437
Total liabilities 189,000,229
NET ASSETS (equivalent to $18.25 per share based on 158,659,078
shares outstanding, unlimited shares authorized) $ 2,895,123,678
NET ASSETS CONSIST OF:
Paid-in capital $ 2,238,124,306
Accumulated undistributed net investment income 14,661,757
Accumulated undistributed net realized gain 118,288,630
Net unrealized appreciation 524,048,985
NET ASSETS $ 2,895,123,678
|
See accompanying notes to the financial statements.
GMO CORE FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - SIX MONTHS ENDED AUGUST 31, 1995 (UNAUDITED)
INVESTMENT INCOME:
Dividends (net of withholding taxes of $224,402) $ 35,184,953
Interest (including securities lending income of $97,377) 3,118,522
Total income 38,303,475
EXPENSES:
Management fee (Note 2) 6,884,621
Custodian and transfer agent fees 204,230
Legal fees 50,987
Audit fees 31,033
Insurance 12,690
Registration fees 12,294
Trustee fee (Note 2) 4,799
Miscellaneous 1,176
Total expenses 7,201,830
Less: expenses waived or borne by Manager (Note 2) (907,319)
Net expenses 6,294,511
Net investment income 32,008,964
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments 120,105,827
Closed futures contracts 7,978,785
Closed swap contracts (712,309)
Net realized gain 127,372,303
Change in net unrealized appreciation (depreciation) on:
Investments 307,360,359
Open futures contracts (151,444)
Net unrealized gain 307,208,915
Net realized and unrealized gain 434,581,218
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 466,590,182
|
See accompanying notes to the financial statements.
GMO CORE FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED
(UNAUDITED) FEBRUARY 28, 1995
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 32,008,964 $ 53,659,297
Net realized gain 127,372,303 120,519,094
Change in net unrealized appreciation (depreciation) 307,208,915 (23,956,664)
Net increase in net assets resulting from operations 466,590,182 150,221,727
Distributions to shareholders from:
Net investment income (27,339,592) (50,303,126)
Net realized gains (7,361,868) (137,451,908)
(34,701,460) (187,755,034)
Fund share transactions: (Note 4)
Proceeds from sale of shares 256,424,957 637,535,879
Net asset value of shares issued to shareholders
in payment of distributions declared 24,203,479 166,089,524
Cost of shares repurchased (126,641,418) (398,849,571)
Net increase in net assets resulting
from Fund share transactions 153,987,018 404,775,832
Total increase in net assets 585,875,740 367,242,525
NET ASSETS:
Beginning of period 2,309,247,938 1,942,005,413
End of period (including accumulated undistributed
net investment income of $14,661,757 and
$9,992,385, respectively) $ 2,895,123,678 $ 2,309,247,938
|
See accompanying notes to the financial statements.
GMO CORE FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED FEBRUARY 28/29,
(UNAUDITED) 1995 1994 1993 1992 1991(B)
NET ASSET VALUE, BEGINNING OF PERIOD $ 15.45 $ 15.78 $ 15.73 $ 15.96 $ 15.13 $ 13.90
Income from investment operations:
Net investment income (a) 0.21 0.41 0.42 0.45 0.43 0.43
Net realized and unrealized gain 2.82 0.66 1.59 1.13 1.55 1.74
Total from investment operations 3.03 1.07 2.01 1.58 1.98 2.17
Less distributions to shareholders:
From net investment income (0.18) (0.39) (0.43) (0.46) (0.42) (0.51)
From net realized gains (0.05) (1.01) (1.53) (1.35) (0.73) (0.43)
Total distributions (0.23) (1.40) (1.96) (1.81) (1.15) (0.94)
NET ASSET VALUE, END OF PERIOD $ 18.25 $ 15.45 $ 15.78 $ 15.73 $ 15.96 $ 15.13
TOTAL RETURN (C) 19.73% 7.45% 13.36% 10.57% 13.62% 16.52%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 2,895,124 $ 2,309,248 $ 1,942,005 $ 1,892,955 $ 2,520,710 $ 1,613,945
Net expenses to average
daily net assets (a) 0.48%* 0.48% 0.48% 0.49% 0.50% 0.50%
Net investment income to average
daily net assets (a) 2.44%* 2.63% 2.56% 2.79% 2.90% 3.37%
Portfolio turnover rate 37% 99% 40% 54% 39% 55%
* Annualized
(a) Net of fees and expenses voluntarily waived or borne by the Manager of the following
per share amounts: $ 0.01 0.01 $ 0.01 $ 0.01 0.01 0.01
(b) The per share amounts and the number of shares outstanding have been restated to reflect
a ten for one stock split effective December 31, 1990.
(c) Calculation excludes subscription fees. The total returns would have been lower had certain
expenses not been waived during the periods shown.
|
See accompanying notes to the financial statements.
GMO CORE FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
AUGUST 31, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO Core Fund (the "Fund") is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, diversified management investment company. The Trust was established as a Massachusetts Business Trust under the laws of the Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees to create an unlimited number of series ("Funds"), each of which issues a separate series of shares. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market quotations are available are valued at the last quoted sale price on each business day, or if there is no such reported sale, at the most recent quoted bid price. Unlisted securities for which market quotations are readily available are valued at the most recent quoted bid price. Short-term investments with a remaining maturity of sixty days or less are valued at amortized cost which approximates market value. Other assets and securities for which no quotations are readily available are valued at fair value as determined in good faith by the Trustees.
FUTURES CONTRACTS
The Fund may purchase futures contracts on the S&P 500 index. Stock index futures contracts represent commitments for future delivery of cash based upon the level of a specified index of equity securities at a given date. The Fund may use futures contracts to manage its exposure to the stock markets. Buying futures tends to increase the Fund's exposure to the underlying instrument. Selling futures tends to decrease the Fund's exposure to the underlying instrument or hedge other Fund instruments. Upon purchase of a futures contract, the Fund is required to deposit with its custodian, in a segregated account in the name of the futures broker, an amount of cash or U.S. government obligations in accordance with the initial margin requirements of the broker. Futures contracts are marked to market daily and an appropriate payable or receivable for the change in value ("variation margin") is recorded by the Fund. The payable or receivable is liquidated on the following business day. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Losses may arise from the changes in the value of the underlying instrument, if there is an illiquid secondary market for the contracts, or if counterparties do not perform under the contract terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. See Note 5 for all open futures contracts held as of August 31, 1995.
REPURCHASE AGREEMENTS
The Fund may enter into repurchase agreements with certain banks and broker/dealers whereby the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets remains sufficient to protect the Fund in the event of default by the seller. In connection with transactions in repurchase agreements, if the seller defaults and the value of the collateral declines or if the seller enters insolvency proceedings, realization of collateral by the Fund may be delayed or limited.
SECURITY LENDING
The Fund may lend its securities to certain member firms of the New York Stock Exchange. The loans are collateralized at all times with cash or securities with a market value at least equal to the market value of the securities on loan. As with other extensions of credit, the Fund may bear the risk of delay in recovery or even loss of rights in the collateral should the borrower of the securities fail financially. The Fund receives compensation for lending its securities. At August 31, 1995, the Fund loaned securities having a market value of $157,629,465, collateralized by cash in the amount of $160,423,740, which was invested in short-term instruments.
SWAP AGREEMENTS
The Fund may invest in swap agreements. A swap is an agreement to exchange the return generated by one instrument for the return generated by another instrument. The Fund enters into equity swap agreements which involve a commitment by one party in the agreement to pay interest in exchange for a market linked return based on a notional amount. To the extent that the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty, respectively. Equity swaps are marked to market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss in the Statement of Operations. Payments received or made at the end of the measurement period are recorded as realized gain or loss in the Statement of Operations. Entering into these agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that there is no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform, or that there may be unfavorable changes in the price of the security or index underlying these transactions. At August 31, 1995, there were no outstanding swap agreements.
TAXES
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. It is the policy of the Fund to distribute all of its taxable income, including any net realized gain on investments not offset by loss carryovers, to shareholders within the prescribed time periods. Therefore, no provision for federal income or excise tax is necessary. Taxes on foreign dividend income have been withheld in accordance with the applicable country's tax treaty with the United States.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment income and net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryover for federal income tax purposes. The Fund's present policy is to declare and pay distributions from net investment income quarterly, and net realized short-term and long-term capital gains at least annually. All distributions will be paid in shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions.
Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences are primarily due to differing treatments for partnership interests.
Distributions in excess of tax basis earnings and profits will be reported in the Fund's financial statements as a return of capital. Furthermore, differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary over-distributions for financial statement purposes are classified as distributions in excess of net investment income or accumulated net realized gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an individual Fund. Expenses which are not readily identifiable to a specific Fund are allocated in such manner as deemed equitable by the Trustees, taking into consideration, among other things, the nature and type of expense and the relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is .17 % of the amount invested. The Manager may waive such premium to the extent that a transaction results in minimal brokerage and transaction costs to the Fund. All purchase premiums are paid to and recorded as paid-in capital by the Fund. For the six months ended August 31, 1995, the Fund received $351,591 in purchase premiums. There is no premium for cash redemptions, reinvested distributions or in-kind transactions.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the "Manager") for management and investment advisory services is paid monthly at the annual rate of .525% of average daily net assets. The Manager has agreed to waive a portion of its fee and bear other expenses until further notice to the extent that the Fund's annual expenses (including the management fee but excluding brokerage commissions and transfer taxes) exceed .48% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee during the six months ended August 31, 1995, was $4,799. No remuneration is paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the six months ended August 31, 1995, aggregated $1,050,223,485 and $924,302,681, respectively.
4. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number of
shares of beneficial interest (without par value). Transactions in Fund
shares were as follows:
Six Months Ended
August 31, 1995 Year Ended
(Unaudited) February 28, 1995
Shares sold 15,074,172 41,333,390
Shares issued to shareholders in reinvestment
of distributions 1,436,312 11,326,288
Shares repurchased (7,360,742) (26,231,509)
Net increase 9,149,742 26,428,169
Fund shares:
Beginning of period 149,509,336 123,081,167
End of period 158,659,078 149,509,336
|
5. FINANCIAL INSTRUMENTS A summary of outstanding futures contracts at August 31, 1995, is as follows:
Number of Net Unrealized Contracts Type Expiration Date Contract Value Appreciation 263 S & P 500 September 1995 $ 74,014,775 $ 179,896 |
At August 31, 1995, the Fund has sufficient cash and/or securities to cover any commitments or margin on these contracts.
GMO TOBACCO-FREE CORE FUND
(A SERIES OF GMO TRUST)
SEMI-ANNUAL REPORT
AUGUST 31, 1995
GMO TOBACCO-FREE CORE FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
AUGUST 31, 1995 (UNAUDITED)
SHARES DESCRIPTION VALUE ($)
STOCK - 96.1%
AEROSPACE - 3.2%
11,462 Lockheed Martin 697,749
13,300 Raytheon Co 1,075,638
1,773,387
AUTOMOTIVE - 0.1%
1,000 Bandag Inc 59,375
BANKING AND FINANCIAL SERVICES - 6.8%
100 Bancorp Hawaii Inc 3,350
5,040 Bear Stearns Cos Inc 103,950
3,000 Beneficial Corp 147,375
797 Charles Schwab & Co * 37,061
1,900 Chase Manhattan Corp 109,250
4,600 Chemical Banking Corp 267,950
13,200 Citicorp 876,150
11,300 Dean Witter Discover and Co 576,300
3,200 Edwards (A G) Inc 78,000
700 First Bank of America Corp 30,975
1,500 First Chicago Corp 95,063
6,100 Household International Inc 342,363
6,000 Morgan Stanley Group Inc 521,250
3,700 Student Loan Marketing Association 200,263
7,600 Travelers Inc 364,800
3,754,100
COMPUTER AND OFFICE EQUIPMENT - 2.7%
19,500 Micron Technology 1,499,063
COMPUTERS - 0.4%
5,500 Silicon Graphics * 232,375
CONSTRUCTION - 0.1%
500 Vulcan Materials Inc 26,313
1,100 York International Corp 48,950
75,263
CONSUMER GOODS - 3.7%
6,300 Black and Decker Corp 203,963
1,600 Clorox Co 108,200
14,400 Eastman Kodak Co 829,800
2,900 International Flavors & Fragrances 138,838
4,600 Liz Claiborne 104,650
1,500 National Service Industries 43,500
2,000 Nike Inc Class B 185,250
3,300 Polaroid Corp 143,963
2,400 Reebok International Ltd 85,200
3,300 VF Corp 180,675
2,024,039
FOOD AND BEVERAGE - 13.1%
12,300 Anheuser-Busch Cos Inc 702,638
15,795 Archer Daniels Midland Co 262,592
2,900 Brown Forman Corp Class B 107,300
35,000 Coca-Cola Co 2,248,750
11,900 ConAgra Inc 450,713
4,000 CPC International Inc 251,500
2,400 Dean Foods Co 63,600
8,600 General Mills Co 443,975
12,400 Heinz (H J) Co 525,450
900 Hershey Foods Corp 53,888
1,800 Hormel (Geo A) and Co 43,200
2,000 IBP Inc 98,500
5,900 Kellogg Co 398,250
7,100 Pepsico Inc 321,275
13,500 Sara Lee Corp 374,625
1,200 Tyson Food Inc Class A 30,900
6,000 Unilever ADR 741,719
1,600 Universal Foods Corp 50,800
5,400 Whitman Corp 108,675
7,278,350
HEALTH CARE - 4.1%
10,400 Johnson & Johnson 717,600
8,400 Medtronic Inc 792,750
1,700 Rhone Poulenc Rorer Inc (a) 75,225
600 Tambrands Inc 26,925
9,900 Tenet Healthcare Corp * 157,163
9,700 Upjohn Co 411,038
2,900 Wellpoint Health Networks Class A * 86,275
2,266,976
INSURANCE - 5.4%
5,700 Aetna Life and Casualty Co 389,025
4,400 AFLAC Corp 179,850
900 Allmerica Property and Casualty 21,713
8,300 Allstate Corp 281,163
2,000 AMBAC Inc 84,500
9,100 American General Corp 320,775
4,000 AON Corp 156,000
1,000 Chubb Corp 91,250
3,000 Cigna Corp 290,250
300 CNA Financial Corp * 28,763
500 Geico Corp 34,125
400 Jefferson Pilot Corp 25,150
200 Marsh & McLennan Cos Inc 16,475
1,200 MBIA Inc 81,600
600 MGIC Investment (a) 33,600
2,200 Old Republic International Corp 60,775
1,700 Provident Life and Accident Insurance Co Class B 44,413
2,700 Providian Corp 103,613
1,000 Safeco Corp (a) 64,625
5,900 St Paul Cos 320,075
4,200 Torchmark Corp (a) 168,000
2,500 Transamerica Corp 170,000
200 Transatlantic Holdings Inc 14,000
2,100 Twentieth Century Industries * 33,075
3,012,815
MACHINERY - 0.8%
2,100 Dover Corp 167,475
1,500 FMC Corp * (a) 115,500
4,500 Harnischfeger Industries 165,375
448,350
MANUFACTURING - 7.2%
30,200 Boeing Co 1,925,250
2,400 Crown Cork & Seal Inc * (a) 108,000
2,400 Danaher Corp 79,200
14,900 International Business Machines Corp 1,540,288
7,000 Pall Corp 153,125
3,200 Tenneco Inc 155,200
100 Textron Inc 6,850
3,967,913
OIL AND GAS - 5.6%
5,600 Amoco Corp 357,000
1,100 Atlantic Richfield Co 120,038
1,300 Cabot Corp 62,563
3,700 Chevron Corp 178,988
500 Columbia Gas Systems * 17,625
500 El Paso Natural Gas Co 14,063
14,500 Exxon Corp 996,875
4,300 Mobil Corp 409,575
200 Murphy Oil Corp 8,100
500 National Fuel Gas 14,063
1,700 Nicor Inc 43,563
600 Occidental Petroleum Corp 13,050
200 Pennzoil Co 8,800
700 Peoples Energy Corp 19,075
4,000 Royal Dutch Petroleum Co ADR (a) 477,000
1,900 Texaco Inc 123,025
6,650 Williams Companies Inc (a) 243,556
3,106,959
PAPER AND ALLIED PRODUCTS - 0.2%
1,500 Consolidated Papers Inc 90,750
1,000 Glatfelter (PH) Co 22,500
113,250
PHARMACEUTICALS - 12.7%
13,200 Abbott Laboratories 511,500
10,400 American Home Products Corp 800,800
14,802 Amgen Inc * 708,646
22,000 Bristol-Myers Squibb Co 1,509,750
15,600 Lilly (Eli) & Co 1,277,250
20,500 Merck & Co Inc 1,022,438
3,150 Mylan Laboratories (a) 72,056
21,100 Pfizer Inc 1,041,813
900 Schering-Plough Corp (a) 41,963
800 Warner Lambert Co 72,300
7,058,516
PRINTING AND PUBLISHING - 0.6%
3,900 Dun and Bradstreet Corp 225,713
1,100 McGraw Hill Inc 86,625
312,338
REFINING - 0.3%
5,500 Ashland Inc 180,125
Retail Trade - 1.9%
5,800 American Stores Co 170,375
2,900 Circuit City Stores Inc 100,050
700 Fruit of the Loom Inc * 16,450
6,700 Melville Corp 223,613
8,400 Rite Aid Corp 235,200
7,600 Walgreen Co 186,200
600 Weismarkets Inc 16,950
1,400 Winn Dixie 83,300
1,032,138
SERVICES - 1.3%
700 BHC Communications Inc Class A * 63,525
2,300 Capital Cities/ABC Inc 264,500
1,400 Fleming Cos 40,775
3,400 Gannett Co Inc 181,900
300 Kingworld Productions Inc * 11,400
800 Manpower Inc (a) 23,000
1,200 Omnicom Group 75,300
1,100 Supervalu Inc 32,588
692,988
TECHNOLOGY - 9.6%
11,000 3Com Corp * 429,000
8,900 Apple Computer 382,700
1,500 Avery Dennison Corp 61,500
6,000 Cisco Systems Inc * 393,750
7,100 Digital Equipment Corp * 296,425
21,900 Hewlett-Packard Inc 1,752,000
9,300 LSI Logic Corp * (a) 458,025
9,000 Microsoft Corp * 832,500
10,000 Novell Inc * 180,000
6,300 Sun Microsystems Inc * 364,613
3,600 Vishay Intertechnology Inc * 145,800
5,296,313
TELECOMMUNICATIONS - 3.6%
1,400 Alltel Corp 39,550
10,700 AT & T Corp 604,550
2,900 Bell Atlantic Corp 173,275
3,300 Bellsouth Corp 226,875
2,000 Cincinnati Bell Inc 54,500
1,000 Frontier Corp 27,875
6,300 GTE Corp 230,738
2,800 Nynex Corp 126,000
3,100 Pacific Telesis Group 87,963
3,900 SBC Communications 197,438
2,500 Sprint Corp 88,750
3,100 US West Inc 134,850
1,992,364
UTILITIES - 12.7%
6,100 AES Corp * 112,850
8,700 Allegheny Power System Inc 212,063
10,300 American Electric Power Inc 351,488
3,600 Ameritech Corp 184,500
300 Atlanta Gas Light (a) 11,063
7,100 Baltimore Gas and Electric Co 186,375
1,500 Brooklyn Union Gas Co 37,688
1,600 Carolina Power and Light Co 49,000
2,900 Centerior Energy Corp 31,175
9,900 Central & South West Corp 242,550
8,900 Cinergy Corp 228,063
1,000 Cipsco Inc 32,875
3,300 CMS Energy Corp 81,263
5,000 Consolidated Edison 141,250
700 Destec Energy Inc * 11,113
8,300 Detroit Edison Co 254,188
5,000 Dominion Resources Inc 180,625
7,500 DPL Inc 166,875
2,500 DQE 59,688
8,800 Duke Power Co 357,500
4,100 Entergy Corp 98,400
3,900 Florida Progress Corp 118,463
5,000 FPL Group Inc 194,375
3,100 General Public Utilities 88,738
700 Hawaiian Electric Industry Inc 25,288
600 Houston Industries Inc 25,425
1,700 Idaho Power Co 44,838
400 IES Industries 10,100
2,000 Illinova Corp 50,250
700 Ipalco Enterprises Inc (a) 24,238
2,700 Kansas City Power and Light Co 60,413
500 Ku Energy Corp 13,625
700 LG&E Energy Corp 27,125
2,300 MCN Corp 42,838
2,100 Midamerican Energy Co 29,925
300 Minnesota Power & Light Co 8,063
3,100 Montana Power Co 68,200
2,000 Nevada Power Co 40,750
1,700 New England Electric System 59,500
1,200 New York State Electric and Gas Corp 28,950
2,500 Nipsco Industries Inc 81,875
3,700 Northern States Power Co 157,713
2,000 Oklahoma Gas and Electric Co (a) 70,750
7,400 Pacific Enterprises 177,600
22,300 PacifiCorp 404,188
11,300 Panhandle Eastern Corp 282,500
11,200 Potomac Electric Power Co 239,400
4,300 PP&L Resources Inc 94,063
5,700 Public Service of Colorado 184,538
2,500 Puget Sound Power and Light Co 54,063
2,200 Scana Corp (a) 51,150
30,600 Southern Co 646,425
900 Southwesten Public Service Co (a) 27,000
5,400 Teco Energy 116,775
500 UGI Corp (a) 10,688
2,800 Union Electric Co 99,750
900 Utilicorp United Inc 24,413
600 Washington Gas Light 11,475
3,400 Washington Water Power (a) 52,700
1,900 Western Resources Inc 57,475
7,300 Wisconsin Energy Corp 196,188
400 Wisconsin Power & Light Holding Co 11,400
300 WPS Resources Corp 8,663
7,052,488
TOTAL STOCK (Cost $43,407,552) 53,229,485
PAR VALUE SHORT-TERM INVESTMENTS - 7.6%
REPURCHASE AGREEMENT - 3.8%
$ 2,124,021 Salomon Brothers Repurchase Agreement, dated 8/31/95,
due 9/1/95, with a maturity value of $2,124,333 and an
effective yield of 5.30%, collateralized by U.S. Treasury
Obligations with rates ranging from 6.25% to 6.50%, with
maturity dates ranging from 4/30/97 to 8/15/23 and with an
aggregate market value of $2,169,897. 2,124,021
U.S. GOVERNMENT - 0.3%
150,000 U.S. Treasury Bill, 5.29% due 11/30/95 (b) 148,019
CASH EQUIVALENTS - 3.5%
376,597 Bank of Boston Time Deposit, 5.95% due 9/1/95 376,597
174,721 Dreyfus Cash Management Money Market Fund Plus, A Shares 174,721
157,041 Fleet Bank of Massachusetts Time Deposit, 5.95% due 9/1/95 157,041
234,441 National Westminster Time Deposit, 5.95% due 9/1/95 234,441
1,000,000 Prudential Securities Group, Inc. Master Note, 5.95% due 9/1/95 1,000,000
1,942,800
TOTAL SHORT-TERM INVESTMENTS (Cost $4,214,835) 4,214,840
TOTAL INVESTMENTS - 103.7%
(Cost $47,622,387) * * 57,444,325
Other Assets and Liabilities (net) - (3.7%) (2,070,086)
TOTAL NET ASSETS - 100.0% $ 55,374,239
NOTES TO THE SCHEDULE OF INVESTMENTS:
ADR American Depositary Receipt
(a) All or a portion of this security is on loan.
(b) This security is held as collateral for open futures contracts.
* Non-income producing security.
** The aggregate identified cost for federal income tax
purposes is $47,622,387, resulting in gross unrealized
appreciation and depreciation of $10,003,942 and
$182,004, respectively, and net unrealized appreciation
of $9,821,938.
|
See accompanying notes to the financial statements.
GMO TOBACCO-FREE CORE FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - AUGUST 31, 1995 (UNAUDITED)
ASSETS:
Investments, at value (cost $43,407,552) (Note 1) $ 53,229,485
Short-term investments, at value (cost $4,214,835) (Note 1) 4,214,840
Receivable for investments sold 291,540
Receivable for variation margin on open futures contracts 4,239
Dividends and interest receivable 168,922
Receivable for expenses waived or borne by Manager (Note 2) 13,570
Total assets 57,922,596
LIABILITIES:
Payable for investments purchased 194,387
Payable upon return of securities loaned (Note 1) 1,942,344
Payable for Fund shares repurchased 346,819
Payable to affiliate for management fee (Note 2) 23,055
Accrued expenses 41,752
Total liabilities 2,548,357
NET ASSETS (equivalent to $12.44 per share based on 4,451,076
shares outstanding, unlimited shares authorized) $ 55,374,239
NET ASSETS CONSIST OF:
Paid-in capital $ 41,904,629
Accumulated undistributed net investment income 280,261
Accumulated undistributed net realized gain 3,370,573
Net unrealized appreciation 9,818,776
NET ASSETS $ 55,374,239
|
See accompanying notes to the financial statements.
GMO TOBACCO-FREE CORE FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - SIX MONTHS ENDED AUGUST 31, 1995 (UNAUDITED)
INVESTMENT INCOME:
Dividends (net of withholding taxes of $5,040) $ 714,953
Interest (including securities lending income of $2,254) 95,004
Total income 809,957
EXPENSES:
Management fee (Note 2) 137,101
Custodian and transfer agent fees 45,469
Audit fees 22,749
Legal fees 1,003
Registration fees 368
Insurance 277
Trustee fee (Note 2) 93
Miscellaneous 277
Total expenses 207,337
Less: expenses waived or borne by Manager (Note 2) (75,720)
Net expenses 131,617
Net investment income 678,340
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments 3,484,463
Closed futures contracts 287,978
Closed swap contracts (14,708)
Net realized gain 3,757,733
Change in net unrealized appreciation (depreciation) on:
Investments 5,384,289
Open futures contracts (3,162)
Net unrealized gain 5,381,127
Net realized and unrealized gain 9,138,860
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 9,817,200
|
See accompanying notes to the financial statements.
GMO TOBACCO-FREE CORE FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED
(UNAUDITED) FEBRUARY 28, 1995
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 678,340 $ 1,310,448
Net realized gain 3,757,733 4,347,228
Change in net unrealized appreciation (depreciation) 5,381,127 (2,293,926)
Net increase in net assets resulting from operations 9,817,200 3,363,750
Distributions to shareholders from:
Net investment income (398,079) (1,340,450)
Net realized gains (902,689) (4,364,391)
(1,300,768) (5,704,841)
Fund share transactions: (Note 5)
Proceeds from sale of shares 7,065,587 2,407,000
Net asset value of shares issued to shareholders
in payment of distributions declared 1,300,768 5,704,841
Cost of shares repurchased (9,477,279) (13,646,591)
Net decrease in net assets resulting
from Fund share transactions (1,110,924) (5,534,750)
Total increase (decrease) in net assets 7,405,508 (7,875,841)
NET ASSETS:
Beginning of period 47,968,731 55,844,572
End of period (including accumulated undistributed
net investment income of $280,261 and
$0, respectively) $ 55,374,239 $ 47,968,731
|
See accompanying notes to the financial statements.
GMO TOBACCO-FREE CORE FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED FEBRUARY 28/29,
(UNAUDITED) 1995 1994 1993 1992*
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.65 $ 11.07 $11.35 $10.50 $10.00
Income from investment operations:
Net investment income (a) 0.15 0.23 0.34 0.31 0.12
Net realized and unrealized gain 1.92 0.50 1.18 0.84 0.44
Total from investment operations 2.07 0.73 1.52 1.15 0.56
Less distributions to shareholders:
From net investment income (0.08) (0.28) (0.35) (0.30) (0.06)
From net realized gains (0.20) (0.87) (1.45) -- --
Total distributions (0.28) (1.15) (1.80) (0.30) (0.06)
Net asset value, end of period $ 12.44 $ 10.65 $11.07 $11.35 $10.50
Total Return (b) 19.66% 7.36% 14.12% 11.20% 5.62%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $55,374 $47,969 $55,845 $85,232 $75,412
Net expenses to average
daily net assets (a) 0.48%** 0.48% 0.48% 0.49% 0.49%**
Net investment income to average
daily net assets (a) 2.47%** 2.52% 2.42% 2.88% 3.77%**
Portfolio turnover rate 43% 112% 38% 56% 0%
* For the period from the commencement of operations, October 31, 1991 to February 29, 1992.
** Annualized.
(a) Net of fees and expenses voluntarily waived or borne by the Manager of the following
per share amounts: $ 0.02 $0.03 $0.03 $0.03 $0.01
(b) Calculation excludes subscription fees. The total returns would have been lower had certain
expenses not been waived during the periods shown.
|
See accompanying notes to the financial statements.
GMO TOBACCO-FREE CORE FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
AUGUST 31, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO Tobacco-Free Core Fund (the "Fund") is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, diversified management investment company. The Trust was established as a Massachusetts Business Trust under the laws of the Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees to create an unlimited number of series ("Funds"), each of which issues a separate series of shares. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market quotations are available are valued at the last quoted sale price on each business day, or if there is no such reported sale, at the most recent quoted bid price. Unlisted securities for which market quotations are readily available are valued at the most recent quoted bid price. Short-term investments with a remaining maturity of sixty days or less are valued at amortized cost which approximates market value. Other assets and securities for which no quotations are readily available are valued at fair value as determined in good faith by the Trustees.
FUTURES CONTRACTS
The Fund may purchase futures contracts on the S&P 500 index. Stock index futures contracts represent commitments for future delivery of cash based upon the level of a specified index of equity securities at a given date. The Fund may use futures contracts to manage its exposure to the stock markets. Buying futures tends to increase the Fund's exposure to the underlying instrument. Selling futures tends to decrease the Fund's exposure to the underlying instrument or hedge other Fund instruments. Upon purchase of a futures contract, the Fund is required to deposit with its custodian, in a segregated account in the name of the futures broker, an amount of cash or U.S. government obligations in accordance with the initial margin requirements of the broker. Futures contracts are marked to market daily and an appropriate payable or receivable for the change in value ("variation margin") is recorded by the Fund. The payable or receivable is liquidated on the following business day. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Losses may arise from the changes in the value of the underlying instrument, if there is an illiquid secondary market for the contracts, or if counterparties do not perform under the contract terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. See Note 6 for all open futures contracts held as of August 31, 1995.
REPURCHASE AGREEMENTS
The Fund may enter into repurchase agreements with certain banks and broker/dealers whereby the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets remains sufficient to protect the Fund in the event of default by the seller. In connection with transactions in repurchase agreements, if the seller defaults, the value of the collateral declines or if the seller enters insolvency proceedings, realization of collateral by the Fund may be delayed or limited.
SECURITY LENDING
The Fund may lend its securities to certain member firms of the New York Stock Exchange. The loans are collateralized at all times with cash or securities with a market value at least equal to the market value of the securities on loan. As with other extensions of credit, the Fund may bear the risk of delay in recovery or even loss of rights in the collateral should the borrower of the securities fail financially. The Fund receives compensation for lending its securities. At August 31, 1995, the Fund loaned securities having a market value of $1,894,650 collateralized by cash in the amount of $1,942,800, which was invested in short-term instruments.
SWAP AGREEMENTS
The Fund may invest in swap agreements. A swap is an agreement to exchange the return generated by one instrument for the return generated by another instrument. The Fund enters into equity swap agreements which involve a commitment by one party in the agreement to pay interest in exchange for a market linked return based on a notional amount. To the extent that the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty, respectively. Equity swaps are marked to market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss in the Statement of Operations. Payments received or made at the end of the measurement period are recorded as realized gain or loss in the Statement of Operations. Entering into these agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that there is no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform, or that there may be unfavorable changes in the price of the security or index underlying these transactions. At August 31, 1995, there were no outstanding swap agreements.
TAXES
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. It is the policy of the Fund to distribute all of its taxable income, including any net realized gain on investments not offset by loss carryovers, to shareholders within the prescribed time periods. Therefore, no provision for federal income or excise tax is necessary. Taxes on foreign dividend income have been withheld in accordance with the applicable country's tax treaty with the United States.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment income and net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryover for federal income tax purposes. The Fund's present policy is to declare and pay distributions from net investment income quarterly, and net realized short-term and long-term capital gains at least annually. All distributions will be paid in shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions.
Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences are primarily due to differing treatments for partnership interests.
Distributions in excess of tax basis earnings and profits will be reported in the Fund's financial statements as a return of capital. Furthermore, differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary over-distributions for financial statement purposes are classified as distributions in excess of net investment income or accumulated net realized gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an individual Fund. Expenses which are not readily identifiable to a specific Fund are allocated in such manner as deemed equitable by the Trustees, taking into consideration, among other things, the nature and type of expense and the relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is .17% of the amount invested. The Manager may waive such premium to the extent that a transaction results in minimal brokerage and transaction costs to the Fund. All purchase premiums are paid to and recorded as paid-in capital by the Fund. For the six months ended August 31, 1995, the Fund received $11,020 in purchase premiums. There is no premium for cash redemptions, reinvested distributions or in-kind transactions.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the "Manager") for management and investment advisory services is paid monthly at the annual rate of .50% of average daily net assets. The Manager has agreed to waive a portion of its fee and bear other expenses until further notice to the extent that the Fund's annual expenses (including the management fee but excluding brokerage commissions and transfer taxes) exceed .48% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee during the six months ended August 31, 1995, was $93. No remuneration is paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the six months ended August 31, 1995, aggregated $21,722,290 and $24,015,795, respectively.
4. PRINCIPAL SHAREHOLDERS
At August 31, 1995, 100% of the outstanding shares of the Fund were held by three individual shareholders, each holding in excess of 10% of the outstanding shares of the Fund.
5. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number of shares of beneficial interest (without par value). Transactions in Fund shares were as follows:
Six Months Ended
August 31, 1995 Year Ended
(Unaudited) February 28, 1995
Shares sold 629,346 226,368
Shares issued to shareholders in reinvestment
of distributions 111,652 560,904
Shares repurchased (792,160) (1,331,510)
Net decrease (51,162) (544,238)
Fund shares:
Beginning of period 4,502,238 5,046,476
End of period 4,451,076 4,502,238
|
6. FINANCIAL INSTRUMENTS
A summary of outstanding futures contracts at August 31, 1995, is as follows:
Number of Net Unrealized
Contracts Type Expiration Date Contract Value Depreciation
4 S&P 500 September 1995 $ 1,125,700 $ (3,162)
|
At August 31, 1995, the Fund has sufficient cash and/or securities to cover any commitments or margin on these contracts.
GMO VALUE ALLOCATION FUND
(A SERIES OF GMO TRUST)
SEMI-ANNUAL REPORT
AUGUST 31, 1995
GMO VALUE ALLOCATION FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
AUGUST 31, 1995 (UNAUDITED)
SHARES DESCRIPTION VALUE ($)
STOCK - 97.4%
AEROSPACE - 2.4%
38,343 Lockheed Martin 2,334,130
45,300 Raytheon Co 3,663,638
32,500 Rockwell International Corp 1,454,375
7,452,143
AUTOMOTIVE - 2.7%
2,300 Bandag Inc 136,563
65,600 Ford Motor Co (a) 2,009,000
67,500 General Motors Corp 3,172,500
200,000 Mascotech Industries Inc 2,625,000
25,000 Mascotech Industries Inc Convertible Preferred $1.20 (a) 375,000
3,300 SPX Corp 49,913
8,367,976
BANKING AND FINANCIAL SERVICES - 13.8%
162,500 American Express Co 6,560,938
32,500 BankAmerica Corp 1,836,250
24,945 Bear Stearns Cos Inc 514,491
13,300 Beneficial Corp 653,363
25,000 Chase Manhattan Corp 1,437,500
40,000 Chemical Banking Corp 2,330,000
107,575 Citicorp 7,140,269
35,000 Citicorp Convertible Preferred 10.75% 6,387,500
122,142 Citicorp Convertible Preferred $1.21 (a) 2,442,840
9,500 Comdisco Inc (a) 289,750
5,000 Countrywide Credit Industries 110,000
59,100 Dean Witter Discover and Co 3,014,100
17,000 Edwards (A G) Inc 414,375
15,000 Great Western Financial (a) 350,625
14,600 Household International Inc (a) 819,425
19,200 Morgan Stanley Group Inc 1,668,000
7,500 Nationsbank Corp 460,313
10,000 PNC Bank Corp 262,500
14,400 Student Loan Marketing Association 779,400
37,500 Time Warner Financing * 1,270,313
81,300 Travelers Inc 3,902,400
42,644,352
CHEMICALS - 0.8%
50,000 Albemarle Corp 818,750
15,000 Borden Chemical and Plastics LP 266,250
25,000 Lubrizol Corp 775,000
21,400 Wellman Inc 545,700
2,405,700
COMPUTER AND DATA PROCESSING SERVICES - 0.4%
175,000 SHL System House * 1,159,375
CONSTRUCTION - 0.3%
27,500 Owens Corning Fiberglass Corp * (a) 1,079,375
CONSUMER GOODS - 3.0%
800 Bic Corp 31,800
25,000 Burlington Industries Inc * 309,375
85,000 Eastman Kodak Co 4,898,125
4,700 Jones Apparel Group Inc * 163,325
18,100 Liz Claiborne 411,775
75,000 Maytag Corp 1,162,500
5,600 Nike Inc Class B (a) 518,700
17,900 Polaroid Corp 780,888
2,500 Procter and Gamble Co 173,438
7,700 Reebok International Ltd (a) 273,350
500 Russell Corp 13,750
1,400 Springs Industries Inc 60,375
13,100 VF Corp 717,225
9,514,626
ENVIRONMENTAL CONTROL - 0.0%
7,500 Waste Management International Plc ADS * 80,625
FOOD AND BEVERAGE - 4.8%
50,300 Anheuser-Busch Cos Inc 2,873,388
80,805 Archer Daniels Midland Co 1,343,383
10,000 AuBon Pain Co Inc Class A * 90,000
8,000 Brown Forman Corp Class B 296,000
45,000 Coors (Adolph) Co 765,000
10,000 Darden Restaurants Inc * 102,500
6,200 Dean Foods Co 164,300
5,000 General Mills Co 258,125
14,500 Heinz (H J) Co (a) 614,438
2,000 Hershey Foods Corp (a) 119,750
6,600 Hormel (Geo A) and Co 158,400
3,500 IBP Inc 172,375
1,400 International Multifoods Corp 31,500
1,000 Pepsico Inc 45,250
633,000 RJR Nabisco Holdings Convertible Preferred Series C 9.25% 3,798,000
25,000 Sara Lee Corp 693,750
23,200 Unilever ADR 2,868,100
4,300 Universal Foods Corp 136,525
25,000 Wendys International Inc 490,625
4,700 Whitman Corp 94,588
15,115,997
FOREST PRODUCTS - 0.0%
2,500 Crown Vantage Inc * 60,625
HEALTH CARE - 2.3%
6,800 Bausch & Lomb Inc (a) 270,300
5,000 Baxter International Inc 195,000
120,000 Beverly Enterprises Inc * 1,590,000
2,500 Johnson & Johnson 172,500
8,600 Medtronic Inc 811,625
78,500 Tenet Healthcare Corp * 1,246,188
60,900 Upjohn Co 2,580,638
12,100 Wellpoint Health Networks Class A * 359,975
7,226,226
INSURANCE - 8.2%
51,400 Aetna Life and Casualty Co 3,508,050
300 AFLAC Corp 12,263
12,900 Allmerica Property and Casualty 311,213
48,211 Allstate Corp 1,633,149
3,000 AMBAC Inc 126,750
9,900 American General Corp 348,975
9,100 AON Corp 354,900
26,400 Cigna Corp 2,554,200
15,000 First Colony Corp 367,500
1,500 General Re Corp 222,938
2,400 Horace Mann Educators 68,100
10,000 Jefferson Smurfit Corp * 151,250
100,000 Kemper Corp 4,800,000
25,000 Life Re Corp 503,125
5,000 Lincoln National Corp 215,000
18,300 Loews Corp 2,404,163
2,500 Marsh & McLennan Cos Inc 205,938
6,200 MBIA Inc 421,600
10,000 National Re Corp 317,500
5,000 Ohio Casualty Corp 166,250
8,300 Old Republic International Corp 229,288
500 Protective Life Corp 14,250
5,700 Provident Life and Accident Insurance Co Class B 148,913
13,500 Providian Corp 518,063
250,000 Reliance Group Holdings Inc 2,000,000
2,300 Reliastar Financial Corp 87,400
23,100 St Paul Cos 1,253,175
25,000 TIG Holdings Inc 640,625
6,500 Torchmark Corp (a) 260,000
15,000 Transamerica Corp 1,020,000
400 Transatlantic Holdings Inc 28,000
25,000 USF & G Corp 453,125
2,900 USLIFE Corp 125,063
25,000 Willis Corroon Group Plc ADR (a) 265,625
25,736,391
MACHINERY - 0.5%
5,000 Allegheny Ludlum Corp 105,000
50,000 CBI Industries Inc 1,225,000
2,500 Cummins Engine Inc (a) 98,125
10,000 Giddings and Lewis Inc 163,750
1,591,875
MANUFACTURING - 10.4%
2,800 Ball Corp 95,200
112,400 Boeing Co 7,165,500
50,000 Corning Inc (a) 1,631,250
15,000 General Electric Co 883,125
63,500 International Business Machines Corp 6,564,313
7,500 ITT Corp 897,188
9,000 Minnesota Mining and Manufacturing 491,625
1,200 Sequa Corp Class A * 31,950
122,500 Teledyne Inc 2,909,375
3,500 Teledyne Inc Preferred Series E $1.20 51,625
7,500 Temple Inland Inc 388,125
40,000 Tenneco Inc 1,940,000
3,200 Textron Inc 219,200
22,500 United Technologies Corp 1,875,938
125,000 Westinghouse Electric Corp 1,703,125
425,000 Westinghouse Electric Corp Convertible Preferred $1.30 144A 5,737,500
32,585,039
METALS AND MINING - 2.0%
45,000 Alcan Aluminum Ltd 1,468,125
21,800 Asarco Inc 705,775
35,000 Cyprus Amax Minerals Co (a) 980,000
7,500 Freeport-McMoran Corp Preferred 0.00% 269,063
50,000 Inco Ltd (a) 1,750,000
25,000 Pegasus Gold * 312,500
10,000 Pittston Minerals Group 118,750
10,000 Reynolds Metals Co 597,500
6,201,713
OIL AND GAS - 6.5%
12,500 Amerada Hess Corp 592,188
6,900 Chevron Corp 333,788
22,000 Columbia Gas Systems * 775,500
10,000 Dresser Industries Inc 240,000
3,200 El Paso Natural Gas Co 90,000
15,000 Enserch Corp 245,625
1,200 Equitable Resources Inc 33,450
34,400 Exxon Corp 2,365,000
5,000 Kerr-McGee Corp 275,000
33,900 Mobil Corp 3,228,975
125,000 Noram Energy Corp 890,625
37,500 Occidental Petroleum Corp 815,625
100 Oneok Inc 2,188
21,100 Royal Dutch Petroleum Co ADR (a) 2,516,175
15,000 Seagull Energy Corp * 301,875
20,000 Texaco Inc 1,295,000
77,500 Unocal Corp 2,257,188
25,000 Unocal Corp Convertible Preferred $3.50 144A 1,371,875
95,000 USX - Marathon Group 1,959,375
19,500 Westcoast Energy Inc 297,375
10,300 Williams Companies Inc 377,238
20,264,065
PAPER AND ALLIED PRODUCTS - 2.2%
25,000 Boise Cascade Corp Preferred Series G $1.58 890,625
10,000 Champion International Corp 566,250
20,000 International Paper Co 1,637,500
25,000 James River Corp 868,750
90,000 James River Corp Convertible Preferred 9.00% 2,981,250
6,944,375
PHARMACEUTICALS - 4.5%
17,700 Abbott Laboratories 685,875
15,000 Allergan Inc 455,625
16,800 American Home Products Corp 1,293,600
56,300 Bristol-Myers Squibb Co 3,863,588
75,000 Lilly (Eli) & Co 6,140,625
29,700 Merck & Co Inc 1,481,288
1,650 Mylan Laboratories (a) 37,744
13,958,345
PRIMARY PROCESSING - 1.1%
37,500 Armco Inc * 234,375
25,000 Bethlehem Steel Corp * 365,625
5,000 Dow Chemical Co 370,000
5,000 Du Pont (E I) De Nemours & Co Inc 326,875
10,000 LTV Corp * 156,250
25,000 Methanex Corp * 184,375
20,000 National Steel Corp Class B * 335,000
700 NCH Corp 40,075
20,000 USX-US Steel Group Inc 655,000
2,500 Valspar 100,000
75,000 Weirton Steel Corp * 421,875
10,000 WHX Corp * 126,250
3,315,700
PRINTING AND PUBLISHING - 0.2%
8,100 Dun and Bradstreet Corp 468,788
900 Pulitzer Publishing Co 43,650
512,438
REAL ESTATE - 0.9%
25,000 Crown American Realty 206,250
10,000 JP Realty Inc 201,250
75,000 Summit Properties Inc 1,368,750
50,000 Walden Residential Properties Inc 943,750
2,720,000
REFINING - 0.6%
16,200 Ashland Inc (a) 530,550
7,100 Diamond Shamrock Inc 189,038
5,000 Imperial Oil Ltd 179,375
12,275 Sun Co Inc 326,822
7,900 Tosco Corp 253,788
14,000 Valero Energy Corp 320,250
1,799,823
RETAIL TRADE - 2.9%
40,200 American Stores Co 1,180,875
1,300 Blair Corp 43,388
5,000 Brown Group Inc 91,250
8,700 Circuit City Stores Inc 300,150
3,800 Family Dollar Stores 69,350
8,800 Fruit of the Loom Inc * 206,800
75,000 Kmart (a) 1,021,875
500 Lands' End Inc * 8,688
2,200 Longs Drugstores Corp (a) 81,400
5,000 May Dept Stores 211,875
39,400 Melville Corp 1,314,975
135,000 Price/Costco Inc * 2,278,125
19,600 Rite Aid Corp (a) 548,800
17,500 Sears Roebuck & Co 566,563
2,500 Stanhome Inc 77,500
500 The Vons Co Inc * 11,188
20,000 TJX Cos Inc 250,000
35,000 Wal-Mart Stores Inc 861,875
9,124,677
SERVICES - 1.7%
2,300 BHC Communications Inc Class A * 208,725
6,113 Chris Craft Industries Inc 275,085
22,200 Fleming Cos 646,575
6,500 Gannett Co Inc 347,750
3,000 Kingworld Productions Inc * 114,000
2,000 Lee Enterprises Inc 79,250
100,000 MCI Communications Corp 2,406,250
1,000 Meredith Corp 39,250
3,700 PHH Corp 161,413
50,000 Safety Kleen 653,000
8,400 Supervalu Inc (a) 248,850
5,180,148
TECHNOLOGY - 6.1%
14,000 Advanced Micro Devices 472,500
38,300 Apple Computer 1,646,900
10,000 Avnet Inc 515,000
25,000 Data General Corp * 243,750
119,000 Digital Equipment Corp * 4,968,250
35,000 Fisher Scientific 1,141,875
22,500 Intel Corp 1,380,938
20,100 Microsoft Corp * 1,859,250
47,000 Novell Inc * 846,000
4,300 Seagate Technology * 190,275
2,500 Storage Technology Convertible Preferred 7.00% 154,688
4,900 Stratus Computer Inc * 137,200
11,500 Sun Microsystems Inc * (a) 665,563
187,500 Tandem Computers Inc * 2,296,841
72,500 WMX Technologies 2,129,688
3,000 Xerox Corp 362,250
19,010,968
TELECOMMUNICATIONS - 4.4%
5,000 Airtouch Communications Inc * 162,500
2,400 Alltel Corp 67,800
45,000 AT & T Corp 2,542,500
5,600 Bell Atlantic Corp 334,600
6,300 Bellsouth Corp 433,125
4,600 Comsat Corp 106,950
144,800 GTE Corp 5,303,300
5,400 Nynex Corp 243,000
50,500 Pacific Telesis Group 1,432,938
7,600 SBC Communications 384,750
4,600 Sprint Corp 163,300
25,000 Tele-Communications Class A * 462,500
5,000 Tele-Communications Liberty Media Class A * 132,812
48,500 US West Inc 2,109,750
13,879,825
TOBACCO - 1.4%
70,000 American Brands Inc 2,940,000
50,000 Hanson Plc ADR (a) 856,250
8,200 Philip Morris Cos Inc 611,925
4,408,175
TRANSPORTATION - 1.9%
20,000 AMR Corp * 1,410,000
100,000 Canadian Pacific Ltd 1,687,500
25,000 Navistar International Corp Preferred $6.00 1,346,875
10,000 Overseas Shipholding Group Inc 208,750
5,000 Ryder System Inc 121,250
35,000 USAir Group Inc Convertible Preferred Series B $4.38 1,050,000
5,824,375
UTILITIES - 11.4%
16,000 AES Corp * 296,000
18,800 Allegheny Power System Inc 458,250
20,900 American Electric Power Inc 713,213
3,700 American Water Works Co 110,538
7,000 Ameritech Corp 358,750
4,800 Atlanta Gas Light (a) 177,000
17,300 Baltimore Gas and Electric Co 454,125
9,800 Brooklyn Union Gas Co 246,225
8,800 California Energy Co Inc * 183,700
4,000 Carolina Power and Light Co 122,500
77,600 Centerior Energy Corp 834,200
20,400 Central & South West Corp 499,800
60,100 Cinergy Corp 1,540,063
7,500 Cipsco Inc 246,563
10,000 CMS Energy Corp (a) 246,250
20,400 Consolidated Edison 576,300
9,600 Delmarva Power and Light Co 208,800
16,500 Destec Energy Inc * 261,938
17,100 Detroit Edison Co 523,688
38,900 DPL Inc 865,525
8,400 DQE 200,550
21,100 Duke Power Co (a) 857,188
60,400 Entergy Corp 1,449,600
12,700 FPL Group Inc 493,713
35,100 General Public Utilities 1,004,738
5,100 Hawaiian Electric Industry Inc 184,238
2,900 Houston Industries Inc 122,888
4,400 Idaho Power Co 116,050
2,000 IES Industries 50,665
30,300 Illinova Corp 761,288
6,300 LG&E Energy Corp 244,125
9,200 Midamerican Energy Co 131,100
6,300 Montana Power Co 138,600
10,500 Nevada Power Co 213,938
4,400 New England Electric System 154,000
8,300 New York State Electric and Gas Corp 200,238
275,000 Niagara Mohawk Power Corp 3,300,000
10,100 Nipsco Industries Inc 330,775
25,000 Northeast Utilities 571,875
11,500 Northern States Power Co 490,188
33,900 Ohio Edison Co 733,088
700 Oklahoma Gas and Electric Co (a) 24,763
15,700 Pacific Enterprises 376,800
17,500 Pacific Gas and Electric Co 503,125
38,200 PacifiCorp (a) 692,375
50,000 Panhandle Eastern Corp 1,250,000
3,300 Peco Energy Co 87,863
5,700 Pinnacle West Capital Corp 141,788
11,300 Portland General Electric Co (a) 271,200
12,200 Potomac Electric Power Co (a) 260,775
9,800 PP&L Resources Inc (a) 214,375
46,500 Public Service Enterprise Group Inc 1,278,750
10,500 Public Service of Colorado 339,938
32,100 Public Services Co of New Mexico * 489,525
7,600 Puget Sound Power and Light Co 164,350
3,100 Rochester Gas and Electric Corp 68,975
26,900 SCE Corp 447,213
25,000 Southern Co (a) 528,125
6,500 Southwesten Public Service Co (a) 195,000
100,200 Texas Utilities Co 3,481,950
25,000 TransCanada Pipeline Ltd 340,625
109,000 Unicom Corp 3,065,625
10,200 Washington Water Power (a) 158,100
4,100 Western Resources Inc 124,025
17,500 Wisconsin Energy Corp 470,313
35,647,851
TOTAL STOCK (Cost $254,564,254) 303,812,803
PAR VALUE SHORT-TERM INVESTMENTS - 10.6%
REPURCHASE AGREEMENT - 3.4%
$ 10,477,145 Salomon Brothers Repurchase Agreement, dated 8/31/95,
due 9/1/95, with a maturity value of $10,478,687 and an
effective yield of 5.30%, collateralized by U.S. Treasury
Obligations with rates ranging from 6.25% to 6.50%, with
maturity dates ranging from 4/30/97 to 8/15/23 and with an
aggregate market value of $10,703,436. 10,477,145
U.S. GOVERNMENT - 0.0%
100,000 U.S. Treasury Bill, 5.29% due 11/30/95 (b) 98,680
CASH EQUIVALENTS - 7.2%
7,507,213 Bank of Boston Time Deposit, 5.95% due 9/1/95 7,507,213
2,032,185 Dreyfus Cash Management Money Market Fund Plus, A Shares 2,032,185
1,826,551 Fleet Bank of Massachusetts Time Deposit, 5.95% due 9/1/95 1,826,551
6,230,864 National Westminster Time Deposit, 5.95% due 9/1/95 6,230,864
5,000,000 Prudential Securities Group, Inc. Master Note, 5.95% due 9/1/95 5,000,000
22,596,813
TOTAL SHORT-TERM INVESTMENTS (Cost $33,172,635) 33,172,638
TOTAL INVESTMENTS - 108.0%
(Cost $287,736,889) * * 336,985,441
Other Assets and Liabilities (net) - (8.0%) (24,990,478)
TOTAL NET ASSETS - 100.0% $ 311,994,963
NOTES TO THE SCHEDULE OF INVESTMENTS:
ADR American Depositary Receipt
ADS American Depositary Shares
144A Securities exempt from registration under Rule 144A of the Securities
Act of 1933. These securities may be resold in transactions exempt
from registration, normally to qualified institutional buyers.
(a) All or a portion of this security is on loan.
(b) This security is held as collateral for open futures contracts.
* Non-income producing security.
* * The aggregate identified cost for federal income tax purposes is $287,736,889,
resulting in gross unrealized appreciation and depreciation of $52,820,264
and $3,571,712, respectively, and net unrealized appreciation of $49,248,552.
|
See accompanying notes to the financial statements.
GMO VALUE ALLOCATION FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - AUGUST 31, 1995 (UNAUDITED)
ASSETS:
Investments, at value (cost $254,564,254) (Note 1) $ 303,812,803
Short-term investments, at value (cost $33,172,635) (Note 1) 33,172,638
Receivable for investments sold 2,456,432
Receivable for variation margin on open futures contracts 5,100
Dividends and interest receivable 1,163,718
Foreign withholding taxes receivable 986
Receivable for expenses waived or borne by Manager (Note 2) 41,998
Total assets 340,653,675
LIABILITIES:
Payable for investments purchased 3,359,296
Payable upon return of securities loaned (Note 1) 22,600,204
Payable for open swap contracts (Notes 1 and 6) 2,453,520
Payable to affiliate for management fee (Note 2) 181,065
Accrued expenses 64,627
Total liabilities 28,658,712
NET ASSETS (equivalent to $13.65 per share based on 22,864,103
shares outstanding, unlimited shares authorized) $ 311,994,963
NET ASSETS CONSIST OF:
Paid-in capital $ 244,872,047
Accumulated undistributed net investment income 2,094,911
Accumulated undistributed net realized gain 18,237,048
Net unrealized appreciation 46,790,957
NET ASSETS $ 311,994,963
|
See accompanying notes to the financial statements.
GMO VALUE ALLOCATION FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - SIX MONTHS ENDED AUGUST 31, 1995 (UNAUDITED)
INVESTMENT INCOME:
Dividends (net of withholding taxes of $37,428) $ 5,288,058
Interest (including securities lending income of $7,849) 492,545
Total income 5,780,603
EXPENSES:
Management fee (Note 2) 1,168,831
Custodian and transfer agent fees 71,711
Audit fees 24,781
Legal fees 8,071
Insurance 2,032
Trustee fee (Note 2) 738
Registration fees 552
Miscellaneous 461
Total expenses 1,277,177
Less: expenses waived or borne by Manager (Note 2) (258,626)
Net expenses 1,018,551
Net investment income 4,762,052
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments 26,322,717
Closed futures contracts 813,950
Closed swap contracts (205,701)
Net realized gain 26,930,966
Change in net unrealized appreciation (depreciation) on:
Investments 22,637,998
Open futures contracts (49,968)
Open swap contracts (2,453,520)
Net unrealized gain 20,134,510
Net realized and unrealized gain 47,065,476
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 51,827,528
|
See accompanying notes to the financial statements.
GMO VALUE ALLOCATION FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED
(UNAUDITED) FEBRUARY 28, 1995
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 4,762,052 $ 12,834,774
Net realized gain 26,930,966 45,814,165
Change in net unrealized appreciation (depreciation) 20,134,510 (41,548,844)
Net increase in net assets resulting from operations 51,827,528 17,100,095
Distributions to shareholders from:
Net investment income (4,581,860) (16,241,648)
Net realized gains (4,574,131) (53,036,477)
(9,155,991) (69,278,125)
Fund share transactions: (Note 5)
Proceeds from sale of shares 12,260,330 37,637,168
Net asset value of shares issued to shareholders
in payment of distributions declared 6,838,311 59,045,467
Cost of shares repurchased (100,469,676) (373,341,674)
Net decrease in net assets resulting
from Fund share transactions (81,371,035) (276,659,039)
Total decrease in net assets (38,699,498) (328,837,069)
NET ASSETS:
Beginning of period 350,694,461 679,531,530
End of period (including accumulated undistributed
net investment income of $2,094,911 and
$1,914,719, respectively) $ 311,994,963 $ 350,694,461
|
See accompanying notes to the financial statements.
GMO VALUE ALLOCATION FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED FEBRUARY 28/29,
(UNAUDITED) 1995 1994 1993 1992 1991 *
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.05 $ 13.48 $ 13.50 $ 12.94 $ 12.25 $ 10.00
Income from investment operations:
Net investment income (a) 0.21 0.41 0.43 0.38 0.40 0.12
Net realized and unrealized gain 1.77 0.32 1.27 0.98 1.11 2.16
Total from investment operations 1.98 0.73 1.70 1.36 1.51 2.28
Less distributions to shareholders:
From net investment income (0.18) (0.45) (0.40) (0.38) (0.41) (0.03)
From net realized gains (0.20) (1.71) (1.32) (0.42) (0.41) --
Total distributions (0.38) (2.16) (1.72) (0.80) (0.82) (0.03)
NET ASSET VALUE, END OF PERIOD $ 13.65 $ 12.05 $ 13.48 $ 13.50 $ 12.94 $ 12.25
TOTAL RETURN (B) 16.63% 6.85% 13.02% 11.01% 12.96% 22.85%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 311,995 $ 350,694 $ 679,532 $ 1,239,536 $ 644,136 $ 190,664
Net expenses to average
daily net assets (a) 0.61%** 0.61% 0.61% 0.62% 0.67% 0.70%**
Net investment income to average
daily net assets (a) 2.85%** 2.86% 2.70% 3.15% 3.75% 7.89%**
Portfolio turnover rate 37% 77% 35% 50% 41% 23%
* For the period from the commencement of operations, November 14, 1990 through February 28, 1991.
** Annualized
(a) Net of fees and expenses voluntarily waived or borne by the manager of the following
per share amounts: $ 0.01 $ 0.02 $ 0.02 $ 0.01 $ 0.01 $ 0.01
(b) Calculation excludes subscription fees. The total returns would have been lower had certain expenses
not been waived during the periods shown.
|
See accompanying notes to the financial statements.
GMO VALUE ALLOCATION FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
AUGUST 31, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO Value Allocation Fund (the "Fund") is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, non-diversified management investment company. The Trust was established as a Massachusetts Business Trust under the laws of the Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees to create an unlimited number of series ("Funds"), each of which issues a separate series of shares. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market quotations are available are valued at the last quoted sale price on each business day, or if there is no such reported sale, at the most recent quoted bid price. Unlisted securities for which market quotations are readily available are valued at the most recent quoted bid price. Short-term investments with a remaining maturity of sixty days or less are valued at amortized cost which approximates market value. Other assets and securities for which no quotations are readily available are valued at fair value as determined in good faith by the Trustees.
FUTURES CONTRACTS
The Fund may purchase futures contracts on the S&P 500 index. Stock index futures contracts represent commitments for future delivery of cash based upon the level of a specified index of equity securities at a given date. The Fund may use futures contracts to manage its exposure to the stock markets. Buying futures tends to increase the Fund's exposure to the underlying instrument. Selling futures tends to decrease the Fund's exposure to the underlying instrument or hedge other Fund instruments. Upon purchase of a futures contract, the Fund is required to deposit with its custodian, in a segregated account in the name of the futures broker, an amount of cash or U.S. government obligations in accordance with the initial margin requirements of the broker. Futures contracts are marked to market daily and an appropriate payable or receivable for the change in value ("variation margin") is recorded by the Fund. The payable or receivable is liquidated on the following business day. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Losses may arise from the changes in the value of the underlying instrument, if there is an illiquid secondary market for the contracts, or if counterparties do not perform under the contract terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. See Note 6 for all open futures contracts held as of August 31, 1995.
REPURCHASE AGREEMENTS
The Fund may enter into repurchase agreements with certain banks and broker/dealers whereby the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets remains sufficient to protect the Fund in the event of default by the seller. In connection with transactions in repurchase agreements, if the seller defaults, the value of the collateral declines or if the seller enters insolvency proceedings, realization of collateral by the Fund may be delayed or limited.
SECURITY LENDING
The Fund may lend its securities to certain member firms of the New York Stock Exchange. The loans are collateralized at all times with cash or securities with a market value at least equal to the market value of the securities on loan. As with other extensions of credit, the Fund may bear the risk of delay in recovery or even loss of rights in the collateral should the borrower of the securities fail financially. The Fund receives compensation for lending its securities. At August 31, 1995, the Fund loaned securities having a market value of $21,821,666, collateralized by cash in the amount of $22,596,813, which was invested in short-term instruments.
SWAP AGREEMENTS
The Fund may invest in swap agreements. A swap is an agreement to exchange the return generated by one instrument for the return generated by another instrument. The Fund enters into equity swap agreements which involve a commitment by one party in the agreement to pay interest in exchange for a market linked return based on a notional amount. To the extent that the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty, respectively. Equity swaps are marked to market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss in the Statement of Operations. Payments received or made at the end of the measurement period are recorded as realized gain or loss in the Statement of Operations. Entering into these agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that there is no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform, or that there may be unfavorable changes in the price of the security or index underlying these transactions. See Note 6 for a summary of all open swap agreements as of August 31, 1995.
TAXES
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. It is the policy of the Fund to distribute all of its taxable income, including any net realized gain on investments not offset by loss carryovers, to shareholders within the prescribed time periods. Therefore, no provision for federal income or excise tax is necessary. Taxes on foreign dividend income have been withheld in accordance with the applicable country's tax treaty with the United States.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment income and net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryover for federal income tax purposes. The Fund's present policy is to declare and pay distributions from net investment income quarterly, and net realized short-term and long-term capital gains at least annually. All distributions will be paid in shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions.
Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences are primarily due to differing treatments for redemptions in-kind.
Distributions in excess of tax basis earnings and profits will be reported in the Fund's financial statements as a return of capital. Furthermore, differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary over-distributions for financial statement purposes are classified as distributions in excess of net investment income or accumulated net realized gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an individual Fund. Expenses which are not readily identifiable to a specific Fund are allocated in such manner as deemed equitable by the Trustees, taking into consideration, among other things, the nature and type of expense and the relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is .15% of the amount invested. The Manager may waive such premium to the extent that a transaction results in minimal brokerage and transaction costs to the Fund. All purchase premiums are paid to and recorded as paid-in capital by the Fund. For the six months ended August 31, 1995, the Fund received $16,070 in purchase premiums. There is no premium for cash redemptions, reinvested distributions or in-kind transactions.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the "Manager") for management and investment advisory services is paid monthly at the annual rate of .70% of average daily net assets. The Manager has agreed to waive a portion of its fee and bear other expenses until further notice to the extent that the Fund's annual expenses (including the management fee but excluding brokerage commissions and transfer taxes) exceed .61% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee during the six months ended August 31, 1995, was $738. No remuneration is paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the six months ended August 31, 1995, aggregated $115,222,735 and $186,939,600, respectively.
4. PRINCIPAL SHAREHOLDERS
At August 31, 1995, 35% of the outstanding shares of the Fund were held by two shareholders, each holding in excess of 10% of the Fund's outstanding shares.
5. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number of shares of beneficial interest (without par value). Transactions in Fund shares were as follows:
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED
(UNAUDITED) FEBRUARY 28, 1995
Shares sold 955,616 3,061,654
Shares issued to shareholders in reinvestment
of distributions 523,892 5,068,747
Shares repurchased (7,711,166) (29,453,951)
Net decrease (6,231,658) (21,323,550)
Fund shares:
Beginning of period 29,095,761 50,419,311
End of period 22,864,103 29,095,761
|
6. FINANCIAL INSTRUMENTS
A summary of outstanding financial instruments at August 31, 1995, is as follows:
FUTURES CONTRACTS
Number of Net Unrealized
Contracts Type Expiration Date Contract Value Depreciation
6 S&P 500 September 1995 $ 1,688,550 $ (4,075)
|
At August 31, 1995, the Fund has sufficient cash and/or securities to cover any commitments or margin on these contracts.
SWAP AGREEMENTS
Unrealized
Notional Amount Expiration Date Description Depreciation
$50,587,819 (a) 12/1/95 Agreement with Morgan Stanley & Co. $ (2,453,520)
International dated 6/27/95 to pay
(receive) the return on an index of
selected securities minus LIBOR and to
receive (pay) the return on a second
index of selected securities minus
LIBOR plus 0.45%.
(a) Represents initial notional amount for purposes of calculating the
Fund's obligation. The counterparty notional amount is $50,615,537.
|
GMO GROWTH ALLOCATION FUND
(A SERIES OF GMO TRUST)
SEMI-ANNUAL REPORT
AUGUST 31, 1995
GMO GROWTH ALLOCATION FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
AUGUST 31, 1995 (UNAUDITED)
SHARES DESCRIPTION VALUE ($)
STOCK - 96.5%
AEROSPACE - 2.5%
42,623 Lockheed Martin 2,594,675
72,000 Raytheon Co 5,823,000
8,417,675
AUTOMOTIVE - 0.2%
10,700 Bandag Inc 635,313
1,900 Breed Technologies Inc 36,338
671,651
BANKING AND FINANCIAL SERVICES - 3.0%
9,660 Bear Stearns Cos Inc 199,238
19,965 Comdisco Inc (a) 608,933
93,800 Dean Witter Discover and Co 4,783,800
500 Edwards (A G) Inc 12,188
25,100 Morgan Stanley Group Inc 2,180,563
12,700 Student Loan Marketing Association 687,388
33,200 Travelers Inc 1,593,600
10,065,710
CHEMICALS - 0.0%
5,000 Wellman Inc 127,500
COMPUTERS - 1.5%
25,200 Adobe Systems Inc 1,285,200
91,100 Silicon Graphics * (a) 3,848,975
5,134,175
CONSTRUCTION - 0.3%
19,700 York International Corp 876,650
CONSUMER GOODS - 2.2%
30,100 Black and Decker Corp (a) 974,488
2,300 Church & Dwight Co Inc 52,613
5,200 Clorox Co 351,650
10,700 International Flavors & Fragrances 512,263
22,600 Jones Apparel Group Inc * 785,350
17,600 Liz Claiborne 400,400
9,400 Newell Co (a) 235,000
16,600 Nike Inc Class B 1,537,575
11,800 Polaroid Corp 514,775
33,100 Reebok International Ltd 1,175,050
4,800 Russ Berrie and Co 69,600
6,100 Russell Corp 167,750
10,600 VF Corp 580,350
7,356,864
FOOD AND BEVERAGE - 18.8%
102,800 Anheuser-Busch Cos Inc 5,872,450
17,500 Brown Forman Corp Class B 647,500
250,300 Coca-Cola Co 16,081,758
26,600 ConAgra Inc 1,007,475
99,300 CPC International Inc 6,243,488
22,850 Dean Foods Co 605,525
20,700 General Mills Co 1,068,638
98,500 Heinz (H J) Co 4,173,938
10,100 Hershey Foods Corp 604,738
15,600 Hormel (Geo A) and Co 374,400
3,000 International Multifoods Corp 67,500
75,900 Kellogg Co 5,123,250
219,700 Pepsico Inc 9,941,425
209,800 Sara Lee Corp 5,821,950
4,496 Tootsie Roll Industries Inc 179,278
5,400 Tyson Food Inc Class A 139,050
26,900 Unilever ADR 3,325,513
20,000 Universal Foods Corp 635,000
45,600 Whitman Corp 917,700
18,400 Wrigley (William Jr) Co 830,300
63,660,876
HEALTH CARE - 7.8%
15,700 Bausch & Lomb Inc (a) 624,075
46,100 Boston Scientific Corp * (a) 1,832,475
17,200 Forest Labs * 769,700
700 Haemonetics Corp * 15,050
136,900 Johnson & Johnson 9,446,100
121,800 Medtronic Inc 11,494,875
6,500 Surgical Care Affiliates 142,188
11,800 Tenet Healthcare Corp * 187,325
21,000 US Health Care Inc 672,000
6,600 Vencor Inc * (a) 195,525
31,300 Wellpoint Health Networks Class A * 931,175
26,310,488
INSURANCE - 0.5%
12,900 Loews Corp 1,694,738
MACHINERY - 0.3%
9,900 Dover Corp 789,525
2,100 FMC Corp * 161,700
951,225
MANUFACTURING - 0.8%
10,100 Alco Standard Corp 813,050
18,000 Danaher Corp 594,000
62,800 Pall Corp 1,373,750
1,700 Sequa Corp Class A * 45,263
2,826,063
OIL AND GAS - 0.1%
200 Berry Petroleum Class A 1,950
10,500 Burlington Resources Inc 426,563
428,513
PHARMACEUTICALS - 21.9%
327,204 Abbott Laboratories 12,679,155
30,900 American Home Products Corp 2,379,300
231,000 Amgen Inc * 11,059,125
143,400 Bristol-Myers Squibb Co 9,840,825
68,300 Lilly (Eli) & Co 5,592,063
125,800 Merck & Co Inc 6,274,275
135,900 Mylan Laboratories (a) 3,108,713
289,856 Pfizer Inc 14,311,640
123,000 Schering-Plough Corp (a) 5,734,875
37,700 Warner Lambert Co 3,407,138
74,387,109
PRIMARY PROCESSING - 0.1%
6,000 Valspar 240,000
PRINTING AND PUBLISHING - 1.7%
4,500 Central Newspapers Class A 127,688
54,700 Dun and Bradstreet Corp 3,165,763
1,600 McClatchy Newspapers Inc 35,800
2,000 Pulitzer Publishing Co 97,000
50,600 Readers Digest Association Inc 2,340,250
5,766,501
REFINING - 0.2%
22,300 Ashland Inc 730,325
RETAIL TRADE - 3.7%
54,800 Albertson's Inc 1,746,750
17,900 American Stores Co 525,813
3,300 Blair Corp 110,138
43,000 Circuit City Stores Inc 1,483,500
7,500 Dayton Hudson Corp 548,438
14,900 Fruit of the Loom Inc * 350,150
10,800 Hannaford Brothers Co 276,750
67,400 Kroger Co * 2,198,925
1,300 Lands' End Inc * 22,588
9,000 Price/Costco Inc * 151,875
47,100 Rite Aid Corp 1,318,800
9,400 Stanhome Inc 291,400
142,000 Walgreen Co 3,479,000
6,700 Weismarkets Inc 189,275
12,693,402
SERVICES - 1.7%
3,100 BHC Communications Inc Class A * 281,325
2,100 Capital Cities/ABC Inc 241,500
14,225 Chris Craft Industries Inc 640,136
42,900 Gannett Co Inc 2,295,150
18,800 Kingworld Productions Inc * 714,400
9,400 Lee Enterprises Inc 372,475
8,900 PHH Corp 388,263
500 Rollins Inc 11,938
1,700 Total System Services Inc 33,150
2,700 Washington Post Co Class B 775,913
5,754,250
TECHNOLOGY - 20.5%
117,200 3Com Corp * 4,570,800
56,400 Apple Computer 2,425,200
54,400 Cabletron Systems Inc * (a) 2,876,400
1,900 Cadence Design Systems Inc * (a) 68,875
239,100 Cisco Systems Inc * 15,690,938
18,100 Cypress Semiconductor Corp * (a) 825,813
80,200 Hewlett-Packard Inc 6,416,000
135,800 Intel Corp 8,334,725
58,100 LSI Logic Corp * (a) 2,861,425
190,500 Microsoft Corp * 17,621,250
310,600 Novell Inc * 5,590,800
27,200 Sun Microsystems Inc * 1,574,200
15,000 Vishay Intertechnology Inc * 607,500
69,463,926
TELECOMMUNICATIONS - 3.4%
7,700 Alltel Corp 217,525
64,700 AT & T Corp 3,655,550
18,000 Bell Atlantic Corp 1,075,500
20,500 Bellsouth Corp 1,409,375
39,600 GTE Corp 1,450,350
17,400 Nynex Corp 783,000
17,500 Pacific Telesis Group 496,563
24,700 SBC Communications 1,250,438
14,400 Sprint Corp 511,200
19,400 US West Inc 843,900
11,693,401
TOBACCO - 4.9%
223,128 Philip Morris Cos Inc 16,650,927
UTILITIES - 0.4%
22,700 Ameritech Corp 1,163,375
4,200 California Energy Co Inc * 87,675
1,251,050
TOTAL STOCK (Cost $270,626,130) 327,153,019
PAR VALUE SHORT-TERM INVESTMENTS - 8.8%
REPURCHASE AGREEMENT - 3.3%
$ 11,157,335 Salomon Brothers Repurchase Agreement, dated 8/31/95,
due 9/1/95, with a maturity value of $11,158,977 and an
effective yield of 5.3%, collateralized by U.S. Treasury
Obligations with rates ranging from 6.25% to 6.50%, with
maturity dates ranging from 4/30/97 to 8/15/23 and with an
aggregate market value of 11,398,317. 11,157,335
U.S. GOVERNMENT - 0.1%
400,000 U.S. Treasury Bill, 5.29% due 11/30/95 (b) 394,719
CASH EQUIVALENTS - 5.5%
8,028,667 Bank of Boston Time Deposit, 5.95% due 9/1/95 8,028,667
1,664,603 Dreyfus Cash Management Money Market Fund Plus, A Shares 1,664,603
1,496,165 Fleet Bank of Massachusetts Time Deposit, 5.95% due 9/1/95 1,496,165
2,820,065 National Westminster Time Deposit, 5.95% due 9/1/95 2,820,065
4,500,000 Prudential Securities Group, Inc. Master Note, 5.95% due 9/1/95 4,500,000
18,509,500
TOTAL SHORT-TERM INVESTMENTS (Cost $30,061,540) 30,061,554
TOTAL INVESTMENTS - 105.3%
(Cost $300,687,670) * * 357,214,573
Other Assets and Liabilities (net) - (5.3%) (18,030,267)
TOTAL NET ASSETS - 100.0% $ 339,184,306
NOTES TO THE SCHEDULE OF INVESTMENTS:
ADR American Depositary Receipt
(a) All or a portion of this security is on loan.
(b) This security is held as collateral for open futures contracts.
* Non-income producing security.
* * The aggregate identified cost for federal income tax purposes is $300,687,670,
resulting in gross unrealized appreciation and depreciation of $59,193,872
and $2,666,969, respectively, and net unrealized appreciation of $56,526,903.
|
See accompanying notes to the financial statements.
GMO GROWTH ALLOCATION FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - AUGUST 31, 1995 (UNAUDITED)
ASSETS:
Investments, at value (cost $270,626,130) (Note 1) $ 327,153,019
Short-term investments, at value (cost $30,061,540) (Note 1) 30,061,554
Receivable for investments sold 742,425
Receivable for variation margin on open futures contracts 19,539
Dividends and interest receivable 496,288
Receivable for expenses waived or borne by Manager (Note 2) 22,400
Total assets 358,495,225
LIABILITIES:
Payable for investments purchased 315,092
Payable upon return of securities loaned (Note 1) 18,507,225
Payable for Fund shares repurchased 301,000
Payable to affiliate for management fee (Note 2) 140,509
Accrued expenses 47,093
Total liabilities 19,310,919
NET ASSETS (equivalent to $5.04 per share based on 67,350,475
shares outstanding, unlimited shares authorized) $ 339,184,306
NET ASSETS CONSIST OF:
Paid-in capital $ 277,827,521
Accumulated undistributed net investment income 1,105,348
Accumulated undistributed net realized gain 3,710,155
Net unrealized appreciation 56,541,282
NET ASSETS $ 339,184,306
|
See accompanying notes to the financial statments.
GMO GROWTH ALLOCATION FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - SIX MONTHS ENDED AUGUST 31, 1995 (UNAUDITED)
INVESTMENT INCOME:
Dividends (net of withholding taxes of $11,885) $ 2,781,264
Interest (including securities lending income of $21,125) 496,506
Total income 3,277,770
EXPENSES:
Management fee (Note 2) 771,163
Custodian and transfer agent fees 39,487
Audit fees 29,642
Legal fees 4,958
Registration fees 4,374
Insurance 1,470
Trustee fee (Note 2) 643
Miscellaneous 277
Total expenses 852,014
Less: expenses waived or borne by Manager (Note 2) (111,698)
Net expenses 740,316
Net investment income 2,537,454
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments 2,776,653
Closed futures contracts 1,511,829
Closed swap contracts (100,858)
Net realized gain 4,187,624
Change in net unrealized appreciation (depreciation) on:
Investments 42,128,037
Open futures contracts (39,448)
Net unrealized gain 42,088,589
Net realized and unrealized gain 46,276,213
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 48,813,667
|
See accompanying notes to the financial statments.
GMO GROWTH ALLOCATION FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED
(UNAUDITED) FEBRUARY 28, 1995
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 2,537,454 $ 3,189,370
Net realized gain 4,187,624 12,677,026
Change in net unrealized appreciation (depreciation) 42,088,589 7,126,286
Net increase in net assets resulting from operations 48,813,667 22,992,682
Distributions to shareholders from:
Net investment income (1,990,601) (2,852,156)
Net realized gains (10,202,708) (3,416,541)
(12,193,309) (6,268,697)
Fund share transactions: (Note 5)
Proceeds from sale of shares 102,414,592 35,930,626
Net asset value of shares issued to shareholders
in payment of distributions declared 10,415,239 4,464,606
Cost of shares repurchased (49,272,200) (48,810,882)
Net increase (decrease) in net assets resulting
from Fund share transactions 63,557,631 (8,415,650)
Total increase in net assets 100,177,989 8,308,335
NET ASSETS:
Beginning of period 239,006,317 230,697,982
End of period (including accumulated undistributed
net investment income of $1,105,348 and
$558,495, respectively) $ 339,184,306 $ 239,006,317
|
See accompanying notes to the financial statments.
GMO GROWTH ALLOCATION FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED FEBRUARY 28/29,
(UNAUDITED) 1995 1994 1993 1992 1991
NET ASSET VALUE, BEGINNING OF PERIOD $ 4.45 $ 4.14 $4.55 $ 5.82 $ 14.54 $ 12.64
Income from investment operations:
Net investment income (a) 0.04 0.06 0.06 0.07 0.19 0.25
Net realized and unrealized gain 0.74 0.38 0.11 0.17 1.63 2.61
Total from investment operations 0.78 0.44 0.17 0.24 1.82 2.86
Less distributions to shareholders:
From net investment income (0.03) (0.06) (0.06) (0.08) (0.23) (0.25)
From net realized gains (0.16) (0.07) (0.52) (1.43) (10.31) (0.71)
Total distributions (0.19) (0.13) (0.58) (1.51) (10.54) (0.96)
NET ASSET VALUE, END OF PERIOD $ 5.04 $ 4.45 $ 4.14 $ 4.55 $ 5.82 $ 14.54
TOTAL RETURN (B) 17.67% 10.86% 4.13% 3.71% 20.47% 24.24%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 339,184 $ 239,006 $ 230,698 $ 168,143 $ 338,439 $ 1,004,345
Net expenses to average
daily net assets (a) 0.48%* 0.48% 0.48% 0.49% 0.50% 0.50%
Net investment income to average
daily net assets (a) 1.65%* 1.50% 1.38% 1.15% 1.38% 1.91%
Portfolio turnover rate 30% 139% 57% 36% 46% 45%
* Annualized
(a) Net of fees and expenses voluntarily waived or borne by the Manager of less than $.01 per share
for each period presented.
(b) Calculation excludes subscription fees. The total returns would have been lower had certain
expenses not been waived during the periods shown.
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See accompanying notes to the financial statments.
GMO GROWTH ALLOCATION FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
AUGUST 31, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO Growth Allocation Fund (the "Fund") is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, non-diversified management investment company. The Trust was established as a Massachusetts Business Trust under the laws of the Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees to create an unlimited number of series ("Funds"), each of which issues a separate series of shares. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market quotations are available are valued at the last quoted sale price on each business day, or if there is no such reported sale, at the most recent quoted bid price. Unlisted securities for which market quotations are readily available are valued at the most recent quoted bid price. Short-term investments with a remaining maturity of sixty days or less are valued at amortized cost which approximates market value. Other assets and securities for which no quotations are readily available are valued at fair value as determined in good faith by the Trustees.
FUTURES CONTRACTS
The Fund may purchase futures contracts on the S&P 500 index. Stock index futures contracts represent commitments for future delivery of cash based upon the level of a specified index of equity securities at a given date. The Fund may use futures contracts to manage its exposure to the stock markets. Buying futures tends to increase the Fund's exposure to the underlying instrument. Selling futures tends to decrease the Fund's exposure to the underlying instrument or hedge other Fund instruments. Upon purchase of a futures contract, the Fund is required to deposit with its custodian, in a segregated account in the name of the futures broker, an amount of cash or U.S. government obligations in accordance with the initial margin requirements of the broker. Futures contracts are marked to market daily and an appropriate payable or receivable for the change in value ("variation margin") is recorded by the Fund. The payable or receivable is liquidated on the following business day. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Losses may arise from the changes in the value of the underlying instrument, if there is an illiquid secondary market for the contracts, or if counterparties do not perform under the contract terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. See Note 6 for all open futures contracts held as of August 31, 1995.
REPURCHASE AGREEMENTS
The Fund may enter into repurchase agreements with certain banks and broker/dealers whereby the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets remains sufficient to protect the Fund in the event of default by the seller. In connection with transactions in repurchase agreements, if the seller defaults, the value of the collateral declines or if the seller enters insolvency proceedings, realization of collateral by the Fund may be delayed or limited.
SECURITY LENDING
The Fund may lend its securities to certain member firms of the New York Stock Exchange. The loans are collateralized at all times with cash or securities with a market value at least equal to the market value of the securities on loan. As with other extensions of credit, the Fund may bear the risk of delay in recovery or even loss of rights in the collateral should the borrower of the securities fail financially. The Fund receives compensation for lending its securities. At August 31, 1995, the Fund loaned securities having a market value of $18,148,000 collateralized by cash in the amount of $18,509,500, which was invested in short-term instruments.
SWAP AGREEMENTS
The Fund may invest in swap agreements. A swap is an agreement to exchange the return generated by one instrument for the return generated by another instrument. The Fund enters into equity swap agreements which involve a commitment by one party in the agreement to pay interest in exchange for a market linked return based on a notional amount. To the extent that the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty, respectively. Equity swaps are marked to market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss in the Statement of Operations. Payments received or made at the end of the measurement period are recorded as realized gain or loss in the Statement of Operations. Entering into these agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that there is no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform, or that there may be unfavorable changes in the price of the security or index underlying these transactions. At August 31, 1995, there were no outstanding swap agreements.
TAXES
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. It is the policy of the Fund to distribute all of its taxable income, including any net realized gain on investments not offset by loss carryovers, to shareholders within the prescribed time periods. Therefore, no provision for federal income or excise tax is necessary. Taxes on foreign dividend income have been withheld in accordance with the applicable country's treaty with the United States.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment income and net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryover for federal income tax purposes. The Fund's present policy is to declare and pay distributions from net investment income quarterly, and net realized short-term and long-term capital gains at least annually. All distributions will be paid in shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions.
Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences are primarily due to differing treatments for redemptions in-kind.
Distributions in excess of tax basis earnings and profits will be reported in the Fund's financial statements as a return of capital. Furthermore, differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary over-distributions for financial statement purposes are classified as distributions in excess of net investment income or accumulated net realized gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an individual Fund. Expenses which are not readily identifiable to a specific Fund are allocated in such manner as deemed equitable by the Trustees, taking into consideration, among other things, the nature and type of expense and the relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is .17 % of the amount invested. The Manager may waive such premium to the extent that a transaction results in minimal brokerage and transaction costs to the Fund. All purchase premiums are paid to and recorded as paid-in capital by the Fund. For the six months ended August 31, 1995, the Fund received $98,213 in purchase premiums. There is no premium for cash redemptions, reinvested distributions or in-kind transactions.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the "Manager") for management and investment advisory services is paid monthly at the annual rate of .50% of average daily net assets. The Manager has agreed to waive a portion of its fee and bear other expenses until further notice to the extent that the Fund's annual expenses (including the management fee but excluding brokerage commissions and transfer taxes) exceed .48% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee during the six months ended August 31, 1995, was $643. No remuneration is paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the six months ended August 31, 1995, aggregated $153,363,380 and $85,231,458, respectively.
4. PRINCIPAL SHAREHOLDERS
At August 31, 1995, 51% of the outstanding shares of the Fund were held by four individual shareholders each holding in excess of 10% of the Fund's outstanding shares.
5. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number
of shares of beneficial interest (without par value). Transactions in Fund
shares were as follows:
Six Months Ended
August 31, 1995 Year Ended
(Unaudited) February 28, 1995
Shares sold 21,976,921 8,350,129
Shares issued to shareholders in reinvestment
of distributions 2,161,521 1,076,722
Shares repurchased (10,445,188) (11,444,911)
Net increase (decrease) 13,693,254 (2,018,060)
Fund shares:
Beginning of period 53,657,221 55,675,281
End of period 67,350,475 53,657,221
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6. FINANCIAL INSTRUMENTS
A summary of outstanding futures contracts at August 31, 1995, is as follows:
Number of Net Unrealized
Contracts Type Expiration Date Contract Value Appreciation
22 S&P 500 September 1995 $ 6,191,350 $ 14,379
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At August 31, 1995, the Fund has sufficient cash and/or securities to cover any commitments or margin on these contracts.
GMO U.S. SECTOR ALLOCATION FUND
(A SERIES OF GMO TRUST)
SEMI-ANNUAL REPORT
AUGUST 31, 1995
GMO U.S. SECTOR ALLOCATION FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
AUGUST 31, 1995 (UNAUDITED)
SHARES DESCRIPTION VALUE ($)
STOCK - 96.2%
AEROSPACE - 3.1%
46,993 Lockheed Martin 2,860,699
54,800 Raytheon Co 4,431,950
7,292,649
AUTOMOTIVE - 0.1%
4,100 Bandag Inc 243,438
BANKING AND FINANCIAL SERVICES - 6.6%
600 Bancorp Hawaii Inc 20,100
19,890 Bear Stearns Cos Inc 410,231
12,600 Beneficial Corp 618,975
3,350 Charles Schwab & Co 155,775
7,100 Chase Manhattan Corp 408,250
18,800 Chemical Banking Corp 1,095,100
54,200 Citicorp 3,597,525
46,400 Dean Witter Discover and Co 2,366,400
12,400 Edwards (A G) Inc 302,250
2,200 First Bank of America Corp 97,350
5,800 First Chicago Corp 367,575
25,000 Household International Inc 1,403,125
24,800 Morgan Stanley Group Inc 2,154,500
15,100 Student Loan Marketing Association 817,288
31,300 Travelers Inc 1,502,400
15,316,844
COMPUTER AND OFFICE EQUIPMENT - 2.6%
80,100 Micron Technology 6,157,688
COMPUTERS - 0.4%
22,700 Silicon Graphics * (a) 959,075
CONSTRUCTION - 0.1%
1,600 Vulcan Materials Inc 84,200
4,600 York International Corp 204,700
288,900
CONSUMER GOODS - 3.5%
26,800 Black and Decker Corp 867,650
6,400 Clorox Co 432,800
59,300 Eastman Kodak Co 3,417,163
12,000 International Flavors & Fragrances 574,500
19,100 Liz Claiborne 434,525
4,900 National Service Industries 142,100
7,900 Nike Inc Class B 731,738
14,000 Polaroid Corp 610,750
100 Premark International Inc 5,238
10,400 Reebok International Ltd 369,200
14,000 VF Corp 766,500
8,352,164
FOOD AND BEVERAGE - 12.7%
50,500 Anheuser-Busch Cos Inc 2,884,813
66,465 Archer Daniels Midland Co 1,104,981
12,300 Brown Forman Corp Class B 455,100
144,000 Coca-Cola Co 9,252,000
49,000 ConAgra Inc 1,855,875
17,000 CPC International Inc 1,068,875
9,300 Dean Foods Co 246,450
35,600 General Mills Co 1,837,850
50,800 Heinz (H J) Co 2,152,650
3,600 Hershey Foods Corp 215,550
7,700 Hormel (Geo A) and Co 184,800
7,900 IBP Inc 389,075
24,900 Kellogg Co 1,680,750
29,300 Pepsico Inc 1,325,825
55,700 Sara Lee Corp 1,545,675
4,700 Tyson Food Inc Class A 121,025
24,600 Unilever ADR 3,041,175
7,100 Universal Foods Corp 225,425
20,800 Whitman Corp 418,600
30,006,494
HEALTH CARE - 4.0%
600 Bausch & Lomb Inc (a) 23,850
42,700 Johnson & Johnson 2,946,300
34,400 Medtronic Inc 3,246,500
7,300 Rhone Poulenc Rorer Inc (a) 323,025
2,300 Tambrands Inc 103,213
42,300 Tenet Healthcare Corp * 671,513
39,900 Upjohn Co 1,690,738
11,100 Wellpoint Health Networks Class A * 330,225
9,335,364
INSURANCE - 6.0%
23,600 Aetna Life and Casualty Co 1,610,700
19,000 AFLAC Corp 776,625
2,900 Allmerica Property and Casualty 69,963
35,400 Allstate Corp 1,199,175
7,700 AMBAC Inc 325,325
37,600 American General Corp 1,325,400
16,900 AON Corp 659,100
4,600 Chubb Corp 419,750
12,700 Cigna Corp 1,228,725
1,300 CNA Financial Corp * 124,638
2,100 Geico Corp 143,325
1,600 Jefferson Pilot Corp 100,600
9,300 Loews Corp 1,221,788
900 Marsh & McLennan Cos Inc 74,138
5,000 MBIA Inc 340,000
2,600 MGIC Investment (a) 145,600
9,600 Old Republic International Corp 265,200
7,400 Provident Life and Accident Insurance Co Class B 193,325
11,400 Providian Corp 437,475
3,700 Safeco Corp (a) 239,113
25,300 St Paul Cos 1,372,525
18,100 Torchmark Corp (a) 724,000
10,900 Transamerica Corp 741,200
1,000 Transatlantic Holdings Inc 70,000
7,400 Twentieth Century Industries * 116,550
13,924,240
MACHINERY - 0.8%
9,100 Dover Corp 725,725
6,300 FMC Corp * (a) 485,100
18,500 Harnischfeger Industries 679,875
1,890,700
MANUFACTURING - 6.9%
124,100 Boeing Co 7,911,375
10,200 Crown Cork & Seal Inc * (a) 459,000
10,200 Danaher Corp 336,600
60,600 International Business Machines Corp 6,264,525
28,600 Pall Corp 625,625
14,100 Tenneco Inc 683,850
600 Textron Inc 41,100
16,322,075
OIL AND GAS - 5.4%
22,800 Amoco Corp 1,453,500
4,600 Atlantic Richfield Co 501,975
5,700 Cabot Corp 274,313
15,900 Chevron Corp 769,163
1,800 Columbia Gas Systems * 63,450
2,300 El Paso Natural Gas Co 64,688
59,500 Exxon Corp 4,090,625
400 FINA Inc Class A 18,500
17,500 Mobil Corp 1,666,875
600 Murphy Oil Corp 24,300
2,300 National Fuel Gas 64,688
6,700 Nicor Inc 171,688
2,400 Occidental Petroleum Corp 52,200
3,500 Peoples Energy Corp 95,375
16,300 Royal Dutch Petroleum Co ADR (a) 1,943,775
8,100 Texaco Inc 524,475
27,075 Williams Companies Inc 991,622
12,771,212
PAPER AND ALLIED PRODUCTS - 0.2%
5,900 Consolidated Papers Inc 356,950
4,000 Glatfelter (PH) Co 90,000
446,950
PHARMACEUTICALS - 12.3%
54,200 Abbott Laboratories 2,100,250
42,700 American Home Products Corp 3,287,900
60,798 Amgen Inc * 2,910,704
90,500 Bristol-Myers Squibb Co 6,210,563
64,200 Lilly (Eli) & Co 5,256,375
84,400 Merck & Co Inc 4,209,450
12,150 Mylan Laboratories (a) 277,931
86,600 Pfizer Inc 4,275,875
3,800 Schering-Plough Corp (a) 177,175
3,300 Warner Lambert Co 298,238
29,004,461
PRINTING AND PUBLISHING - 0.8%
16,600 Dun and Bradstreet Corp 960,725
4,200 McGraw Hill Inc 330,750
14,000 Readers Digest Association Inc (a) 647,500
1,938,975
REFINING - 0.3%
23,600 Ashland Inc 772,900
RETAIL TRADE - 1.9%
24,500 American Stores Co 719,688
13,000 Circuit City Stores Inc 448,500
4,200 Fruit of the Loom Inc * 98,700
28,500 Melville Corp 951,188
34,300 Rite Aid Corp 960,400
32,200 Walgreen Co 788,900
2,900 Weismarkets Inc 81,925
5,800 Winn Dixie 345,100
4,394,401
SERVICES - 1.2%
3,000 BHC Communications Inc Class A * 272,251
9,600 Capital Cities/ABC Inc 1,104,000
4,600 Fleming Cos 133,975
14,100 Gannett Co Inc 754,350
1,000 Kingworld Productions Inc * 38,000
3,300 Manpower Inc (a) 94,875
5,100 Omnicom Group 320,025
5,600 Supervalu Inc 165,900
2,883,376
TECHNOLOGY - 9.3%
45,000 3Com Corp * 1,755,000
36,700 Apple Computer 1,578,100
6,200 Avery Dennison Corp 254,200
24,700 Cisco Systems Inc * 1,620,938
29,200 Digital Equipment Corp * 1,219,100
90,100 Hewlett-Packard Inc 7,208,000
38,300 LSI Logic Corp * (a) 1,886,275
37,200 Microsoft Corp * 3,441,000
41,000 Novell Inc * 738,000
26,000 Sun Microsystems Inc * 1,504,750
15,500 Vishay Intertechnology Inc * 627,750
21,833,113
TELECOMMUNICATIONS - 3.5%
5,500 Alltel Corp 155,375
43,800 AT & T Corp 2,474,700
12,200 Bell Atlantic Corp 728,950
13,900 Bellsouth Corp 955,625
8,100 Cincinnati Bell Inc * 220,725
4,600 Frontier Corp 128,225
26,900 GTE Corp 985,213
11,800 Nynex Corp 531,000
11,900 Pacific Telesis Group 337,663
16,800 SBC Communications 850,500
9,800 Sprint Corp 347,900
13,200 US West Inc 574,200
8,290,076
TOBACCO - 2.1%
66,300 Philip Morris Cos Inc 4,947,638
UTILITIES - 12.4%
26,600 AES Corp * 492,100
35,800 Allegheny Power System Inc 872,625
42,800 American Electric Power Inc 1,460,550
15,400 Ameritech Corp 789,250
1,100 Atlanta Gas Light (a) 40,563
28,800 Baltimore Gas and Electric Co 756,000
6,400 Brooklyn Union Gas Co 160,800
1,400 California Energy Co Inc * 29,225
6,400 Carolina Power and Light Co 196,000
12,100 Centerior Energy Corp 130,075
40,700 Central & South West Corp 997,150
37,100 Cinergy Corp 950,688
4,500 Cipsco Inc 147,938
13,400 CMS Energy Corp 329,975
19,500 Consolidated Edison 550,875
1,900 Delmarva Power and Light Co 41,325
2,800 Destec Energy Inc * 44,450
34,800 Detroit Edison Co 1,065,750
20,500 Dominion Resources Inc 740,563
30,800 DPL Inc 685,300
10,450 DQE 249,494
36,000 Duke Power Co 1,462,500
16,800 Entergy Corp 403,200
15,700 Florida Progress Corp 476,888
20,200 FPL Group Inc 785,275
12,700 General Public Utilities 363,538
3,000 Hawaiian Electric Industry Inc 108,375
2,300 Houston Industries Inc 97,463
7,500 Idaho Power Co 197,813
2,400 IES Industries 60,600
6,900 Illinova Corp 173,363
3,100 Ipalco Enterprises Inc (a) 107,338
9,300 Kansas City Power and Light Co 208,088
2,300 Ku Energy Corp 62,675
3,100 LG&E Energy Corp 120,125
10,100 MCN Corp 188,113
8,500 Midamerican Energy Co 121,125
800 Minnesota Power & Light Co 21,500
12,600 Montana Power Co 277,200
8,100 Nevada Power Co 165,038
7,100 New England Electric System 248,500
4,100 New York State Electric and Gas Corp 98,913
11,200 Nipsco Industries Inc 366,800
15,200 Northern States Power Co 647,900
8,800 Oklahoma Gas and Electric Co (a) 311,300
30,000 Pacific Enterprises 720,000
1,200 Pacific Gas and Electric Co 34,500
92,000 PacifiCorp 1,667,500
46,300 Panhandle Eastern Corp 1,157,500
1,800 Portland General Electric Co 43,200
46,100 Potomac Electric Power Co 985,388
15,600 PP&L Resources Inc 341,250
23,300 Public Service of Colorado 754,338
10,200 Puget Sound Power and Light Co 220,575
9,600 Scana Corp (a) 223,200
126,200 Southern Co 2,665,975
4,700 Southwesten Public Service Co (a) 141,000
23,300 Teco Energy 503,863
2,900 UGI Corp (a) 61,988
12,200 Union Electric Co 434,625
4,500 Utilicorp United Inc 122,063
1,800 Washington Gas Light 34,425
13,300 Washington Water Power (a) 206,150
7,500 Western Resources Inc 226,875
31,400 Wisconsin Energy Corp 843,875
1,900 Wisconsin Power & Light Holding Co 54,150
900 WPS Resources Corp 25,988
29,272,754
TOTAL STOCK (Cost $182,756,114) 226,645,487
PAR VALUE SHORT-TERM INVESTMENTS - 6.8%
REPURCHASE AGREEMENT - 3.4%
$ 8,038,764 Salomon Brothers Repurchase Agreement, dated 8/31/95,
due 9/1/95, with a maturity value of $8,039,947 and an
effective yield of 5.30%, collateralized by U.S. Treasury
Obligations with rates ranging from 6.25% to 6.50%, with
maturity dates ranging from 4/30/97 to 8/15/23 and with an
aggregate market value of $8,212,390. 8,038,764
U.S. GOVERNMENT - 0.1%
300,000 U.S. Treasury Bill, 5.29% due 11/30/95 (b) 296,039
CASH EQUIVALENTS - 3.3%
3,224,803 Bank of Boston Time Deposit, 5.95% due 9/1/95 3,224,803
700,951 Dreyfus Cash Management Money Market Fund Plus, A Shares 700,951
630,023 Fleet Bank of Massachusetts Time Deposit, 5.95% due 9/1/95 630,023
1,238,423 National Westminster Time Deposit, 5.95% due 9/1/95 1,238,423
2,000,000 Prudential Securities Group, Inc. Master Note, 5.95% due 9/1/95 2,000,000
7,794,200
TOTAL SHORT-TERM INVESTMENTS (Cost $16,128,992) 16,129,003
TOTAL INVESTMENTS - 103.0%
(Cost $198,885,106) * * 242,774,490
Other Assets and Liabilities (net) - (3.0%) (6,982,603)
TOTAL NET ASSETS - 100.0% $ 235,791,887
NOTES TO THE SCHEDULE OF INVESTMENTS:
ADR American Depositary Receipt
(a) All or a portion of this security is on loan.
(b) This security is held as collateral for open futures contracts.
* Non-income producing security.
* * The aggregate identified cost for federal income tax purposes is $198,885,106,
resulting in gross unrealized appreciation and depreciation of $44,723,056
and $833,672, respectively, and net unrealized appreciation of $43,889,384.
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See accompanying notes to the financial statements.
GMO U.S. SECTOR ALLOCATION FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - AUGUST 31, 1995 (UNAUDITED)
ASSETS:
Investments, at value (cost $182,756,114) (Note 1) $ 226,645,487
Short-term investments, at value (cost $16,128,992) (Note 1) 16,129,003
Receivable for investments sold 1,219,247
Receivable for variation margin on open futures contracts 16,150
Dividends and interest receivable 698,345
Receivable for expenses waived or borne by Manager (Note 2) 17,325
Total assets 244,725,557
LIABILITIES:
Payable for investments purchased 992,871
Payable upon return of securities loaned (Note 1) 7,793,014
Payable to affiliate for management fee (Note 2) 95,522
Accrued expenses 52,263
Total liabilities 8,933,670
NET ASSETS (equivalent to $13.06 per share based on 18,053,484
shares outstanding, unlimited shares authorized) $ 235,791,887
NET ASSETS CONSIST OF:
Paid-in capital $ 179,513,557
Accumulated undistributed net investment income 1,536,450
Accumulated undistributed net realized gain 10,868,869
Net unrealized appreciation 43,873,011
NET ASSETS $ 235,791,887
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See accompanying notes to the financial statements.
GMO U.S. SECTOR ALLOCATION FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - SIX MONTHS ENDED AUGUST 31, 1995 (UNAUDITED)
INVESTMENT INCOME:
Dividends (net of withholding taxes of $19,788) $ 3,050,053
Interest (including securities lending income of $8,749) 244,449
Total income 3,294,502
EXPENSES:
Management fee (Note 2) 555,028
Custodian and transfer agent fees 55,217
Audit fees 23,499
Legal fees 4,008
Insurance 1,104
Registration fees 839
Trustee fee (Note 2) 459
Miscellaneous 186
Total expenses 640,340
Less: expenses waived or borne by Manager (Note 2) (96,639)
Net expenses 543,701
Net investment income 2,750,801
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments 11,528,271
Closed futures contracts 586,968
Closed swap contracts (64,087)
Net realized gain 12,051,152
Change in net unrealized appreciation (depreciation) on:
Investments 25,769,746
Open futures contracts (22,989)
Net unrealized gain 25,746,757
Net realized and unrealized gain 37,797,909
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 40,548,710
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See accompanying notes to the financial statements.
GMO U.S. SECTOR ALLOCATION FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED
(UNAUDITED) FEBRUARY 28, 1995
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 2,750,801 $ 4,975,763
Net realized gain 12,051,152 8,878,913
Change in net unrealized appreciation (depreciation) 25,746,757 925,826
Net increase in net assets resulting from operations 40,548,710 14,780,502
Distributions to shareholders from:
Net investment income (2,132,461) (4,670,650)
Net realized gains (1,086,252) (12,614,921)
(3,218,713) (17,285,571)
Fund share transactions: (Note 5)
Proceeds from sale of shares 2,225,087 47,339,037
Net asset value of shares issued to shareholders
in payment of distributions declared 833,727 5,887,140
Cost of shares repurchased (11,888,022) (10,457,780)
Net increase (decrease) in net assets resulting
from Fund share transactions (8,829,208) 42,768,397
Total increase in net assets 28,500,789 40,263,328
NET ASSETS:
Beginning of period 207,291,098 167,027,770
End of period (including accumulated undistributed
net investment income of $1,536,450 and
$918,110, respectively) $ 235,791,887 $ 207,291,098
|
See accompanying notes to the financial statements.
GMO U.S. SECTOR ALLOCATION FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED FEBRUARY 28/29,
(UNAUDITED) 1995 1994 1993*
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.06 $ 11.26 $ 10.38 $ 10.00
Income from investment operations:
Net investment income (a) 0.16 0.28 0.29 0.05
Net realized and unrealized gain 2.02 0.49 1.21 0.33
Total from investment operations 2.18 0.77 1.50 0.38
Less distributions to shareholders:
From net investment income (0.12) (0.27) (0.30) -
From net realized gains (0.06) (0.70) (0.32) -
Total distributions (0.18) (0.97) (0.62) -
NET ASSET VALUE, END OF PERIOD $ 13.06 $ 11.06 $ 11.26 $ 10.38
TOTAL RETURN (B) 19.81% 7.56% 14.64% 3.80%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 235,792 $ 207,291 $ 167,028 $ 169,208
Net expenses to average
daily net assets (a) 0.48%** 0.48% 0.48% 0.48%**
Net investment income to average
daily net assets (a) 2.42%** 2.61% 2.56% 3.20%**
Portfolio turnover rate 37% 101% 53% 9%
* For the period from January 4, 1993 (commencement of operations) to February 28, 1993.
** Annualized.
(a) Net of fees and expenses voluntarily waived or borne by the Manager of the following
per share amounts: $ 0.01 $ 0.01 $ 0.01 $ 0.01
(b) Calculation excludes subscription fees. The total returns would have been lower had certain
expenses not been waived during the periods shown.
|
See accompanying notes to the financial statements.
GMO U.S. SECTOR ALLOCATION FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
AUGUST 31, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO U.S. Sector Allocation Fund (the "Fund") is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, non-diversified management investment company. The Trust was established as a Massachusetts Business Trust under the laws of the Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees to create an unlimited number of series ("Funds"), each of which issues a separate series of shares. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market quotations are available are valued at the last quoted sale price on each business day, or if there is no such reported sale, at the most recent quoted bid price. Unlisted securities for which market quotations are readily available are valued at the most recent quoted bid price. Short-term investments with a remaining maturity of sixty days or less are valued at amortized cost which approximates market value. Other assets and securities for which no quotations are readily available are valued at fair value as determined in good faith by the Trustees.
FUTURES CONTRACTS
The Fund may purchase futures contracts on the S&P 500 index. Stock index futures contracts represent commitments for future delivery of cash based upon the level of a specified index of equity securities at a given date. The Fund may use futures contracts to manage its exposure to the stock markets. Buying futures tends to increase the Fund's exposure to the underlying instrument. Selling futures tends to decrease the Fund's exposure to the underlying instrument or hedge other Fund instruments. Upon purchase of a futures contract, the Fund is required to deposit with its custodian, in a segregated account in the name of the futures broker, an amount of cash or U.S. government obligations in accordance with the initial margin requirements of the broker. Futures contracts are marked to market daily and an appropriate payable or receivable for the change in commitment value ("variation margin") is recorded by the Fund. The payable or receivable is liquidated on the following business day. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Losses may arise from changes in the value of the underlying instrument, if there is an illiquid secondary market for the contracts, or if counterparties do not perform under the contract terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. See Note 6 for all open futures contracts held as of August 31, 1995.
REPURCHASE AGREEMENTS
The Fund may enter into repurchase agreements with certain banks and broker/dealers whereby the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets remains sufficient to protect the Fund in the event of default by the seller. In connection with transactions in repurchase agreements, if the seller defaults, the value of the collateral declines, or if the seller enters insolvency proceedings, realization of collateral by the Fund may be delayed or limited.
SECURITY LENDING
The Fund may lend its securities to certain member firms of the New York Stock Exchange. The loans are collateralized at all times with cash or securities with a market value at least equal to the market value of the securities on loan. As with other extensions of credit, the Fund may bear the risk of delay in recovery or even loss of rights in the collateral should the borrower of the securities fail financially. The Fund receives compensation for lending its securities. At August 31, 1995, the Fund loaned securities having a market value of $7,601,131, collateralized by cash in the amount of $7,794,200 which was invested in short-term instruments.
SWAP AGREEMENTS
The Fund may invest in swap agreements. A swap is an agreement to exchange the return generated by one instrument for the return generated by another instrument. The Fund entered into equity swap agreements which involve a commitment by one party in the agreement to pay interest in exchange for a market linked return based on a notional amount. To the extent that the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty, respectively. Equity swaps are marked to market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss in the Statement of Operations. Payments received or made at the end of the measurement period are recorded as realized gain or loss in the Statement of Operations. Entering into these agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that there is no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform, or that there may be unfavorable changes in the price of the security or index underlying these transactions. At August 31, 1995, there were no outstanding swap agreements.
TAXES
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. It is the policy of the Fund to distribute all of its taxable income, including any net realized gain on investments not offset by loss carryovers, to shareholders within the prescribed time periods. Therefore, no provision for federal income or excise tax is necessary. Taxes on foreign dividend income have been withheld in accordance with the applicable country's tax treaty with the United States.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment income and net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryover for federal income tax purposes. The Fund's present policy is to declare and pay distributions from net investment income quarterly, and net realized short-term and long-term capital gains at least annually. All distributions will be paid in shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions.
Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences are primarily due to differing treatments for partnership interests.
Distributions in excess of tax basis earnings and profits will be reported in the Fund's financial statements as a return of capital. Furthermore, differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary over-distributions for financial statement purposes are classified as distributions in excess of net investment income or accumulated net realized gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an individual Fund. Expenses which are not readily identifiable to a specific Fund are allocated in such manner as deemed equitable by the Trustees, taking into consideration, among other things, the nature and type of expense and the relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is .17% of the amount invested. The Manager may waive such premium to the extent that a transaction results in minimal brokerage and transaction costs to the Fund. All purchase premiums are paid to and recorded as paid-in capital by the Fund. For the six months ended August 31, 1995, the Fund received $1,106 in purchase premiums. There is no premium for cash redemptions, reinvested distributions or in-kind transactions.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the "Manager") for management and investment advisory services is paid monthly at the annual rate of .49% of average daily net assets. The Manager has agreed to waive a portion of its fee and bear other expenses until further notice to the extent that the Fund's annual expenses (including the management fee but excluding brokerage commissions and transfer taxes) exceed .48% of average daily net assets. In addition, the Fund's organizational expenses have been borne by the manager.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee during the six months ended August 31, 1995, was $459. No remuneration is paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the six months ended August 31, 1995, aggregated $80,211,766 and $92,452,889, respectively.
4. PRINCIPAL SHAREHOLDERS
At August 31, 1995, 84% of the outstanding shares of the Fund were held by three shareholders each holding in excess of 10% of the Fund's outstanding shares.
5. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number
of shares of beneficial interest (without par value). Transactions in Fund
shares were as follows:
Six Months Ended
August 31, 1995 Year Ended
(Unaudited) February 28, 1995
Shares sold 194,243 4,299,814
Shares issued to shareholders in
reinvestment of distributions 68,559 561,797
Shares repurchased (943,623) (957,241)
Net (decrease) increase (680,821) 3,904,370
Fund shares:
Beginning of period 18,734,305 14,829,935
End of period 18,053,484 18,734,305
|
6. FINANCIAL INSTRUMENTS A summary of outstanding futures contracts at August 31, 1995 is as follows:
Number of Net Unrealized
Contracts Type Expiration Date Contract Value Depreciation
19 S&P 500 September 1995 $ 5,347,075 $ (16,373)
|
At August 31, 1995, the Fund has cash and/or securities to cover any margin requirements on these contracts.
GMO CORE II SECONDARIES FUND
(A SERIES OF GMO TRUST)
SEMI-ANNUAL REPORT
AUGUST 31, 1995
GMO CORE II SECONDARIES FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
AUGUST 31, 1995 (UNAUDITED)
SHARES DESCRIPTION VALUE ($)
STOCK - 94.9%
ADVERTISING - 0.0%
200 Grey Advertising 37,000
AEROSPACE - 1.2%
9,900 AAR Corp 164,588
1,000 Curtiss Wright Corp 44,000
1,800 EDO Corp * 9,675
1,800 Hexcel Corp * 19,800
2,200 Hi-Shear Industries * 17,325
6,100 Logicon Inc 335,500
11,500 Rohr Inc * (a) 178,250
28,000 Thiokol Corp 976,500
7,300 United Industial Corp 47,450
3,500 Whittaker Corp * 68,250
1,861,338
AUTOMOTIVE - 0.8%
2,800 Bandag Inc 166,250
3,500 Breed Technologies Inc 66,938
2,600 Donnelly Corp 41,600
9,000 Oshkosh Truck 121,500
10,800 Smith (A O) Corp Class A 271,350
10,100 SPX Corp 152,763
10,500 Standard Products Corp 204,750
10,050 TBC Corp * 95,475
500 Trak Auto Corp * 7,750
4,600 Walbro Corp 105,225
1,233,601
BANKING AND FINANCIAL SERVICES - 7.2%
16,000 Alex Brown Inc 960,000
100 Amplicon Inc 1,675
600 Baldwin and Lyons Inc Class B 9,019
7,300 Banponce Corp 271,013
3,800 CCB Financial Corp 183,350
4,700 Centura Banks Inc 146,288
2,700 CMAC Investment Corp 136,350
31,700 Comdisco Inc (a) 966,850
6,600 Compass Bancshares 198,000
7,400 Deposit Guaranty Corp 292,300
5,200 Downey Financial Corp 113,750
9,800 Eaton Vance Corp 374,850
39,400 Edwards (A G) Inc 960,375
1,500 First Citizens Bancshares Class A 78,750
14,850 First Commerce Corp (a) 478,913
1,000 First Empire State Corp 183,000
3,300 First Hawaiian Inc 91,988
2,250 Firstmerit Corp 60,188
1,324 Glendale Federal Bank * 20,853
6,300 Inter-Regional Financial Group 201,600
4,300 Jefferies Group Inc 169,850
3,700 LDI Corp * 13,413
7,475 Legg Mason Inc 220,513
4,600 Mercantile Bankshares 122,475
300 Midland Co 13,425
12,100 Money Store Inc 794,063
8,850 Morgan Keegan Inc 101,775
700 NS Bancorp Inc 24,150
9,800 Piper Jaffrey Inc 142,100
6,400 Price (T Rowe) Associates Inc 304,000
14,613 Quick and Reilly Group 546,161
15,900 Raymond James Financial Corp 349,800
12,960 Southern National Corp 346,680
31,400 Standard Federal Bancorp 1,224,600
6,700 Star Banc Corp 355,100
3,300 Student Loan Group 98,175
4,000 Trustmark Corp 70,000
3,000 United Carolina Bancshares 105,000
7,700 Washington Federal Inc 179,025
1,600 Wilmington Trust Corp 48,800
10,958,217
CHEMICALS - 1.0%
400 Macdermid Inc 17,900
700 Quaker Chemical 10,675
1,300 Stepan Co 21,938
13,200 Vigoro Corp 580,800
35,300 Wellman Inc 900,150
1,531,463
CONSTRUCTION - 0.7%
10,500 Apogee Enterprises Inc 165,375
600 Christiana Cos * 15,300
300 Churchill Downs Inc 11,625
8,000 Crane Co 288,000
15,900 Del Webb 296,138
400 Florida Rock Industries 11,100
1,800 International Aluminium Corp 56,250
800 Keystone Construction Industy Inc * 11,700
700 Pitt-Des Moines 24,500
800 Pratt and Lambert Inc 17,800
1,600 Puerto Rican Cement Co 51,600
3,600 Wolohan Lumber Co 42,300
991,688
CONSUMER GOODS - 7.4%
11,300 Alberto Culver Co Class B 322,050
6,200 Armor All Products Corp 100,750
7,500 AT Cross 119,063
4,900 Beauticontrol Cosmetics Inc 55,738
33,000 Bed, Bath and Beyond Inc * (a) 901,313
6,600 Bic Corp 262,350
4,384 Block Drug Co Inc Class A 172,072
12,500 Church & Dwight Co Inc 285,938
6,900 Coleman Co Inc * (a) 260,475
3,300 Delta Woodside Industries 27,638
1,500 Fab Industries Inc 46,313
6,900 First Brands 301,013
4,200 Garan Inc 72,975
2,200 Guilford Mills 55,000
24,200 Gymboree Corp * (a) 719,950
8,300 Helene Curtis Industries 244,850
4,300 Johnson Worldwide Associates * 104,275
24,800 Jones Apparel Group Inc * 861,800
12,800 Jostens Inc 307,200
7,600 K Swiss Inc Class A 95,000
31,500 Kinetic Concepts Inc 283,500
13,810 Lancaster Colony Corp 479,898
35,400 Liz Claiborne 805,350
12,340 Natures Sunshine Products Inc 289,990
2,300 Oil Dri America Class A 36,225
15,700 Paragon Trade Brands Inc * 243,350
6,300 Polaroid Corp 274,838
6,500 Quiksilver Inc * 193,375
10,700 Russ Berrie and Co 155,150
12,400 Russell Corp 341,000
6,400 Springs Industries Inc 276,000
9,200 Starter Corp * 65,550
6,600 Sturm Ruger and Company Inc 222,750
6,500 Superior Surgical Manufacturing 69,063
10,500 The Men's Wearhouse Inc * 329,438
10,700 Topp Inc 64,200
4,000 Toro Corp 119,500
19,400 Tultex Corp * 118,825
24,600 Vicor Corp * 1,156,200
5,900 WD 40 Co 253,700
1,000 Weyco Group 36,750
1,900 WH Brady Co Class A 138,700
11,269,115
ENVIRONMENTAL CONTROL - 0.1%
7,700 Calgon Carbon Corporation 87,588
FOOD AND BEVERAGE - 4.3%
1,200 Alico Inc 21,600
41,200 Bob Evans Farms 736,450
5,700 Canadnaigua Wine Co Class B * 272,175
22,800 Dean Foods Co 604,200
200 Farmer Brothers Co 25,000
13,500 Flowers Industries Inc 278,438
1,100 Golden Poultry Co 6,463
14,700 Great Atlantic & Pacific Tea Co 417,113
9,800 IBP Inc 482,650
900 Imperial Holly Inc 7,875
20,600 International Multifoods Corp 463,500
6,000 JM Smucker Co 126,000
7,400 Lance Inc 133,200
7,400 Luby's Cafeteria Inc 147,075
7,100 Pilgrims Pride Corp 55,913
17,100 Quality Food Centers Inc 423,225
2,300 Riser Foods Inc Class A * 25,588
41,500 Ryans Family Steak House * 311,250
7,900 Sanderson Farms Inc 92,825
10,500 Savannah Foods and Industries Inc 112,875
100 Seaboard Corp 25,000
10,800 Showbiz Pizza Time * 137,193
19,300 Smith Food and Drug Center Class B 364,288
2,900 Tasty Baking 39,513
3,800 Thorn Apple Valley 70,775
5,860 Tootsie Roll Industries Inc 233,668
5,800 United Foods Inc Class B * 12,325
22,925 Universal Foods Corp 727,869
2,925 Uno Restaurant Corp * 23,034
13,950 WLR Foods Inc 184,838
6,561,918
HEALTH CARE - 8.8%
18,200 Acuson Corp * 238,875
15,200 Adac Laboratories 174,800
18,300 Ballard Medical Products 263,063
5,500 Beckman Instruments Inc 157,438
3,300 Bergen Brunswig Corp Class A 68,888
1 Beverly Enterprises Inc * 7
10,100 Bindley Western Industries Inc 155,288
3,900 BioMet Inc * 62,888
7,700 Bio-Rad Laboratories Inc Class A * 294,525
4,300 Circon Corp * 80,088
6,000 Conmed Corp 177,000
9,600 Cordis Corp * 741,600
12,100 Datascope Corp * 254,100
6,900 Diagnostic Prods Corp 265,650
42,100 FHP Group * (a) 1,041,975
12,500 HBO and Co 687,500
43,000 Health Care Compare * (a) 1,617,875
4,000 Healthcare Services Group Inc * 44,500
17,700 Healthsource * (a) 708,000
7,760 Hillhaven Corp * 216,310
2,900 Life Technologies Inc 68,875
2,900 Lincare Holdings Inc * 86,638
2,400 Lunar Corp * 69,000
7,300 Marquette Electronics Class A * 123,188
12,100 Med-Chem Products Inc * 110,413
9,300 Mentor Corp 355,725
15,400 Nellcor Inc * 800,800
14,500 Ren Corp * 280,938
11,200 Research Industries Corp * 298,200
11,700 Respironics Inc * (a) 207,675
1,600 Seafield Capital Corp 56,000
8,900 Sofamor Denek Group Inc * 220,275
7,600 Spacelabs Medical Inc * 198,550
47,200 Surgical Care Affiliates 1,032,500
5,100 Tecnol Medical Products Inc * 92,438
9,100 Tokos Medical Corp * 98,963
16,000 Utah Medical Products Inc * 248,000
32,750 Vencor Inc * (a) 970,149
14,700 Vital Sign Inc 281,138
3,000 Vitalink Pharmacy Services * 44,250
16,100 Vivra Inc * 533,313
13,427,398
INSURANCE - 7.9%
2,468 Alleghany Corp 417,709
29,000 Allmerica Property and Casualty 699,626
7,700 AMBAC Inc 325,325
17,400 American Bankers Insurance Group 604,650
2,749 American Heritage Life Investments 55,324
2,000 American National Insurance 114,750
11,200 Argonaut Group Inc 341,600
2,700 Avemco Corp 43,538
900 Bankers Life Holding Corp 17,100
6,000 Capital Re Corp 171,000
5,300 Capitol American Financial Corp 120,575
4,800 Citizens Corp 91,800
2,300 Crawford and Co 35,650
4,200 Delphi Financial Group Inc * 75,600
11,200 Enhance Financial Services Group Inc 226,800
800 EW Blanch Holdings Inc 14,578
952 First American Financial Corp 22,848
1,700 Foremost Corporation of America 68,000
15,110 Fremont Gen Corp 411,748
7,863 Frontier Insurance Group Inc 228,027
12,759 Gainsco Inc 120,413
6,800 Gallagher (Arthur J) and Co 249,900
3,800 Guaranty National Corp 66,975
5,700 Hilb Rogal and Hamilton Co 75,525
2,800 Home Beneficial Corp Class B 65,100
12,700 Horace Mann Educators 360,363
6,400 Independent Insurance Group 161,600
6,100 Integon Corp (a) 103,700
3,600 John Alden Financial Corp 75,600
1,900 Kansas City Life Insurance Co 94,050
8,600 Liberty Corp 283,800
9,000 Life Re Corp 181,125
3,200 Markel Corp * 217,600
9,800 National Re Corp 311,150
14,700 Old Republic International Corp 406,088
4,200 Orion Capital 176,400
9,500 Penncorp Financial Group Inc 216,125
22,700 Presidential Life Corp 198,625
23,100 Protective Life Corp 658,350
13,800 Provident Life and Accident Insurance Co Class B 360,525
8,100 Reinsurance Group of America 273,375
24,439 Reliastar Financial Corp 928,682
4,875 RLI Corp 109,688
4,400 Scor U S Corp 48,400
7,700 Selective Insurance Group 263,725
7,100 Transatlantic Holdings Inc 497,000
2,900 Twentieth Century Industries * 45,675
8,720 United Cos Financial Corp 542,820
14,650 USLIFE Corp 631,781
5,200 Zenith National Insurance Corp 118,950
11,929,358
MACHINERY - 1.8%
30,400 Ametek Inc 532,000
5,600 Applied Power Inc Class A 185,500
1,700 Baldwin Technology Co Inc Class A * 10,306
5,900 Cascade Corp 91,450
3,850 Commercial Intertech Corp 77,481
700 Gleason Corp 23,450
1,250 Gorman Rupp Co 18,594
3,850 Graco Inc 117,906
6,450 Idex Corp 259,613
6,900 Kaydon Corp 210,450
1,000 Lindsay Manufacturing Co * 34,500
15,900 Presstek Inc * (a) 822,825
5,100 Regal Beloit Corp 95,625
4,700 Tecumseh Products Co Class B 216,347
2,100 Tennant Co 56,175
2,752,222
MANUFACTURING - 4.3%
11,100 Alliant Techsystems Inc * 521,700
400 American Biltrite Inc 9,000
34,300 Ball Corp 1,166,200
2,400 Barnes Group Inc 99,000
3,400 Blessings Corp 42,925
14,700 BMC Industries 543,900
12,300 BW/IP Inc 219,863
4,900 Carlisle Corp 200,288
7,000 Carlisle Plastics Inc * 33,250
2,500 CSS Industries Inc * 46,563
7,300 Danaher Corp 240,900
21,700 Figgie International Class A * 279,388
25,700 Gibson Greetings Inc 369,438
1,400 Greif Brothers Corp 30,450
17,900 Kaman Corp Class A 214,800
4,100 Katy Industries Inc 38,950
2,700 Kysor Industrial Corp 58,050
2,600 Liqui-Box Corp 77,350
300 Mine Safety Appliances 15,900
6,545 Myers Industries 94,903
5,600 O'Sullivan Corp 61,600
5,800 Paxar Corp * 106,575
6,100 PEC Isreal Economic Corp * 156,313
200 Penn Engineering & Manufacturing Corp 19,200
10,400 Sealed Air Corp * 548,600
5,700 Sealright Inc 74,100
3,700 Sequa Corp Class A * 98,513
1,200 SPS Technologies Inc * 46,800
6,700 Standex International Corp 227,800
1,400 Starrett (L S) Co Class A 32,200
9,800 Synetic Inc * 219,275
9,600 Teledyne Inc 228,000
5,300 Tredegar Industries 162,313
3,900 Tyler Corp * 10,238
200 Versa Technologies 2,900
6,200 West Co Inc 185,225
6,482,470
OIL AND GAS - 2.2%
1,200 Atwood Oceanics Inc * 25,744
4,600 Bay State Gas Co 108,100
7,800 Berry Petroleum Class A 76,050
8,700 Cabot Corp 418,688
2,800 Cascade Natural Gas 39,550
3,600 Connecticut Natural Gas Corp 79,200
1,900 Crown Central Petroleum Class A * 30,400
3,300 Daniel Industries 50,738
1,400 El Paso Natural Gas Co 39,375
1,450 Equitable Resources Inc 40,419
800 FINA Inc Class A 37,000
7,600 Giant Industries Inc 79,800
2,700 Hondo Oil & Gas Co * (a) 54,000
1,500 Howell Corp 24,000
8,300 Indiana Energy Inc 172,225
11,300 Indresco Inc * 189,275
4,750 K N Energy 124,094
4,200 Laclede Gas Co 83,475
2,800 Madison Gas & Electric Co 92,400
9,100 National Fuel Gas 255,938
1,950 North Carolina Natural Gas 42,656
4,700 Northwest Natural Gas Co 145,700
8,400 Peoples Energy Corp 228,900
8,200 Piedmont Natural Gas Co 167,075
2,729 Southeastern Mich Gas Entrprise 52,524
5,400 Southern Indiana Gas & Electric 170,775
14,100 Ultramar Corp 333,113
3,200 United Cities Gas Co 49,600
7,700 Washington Energy 128,013
3,338,827
PAPER AND ALLIED PRODUCTS - 0.0%
100 American Filtona 3,050
PHARMACEUTICALS - 1.5%
10,700 AL Pharma Inc Class A 224,700
3,100 Allergan Inc 94,163
2,600 Copley Pharmaceutical Inc * 46,800
28,800 Genzyme Corp * (a) 1,609,200
13,804 ICN Pharmaceuticals Inc 279,524
2,100 Watson Pharmaceutical Inc * (a) 86,888
2,341,275
PRIMARY PROCESSING - 0.9%
5,300 Dexter Corp 131,175
2,500 Lea Ronal Inc 56,875
12,200 Lydall Inc * 291,275
3,000 NCH Corp 171,750
1,600 Olin Corp 103,400
2,700 Petrolite Corp 69,525
22,200 UNR Industries Inc 174,825
8,600 Valspar 344,000
1,342,825
PRINTING AND PUBLISHING - 1.0%
8,400 Central Newspapers Class A 238,350
11,500 Houghton Mifflin Co (a) 562,063
5,900 McClatchy Newspapers Inc 132,013
3,700 Plenum Publishing 131,350
6,800 Pulitzer Publishing Co 329,800
3,100 Wiley (John) and Sons Class A 175,538
1,569,114
REFINING - 1.6%
3,700 Ashland Coal 106,838
29,500 Diamond Shamrock Inc 785,438
4,700 Getty Petroleum Corp * 58,750
6,600 Holly Corp 149,325
5,900 Quaker State Corp 88,500
33,900 Tosco Corp 1,089,038
8,100 Valero Energy Corp 185,288
1,400 Vintage Petroleum Inc 28,000
2,491,177
RETAIL TRADE - 10.8%
24,150 Arbor Drugs Inc 452,813
4,525 Arctco Inc 61,653
7,600 Baker (J) Inc 67,450
4,800 Blair Corp 160,200
46,000 Bruno's Inc 477,250
3,100 Buckle (The) Inc * 51,150
17,800 Burlington Coat Factory Warehouse * 213,600
17,700 Caldor Inc * (a) 137,175
26,700 Casey's General Stores Inc 537,338
9,700 Claire's Stores Inc 209,763
11,800 CPI Corp 237,475
5,000 Crown Books * 45,000
700 Dart Group Corp Class A 58,188
4,700 Deb Shops Inc 17,038
4,000 Delchamps Inc 76,000
7,100 Designs Inc * 62,388
19,400 Dress Barn Inc * 184,300
4,000 Edison Brothers Stores Inc 13,000
18,700 Egghead Inc * 224,400
1,900 Express Scripts Inc Class A * 70,300
30,100 Family Dollar Stores 549,325
39,000 Fastenal Co (a) 1,287,000
10,000 Fay's Inc 80,000
13,000 General Host Corp * 81,250
3,380 Genovese Drug Stores Inc Class A 35,068
13,100 Giant Food Inc Class A 407,738
18,400 Good Guys Inc * 232,300
12,000 Goody's Family Clothing 168,000
17,200 Hancock Fabrics Inc 180,600
19,400 Hannaford Brothers Co 497,125
3,400 Hi-Lo Automotive Inc * 27,200
11,000 House of Fabrics * (a) 8,250
3,600 Ingles Markets 37,350
2,700 Intertan * (a) 24,975
16,000 Lands' End Inc * 278,000
1,200 La-Z-Boy Chair Co 34,050
18,400 Lechters Inc * 193,200
5,300 Lillian Vernon Corp 85,463
13,900 Longs Drugstores Corp (a) 514,300
25,900 MacFrugals Bargains Close Outs Inc * 433,825
11,600 Mercantile Stores 532,150
27,000 Micro Warehouse Inc * (a) 1,289,250
900 National Presto Industry * 38,250
1,500 Oshmans Sporting Goods * 19,125
800 Penn Traffic Co * 13,400
4,800 Phillips Van Heusen 70,800
25,300 Pier 1 Imports Inc 234,025
7,900 Proffitts Inc * 208,363
1,400 Richfood Holdings Inc 33,863
11,400 Rite Aid Corp 319,200
5,300 Ross Stores Inc 84,800
8,000 Ruddick Corp 214,000
11,000 Shopko Stores Inc 138,875
7,200 Smart & Final Inc 125,100
51,100 Southland Corp * 191,625
16,700 Stanhome Inc 517,700
55,725 Staples Inc * 1,427,953
3,200 Stein Mart Inc * 44,000
5,660 Strawbridge and Clothier Class A 103,295
14,600 Stride Rite Corp 164,250
6,000 Sun Television & Appliance 39,375
3,900 Syms Corp * 33,638
18,300 The Vons Co Inc * 409,463
11,600 Tiffany & Co 495,900
2,100 Trans World Entertainment Corp * 6,825
22,700 Tyco Toys Inc * 150,388
12,100 Value City Department Stores Inc * 92,263
15,600 Venture Stores Inc 91,650
26,300 Waban Inc * (a) 496,413
5,500 Weismarkets Inc 155,375
5,400 Younkers Inc * 93,150
16,345,964
SERVICES - 8.6%
4,100 ABM Industries Inc 105,575
12,300 Advo Inc 229,088
9,100 Allwaste * 48,913
11,100 American Business Information 210,900
17,700 American Media Inc Class A 106,200
3,600 Anthony Industries 72,450
3,900 Aquarion Co 90,188
8,900 Banta Corp 349,325
22,400 Belo (AH) Corp 786,800
1,200 Berlitz International Inc * 17,700
1,500 BET Holdings Inc Class A * 27,563
6,200 Borg-Warner Security Corp * 52,700
11,800 Bowne and Co Inc 213,875
3,100 C C H Inc 68,588
2,700 CACI International Inc Class A * 33,413
1,800 California Water Service Co 55,800
15,250 Casino America Inc * 221,125
1,550 Castle AM 33,713
9,700 CDI Corp * 195,213
5,300 Chemed Corp 186,825
18,629 Chris Craft Industries Inc 838,304
10,950 Concord EFS Inc 312,075
8,800 Dames and Moore Inc 123,200
8,800 Devon Group Inc * 353,100
3,900 Devry Inc 86,288
30,000 Electro Rent Corp 510,000
2,500 E-Town Corp 67,188
28,600 Fleming Cos 832,975
8,800 Flightsafety International Inc 390,500
6,400 GRC International Inc * 156,800
40,300 Handleman Co 382,850
24,900 Harland (JH) Co 550,913
2,700 Horsehead Resources * 16,538
8,700 Ideon Group 92,438
15,600 International Dairy Queen Inc Class A * 329,550
2,600 International Shipholding Corp 64,025
500 IWC Resources Corp 9,500
5,000 Jenny Craig Inc * 47,500
2,500 Kellwood Co 51,563
6,100 Kelly Services 175,375
2,200 Kingworld Productions Inc * 83,600
11,600 Lee Enterprises Inc 459,650
400 Marcus Corp 12,600
7,700 McGrath Rentcorp 130,900
19,000 Mid American Waste Systems Inc * 102,125
3,000 Morningstar Group Inc * 25,875
7,500 Nash Finch Co 151,875
14,700 National Auto Credit Inc * 213,150
11,800 Nelson (Thomas) Inc (a) 300,900
5,600 Pacific Telecom Inc 167,300
15,600 PHH Corp 680,550
4,700 Philadelphia Suburban Corp 84,600
6,700 Republic Waste Industries * (a) 142,375
13,950 Rollins Inc 333,056
1,200 Roto Rooter Inc 37,200
2,000 Sevenson Environmental Services 35,000
7,900 Sizzler International Inc 47,400
13,500 Sonic Corp 276,750
6,000 Super Food Services Inc 79,500
1,400 Technology Solutions * 22,295
14,800 Tetra Technologies Inc * 205,350
2,800 Total System Services Inc 54,600
9,700 True North Communications Inc 208,550
4,300 Unifirst Corp 59,663
2,500 United Television Inc 211,250
7,248 United Water Resources Inc 94,224
1,000 Vallen Corp * 18,550
1,200 Volt Information Sciences Inc * 43,350
2,500 Wackenhut Corp 35,938
9,000 Western Waste Industries * 203,625
13,018,437
TECHNOLOGY - 13.6%
6,600 American Business Products 124,575
8,750 American Management Systems Inc 223,125
600 Aydin Corp * 10,050
8,000 Balder Electric 279,000
5,500 Brooktree Corp * 100,650
11,900 Burr Brown Corp 392,700
49,200 Cadence Design Systems Inc * (a) 1,783,500
5,000 Checkpoint Systems Inc * 120,000
17,300 Chips & Technology Inc * 237,875
6,300 Coherent Inc * 223,650
1,800 Cohu Inc 52,290
24,400 Comverse Technology Inc * 488,000
11,100 Continuum Co * 402,375
1,100 CTS Corp 34,788
1,600 Cubic Corp 38,600
47,900 Cypress Semiconductor Corp * (a) 2,185,438
5,400 Dell Computer Corp * 415,800
12,100 Digi International Inc * 341,825
2,000 Digital Systems International Inc * 20,000
5,700 Dionex Corp * 289,275
7,800 Donaldson Co Inc 197,925
3,200 Duplex Product * 22,800
2,200 Dynamics Corp of America 51,975
16,500 Dynatech Corp 330,000
9,800 Electro Scientific Industries * 330,750
9,600 Ennis Business Forms 124,800
3,200 Esterline Corp * 87,600
7,400 Exabyte * 111,925
4,300 Intersolv Inc * 84,925
17,800 Iomega Corp * (a) 422,750
13,100 Ionics Inc * (a) 515,813
9,300 Key Tronic Corp * 141,825
20,000 Kulicke & Soffa Industries 777,500
2,000 Landauer Inc 36,500
5,700 Lattice Semiconductor * 187,388
22,000 LTX Corp * 250,250
7,400 Marcam Corp * 83,250
46,100 Mentor Graphics Corp * 887,425
2,300 Microdyne Corp * 49,738
500 MTS Systems Corp 14,313
9,000 National Computer System Inc 184,500
13,500 Phoenix Technology Ltd * 146,813
18,500 Picturetel Corp * 1,040,625
7,300 Policy Management System Corp * 361,350
5,700 Printronix Inc * 163,875
22,000 Shared Medical 811,250
31,800 Silicon Valley Group Inc * 1,367,400
3,800 Stratus Computer Inc * 106,400
42,700 Symantec * (a) 1,232,963
21,900 System Software Associates Inc (a) 691,219
900 Tech System Corp * 26,213
1,200 Technitrol 20,400
1,600 Tekelec * 37,200
20,100 Trimble Navigation Ltd * 645,713
17,810 Vishay Intertechnology Inc * 721,305
19,900 X-Rite Inc 393,025
20,423,219
TOBACCO - 0.0%
900 Culbro Corp * 32,513
TRANSPORTATION - 0.6%
16,800 Air Express International Corp (a) 382,200
6,700 Expeditors International Wash Inc 155,775
10,300 Harper Group Inc 185,400
900 Oglebay Norton Co 31,050
7,500 Swift Transportation Co * 148,125
4,000 Worldcorp Inc * 48,000
950,550
UTILITIES - 8.6%
100 AES Corp * 1,850
14,300 American Water Works Co 427,213
11,100 Atlanta Gas Light (a) 409,313
15,100 Atlantic Energy Inc 286,900
4,600 Atmos Energy Corp 91,425
4,900 Black Hills Corp 118,825
8,100 Boston Edison Co 207,563
14,700 Brooklyn Union Gas Co 369,338
14,100 California Energy Co Inc * 294,338
14,300 Centerior Energy Corp 153,725
9,600 Central Hudson Gas & Electric 266,400
8,600 Central Louisiana Electric Inc 210,700
20,400 Central Maine Power 234,600
5,650 Central Vermont Public Service 77,688
4,900 Cilcorp Inc 175,175
1 Cinergy Corp 10
10,700 Cipsco Inc 351,763
2,400 Colonial Gas Co 46,800
4,900 Commonwealth Energy Systems 199,063
3,200 Connecticut Energy Corp 62,000
6,400 Delmarva Power and Light Co 139,200
24,600 Destec Energy Inc * 390,525
9,200 Eastern Enterprises 281,750
11,400 Eastern Utilities Associates 266,475
5,200 Empire District Electric Co 92,300
4,600 Energen Corp 100,625
1,300 Green Mountain Power Corp 34,125
9,000 Hawaiian Electric Industry Inc 325,125
10,600 Idaho Power Co 279,575
9,000 IES Industries 227,250
3,200 Interstate Power Co 78,400
9,200 Ku Energy Corp 250,700
1,400 LG&E Energy Corp 54,250
24,900 MCN Corp 463,763
6,600 MDU Resources Group Inc 199,650
24,482 Midamerican Energy Co 348,869
10,000 Minnesota Power & Light Co 268,750
15,700 Nevada Power Co 319,888
6,200 New Jersey Resources Corp 148,800
800 New York State Electric and Gas Corp 19,300
2,100 Northwestern Public Service Co 52,763
2,400 NUI Corporation 36,300
4,500 Orange and Rockland Utilities 147,938
4,000 Otter Tail Power Co 133,000
2,000 Pennsylvania Enterprises Inc 63,500
28,900 Portland General Electric Co (a) 693,600
7,000 Public Service Co of North Carolina 106,750
28,100 Public Services Co of New Mexico * 428,525
24,700 Rochester Gas and Electric Corp 549,575
14,100 Sierra Pacific Resources 303,150
2,800 South Jersey Industries 55,650
4,400 Southern California Water Co 79,200
1,200 St Joseph Light & Power 35,550
4,300 TNP Enterprises Inc 73,100
52,100 Tucson Electric Power Co * 156,300
12,000 UGI Corp (a) 256,500
6,700 United Illuminating Co 224,450
3,900 Utilicorp United Inc 105,788
13,900 Washington Gas Light 265,838
18,600 Washington Water Power (a) 288,300
5,200 Wicor Inc 152,750
9,500 Wisconsin Power & Light Holding Co 270,750
7,500 WPS Resources Corp 216,563
2,600 Yankee Energy System Inc 54,275
13,024,124
TOTAL STOCK (Cost $125,745,702) 144,004,451
PAR VALUE SHORT-TERM INVESTMENTS - 18.9%
REPURCHASE AGREEMENT - 4.2%
$ 6,399,278 Salomon Brothers Repurchase Agreement, dated 8/31/95,
due 9/1/95, with a maturity value of $6,400,220 and an
effective yield of 5.30%, collateralized by U.S. Treasury
Obligations with rates ranging from 6.25% to 6.50%, with
maturity dates ranging from 4/30/97 to 8/15/23 and with an
aggregate market value of $6,537,493. 6,399,278
U.S. GOVERNMENT - 0.1%
150,000 U.S. Treasury Bill, 5.29% due 11/30/95 (b) 148,020
CASH EQUIVALENTS - 14.6%
6,645,092 Bank of Boston Time Deposit, 5.95% due 9/1/95 6,645,092
1,996,180 Dreyfus Cash Management Money Market Fund Plus, A Shares, 1,996,180
1,794,188 Fleet Bank of Massachusetts Time Deposit, 5.95% due 9/1/95 1,794,188
6,760,989 National Westminster Time Deposit, 5.95% due 9/1/95 6,760,989
5,000,000 Prudential Securities Group, Inc. Master Note, 5.95% due 9/1/95 5,000,000
22,196,449
TOTAL SHORT-TERM INVESTMENTS (Cost $28,743,742) 28,743,747
TOTAL INVESTMENTS - 113.8%
(Cost $154,489,444) * * 172,748,198
Other Assets and Liabilities (net) - (13.8%) (20,995,634)
TOTAL NET ASSETS - 100.0% $ 151,752,564
NOTES TO THE SCHEDULE OF INVESTMENTS:
ADR American Depositary Receipt
(a) All or a portion of this security is on loan.
(b) This security is held as collateral for open futures contracts.
* Non-income producing security.
* * The aggregate identified cost for federal income tax purposes is $154,489,444,
resulting in gross unrealized appreciation and depreciation of $21,734,816
and $3,476,062, respectively, and net unrealized appreciation of $18,258,754.
|
See accompanying notes to the financial statements.
GMO CORE II SECONDARIES FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - AUGUST 31, 1995 (UNAUDITED)
ASSETS:
Investments, at value (cost $125,745,702) (Note 1) $ 144,004,451
Short-term investments, at value (cost $28,743,742) (Note 1) 28,743,747
Receivable for investments sold 2,686,481
Receivable for variation margin on open futures contracts 11,253
Dividends and interest receivable 256,537
Receivable for expenses waived or borne by Manager (Note 2) 18,332
Total assets 175,720,801
LIABILITIES:
Payable for investments purchased 1,704,601
Payable upon return of securities loaned (Note 1) 22,190,110
Payable to affiliate for management fee (Note 2) 63,037
Accrued expenses 10,489
Total liabilities 23,968,237
NET ASSETS (equivalent to $14.92 per share based on 10,171,408
shares outstanding, unlimited shares authorized) $ 151,752,564
NET ASSETS CONSIST OF:
Paid-in capital $ 111,866,948
Accumulated undistributed net investment income 672,908
Accumulated undistributed net realized gain 20,882,092
Net unrealized appreciation 18,330,616
NET ASSETS $ 151,752,564
|
See accompanying notes to the financial statements.
GMO CORE II SECONDARIES FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - SIX MONTHS ENDED AUGUST 31, 1995 (UNAUDITED)
INVESTMENT INCOME:
Dividends $ 1,373,929
Interest (including securities lending income of $48,040) 279,414
Total income 1,653,343
EXPENSES:
Management fee (Note 2) 411,465
Custodian and transfer agent fees 51,897
Audit fees 24,678
Registration fees 4,115
Legal fees 2,835
Insurance 831
Trustee fee (Note 2) 368
Miscellaneous 188
Total expenses 496,377
Less: expenses waived or borne by Manager (Note 2) (101,368)
Net expenses 395,009
Net investment income 1,258,334
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on:
Investments 19,661,163
Closed futures contracts 1,928,883
Net realized gain 21,590,046
Change in net unrealized appreciation (depreciation) on:
Investments 1,296,051
Open futures contracts (467,840)
Net unrealized gain 828,211
Net realized and unrealized gain 22,418,257
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 23,676,591
|
See accompanying notes to the financial statements.
GMO CORE II SECONDARIES FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED
(UNAUDITED) FEBRUARY 28, 1995
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 1,258,334 $ 2,687,380
Net realized gain 21,590,046 14,687,241
Change in net unrealized appreciation (depreciation) 828,211 (8,564,992)
Net increase in net assets resulting from operations 23,676,591 8,809,629
Distributions to shareholders from:
Net investment income (1,292,502) (2,478,510)
Net realized gains (7,978,894) (13,249,265)
(9,271,396) (15,727,775)
Fund share transactions: (Note 5)
Proceeds from sale of shares 9,772,620 106,039,496
Net asset value of shares issued to shareholders
in payment of distributions declared 7,823,368 13,476,187
Cost of shares repurchased (116,029,266) (28,102,815)
Net increase (decrease) in net assets resulting
from Fund share transactions (98,433,278) 91,412,868
Total increase (decrease) in net assets (84,028,083) 84,494,722
NET ASSETS:
Beginning of period 235,780,647 151,285,925
End of period (including accumulated undistributed
net investment income of $672,908 and
$707,076, respectively) $ 151,752,564 $ 235,780,647
|
See accompanying notes to the financial statements.
GMO CORE II SECONDARIES FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED FEBRUARY 28/29,
(UNAUDITED) 1995 1994 1993 1992*
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.61 $ 14.31 $ 12.68 $ 11.12 $ 10.00
Income from investment operations:
Net investment income (a) 0.14 0.20 0.21 0.22 0.04
Net realized and unrealized gain 2.11 0.34 2.14 1.59 1.08
Total from investment operations 2.24 0.54 2.35 1.81 1.12
Less distributions to shareholders:
From net investment income (0.11) (0.20) (0.22) (0.21) -
From net realized gains (0.82) (1.04) (0.50) (0.04) -
Total distributions (0.93) (1.24) (0.72) (0.25) -
NET ASSET VALUE, END OF PERIOD $ 14.92 $ 13.61 $ 14.31 $ 12.68 $ 11.12
TOTAL RETURN (B) 17.03% 4.48% 18.97% 16.46% 11.20%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 151,753 $ 235,781 $ 151,286 $ 102,232 $ 58,258
Net expenses to average
daily net assets (a) 0.48%** 0.48% 0.48% 0.49% 0.49%**
Net investment income to average
daily net assets (a) 1.53%** 1.55% 1.66% 2.02% 2.19%**
Portfolio turnover rate 49% 54% 30% 3% 0%
* For the period from the commencement of operations, December 31, 1991 to February 29, 1992.
** Annualized.
(a) Net of fees and expenses voluntarily waived or borne by the Manager of the following
per share amounts: $ 0.01 $ 0.01 $ 0.02 $ 0.02 $ 0.01
(b) Calculation excludes subscription and redemption fees. The total returns would have been lower had certain
expenses not been waived during the periods shown.
|
See accompanying notes to the financial statements.
GMO CORE II SECONDARIES FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
AUGUST 31, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO Core II Secondaries Fund (the "Fund") is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, diversified management investment company. The Trust was established as a Massachusetts Business Trust under the laws of the Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees to create an unlimited number of series ("Funds"), each of which issues a separate series of shares. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market quotations are available are valued at the last quoted sale price on each business day, or if there is no such reported sale, at the most recent quoted bid price. Unlisted securities for which market quotations are readily available are valued at the most recent quoted bid price. Short-term investments with a remaining maturity of sixty days or less are valued at amortized cost which approximates market value. Other assets and securities for which no quotations are readily available are valued at fair value as determined in good faith by the Trustees.
FUTURES CONTRACTS
The Fund may purchase futures contracts on the S&P Mid Cap 400 index and on such other domestic stock indices as the Manager may deem appropriate. Stock index futures contracts represent commitments for future delivery of cash based upon the level of a specified index of equity securities at a given date. The Fund may use futures contracts to manage its exposure to the stock markets. Buying futures tends to increase the Fund's exposure to the underlying instrument. Selling futures tends to decrease the Fund's exposure to the underlying instrument or hedge other Fund instruments. Upon purchase of a futures contract, the Fund is required to deposit with its custodian, in a segregated account in the name of the futures broker, an amount of cash or U.S. Government obligations in accordance with the initial margin requirements of the broker. Futures contracts are marked to market daily and an appropriate payable or receivable for the change in value ("variation margin") is recorded by the Fund. The payable or receivable is liquidated on the following business day. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Losses may arise from the changes in the value of the underlying instrument, if there is an illiquid secondary market for the contracts, or if counterparties do not perform under the contract terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. See Note 6 for all open futures contracts held as of August 31, 1995.
REPURCHASE AGREEMENTS
The Fund may enter into repurchase agreements with certain banks and broker/dealers whereby the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets remains sufficient to protect the Fund in the event of default by the seller. In connection with transactions in repurchase agreements, if the seller defaults, the value of the collateral declines or if the seller enters insolvency proceedings, realization of collateral by the Fund may be delayed or limited.
SECURITY LENDING
The Fund may lend its securities to certain member firms of the New York Stock Exchange. The loans are collateralized at all times with cash or securities with a market value at least equal to the market value of the securities on loan. As with other extensions of credit, the Fund may bear the risk of delay in recovery or even loss of rights in the collateral should the borrower of the securities fail financially. The Fund receives compensation for lending its securities. At August 31, 1995, the Fund loaned securities having a market value of $21,545,288, collateralized by cash in the amount of $22,196,450, which was invested in short-term instruments.
TAXES
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. It is the policy of the Fund to distribute all of its taxable income, including any net realized gain on investments not offset by loss carryovers, to shareholders within the prescribed time periods. Therefore, no provision for federal income or excise tax is necessary.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment income and net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryover for federal income tax purposes. The Fund's present policy is to declare and pay distributions from net investment income quarterly, and net realized short-term and long-term capital gains at least annually. All distributions will be paid in shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions.
Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences are primarily due to differing treatments for futures transactions, partnership interests, non-taxable dividends and losses deferred due to wash sales.
Distributions in excess of tax basis earnings and profits will be reported in the Fund's financial statements as a return of capital. Furthermore, differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary over-distributions for financial statement purposes are classified as distributions in excess of net investment income or accumulated net realized gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an individual Fund. Expenses which are not readily identifiable to a specific Fund are allocated in such manner as deemed equitable by the Trustees, taking into consideration, among other things, the nature and type of expense and the relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases and redemptions of Fund shares is .75% of the amount invested and redeemed. The Manager may waive such premium to the extent that a transaction results in minimal brokerage and transaction costs to the Fund. All purchase and redemption premiums are paid to and recorded as paid-in capital by the Fund. For the six months ended August 31, 1995, the Fund received $5,535 in purchase premiums and $352,588 in redemption premiums. There is no premium for reinvested distributions or in-kind transactions.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the "Manager") for management and investment advisory services is paid monthly at the annual rate of .50% of average daily net assets. The Manager has agreed to waive a portion of its fee and bear other expenses until further notice to the extent that the Fund's annual expenses (including the management fee but excluding brokerage commissions and transfer taxes) exceed .48% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee during the six months ended August 31, 1995, was $368. No remuneration is paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the six months ended August 31, 1995, aggregated $78,306,871 and $183,520,452, respectively.
4. PRINCIPAL SHAREHOLDERS
At August 31, 1995, 52% of the outstanding shares of the Fund were held by four shareholders, each holding in excess of 10% of the Fund's outstanding shares.
5. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number
of shares of beneficial interest (without par value). Transactions in Fund
shares were as follows:
Six Months Ended
August 31, 1995 Year Ended
(Unaudited) February 28, 1995
Shares sold 702,032 7,782,253
Shares issued to shareholders in reinvestment
of distributions 561,743 1,047,874
Shares repurchased (8,418,103) (2,079,900)
Net (decrease) increase (7,154,328) 6,750,227
Fund shares:
Beginning of period 17,325,736 10,575,509
End of period 10,171,408 17,325,736
|
6. FINANCIAL INSTRUMENTS
A summary of outstanding futures contracts at August 31, 1995, is as
follows:
Number of Net Unrealized
Contracts Type Expiration Date Contract Value Appreciation
46 S & P Mid Cap 400 September 1995 $ 4,855,300 $ 71,862
|
At August 31, 1995, the Fund had cash and/or securities to cover any margin requirements on these contracts.
GMO FUNDAMENTAL VALUE FUND
(A SERIES OF GMO TRUST)
SEMI-ANNUAL REPORT
AUGUST 31, 1995
GMO FUNDAMENTAL VALUE FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
AUGUST 31, 1995 (UNAUDITED)
SHARES DESCRIPTION VALUE ($)
STOCK - 96.8%
AEROSPACE - 1.4%
25,000 Gencorp Inc 296,875
2,500 Lockheed Martin 152,188
52,500 Rockwell International Corp 2,349,375
2,798,438
AUTOMOTIVE - 2.1%
5,000 Chrysler Corp 269,375
5,000 Ford Motor Co * (a) 153,125
22,500 General Motors Corp 1,057,500
25,000 Intermet Corp * 278,125
125,000 Mascotech Industries Inc 1,640,625
37,500 Mascotech Industries Inc Convertible Preferred $1.20 (a) 562,500
25,000 TBC Corp * 237,500
4,198,750
BANKING AND FINANCIAL SERVICES - 6.9%
70,000 American Express Co 2,826,250
3,500 AT&T Capital Corp 110,688
15,000 Chase Manhattan Corp 862,500
35,000 Chemical Banking Corp 2,038,750
23,710 Citicorp 1,573,741
2,500 Citicorp Convertible Preferred 10.75% 456,250
14,947 Citicorp Convertible Preferred $1.21 (a) 298,940
12,500 First Interstate Bancorp 1,193,750
15,000 Great Western Financial (a) 350,625
5,000 John Nuveen and Company Inc Class A 118,125
5,000 Nationsbank Corp 306,875
5,000 PNC Bank Corp 131,250
25,000 Salomon 6.75% "DEC" Equity Linked Security (Elks) (b) 990,625
10,000 Shawmut National Corp 323,750
20,000 Time Warner Financing * 677,500
30,000 Travelers Inc 1,440,000
13,699,619
CHEMICALS - 2.0%
25,000 Albemarle Corp 409,375
25,000 Borden Chemical and Plastics LP 443,750
10,000 Cytec Industries Inc * 605,000
15,000 Georgia Gulf Corp 496,875
10,000 IMC Global Inc 632,500
15,000 Lubrizol Corp 465,000
10,000 Praxair Inc 260,000
25,000 Wellman Inc 637,500
3,950,000
COMMUNICATIONS - 0.1%
2,500 Time Warner Inc 105,313
COMPUTER AND DATA PROCESSING SERVICES - 0.7%
210,000 SHL System House * 1,391,250
COMPUTER AND OFFICE EQUIPMENT - 0.6%
1,500 Harris Corp Inc * 86,438
5,000 Moore Corp Ltd (a) 104,375
190,813
CONSTRUCTION - 0.9%
47,500 Owens Corning Fiberglass Corp * (a) 1,864,375
CONSUMER GOODS - 4.8%
25,000 American Safety Razor Co * 250,000
55,000 Black and Decker Corp 1,780,625
25,000 Burlington Industries Inc * 309,375
90,000 Eastman Kodak Co 5,186,250
35,000 Maytag Corp 542,500
13,500 Procter and Gamble Co (a) 936,563
25,000 Scotts Company Class A * 562,500
9,567,813
ELECTRONIC EQUIPMENT - 0.3%
5,000 Kuhlman Corp 58,750
10,000 Philips NV ADR (a) 450,000
508,750
ENERGY - 0.1%
10,000 Zeigler Coal Holding Co 126,250
FOOD AND BEVERAGE - 4.1%
7,500 Anheuser-Busch Cos Inc 428,438
5,250 Archer Daniels Midland Co 87,281
5,000 AuBon Pain Co Inc Class A * 45,000
25,000 Coca Cola Enterprises Inc 578,125
27,500 Coors (Adolph) Co 467,500
25,000 Darden Restaurants Inc * 256,250
5,000 Nabisco Holdings Corp Class A 143,125
47,500 Nestle SA ADR (a) 2,400,617
500,000 RJR Nabisco Holdings Convertible Preferred Series C 9.25% 3,000,000
15,000 Sara Lee Corp 416,250
13,000 Smith Food and Drug Center Class B 245,375
5,000 Wendys International Inc 98,125
8,166,086
FOREST PRODUCTS - 0.0%
3,500 Crown Vantage Inc * 84,875
HEALTH CARE - 3.1%
80,000 Baxter International Inc 3,120,000
75,000 Beverly Enterprises Inc * 993,750
15,000 Centocor Inc * 181,875
25,000 Community Psychiatric Centers 293,750
2,500 Johnson & Johnson 172,500
15,000 Laboratory Corporation America Holdings * 208,125
22,500 Owens and Minor Holdings Co 326,250
25,000 Perrigo Co * 337,500
10,000 Tenet Healthcare Corp * 158,750
7,500 Upjohn Co 317,813
6,110,313
INSURANCE - 8.9%
25,000 Aetna Life and Casualty Co 1,706,250
90,000 Alexander & Alexander Services Inc 2,081,250
25,000 Alexander & Alexander Services Inc Convertible Preferred
Series A $3.63 (a) 1,215,625
31,600 Allstate Corp 1,070,454
2,500 AON Corp 97,500
10,000 Cigna Corp 967,500
15,000 First Colony Corp 367,500
12,500 Gallagher (Arthur J) and Co 459,375
25,000 Kemper Corp 1,200,000
10,000 Liberty Corp 330,000
25,000 Life Re Corp 503,125
5,000 Lincoln National Corp 215,000
2,500 Loews Corp 328,438
12,500 National Re Corp 396,875
25,000 Ohio Casualty Corp 83,125
220,000 Reliance Group Holdings Inc 1,760,000
25,000 Sedgwick Group ADR (a) 234,298
15,000 TIG Holdings Inc 384,375
20,000 Transamerica Corp 1,360,000
50,000 USF & G Corp 906,250
5,000 USLIFE Corp 215,625
25,000 Washington National Corp 568,750
75,000 Willis Corroon Group Plc ADR (a) 796,875
9,800 Zurich Reinsurance Centre Inc * 289,100
17,537,290
MACHINERY - 1.8%
5,000 Allegheny Ludlum Corp 105,000
50,000 CBI Industries Inc 1,225,000
10,000 Cincinnati Milacron Inc 331,250
15,000 Cummins Engine Inc (a) 588,750
15,000 FMC Corp * (a) 1,155,000
15,000 Giddings and Lewis Inc 245,625
3,650,625
MANUFACTURING - 8.6%
30,000 Corning Inc (a) 978,750
2,500 Emerson Electric 178,438
25,000 Fleetwood Enterprises Inc 490,625
25,000 General Electric Co 1,471,875
50,000 Griffon Corp * 400,000
30,000 International Business Machines Corp 3,101,250
5,000 Minnesota Mining and Manufacturing 273,125
100,000 Teledyne Inc 2,375,000
2,125 Teledyne Inc Preferred Series E $1.20 31,344
30,000 Tenneco Inc 1,455,000
25,000 United Technologies Corp 2,084,361
62,500 Westinghouse Electric Corp 851,563
250,000 Westinghouse Electric Corp Convertible Preferred $1.30 144A 3,375,000
17,066,331
METALS AND MINING - 2.8%
10,000 Alcan Aluminum Ltd (a) 326,250
12,500 Asarco Inc 404,688
5,000 Battle Mountain Gold Convertible Preferred $3.25 273,125
25,000 Brascan Ltd 409,375
10,000 Cyprus Amax Minerals Co (a) 280,000
5,000 Echo Bay Financial Convertible Preferred Series A $1.75 157,500
25,000 Falconbridge Ltd 532,763
50,000 Freeport-McMoran Corp Preferred 1,793,750
2,500 Inco Ltd 87,500
4,500 Newmont Mining Corp 195,750
25,000 Pittston Minerals Group 296,875
15,000 Placer Dome Inc (a) 391,875
6,000 Santa Fe Pacific Gold Corp 72,750
25,000 Sherritt Inc * 297,788
5,519,989
OIL AND GAS - 7.4%
10,000 Amerada Hess Corp 473,750
5,000 Atlantic Richfield Co 545,625
15,000 Atlantic Richfield Co Convertible Preferred 9.00% 401,250
10,000 Dresser Industries Inc 240,000
25,000 Enserch Corp 409,375
10,000 Halliburton Co 423,750
5,000 Kerr-McGee Corp 275,000
95,000 Lasmo Plc ADR 771,875
20,500 Mitchell Energy Class A 369,000
15,000 Mitchell Energy Class B 262,500
125,000 Noram Energy Corp 890,625
20,000 Noram Energy Corp Convertible Preferred Series A $3.00 770,000
30,000 Occidental Petroleum Corp 652,500
25,000 Oryx Energy Co * 337,500
10,000 Questar Corp 305,000
15,000 Reading and Bates Corp Preferred $1.625 538,125
25,000 Santa Fe Energy Resources Inc Convertible Preferred 8.25% 240,625
5,000 Seagull Energy Corp * 100,625
10,000 Texaco Inc 647,500
55,000 Unocal Corp 1,601,875
25,000 Unocal Corp Convertible Preferred $3.50 144A 1,371,875
75,000 USX - Marathon Group 1,546,875
20,000 USX-Delhi Group 212,500
25,000 Westcoast Energy Inc 381,250
15,000 Williams Companies Inc 549,375
12,500 YPF Sociedad Anonima ADR 220,313
14,538,688
PAPER AND ALLIED PRODUCTS - 3.4%
25,000 Boise Cascade Corp Preferred Series G $1.58 890,625
5,000 Champion International Corp 283,125
5,000 International Paper Co 409,375
35,000 James River Corp 1,216,250
92,500 James River Corp Convertible Preferred 9.00% 3,064,063
10,000 Pope and Talbot 156,250
15,000 Weyerhaeuser Co 690,000
6,709,688
PHARMACEUTICALS - 1.3%
15,000 Allergan Inc 455,625
15,000 Glaxo Plc ADR (a) 356,250
17,500 Lilly (Eli) & Co 1,432,813
10,000 Teva Pharmaceutical ADR 378,750
2,623,438
PRIMARY PROCESSING - 2.2%
25,000 Armco Inc * 156,250
5,000 Armco Inc Convertible Preferred $3.625 251,875
15,000 Bethlehem Steel Corp * 219,375
5,000 Dow Chemical Co 370,000
10,000 Du Pont (E I) De Nemours & Co Inc 653,750
25,000 National Steel Corp Class B * 418,750
25,000 Northwestern Steel and Wire * 243,750
9,000 Olin Corp 581,625
50,000 Republic Engineered Steels * 343,750
15,000 USX-US Steel Group Inc 491,250
100,000 Weirton Steel Corp * 562,500
4,292,875
PRINTING AND PUBLISHING - 0.2%
7,500 Dun and Bradstreet Corp 434,063
REAL ESTATE - 3.7%
50,000 AMLI Residential Properties Trust 943,750
50,000 Crown American Realty 412,500
50,000 Debartolo Realty Corp 706,250
25,000 Irvine Apartment Communities 453,125
87,500 JP Realty Inc 1,760,938
25,000 Regency Realty Corp 446,875
75,000 Summit Properties Inc 1,368,750
60,000 Walden Residential Properties Inc 1,132,500
7,224,688
REFINING - 1.3%
7,500 Ashland Inc (a) 245,625
25,000 Ashland Inc Convertible Preferred $3.125 1,331,250
15,000 Imperial Oil Ltd 538,125
20,000 Quaker State Corp 300,000
8,184 Sun Co Inc 217,899
2,632,899
RETAIL TRADE - 4.1%
20,000 American Stores Co 587,500
2,500 Dayton Hudson Corp 182,813
45,000 Federated Department Stores * 1,215,000
50,000 Food Lion Inc 287,500
75,000 Kmart (a) 1,021,875
115,000 Price/Costco Inc * 1,940,625
15,000 Sears Roebuck & Co 485,625
10,000 The Limited Inc 185,000
15,000 TJX Cos Inc 187,500
75,000 Wal-Mart Stores Inc 1,846,875
7,500 Williams-Sonoma Inc * 146,250
8,086,563
SERVICES - 1.2%
20,000 Anthony Industries 402,500
10,000 Cordiant Plc * 51,250
25,000 Host Marriott Corp * 287,500
25,000 International Technology Corp * 81,250
15,000 International Technology Corp Convertible Preferred 7.00% 307,500
25,000 Morningstar Group Inc * 215,625
15,000 Ogden Corp 348,750
25,000 Pinkertons Inc * 435,938
15,400 Wackenhut Corp Class B 198,275
2,328,588
TECHNOLOGY - 5.7%
10,000 Advanced Micro Devices 337,500
42,500 Avnet Inc 2,188,750
25,000 Cray Research Inc * 581,250
35,000 Data General Corp * 341,250
83,500 Digital Equipment Corp * 3,486,125
15,000 Fisher Scientific 489,375
10,000 Intel Corp 613,750
10,000 Novell Inc * 180,000
10,000 Storage Technology Corp * 273,750
7,500 Storage Technology Convertible Preferred 7.00% 464,063
200,000 Tandem Computers Inc * 2,450,000
5,000 Xerox Corp 603,750
12,009,563
TELECOMMUNICATIONS - 5.7%
15,000 Airtouch Communications Inc * 487,500
15,000 AT & T Corp 847,500
10,000 BCE Inc 321,250
5,000 Bell Atlantic Corp 298,750
15,000 Comsat Corp 348,750
125,000 GTE Corp 4,578,125
65,000 MCI Communications Corp 1,564,063
25,000 Pacific Telesis Group 709,375
15,000 Sprint Corp Convertible Preferred 8.25% 508,125
25,000 Tele-Communications Class A * 462,500
5,000 Tele-Communications Liberty Media Group Class A * 132,813
25,000 US West Inc (a) 1,087,500
11,346,251
TOBACCO - 0.7%
10,000 American Brands Inc 420,000
2,000 BAT Industries Plc ADR 31,500
55,000 Hanson Plc ADR (a) 941,875
1,393,375
TRANSPORTATION - 3.6%
15,000 AMR Corp * 1,057,500
85,000 Canadian Pacific Ltd 1,434,375
5,000 Consolidated Freightways Inc (a) 129,375
5,000 Delta Air Lines Inc (a) 371,875
1,000 Delta Air Lines Inc Convertible Preferred Series C $3.50 58,625
20,000 Hunt (JB) Transportation Services Inc 320,000
25,000 Navistar International Corp * 325,000
25,000 Navistar International Corp Preferred $6.00 (a) 1,346,875
10,000 Overseas Shipholding Group Inc 208,750
5,000 Pittston Services Group 126,875
25,000 Ryder System Inc 606,250
25,000 Southern Pacific Rail Corp * 612,500
15,000 USAir Group Inc * 121,875
15,000 USAir Group Inc Convertible Preferred Series B $4.38 450,000
7,169,875
UTILITIES - 7.1%
55,000 Centerior Energy Corp 591,250
35,000 Cinergy Corp 896,875
5,000 CMS Energy Corp (a) 123,125
20,000 Detroit Edison Co 612,500
25,000 DPL Inc 556,250
50,000 Entergy Corp 1,200,000
10,000 General Public Utilities 286,250
5,000 Illinova Corp 125,625
150,000 Niagara Mohawk Power Corp 1,800,000
22,500 Northeast Utilities 514,688
25,000 Ohio Edison Co 540,625
25,000 PacifiCorp (a) 453,125
115,000 Panhandle Eastern Corp 2,875,000
25,000 Public Service Enterprise Group Inc 687,500
25,000 Public Services Co of New Mexico * 381,250
25,000 Southern Co (a) 528,125
25,000 Texas Utilities Co 868,750
50,000 TransCanada Pipeline Ltd 681,250
10,500 Unicom Corp 295,313
14,017,501
TOTAL STOCK (Cost $161,912,591) 191,344,935
PAR VALUE LONG-TERM DEBT - 0.5%
HEALTH CARE - 0.5%
$ 2,500,000 Roche Holdings Inc, 0.00% due 4/20/10 990,625
TOTAL LONG-TERM DEBT (Cost $913,590) 990,625
SHORT-TERM INVESTMENTS - 10.1%
REPURCHASE AGREEMENT - 2.2%
4,284,958 Salomon Brothers Repurchase Agreement, dated
8/31/95, due 9/1/95, with a maturity value of $4,285,589
and an effective yield of 5.30%, collateralized by a U.S.
Treasury Obligations with rates ranging from 6.25% to
6.50%, with maturity dates ranging from 4/30/97 to
8/15/23 and with an aggregate market value of $4,377,507. 4,284,958
CASH EQUIVALENTS - 7.9%
5,701,044 Bank of Boston Time Deposit, 5.95% due 9/1/95 5,701,044
1,400,066 Dreyfus Cash Management Money Market Fund Plus, A Shares 1,400,066
1,258,395 Fleet Bank of Massachusetts Time Deposit, 5.95% due 9/1/95 1,258,395
4,208,482 National Westminster Time Deposit, 5.95% due 9/1/95 4,208,482
3,000,000 Prudential Securities Group, Inc. Master Note, 5.95% due 9/1/95 3,000,000
15,567,987
TOTAL SHORT-TERM INVESTMENTS (Cost $19,852,945) 19,852,945
TOTAL INVESTMENTS - 107.4%
(Cost $182,679,126) * * 212,188,505
Other Assets and Liabilities (net) - (7.4%) (14,618,626)
TOTAL NET ASSETS - 100.0% $ 197,569,879
NOTES TO THE SCHEDULE OF INVESTMENTS:
ADR American Depositary Receipt
144A Securities exempt from registration under Rule 144A
of the Securities Act of 1933. These securities may
be resold in transactions exempt from registration,
normally to qualified institutional buyers.
(a) All or a portion of this security is on loan.
(b) A derivative security whose price is linked to the
common stock of Digital Equipment Corporation.
Interest is paid quarterly at an annual rate of
6.75% of the offering price of $37.50. The
redemption value is determined by the ten days'
average closing prices of Digital Equipment common
stock but not to exceed $50.625.
* Non-income producing security.
** The aggregate identified cost for federal income
tax purposes is $182,679,126, resulting in gross
unrealized appreciation and depreciation of
$34,121,416 and $4,612,037, respectively, and net
unrealized appreciation of $29,509,379.
|
See accompanying notes to the financial statements.
GMO FUNDAMENTAL VALUE FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - AUGUST 31, 1995 (UNAUDITED)
ASSETS:
Investments, at value (cost $162,826,181) (Note 1) $ 192,335,560
Short-term investments, at cost (Note 1) 19,852,945
Receivable for investments sold 740,463
Dividends and interest receivable 737,271
Receivable for expenses waived or borne by Manager (Note 2) 9,393
Total assets 213,675,632
LIABILITIES:
Payable for investments purchased 376,255
Payable upon return of securities loaned (Note 1) 15,566,573
Payable to affiliate for management fee (Note 2) 123,006
Accrued expenses 39,919
Total liabilities 16,105,753
NET ASSETS (equivalent to $14.02 per share based on 14,091,776
shares outstanding, unlimited shares authorized) $ 197,569,879
NET ASSETS CONSIST OF: $ 161,648,644
Paid-in capital
Accumulated undistributed net investment income 1,197,547
Accumulated undistributed net realized gain 5,214,309
Net unrealized appreciation 29,509,379
NET ASSETS $ 197,569,879
|
See accompanying notes to the financial statements.
GMO FUNDAMENTAL VALUE FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - SIX MONTHS ENDED AUGUST 31, 1995 (UNAUDITED)
INVESTMENT INCOME:
Dividends (net of withholding taxes of $30,274) $ 3,266,380
Interest (including securities lending income of $6,453) 143,737
Total income 3,410,117
EXPENSES:
Management fee (Note 2) 718,819
Custodian and transfer agent fees 29,484
Audit fees 22,088
Legal fees 3,369
Registration fees 1,106
Insurance 1,013
Trustee fee (Note 2) 368
Miscellaneous 277
Total expenses 776,524
Less: expenses waived or borne by Manager (Note 2) (57,705)
Net expenses 718,819
Net investment income 2,691,298
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on investments 6,036,757
Change in net unrealized appreciation (depreciation) on investments 17,909,814
Net realized and unrealized gain on investments 23,946,571
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 26,637,869
|
See accompanying notes to the financial statements.
GMO FUNDAMENTAL VALUE FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED
(UNAUDITED) FEBRUARY 28, 1995
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 2,691,298 $ 4,916,741
Net realized gain 6,036,757 7,371,472
Change in net unrealized appreciation (depreciation) 17,909,814 1,387,837
Net increase in net assets resulting from operations 26,637,869 13,676,050
Distributions to shareholders from:
Net investment income (2,383,879) (4,583,693)
Net realized gains (3,210,933) (7,395,946)
(5,594,812) (11,979,639)
Fund share transactions: (Note 5)
Proceeds from sale of shares - 39,104,294
Net asset value of shares issued to shareholders
in payment of distributions declared 3,655,915 8,303,555
Cost of shares repurchased (10,000,000) (14,000,000)
Net increase (decrease) in net assets resulting
from Fund share transactions (6,344,085) 33,407,849
Total increase in net assets 14,698,972 35,104,260
NET ASSETS:
Beginning of period 182,870,907 147,766,647
End of period (including accumulated undistributed
net investment income of $1,197,547 and
$890,128, respectively) $ 197,569,879 $ 182,870,907
|
See accompanying notes to the financial statements.
GMO FUNDAMENTAL VALUE FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED FEBRUARY 28/29,
(UNAUDITED) 1995 1994 1993 1992*
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.54 $ 12.49 $11.71 $ 10.82 $ 10.00
Income from investment operations:
Net investment income (a) 0.19 0.34 0.27 0.30 0.11
Net realized and unrealized gain 1.69 0.55 1.64 1.32 0.77
Total from investment operations 1.88 0.89 1.91 1.62 0.88
Less distributions to shareholders:
From net investment income (0.17) (0.32) (0.28) (0.30) (0.06)
From net realized gains (0.23) (0.52) (0.85) (0.43) --
Total distributions (0.40) (0.84) (1.13) (0.73) (0.06)
NET ASSET VALUE, END OF PERIOD $ 14.02 $ 12.54 $12.49 $ 11.71 $ 10.82
TOTAL RETURN (B) 15.17% 7.75% 16.78% 15.66% 8.87%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $197,570 $182,871 $147,767 $ 62,339 $ 32,252
Net expenses to average
daily net assets (a) 0.75%** 0.75% 0.75% 0.73% 0.62%**
Net investment income to average
daily net assets (a) 2.81%** 2.84% 2.32% 2.77% 3.43%**
Portfolio turnover rate 15% 49% 65% 83% 33%
* For the period from the commencement of operations, October 31, 1991 through February 29, 1992.
** Annualized.
(a) Net of fees and expenses voluntarily waived or borne by the Manager of the following per
share amounts: $ - $ 0.01 $ 0.01 $ 0.03 $ 0.03
(b) Calculation excludes subscription fees. The total returns would have been lower had certain
expenses not been waived during the periods shown.
|
See accompanying notes to the financial statements.
GMO FUNDAMENTAL VALUE FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
AUGUST 31, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO Fundamental Value Fund (the "Fund") is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, diversified management investment company. The Trust was established as a Massachusetts Business Trust under the laws of the Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees to create an unlimited number of series ("Funds"), each of which issues a separate series of shares. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market quotations are available are valued at the last quoted sale price on each business day, or if there is no such reported sale, at the most recent quoted bid price. Unlisted securities for which market quotations are readily available are valued at the most recent quoted bid price. Short-term investments with a remaining maturity of sixty days or less are valued at amortized cost which approximates market value. Other assets and securities for which no quotations are readily available are valued at fair value as determined in good faith by the Trustees.
FUTURES CONTRACTS
The Fund may purchase futures contracts on the S&P 500 index. Stock index futures contracts represent commitments for future delivery of cash based upon the level of a specified index of equity securities at a given date. The Fund may use futures contracts to manage its exposure to the stock markets. Buying futures tends to increase the Fund's exposure to the underlying instrument. Selling futures tends to decrease the Fund's exposure to the underlying instrument or hedge other Fund instruments. Upon purchase of a futures contract, the Fund is required to deposit with its custodian, in a segregated account in the name of the futures broker, an amount of cash or U.S. government obligations in accordance with the initial margin requirements of the broker. Futures contracts are marked to market daily and an appropriate payable or receivable for the change in value ("variation margin") is recorded by the Fund. The payable or receivable is liquidated on the following business day. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Losses may arise from the changes in the value of the underlying instrument, if there is an illiquid secondary market for the contracts, or if counterparties do not perform under the contract terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. At August 31, 1995, the Fund had no outstanding futures contracts.
REPURCHASE AGREEMENTS
The Fund may enter into repurchase agreements with certain banks and broker/dealers whereby the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets remains sufficient to protect the Fund in the event of default by the seller. In connection with transactions in repurchase agreements, if the seller defaults, the value of the collateral declines or if the seller enters insolvency proceedings, realization of collateral by the Fund may be delayed or limited.
INDEXED SECURITIES
The Fund may also invest in indexed securities whose redemption values and/or coupons are linked to the prices of other securities, securities indicies, or other financial indicators. The Fund uses indexed securities to increase or decrease its exposure to different underlying instruments and to gain exposure to markets that may be difficult to invest in through conventional securities. Indexed securities may be more volatile than their underlying instruments, but any loss is limited to the amount of the original investment.
SECURITY LENDING
The Fund may lend its securities to certain member firms of the New York Stock Exchange. The loans are collateralized at all times with cash or securities with a market value at least equal to the market value of the securities on loan. As with other extensions of credit, the Fund may bear the risk of delay in recovery or even loss of rights in the collateral should the borrower of the securities fail financially. The Fund receives compensation for lending its securities. At August 31, 1995, the Fund loaned securities having a market value of $14,620,090, collateralized by cash in the amount of $15,567,987, which was invested in short-term instruments.
TAXES
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. It is the policy of the Fund to distribute all of its taxable income, including any net realized gain on investments not offset by loss carryovers, to shareholders within the prescribed time periods. Therefore, no provision for federal income or excise tax is necessary. Taxes on foreign dividend income have been withheld in accordance with the applicable country's tax treaty with the United States.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment income and net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryover for federal income tax purposes. The Fund's present policy is to declare and pay distributions from net investment income quarterly, and net realized short-term and long-term capital gains at least annually. All distributions will be paid in shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions.
Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. Distributions in excess of tax basis earnings and profits will be reported in the Fund's financial statements as a return of capital. Furthermore, differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary over-distributions for financial statement purposes are classified as distributions in excess of net investment income or accumulated net realized gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis. Premiums and market discounts are amortized and accreted.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an individual Fund. Expenses which are not readily identifiable to a specific Fund are allocated in such manner as deemed equitable by the Trustees, taking into consideration, among other things, the nature and type of expense and the relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is .15% of the amount invested. The Manager may waive such premium to the extent that a transaction results in minimal brokerage and transaction costs to the Fund. All purchase premiums are paid to and recorded as paid-in capital by the Fund. For the six months ended August 31, 1995, the Fund did not receive any purchase premiums. There is no premium for cash redemptions, reinvested distributions or in-kind transactions.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the "Manager") for management and investment advisory services is paid monthly at the annual rate of .75% of average daily net assets. The Manager has agreed to waive a portion of its fee and bear other expenses until further notice to the extent that the Fund's annual expenses (including the management fee but excluding brokerage commissions and transfer taxes) exceed .75% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee during the six months ended August 31, 1995, was $368. No remuneration is paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the six months ended August 31, 1995, aggregated $27,610,960 and $32,684,228, respectively.
4. PRINCIPAL SHAREHOLDERS
At August 31, 1995, 95% of the outstanding shares of the Fund were held by four shareholders each holding in excess of 10% of the Fund's outstanding shares.
5. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number
of shares of beneficial interest (without par value). Transactions in Fund
shares were as follows:
Six Months Ended
August 31, 1995 Year Ended
(Unaudited) February 28, 1995
Shares sold -- 3,213,626
Shares issued to shareholders in reinvestment
of distributions 269,783 706,233
Shares repurchased (759,934) (1,169,385)
Net increase (490,151) 2,750,474
Fund shares:
Beginning of period 14,581,927 11,831,453
End of period 14,091,776 14,581,927
|
GMO INTERNATIONAL CORE FUND
(A SERIES OF GMO TRUST)
SEMI-ANNUAL REPORT
AUGUST 31, 1995
GMO INTERNATIONAL CORE FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
AUGUST 31, 1995 (UNAUDITED)
SHARES DESCRIPTION VALUE ($)
STOCK AND EQUIVALENTS - 86.6%
AUSTRALIA - 5.0%
34,614 Amcor Ltd 269,973
595,837 Ampolex Ltd 1,413,014
293,400 Ashton Mining Ltd 404,222
4,018,931 Australia and New Zealand Banking Group Ltd 16,338,520
488,626 Australian National Industry Ltd 430,399
2,803,538 Boral Ltd 7,155,081
415,687 Burns Philp & Co Ltd 885,648
161,022 Caltex Australia Ltd 498,236
2,766,315 Coles Myer Ltd 8,976,092
48,200 Comalco Ltd 246,028
219,671 Commonwealth Bank of Australia 1,625,678
349,782 Crusader Ltd * 339,700
3,005,226 CSR Ltd 10,633,675
224,407 Email Ltd 599,754
80,027 Energy Resources of Australia Class A * 242,198
12,096,954 Fosters Brewing Group Ltd 11,292,917
1,928,912 Goodman Fielder Ltd 1,757,139
381,367 Hardie (James) Industries Ltd 657,487
99,852 Metal Manufactures Ltd 240,555
878,262 Mim Holdings Ltd 1,256,279
5,057,651 News Corp Ltd 29,090,462
2,468,286 News Corp Ltd Preferred 1.19% (a) 12,747,587
709,203 North Ltd 2,002,213
621,091 Pacific Dunlop Ltd 1,468,227
93,591 Pacific Magazines and Printing 184,605
1,063,266 Pasminco Ltd * 1,352,811
5,569,570 Pioneer International Ltd 14,507,954
150,942 Publishing & Broadcasting Ltd 460,229
1,774,906 QCT Resources Ltd 2,164,705
196,376 Renison Goldfields Consolidated 820,521
48,850 Rothmans Holdings 173,218
1,786,173 Santos Ltd 4,719,968
371,543 Schroders Property * 575,684
1,459,549 Schroders Property Fund 2,362,466
153,701 Seven Network Ltd 393,427
127,320 Smith (Howard) Ltd 609,624
40,000 Sons of Gwalia Ltd 199,355
370,053 Southcorp Holdings Ltd 788,422
852,307 Stockland Trust Group 1,957,061
647,700 TNT Ltd (a) * 882,594
2,656,821 Western Mining Corp Holdings Ltd 17,861,674
888,722 Westfield Trust Units 1,565,634
691,491 Westpac Banking Corp 2,602,945
164,753,981
Austria - 1.6%
2,055 Allgemeine Baugesellschaft AG 248,615
2,677 Allgemeine Baugesellschaft AG Preferred 7.00% 136,023
6,353 Austrian Airlines * 1,039,132
36,418 Bank Austria AG (Participating Certificate) 1,233,642
36,991 Bau Holding AG (Non Voting) 1,901,060
38,214 Brau Union AG 2,134,044
3,674 BWT AG 447,327
63,744 Creditanstalt-Bankverein 3,473,384
48,894 Creditanstalt-Bankverein Preferred 1.65% 2,517,517
5,634 EA-Generali AG 1,657,660
3,300 EA-Generali AG Preferred 6.00% 530,185
22,261 EVN Energie-Versorgung Niederoesterreich AG 2,906,443
1,361 Jenbacher Werke AG 225,247
11,946 Lenzing AG 1,075,253
20,074 Leykam-Muerztaler Papier und Zellstoff AG * 887,882
5,790 Miba Holding AG Preferred Series B 1.34% 235,921
56,908 OEMV AG 5,419,679
10,812 Oesterreichische Brau Beteiligungs AG 547,284
95,371 Oesterreichische Elektrizitaetswirschafts AG 6,470,525
127,706 Oesterreichische Laenderbank AG 10,135,153
33,592 Oesterreichische Laenderbank AG Preferred (Non Voting) 1,505,296
6,120 Perlmooser Zement 470,895
31,451 Radex-Heraklith AG 1,120,179
8,838 RAS Versicherungs AG 1,275,372
19,950 Steyr-Daimler-Puch AG * 359,138
4,528 Strabag Oesterreich AG 611,344
9,338 Universale Bau AG * 338,915
30,017 Veitsch-Radex AG 720,484
1,000 Wiener Allianz Versicherungs AG 222,120
10,047 Wienerberger Baustoffindustrie AG 2,358,051
52,203,770
BELGIUM - 0.4%
18,318 Banque Bruxelles Lambert (a) 2,907,278
1,297 Banque Nationale de Belgique 1,672,120
170 Bekaert SA 131,388
747 BQE Brux Lambert 116,332
4,000 Electrabel SA 848,668
1,800 GB-INNO-BM GIB Parts Soc. d'echange 77,453
2,400 Gevaert Photo-Producten NV 131,074
23,120 Groupe Bruxelles Lambert SA 2,953,895
1,750 Petrofina SA Bruxelles 521,315
23,577 Powerfin SA 2,520,641
5,847 Societe Generale De Belgigue 432,544
379 Tessenderlo Chemie 143,009
6 Tessenderlo Chemie (Participating Certificate) 2,221
12,457,938
CANADA - 1.9%
99,502 Abitibi-Price Inc 1,666,700
53,600 Air Canada Inc 199,516
176,205 Alberta Energy Ltd 2,689,151
10,300 Avenor Inc 229,081
107,503 Bank of Montreal 2,360,944
128,316 Bank of Nova Scotia 2,794,151
81,492 BCE Inc 2,623,882
48,600 Brascan Ltd Class A (Convertible) 795,980
16,200 Brunswick Mining & Smelt Ltd 173,367
21,700 Cae Industries Inc 145,394
17,100 Cambridge Shopping Centres Ltd 152,764
146,506 Canadian Imperial Bank of Commerce 3,599,254
28,200 Canadian Marconi Co 257,175
17,300 Canadian Tire Ltd Class A 209,287
22,200 Canfor Corp 237,577
30,900 CCL Industries Class B 293,300
248,011 Cominco Ltd 4,915,908
78,700 Dominion Textile Inc 541,950
327,918 Domtar Inc 3,082,051
21,700 Donohue Inc Class A 302,903
32,200 Edper Group Ltd Class A 112,667
6,400 Extendicare Inc 134,599
18,900 Falconbridge Ltd 402,764
155,907 Fletcher Challenge Class A 2,538,966
161,302 Gulf Canada Resources Ltd 735,511
59,500 Hees International Bancorp Inc 647,822
9,000 Hudsons Bay Co 180,905
21,300 Imasco Ltd 388,498
155,407 Imperial Oil Ltd 5,567,811
26,400 Inco Ltd 921,273
14,800 International Forest Products A * 128,085
5,800 IPL Energy Inc 133,315
349,019 Macmillan Bloedel Ltd 4,612,014
44,800 Mitel Corp 241,802
7,500 Molson Co Ltd Class A 126,326
134,604 National Bank of Canada 1,114,811
12,500 Noma Industries Ltd Class A 47,692
108,701 Noranda Forest Inc 859,816
44,100 Noranda Inc 894,640
95,402 Norcen Energy Resource 1,438,221
51,000 Numac Energy Inc 242,044
69,701 Petro Canada 687,540
34,900 Power Corp of Canada 535,874
25,700 Ranger Oil Ltd 145,887
33,900 Repap Enterprises Inc 249,218
2,900 Rio Algom Ltd 59,371
130,226 Royal Bank of Canada 2,896,335
22,300 Sceptre Resources Ltd 141,113
33,100 Sears Canada Inc 194,054
18,300 Sherritt Inc 217,979
13,700 Slocan Forest Products Ltd 123,665
5,500 Spar Aerospace Ltd 61,418
165,506 Teck Corp Class B 3,234,344
134,805 Toronto Dominion Bank 2,170,228
10,600 Total Petroleum North America 115,410
46,500 Transcanada Pipelines Ltd 640,424
52,601 United Dominion Inds Ltd 1,267,789
16,400 Westcoast Energy Inc 250,288
61,730,854
FINLAND - 0.6%
66,000 Amer Group Class A 1,124,261
35,500 Cultor OY Series 1 1,204,581
4,400 Huhtamaki 155,312
25,238 Instrumentarium Class A 580,494
13,891 Instrumentarium Class B 322,667
162,650 Kansallis-Osake-Pankki * 157,422
15,000 Kesko 167,382
2,400 Metra AB Class A 103,845
2,600 Metra AB Class B 110,723
119,844 Nokia Corp Class A 8,187,646
89,000 Partek AB 1,236,350
21,119 Rautaruukki 144,283
8,500 Sampo Insurance Company Ltd 452,956
15,900 Stockmann AB Series A 843,674
17,800 Stockmann AB Series B 810,721
83,950 Unitas Bank Ltd Class A * 238,975
95,200 Valmet 2,731,675
18,572,967
FRANCE - 6.4%
4,169 Accor SA 520,764
2,816 Agache Financiere * 736,402
8,530 Air Liquide 1,359,329
28 Air Liquide L Shares 4,462
175,791 Alcatel Alsthom Cie Generale d'Electricite SA 17,608,680
105,598 Axa SA 5,842,748
545,586 Banque Nationale de Paris 22,356,983
750 Bic SA 121,894
7,099 BIS SA * 659,098
21,992 Carrefour Supermarche SA 12,263,974
17,666 Club Mediterranee SA * 1,699,629
975 Colas SA 182,203
756,100 Compagnie de Suez SA 31,133,089
25,536 Credit Foncier De France (Bearer) (a) 682,443
144,684 Credit Lyonnais * 7,163,312
31,636 Credit National 2,204,468
5,540 CSF Thompson Temp (Participating Certificates) * 115,154
8,875 Dassault Electronique SA 358,408
12,416 Dollfus-Mieg and Cie 599,724
6,963 Elf Gabon 1,075,154
96,246 Elf Sanofi SA 5,942,617
38,828 Eridania Beghin-Say SA 5,734,077
2,180 Essilor International 368,116
3,700 Esso (France) 436,544
1,622 Europe 1 Communication 341,000
182,057 Financiere de Paribas SA 9,820,951
68,389 FINEXTEL 974,762
4,760 INGENICO SA 36,749
3,933 Labinal SA 607,293
137,373 Lafarge Coppee SA 10,252,325
4,263 Lefebvre (Jean) Entreprises 279,333
37,427 LVMH Louis Vuitton Moet Hennessy (a) 6,727,450
5,200 Metaleurop SA * 67,940
215,828 Michelin SA Class B 9,356,890
14,832 Moulinex SA * 327,969
2,225 Navigation Mixte SA 365,584
103 Navigation Mixte (Participating Certificate) 15,700
1,700 Nord-Est 43,413
16,923 Parisienne de Reescompte (CPR-Cie) 1,189,283
38,433 Pechiney International SA 921,357
41,527 Pechiney International SA Preferred 3.43% 2,688,178
62,520 Pernod-Ricard 3,922,120
102,493 Peugeot SA 13,533,175
1,190 Poliet SA 102,710
2,375 Radiotechnique 204,142
814 Saint Louis 240,260
1,306 Salomon SA 625,660
3,475 SEFIMEG (Registered) 196,056
6,472 SIMCO 521,450
291 SIMCO (Registered) 21,257
750 Skis Rossignol SA 178,907
2,750 Sligos SA 242,799
57,382 Societe Generale d 'Entreprise SA 1,533,519
98,271 Societe Generale Paris 10,252,166
23,936 SOVAC SA 1,795,852
117,541 SPIE Batignolles * 4,839,855
310,363 Thomson CSF 6,574,055
10,329 Total SA 606,061
10,815 UAP Co 252,846
8,310 Union Immobiliere de France 682,698
1,800 Vallourec * 90,472
51,927 Worms et Compagnie SA 2,282,054
211,883,563
GERMANY - 6.7%
2,450 AEG AG 242,607
38,340 Bankgesellschaft Berlin AG 9,988,466
225,910 Bayer AG 58,347,463
719,800 Bayer Vereinsbank AG 19,570,565
64,050 Bayerische Hypotheken-und Wechselbank AG 15,705,730
15,002 Bayerische Motorenwerke AG 8,341,535
304,500 Berliner Handels- und Frankfurter Bank * 7,843,826
19,544 Berliner Kraft und Licht AG Class A 4,655,392
400 Boss (Hugo) AG Preferred 3.84% 310,341
175 Colonia Konzern AG 148,042
96,570 Commerzbank AG 21,806,871
2,770 Daimler-Benz AG 1,367,703
20,000 Deutsche Bank AG 924,218
3,800 Didier-Werke AG * 352,496
18,500 Douglas Holding AG 688,706
1,229 Draegerwerk AG Preferred 2.29% 215,797
1,435,300 Dresdner Bank 37,949,709
300 Escada AG 63,702
1,100 Escada AG Preferred (Non Voting) 1.43% 218,600
1,070 GEA AG Preferred 3.13% 381,220
6,540 IKB Deutsche Industriebank AG 1,224,011
1,788 IKB Deutsche Industriebank AG New * 323,686
2,700 Kaufhalle AG * 334,434
750 Kaufhof AG Preferred (Non Voting) 5.59% 191,156
121,600 Klockner Humboldt Deutz * 865,645
800 Kugelfischer George Schaefer AG Preferred (Non Voting) * 111,614
4,150 Kugelfischer George Schaefer AG * 627,012
1,150 Linotype Hell AG * 228,928
2,075 Philips Kommunikations Industrie AG 720,216
12,180 Porsche AG Preferred (Non Voting) * 5,703,093
3,188 Porsche AG Preferred * 1,431,980
3,990 Puma AG Preferred * 1,181,237
1,870 Rheinmetall Berlin AG 317,532
1,620 Rheinmetall Berlin AG Preferred (Non Voting) 5.60% 212,788
1,500 RWE AG (Non Voting) 406,404
500 Salamander AG 93,919
39,500 Sap AG 6,008,269
38,000 Sap AG Preferred 5,617,178
12,320 Siemens AG 6,270,049
720 Varta AG * 142,153
2,400 Villeroy and Boch AG 480,212
3,725 Volkswagen AG Preferred .79% 860,678
222,475,183
HONG KONG - 4.8%
549,000 Amoy Properties Ltd (a) 492,901
1,103,000 Applied International Holdings Ltd 115,415
178,600 Applied International Holdings Ltd Warrants 12/30/99 * 11,075
1,615,000 Cathay Pacific Airways Ltd 2,430,532
1,500,000 Chinese Estates Holdings Ltd 1,017,310
398,775 Cross Harbour Tunnel Co Ltd 783,023
3,041,255 Dairy Farm International 2,828,367
4,472,000 Denway Investments 352,399
1,533,000 Dickson Concepts (International) Ltd 1,019,888
8,166,927 Elec and Eltek International Holdings Ltd * 1,192,175
212,262 Furama Hotel Enterprises Ltd 246,784
1,808,798 Goldlion Holdings Ltd (a) 911,292
200,000 Great Eagle Holdings Ltd 408,216
1,928,000 Hang Lung Development Co Ltd (a) 2,988,761
322,500 Harbour Centre Development Ltd 352,038
941,000 Henderson Land Development Co Ltd 5,117,698
995,720 Hong Kong and China Gas Co Ltd (a) 1,569,278
1,662,700 Hong Kong Ferry Co Ltd 1,782,768
2,087,000 Hong Kong Land Holdings 3,798,340
212,400 Hongkong Aircraft Engineering Co Ltd 499,377
798,000 Hongkong and Shanghai Hotels Ltd Preferred 1.95% (a) 974,176
1,391,900 Hongkong Electric Holdings Ltd 4,827,867
7,555,801 Hopewell Holdings Ltd (a) 5,466,023
3,630,000 Hutchison Whampoa Ltd (a) 17,491,151
940,000 Jardine International Motor Holdings Ltd 983,594
320,574 Jardine Strategic Warrants 5/02/98 * 145,861
74,000 Johnson Electric Holdings Ltd (a) 147,216
675,200 Kowloon Motor Bus Co Ltd 1,194,967
2,084,000 Kumagai Gumi Hong Kong Ltd 1,615,295
1,469,800 Lai Sun Garment (International) Ltd 1,518,977
201,000 Lane Crawford International Ltd Series A 301,201
250,000 Lane Crawford International Ltd Series B 32,296
1,276,000 Laws International Holdings Ltd 204,397
1,043,576 Mandarin Oriental 944,436
2,102,000 National Mutual Asia Ltd 1,507,053
1,693,721 New World Development Co Ltd 6,170,124
1,094,000 Playmate Toys Holding 233,187
615,539 Playmates Properties Holdings 86,673
379,748 Realty Development Corp Ltd Class A 1,089,059
13,348,913 Regal International Ltd (a) 2,414,220
1,349,600 San Miguel Brewery Ltd 784,550
1,200,000 Shun Tak Holdings Ltd 1,007,622
945,599 Sino Hotel Ltd 218,657
3,775,164 Sino Land Co Ltd (a) * 2,633,495
2,324,000 South China Morning Post Ltd 1,283,439
2,895,826 Stelux Holdings International 832,349
2,385,400 Sun Hung Kai Properties Ltd 17,333,516
4,938,136 Swire Pacific Ltd Class A 36,999,340
1,706,707 Tai Cheung Holdings Ltd 1,477,191
530,000 Television Broadcasts Ltd 1,958,145
5,505,944 Wharf Holdings Ltd (a) 15,825,766
412,000 Wing On International Holdings Ltd 734,479
1,094,500 Winsor Industrial Corp Ltd 1,201,815
1,191,000 World International Holdings Ltd 1,807,809
886,000 World Trade Centre Group Ltd 117,889
159,481,472
ITALY - 3.8%
3,972,100 Alitalia Linee Aeree Italiane Class A * 1,860,128
338,800 Alitalia Linee Aeree Italiane Class B (Private Placement) (c) * 102,294
93,060 Assicurazioni Generali SPA 2,239,201
2,970,000 Autostrade Concessioni e Costruzioni SPA Class B Preferred 6.39% 3,477,115
610,505 Banca Commerciale Italiana SPA 1,440,778
344,000 Banca Commerciale Italiana SPA (Non Convertible) 721,746
11,505,200 Banca di Roma (a) * 10,910,429
227,250 Banca Nazionale dell' Agricoltura di Risp * 78,415
735,500 Banca Nazionale dell'Agricoltura SPA (Non Convertible) * 249,261
509,050 Banca Nazionale dell'Agricoltura SPA (Private Placement) * 223,959
80,100 Banca Popolare di Bergamo Credit (a) 1,056,222
394,900 Banca Toscana * 854,089
6,517,690 Banco di Napoli (Non Convertible) * 2,979,934
3,500,000 Bastogi-IRBS SPA * 207,037
1,196,717 BCA Commitaliana Warrants 12/31/95 * 637,847
560,600 BCO Ambros Veneto Di Risp (Non Convertible) 753,041
540,200 Benetton Group SPA (a) 5,708,575
283,750 Caffaro SPA 336,570
570,500 Cartiere Burgo SPA 3,875,639
363,500 Cementir Cementerie del Tirreno SPA 346,052
639,843 COFIDE SPA (a) * 234,190
507,500 COFIDE SPA (Non Convertible) * 162,610
468,500 Cogefar Impresit Costruzioni Generali SPA (a) * 464,488
550,000 Comau Finanziaria SPA 813,360
222,500 Compagnia Italiana Grandi Alberghi (Non Convertible) * 123,253
83,967 Credito Fondiario 195,573
2,138,310 Credito Italiano (Non Convertible) 2,267,569
38,000 Danieli and Co SPA 238,598
173,000 Danieli and Co SPA (Non Convertible) 522,864
1,201,000 Edison SPA (a) 5,084,038
79,000 Editoriale l'Espresso SPA * 150,903
40,500 Ericsson SPA 663,813
200,000 Falck Acciaierie and Ferriere Lombarde * 389,427
2,727,000 Fiat SPA 10,023,159
2,061,000 Fiat SPA Preferred 4,654,371
2,484,500 Fiat SPA (Non Convertible) 5,327,547
698,550 FIDIS SPA 1,532,345
27,000 Filippo SPA * 16,554
222,000 Finmeccanica SPA (Non Convertible) * 142,264
1,450,876 Finmeccanica SPA * 1,046,878
510,000 Gemina SPA (Non Convertible) * 226,262
919,940 Gilardini SPA 1,779,911
658,000 Grassetto SPA * 408,286
4,887,850 Industriali Riunite SPA (a) * 3,538,871
2,037,000 Industriali Riunite (Cie) SPA (Non Convertible) * 930,076
795,710 Istituto Bancario San Paolo 4,287,693
397,500 Italcementi Fabbriche Riunite Cemento SPA 2,781,207
301,400 Italcementi Fabbriche Riunite Cemento SPA (Non Convertible) 993,587
17,000 Magona d'Italia SPA 47,243
97,500 Marzotto and Figli SPA 618,801
1,980,000 Montedison SPA (Non Convertible) * 1,228,581
8,209,220 Montedison SPA * 6,105,457
535,000 Montefibre SPA 405,808
445,000 Montefibre SPA (Non Convertible) 255,007
297,500 Olivetti and Co SPA Preferred (a) * 324,466
1,697,700 Olivetti and Co SPA (a) * 1,436,285
738,000 Olivetti and Co SPA (Non Convertible) * 459,745
2,754,500 Parmalat Finanziaria SPA 2,442,376
2,359,975 Pirelli and Co 3,511,831
266,000 Pirelli and Co (Non Convertible) 273,720
407,000 Pirelli SPA (Non Convertible) * 420,568
332,200 Ratti SPA 650,932
21,100 Recordati Industria Chimica e Farmaceutica SPA 128,714
72,818 Recordati Industria Chimica e Farmaceutica SPA (Non Convertible) 242,293
442,100 Rinascente per l'Esercizio di Grandi Magazzini SPA Preferred 5.59% 1,171,381
394,000 Rinascente per l'Esercizio di Grandi Magazzini SPA (a) 2,323,364
356,600 Rinascente per l'Esercizio di Grandi Magazzini SPA (Non Convertible) 1,127,218
311,000 SAFFA SPA * 1,063,561
37,512 SAFILO SPA 312,042
428,033 Saipem SPA 936,299
298,000 Sasib SPA (a) 1,404,710
103,000 Sasib SPA (Non Convertible) 282,427
543,000 Sirti SPA 3,951,471
130,000 Snia BPD SPA (Convertible) 157,804
373,000 Snia BPD SPA (Non Convertible) 255,118
3,440,270 Snia BPD SPA * 4,218,467
675,540 Societa Metallurgica Italia (a) * 348,406
194,000 Sorin Biomedica SPA 514,019
116,900 Stefanel SPA 212,493
288,370 STET SPA (a) 884,888
14,000 Teleco Cavi SPA 58,661
252,000 Telecom Italia Mobile SPA (Non Convertible) (a) * 252,637
267,000 Telecom Italia Spa di Risp (a) 343,848
27,850 Tosi (Franco) SPA 263,502
175,260 Unione Cementi Marchino Emiliane e di Augusta-Casale (a) * 1,187,913
269,640 Unione Cementi Marchino Emiliane e di Augusta-Casale (Non Convertible) * 928,764
127,808,849
JAPAN - 18.8%
67,000 Ajinomoto Co Inc 690,969
109,000 Alps Electric Co Ltd 1,346,710
397,000 Amada Co Ltd 4,134,783
1,622,000 Aoki Corp * 7,900,077
50,800 Arabian Oil Co 2,111,155
258,000 Asahi Breweries Ltd (a) 2,976,872
50,000 Asics Corp * 152,652
19,000 Bank of Kyoto Ltd 137,744
188,000 Bank of Yokohama Ltd 1,476,204
211,000 Banyu Pharmaceutical Co Ltd 2,326,849
62,000 Brother Industries Ltd 325,400
54,000 Canon Sales Co Inc 1,439,118
126,000 Chiba Bank Ltd 1,183,642
36,944 Chubu Electric Power Co Inc 860,084
13,000 Chudenko Corp 511,053
76,000 Chugai Pharmaceutical Co 725,583
31,000 Chugoku Bank Ltd 538,112
17,400 Chugoku Electric Power Co Inc 415,745
595,000 Cosmo Oil Co Ltd (a) 3,098,484
240,500 CSK Corp 7,170,674
208,000 Dai Nippon Ink & Chemicals 921,754
510,000 Dai Nippon Printing Co Ltd 8,071,680
42,000 Dai Tokyo Fire and Marine Insurance Co Ltd 278,756
892,000 Daicel Chemical Industries Ltd 4,863,716
84,000 Daiichi Seiyaku Co Ltd 1,157,911
90,000 Daikin Industries Ltd 783,887
129,000 Daikyo Inc 1,039,271
50,000 Dainippon Pharmaceutical Co Ltd 506,458
41,000 Dainippon Screen Manufacturing Co Ltd * 334,079
36,000 Daito Trust Construction Co 448,461
237,000 Daiwa Bank Ltd (a) 1,938,398
105,000 Daiwa Kosho Lease 1,020,677
14,000 Dennys Japan 385,970
1,940 East Japan Railway Co 9,211,212
79,000 Eisai Co Ltd 1,274,519
14,000 Ezaki Glico Co Ltd 121,509
149,000 Fuji Heavy Industries Ltd * 594,874
292,000 Fuji Photo Film Co Ltd 7,304,845
830,000 Fujisawa Pharmaceutical Co Ltd 8,305,509
292,000 Fujita Corp 1,484,822
62,000 Fujita Kanko Inc 1,354,776
1,394,000 Fujitsu Ltd (a) 15,087,967
17,000 Fujiya Co Ltd * 72,906
2,000 Fukuoka City Bank Ltd 14,704
192,000 Fukuyama Transporting Co Ltd 1,727,186
172,000 Furukawa Electric Co Ltd 990,535
292,000 Gakken Co Ltd * 1,902,241
226,000 General Sekiyu (KK) 2,180,732
61,000 Green Cross Corp 473,375
578,000 Hankyu Corp (a) 3,246,031
45,000 Hankyu Department Stores (a) 574,361
220,000 Hanwa Co Ltd * 721,091
814,000 Haseko Corp 3,740,236
289,000 Hazama-Gumi Ltd 1,316,118
78,000 Heiwa Real Estate (a) 585,388
52,000 Higo Bank Ltd 422,117
97,000 Hiroshima Bank Ltd 533,854
289,000 Hitachi Cable Ltd 2,154,184
1,845,300 Hitachi Ltd 20,161,035
42,000 Hitachi Maxell Ltd 673,304
97,000 Hokkaido Bank Ltd 350,620
24,000 Hokkaido Takushoku 74,008
70,000 Hokuriku Bank Ltd 455,302
111,000 Honda Motor Co Ltd 1,972,124
11,000 House Food Corporation 208,914
114,000 Hoya Corp 3,270,945
6,000 Hyogo Bank Ltd (d) * -
273,000 INAX Corp 2,717,874
114,000 Intec Inc 1,571,450
365,000 Itochu Corp 2,265,993
29,000 Itoham Foods Inc 215,572
3,000 Izumiya Co Ltd 44,111
53,000 Japan Airport Terminal Co Ltd 611,528
1,031,000 Japan Energy Co Ltd 3,210,854
669,000 Japan Synthetic Rubber Co Ltd 3,825,394
874 Japan Tobacco Inc 7,398,234
166,000 Joshin Denki Co Ltd 2,118,752
217,000 Kajima Corp 2,189,166
26,000 Kaken Pharmaceutical Co Ltd 249,022
119,000 Kamigumi Co (a) 1,103,303
331,000 Kankaku Securities Co Ltd * 1,230,245
11,000 Kansai Paint Co Ltd 52,790
61,000 Kao Corp 703,834
338,000 Keihin Electric Express Railway (a) 2,105,274
435,000 Keio Teito Electric Railway Co Ltd (a) 2,567,315
184,000 Keisei Electric Railway (a) 1,495,523
1,050,000 Kinki Nippon Railway 8,630,724
373,000 Kirin Brewery Co Ltd Com 3,884,822
14,000 Kissei Pharmaceutical Co 447,440
19,000 Kobori Juken Co Ltd (a) 195,946
2,000 Koito Manufacturing Co Ltd 15,235
206,000 Kokusai Kogyo Co Ltd 1,918,334
60,000 Kokuyo Co 1,298,821
260,000 Komatsu Ltd 2,142,441
15,300 Konami Co (a) 312,452
92,000 Konica Corp 655,700
268,000 Koyo Seiko Co Ltd 2,405,391
2,319,000 Kumagai Gumi Co Ltd 11,058,079
654,000 Kurabo Industries Ltd 2,664,482
848,000 Kureha Chemical Industry Co Ltd 3,731,945
40,000 Kyodo Printing Co Ltd 457,446
139,000 Kyowa Hakko Kogyo Co Ltd 1,349,763
160,000 Lion Corp (a) 913,259
218,000 Maeda Corp (a) 2,337,265
274,000 Makino Milling Machine Co Ltd * 2,042,375
668,000 Marubeni Corp 3,424,067
274,000 Marudai Food Co Ltd 1,955,644
571,000 Marui Co Ltd 10,028,284
811,000 Matsushita Electric Industrial Co Ltd 12,669,934
606,000 Matsushita Electric Works Ltd (a) 6,249,655
280,000 Mazda Motor Corp (a) * 1,160,770
27,000 Meiji Milk Products 168,173
88,000 Meiji Seika Kaisha Ltd 522,959
86,000 Mercian Corp 597,131
693,000 Minebea Co Ltd 5,377,853
914,000 Mitsubishi Electric Corp 6,840,884
916,000 Mitsubishi Estate 10,756,114
704,000 Mitsubishi Gas Chemical Co Inc 2,947,261
2,743,000 Mitsubishi Materials Corp 13,612,069
424,000 Mitsubishi Oil Co (a) 3,632,368
157,000 Mitsubishi Rayon Co 650,860
489,000 Mitsubishi Trust & Banking Corp 8,138,766
77,000 Mitsubishi Warehouse 1,155,767
571,000 Mitsui Fudosan Co Ltd 7,346,301
143,000 Mitsui Mining Ltd (a) * 633,706
760,000 Mitsui Petrochemical Industries Ltd 5,820,187
432,000 Mitsui Trust & Banking Co Ltd 4,455,200
61,000 Mitsui-Soko Co Ltd 458,427
42,000 Mochida Pharmaceutical 604,687
27,000 Mori Seiki Co Ltd 595,497
537,000 Nagoya Railroad Co Ltd (a) 2,708,715
313,000 Nakkai Electric Rail (a) 2,163,690
22,900 Namco (a) 591,586
871,000 NEC Corp (a) 11,383,877
298,000 New Japan Securities Co Ltd * 1,567,060
485,000 Nichiei Co Ltd 2,020,524
70,000 Nichii Co Ltd 800,531
29,000 Nichirei 174,115
61,000 Nihon Cement Co Ltd 389,289
16,000 Nippon Beet Sugar Manufacturing Co Ltd 70,251
41,000 Nippon Chemi-Con Corp * 259,979
18,000 Nippon Credit Bank 76,091
44,000 Nippon Denko Co Ltd 175,218
714,000 Nippon Express Co 6,153,224
19,000 Nippon Flour Mills Co Ltd 91,377
58,000 Nippon Kayaku Co Ltd 358,891
22,000 Nippon Meat Packers 303,262
4,407,000 Nippon Oil Co Ltd (a) 24,884,577
1,152,000 Nippon Sheet Glass Co Ltd 5,222,729
245,000 Nippon Suisan Kaisha Ltd * 1,143,258
38,000 Nippon Yakin Kogyo Co Ltd * 190,126
1,485,000 Nissan Motor Co Ltd 11,372,339
23,000 Nisshin Flour Mill 251,289
484,000 Nisshinbo Industries Inc 4,344,065
206,000 Nissho Iwai Corp 830,857
12,000 Nissin Food Products 274,468
58,000 Nitto Boseki Co Ltd * 152,795
416,000 Nitto Denko Corp (a) 6,583,959
661,000 NSK Ltd 4,447,838
481,000 Odakyu Electric Railway (a) 3,349,589
160,000 Okamoto Industries 1,055,394
66,000 Olympus Optical Co Ltd 598,438
39,000 Ono Pharmaceutical Co Ltd 1,557,053
109,000 Onoda Cement Co Ltd 553,153
35,000 Onward Kashiyama Co Ltd 464,594
947,000 Renown Inc * 3,045,949
167,000 Ricoh Co Ltd 1,662,582
166,000 Royal Co Ltd 2,203,502
42,000 Ryobi Ltd (a) 229,009
280,000 Sagami Railway (a) 1,255,118
61,000 Sanden Corp 327,003
47,000 Sankyo Aluminum Industry 230,357
137,000 Sankyo Co Ltd 3,049,574
21,000 Sanrio Co Ltd 250,881
44,000 Sanwa Shutter Corp 332,016
513,000 Sanyo Electric Co Ltd 2,828,611
120,000 Sapporo Breweries Ltd (a) 1,090,519
54,500 Secom Co 3,578,241
79,000 Seibu Railway Co Ltd (a) 3,452,494
334,000 Seino Transportation Co Ltd (a) 5,558,993
333,000 Sekisui Chemical Co Ltd 4,182,264
597,000 Sekisui House Ltd (a) 7,497,932
812,000 Settsu Corp * 2,512,238
56,000 Shimadzu Corp 348,803
227,000 Shionogi and Co Ltd 2,051,310
232,000 Shiseido Co Ltd 2,416,297
41,000 Shochiku Co (a) 460,510
34,000 Shokusan Jutaku Sogo Co Ltd * 133,660
357,450 Showa Shell Sekiyu (a) 3,142,538
157,000 Skylark Co Ltd 2,500,842
31,000 Snow Brand Milk 214,928
116,000 Sony Corp 6,325,011
46,000 Stanley Electric Ltd 306,714
77,000 Sumitomo Coal Mining Ltd 400,194
1,158,000 Sumitomo Corp 10,807,291
33,000 Sumitomo Forestry 522,285
808,000 Sumitomo Metal Industries Ltd * 2,252,351
206,000 Sumitomo Osaka Cement Co 826,650
292,000 Sumitomo Realty and Development 2,140,767
23,000 Sumitomo Sitix Corp 347,577
408,000 Sumitomo Trust & Banking Co Ltd 5,540,818
62,000 Sumitomo Warehouse 372,247
267,000 Taisei Corp 1,799,357
105,000 Taisho Pharmaceutical Co Ltd 1,865,523
26,000 Taiyo Yuden Co Ltd 273,447
73,000 Takara Shuzo Co 587,369
270,000 Takeda Chemical Industries Ltd 3,639,148
489,000 Tanabe Seiyaku Co Ltd 3,470,210
2,361,000 Teijin Ltd 11,451,218
254,000 Teikoku Oil Co 1,574,289
106,000 Terumo Corp 830,163
33,000 The Japan Steel Works Ltd * 100,751
610,000 Toa Nenryo Kogyo (KK) 9,156,073
574,000 Tobu Railway Co 3,469,730
75,000 Toei Company (a) 497,779
9,080 Toho Co 1,418,533
96,000 Tokyo Broadcasting System Inc 1,538,980
85,000 Tokyo Dome Corp 1,414,714
305,000 Tokyo Electric Co Ltd * 1,417,011
162,000 Tokyo Tatemono Ltd 760,913
153,000 Tokyotokeiba Co 607,719
605,000 Tokyu Construction Co Ltd (a) 3,181,447
734,000 Tokyu Corp 5,171,389
177,000 Tokyu Department Store Co Ltd 1,140,420
326,000 Tokyu Land Corp 1,697,657
425,000 Toppan Printing Co Ltd 5,815,081
123,000 Toshiba Tungaloy Co Ltd (a) * 778,680
43,000 Tostem Corp 1,343,544
64,000 Toto (a) 934,497
43,000 Toyo Engineering Corp 267,831
9,000 Toyo Exterior Co 197,580
251,000 Toyo Ink Manufacturing Co Ltd 1,419,860
116,000 Toyo Trust & Banking Co Ltd (a) 971,256
165,000 Toyota Motor Corp 3,268,494
38,000 Tsumura and Co (a) 667,381
18,000 Unicharm 369,429
166,000 Victor Co of Japan Ltd * 2,050,952
243,000 Wacoal Corp 2,878,236
138,000 Yakult Honsha Co Ltd 1,902,282
110,000 Yamaguchi Bank Ltd 1,909,430
47,000 Yamaha Corp 623,883
1,245,000 Yamaichi Securities Co Ltd 7,996,171
100,000 Yamanouchi Pharmaceutical Co Ltd 2,113,647
247,200 Yamato Transport Co (a) 2,574,606
21,000 Yamazaki Baking Co Ltd 373,105
265,000 Yasuda Trust and Banking Co Ltd (a) 1,720,937
76,000 Yokogawa Bridge Corp 1,078,675
117,000 Yokogawa Electric Corp 1,099,096
43,000 Yoshitomi Pharmaceutical 373,207
626,528,967
MALAYSIA - 0.4%
2,090,000 Amcol Holdings Ltd 5,679,268
68,000 DMIB Berhad 70,862
4,489,000 Faber Group Berhad * 4,318,076
194,000 Golden Hope Plantations Berhad 325,018
238,000 Highlands and Lowlands Berhad 419,719
326,000 Idris Hydraulic Berhad * 444,249
824,000 Kuala Lumpur Kepong Berhad (a) 2,482,731
164,000 Malaysia Mining Berhad 266,870
124,000 Malaysian United Industries 225,635
47,000 Perlis Plantations 154,469
117,000 Selangor Properties 122,862
14,509,759
NETHERLANDS - 0.0%
35,175 Stockland Trust Group 77,538
NEW ZEALAND - 0.7%
814,641 Air New Zealand Ltd Class B 2,699,911
84,517 Carter Holt Harvey Ltd 192,232
27,250 Ceramco Corp Ltd 38,250
676,200 DB Group Ltd * 377,908
182,481 Fisher and Paykel Industries Ltd 557,351
5,224,838 Fletcher Challenge Ltd 14,192,606
2,132,561 Lion Nathan Ltd 4,420,844
34,331,360 Tasman Properties Ltd * 513,135
153,850 Telecom Corp of New Zealand 609,874
54,000 Wilson and Horton Ltd 314,072
23,916,183
NORWAY - 2.5%
82,700 Aker AS Class A 1,075,930
62,000 Aker AS Class B (Non-Voting) 792,132
274,490 Bergesen d y AS Class A 6,586,267
118,570 Bergesen d y AS Class B 2,881,984
78,250 Det Norske Luftfartsselskab AS Class B 3,901,453
115,900 Dyno Industrier AS 2,419,805
178,550 Elkem AS Class A 2,169,934
195,199 Hafslund Nycomed AS Class A 4,714,128
263,694 Hafslund Nycomed AS Class B 6,245,050
91,040 Kvaerner Industrier 3,546,209
198,820 Leif Hoegh and Co AS 3,066,813
792,440 Norsk Hydro AS 33,460,142
54,300 Norske Skogindustrier AS Series A 1,704,775
3,800 Norske Skogindustrier AS Series B 113,678
117,340 Orkla AS Class A 5,484,783
42,450 Orkla-Borregaard AS Series B (Non Voting) 1,878,400
193,110 Unitor AS 2,722,986
272,571 Vard AS Class A * 307,900
63,100 Vital Forsikring AS Series A 1,042,143
84,114,512
SINGAPORE - 3.5%
2,594,000 Chuan Hup Holdings Ltd 2,538,303
3,717,000 DBS Land Ltd 10,676,072
3,941,000 Faber Group Berhad (a) * 3,828,638
54,000 Far East Levingston Shipbuilding Ltd 237,592
1,044,500 First Capital Corp Ltd 3,000,042
1,224,400 Fraser and Neave Ltd 13,877,395
38,000 Golden Hope Plantations Berhad (a) 63,935
67,000 Goodman Fielder Asia Holdings Ltd 114,615
3,316,000 Hai Sun Hup Group Ltd 2,357,733
1,417,200 Haw Par Brothers International Ltd 2,893,263
848,000 Highlands and Lowlands Berhad (a) 1,474,523
2,421,000 Hotel Properties Ltd 3,902,914
554,000 Inchcape Berhad 1,817,416
1,854,273 Jardine Matheson 13,350,766
5,720,168 Jardine Strategic 17,961,328
625,000 Jurong Shipyard Ltd 4,355,861
1,426,000 Lum Chang Holdings Ltd 1,294,995
524,000 Malaysia Mining Berhad (a) 848,434
360,000 Marco Polo Developments Ltd 443,506
444,000 Metro Holdings 1,984,794
4,426,000 Neptune Orient Lines Ltd 5,390,341
267,000 Prima Ltd 1,024,393
439,000 Robinson and Co Ltd 1,730,658
283,000 Shangri-La Hotel Ltd 1,006,089
336,000 Singapore Land Ltd 1,892,291
2,388,000 Straits Trading Co Ltd 5,480,380
425,000 Times Publishing Ltd 987,328
9,366,000 United Industrial Corp Ltd 8,571,489
1,456,000 United Overseas Land Ltd 2,552,228
597,000 Wearne Brothers Ltd 1,395,312
117,052,634
SPAIN - 4.5%
377,928 Argentaria Corporacion Bancaria de Espana SA 14,427,360
87,124 Asland SA 1,506,745
49,743 Asturiana del Zinc SA * 527,261
146,568 Autopistas Cesa (Registered) 1,413,406
9,936 Autopistas Conces * 93,756
253,096 Autopistas del Mare Nostrum SA 2,944,967
21,370 Azucarera de Espana SA 608,016
693,149 Banco Bilbao Vizcaya SA 20,964,315
321,204 Banco Central Hispanoamericano SA 6,694,142
37,199 Banco Exterior de Espana Namen 901,254
33,600 Banco Zaragozano SA * 527,531
38,027 Bankinter SA 3,303,398
2,000 Bodegas Y Bebidas SA 55,788
21,186 Cristaleria Espanola SA * 1,401,423
5,290 Cubiertas y MZOV SA 328,003
456,305 Dragados y Construcciones SA 7,291,416
123,073 Ebro Agricolas Compania de Alimentacion SA 1,255,495
81,628 Empresa Nacional de Celulosa SA * 2,085,016
92,815 Empresa Nacional de Electricidad SA 4,815,501
497,525 Ercros SA * 535,292
19,835 Fabricacion de Automoviles Renault de Espana SA 616,509
2,463,426 FENOSA SA 11,426,279
1,050 Fomento Construcciones y Contratas SA 86,862
1,840,907 Fuerzas Electricas de Cataluna SA 11,693,176
61,186 Grupo Duro Felguera SA * 266,736
28,400 Hornos Ibericos Alba SA 339,509
172,983 Huarte SA 1,516,486
1,537,580 Iberdrola SA 11,800,660
1,550 Koipe SA 91,413
24,248 Prosegur Cia SA 597,141
296,257 Repsol SA 9,290,854
257,110 Sarrio SA * 1,292,976
1,998,064 Sevillana de Electricidad 12,659,566
178,126 Tabacalera S Namen-Akt. 6,572,803
114,301 Tableros Defibras Series B 1,389,192
8,400 Telefonica de Espana ADR 341,250
43,312 Telefonica de Espana SA 586,813
397,275 Uralita SA 4,400,969
115,306 Vallehermoso SA 2,035,485
148,684,764
SWEDEN - 0.7%
80,040 AGA AB Series A 963,834
15,000 AGA AB Series B 179,602
90,100 Bilspedition AB Series B * 320,561
7,000 Celsius Industrier AB Class B 100,098
67,920 Electrolux AB Series B 2,960,191
11,900 Esselte AB Series A 153,069
23,000 Esselte AB Series B 292,700
119,191 Fastighets AB (Hufvudstaden) Series A 650,772
35,900 Hennes and Mauritz AB Series B 2,127,135
97,720 Marieberg Tidnings AB Series A 2,005,799
12,300 Mo Och Domsjoe AB Series B 706,915
21,300 Pharmacia AB Class A 581,480
8,000 Pharmacia AB Class B 216,754
27,875 Sandvik AB Class B 532,110
22,000 Skandia Group Foersaekrings AB 451,572
562,660 Skandinaviska Enskilda Banken Series A 2,910,385
24,200 Skandinaviska Enskilda Banken Series C * 114,248
139,940 Skanska AB Series B 3,513,910
47,720 SKF AB Class B 966,440
16,000 Stora Kopparberg Bergslags Series B 199,239
168,600 Svenska Handelsbanken Series A 2,630,117
19,800 Svenska Handelsbanken Series B 295,328
28,800 Trelleborg AB 313,309
23,185,568
SWITZERLAND - 4.6%
2,875 Adia SA * 509,524
350 Baer Holdings AG 365,217
3,420 Baloise Holdings 6,825,839
1,288 Banque Cantonale Vaudoise 632,533
1,345 Bobst SA (Bearer) 2,088,509
1,530 Bobst SA (Registered) 1,051,677
2,775 CIBA-GEIGY AG (Bearer) 1,964,907
210,286 CS Holdings (Registered) 17,197,302
890 Danzas Holding AG 707,578
3,635 Elektrowatt AG 1,059,644
410 Fischer (George) AG (Bearer) 517,805
350 Fischer (George) AG (Registered) 84,058
850 Forbo Holdings AG (Registered) 366,749
700 Helvetia Schweizerische Versicherungsgesellschaft 339,130
254 Hero AG (Bearer) 117,797
4,650 Hilti AG, Schaan (Participating Certificate) 3,927,950
3,650 Holderbank Financiere Glarus AG (Bearer) 2,856,522
16,370 Holderbank Financiere Glarus AG (Registered) 2,548,704
36,230 Holderbank Warrants 12/20/95 * 45,006
595 Interdiscount Holding SA (Bearer) 633,188
770 Interdiscount Holding SA (Participating Certificate) 80,348
1,675 Intershop Holding AG 810,104
460 Kuoni Reisen Holdings AG (Registered) 697,143
770 Magazine zum Globus (Registered) 484,638
6,490 Merkur Holding AG 1,564,050
2,340 Pargesa Holding SA 2,839,006
1,100 Sandoz AG Basel (Bearer) 803,478
650 Saurer Group Holdings 209,938
110 Schindler Holding AG (Bearer) (a) 601,242
1,540 Schindler Holding AG (Participating Certificate) 1,249,855
1,485 Schindler Holding AG (Registered) 1,254,410
4,450 Schweizerische Rueckversicherungsgesellschaft (Bearer) 3,596,853
235 Schweizerische Rueckversicherungsgesellschaft (Registered) 189,946
700 SGS Holdings (Registered) 227,246
1,843 Sika Finanz AG 506,730
3,200 Sika Finanz AG (Registered) 151,056
4,034 SMH AG (Bearer) 2,722,741
17,050 SMH AG (Registered) 2,442,774
2,142 Sulzer Gebrueder AG 1,192,070
32,664 Swiss Bank Corp (Bearer) 11,090,882
37,768 Swiss Bank Corp (Registered) 6,435,417
22,863 Union Bank of Switzerland (Bearer) 20,354,224
2,768 Union Bank of Switzerland (Registered) 538,700
19,735 Winterthur Insurance (Registered) 11,702,079
6,540 Winterthur Schweizerische Versicherungs-Gesellschaft 3,980,870
129,625 Zurich Vericher Namen (Registered) 33,063,768
152,629,207
UNITED KINGDOM - 19.7%
4,650 Allied Domecq Plc 36,248
374,401 AMEC Plc 359,742
68,764 Amersham International 1,136,804
729,579 Amstrad Plc 2,951,037
33,785 Anglian Water Plc 282,735
4,580,591 Argyll Group 24,987,688
20,674,166 ASDA Group Plc 34,763,190
75,400 Associated British Foods 838,992
1,830,640 Bass Plc 18,355,623
2,177,993 BAT Industries Plc 16,977,993
363,381 Berisford International Plc 1,027,749
567,754 Boots Co Plc 4,953,709
2,567,836 British Aerospace Plc 26,224,945
266,823 British Land Co Plc 1,649,902
9,210,408 British Petroleum Co Plc 68,942,637
1,500 British Petroleum Co Plc ADR 135,188
1,112,696 British Steel Plc 3,103,923
2,367,697 BTR 12,512,451
440,892 Bunzl Plc 1,397,293
6,987,754 Burton Group Plc 11,045,863
55,007 Carlton Communications 886,570
117,848 Charter Plc (Registered) 1,714,943
297,507 Cobham Group Plc 1,936,459
488,231 Costain Group * 786,902
566,443 Dixons Group Plc 2,962,729
11,828 East Midland Electric Plc 145,361
638,148 English China Clays Plc 3,748,198
27,925 First Leisure Plc 143,246
1,371,958 Fisons 5,443,054
2,646,690 Forte Plc 10,541,395
2,563,988 General Electric Co Plc 12,357,718
7,802,945 Glaxo Wellcome Plc 92,478,318
1,344,972 Grand Metropolitan Plc 8,504,236
1,146,370 Great Portland Estates Plc 3,073,497
874,339 Great Universal Stores Plc 8,279,097
231,335 Greenalls Group Plc 1,794,351
384,098 Greycoat Plc 845,264
1,833,766 Hammerson Property Investment and Development Corp Plc 10,117,094
425,277 Hillsdown Holdings Plc 1,258,830
480,436 Imperial Chemical Industries Plc 5,710,745
2,151,478 Ladbroke Group Plc 5,568,206
288,905 Laing (John) Plc Class A 1,002,917
4,676,108 Lasmo Plc 12,826,840
7,555 Lex Service Plc 36,998
48,136 Lex Service Plc (Ordinary) 240,208
223,540 London Electricity Plc 2,916,952
1,134,215 London International Group Plc 2,249,921
4,500,297 Lonrho Plc 11,298,430
1,623,499 Marks & Spencer Plc 10,944,683
185,141 Meyer International Plc 1,004,229
141,052 Midland Electricity 1,868,991
1,101,499 National Power Plc 8,962,007
442,952 Norcros Plc 597,225
20,959 Northern Electric Plc 300,451
565,230 Northern Foods Plc 1,699,373
20,534 Northumbrian Water Group Plc 289,586
187,003 NORWEB Plc 2,512,636
219,164 Ocean Group Plc 1,127,637
1,433,394 Peninsular and Oriental Steam Navigation Co 12,339,897
1,789,865 Pilkington Plc 5,852,813
991,053 Powergen Plc 8,981,089
464,432 Reckitt & Colman Plc 4,786,363
554,266 Redland Plc 3,341,410
1,155,868 Sainsbury Plc 8,304,949
126,439 Scottish & Newcastle Plc 1,163,937
17,005 Scottish & Newcastle (Participating Certificte) 81,696
110,686 Securicor Group Plc 1,878,316
2,078,057 Signet Group Plc * 466,968
775,765 Simon Engineering Plc * 1,142,130
413,091 Slough Estates Plc 1,414,816
3,212,212 Smith & Nephew Plc 9,533,116
3,225,076 Smithkline Beecham Plc Class A 29,938,406
3,916,066 Smithkline Beecham Plc Equity Units 34,243,919
6,986 South West Water Plc 54,349
34,092 Southern Water Plc 368,782
76,621 Suter Plc 229,175
7,330,168 Tarmac Plc 11,587,133
3,212,421 Taylor Woodrow Plc 5,725,220
2,307,866 Tesco 11,695,539
135,767 Thorn Emi 3,109,786
3,436,987 Trafalgar House Plc 2,024,060
318,252 Unigate Plc 2,046,827
733,718 Unilever Plc 13,815,523
723,433 United Biscuits Holdings Plc 3,060,715
735,273 Whitbread Plc Class A (Limited Voting) 7,007,863
266,675 Wilson (Connolly) Holdings Plc 661,248
988,519 Wimpey (George) Plc 1,623,876
28,111 Wolseley 164,240
656,503,170
TOTAL STOCK AND EQUIVALENTS (Cost $2,669,278,662) 2,878,570,879
Par Value SHORT-TERM INVESTMENTS - 9.0%
UNITED STATES - 9.0%
$ 124,900,000 First National Bank of Chicago Time Deposit, 5.81% due 9/1/95 124,900,000
128,382,434 The Prime Portfolio of Short-Term Investments Co 128,382,434
47,300,000 U.S. Treasury Bill, 5.26% due 02/08/96 (b) 46,175,311
299,457,745
TOTAL SHORT-TERM INVESTMENTS (Cost $298,443,727) 299,457,745
TOTAL INVESTMENTS - 95.6%
(Cost $2,967,722,389) * * 3,178,028,624
Other Assets and Liabilities (net) - 4.4% 147,996,489
TOTAL NET ASSETS - 100.0% $ 3,326,025,113
Notes to the Schedule of Investments:
ADR American Depositary Receipt
(a) All or a portion of this security is on loan.
(b) This security is held as collateral for open futures contracts.
(c) Restricted security - This security is restricted as to resale. At
August 31, 1995, restricted securities amounted to 102,294.
(d) Security valued by management (Note 1).
* Non-income producing security.
** The aggregate identified cost for federal income tax purposes is
$2,967,722,389, resulting in gross unrealized appreciation and depreciation
of $356,820,684 and $146,514,449, respectively, and net unrealized
appreciation of $210,306,235.
|
See accompanying notes to the financial statements.
At August 31, 1995, industry sector diversification of the Fund's equity investments was as follows:
PERCENTAGE OF
INDUSTRY SECTOR NET ASSETS
Banking 12.4 %
Services 9.8
Health Care 6.4
Oil and Gas 6.2
Retail Trade 5.3
Construction 5.3
Transportation 5.0
Chemicals 3.5
Real Estate 3.4
Utilities 3.4
Food and Beverage 3.1
Technology 2.9
Metals and Mining 2.6
Consumer Goods 2.5
Machinery 2.3
Insurance 2.3
Automotive 2.2
Telecommunications 1.7
Paper and Allied Products 1.2
Aerospace 1.1
Electric 0.9
Financial Services 0.9
Pharmaceuticals 0.9
Textiles 0.8
Miscellaneous 0.3
Primary Processing 0.2
86.6 %
|
See accompanying notes to the financial statements.
GMO INTERNATIONAL CORE FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - AUGUST 31, 1995
ASSETS:
Investments, at value (cost $2,669,278,662) (Note 1) $ 2,878,570,879
Short-term investments, at value (cost $298,443,727) (Note 1) 299,457,745
Foreign currency, at value (cost $295,007,738) (Note 1) 274,997,527
Cash 58,964
Receivable for Fund shares sold 89,007,654
Receivable for investments sold 20,488,644
Dividends and interest receivable 3,797,455
Foreign withholding taxes receivable 4,934,455
Receivable for open forward foreign currency contracts (Note 5) 13,869,351
Receivable for variation margin on open futures contracts 772,080
Receivable for expenses waived or borne by Manager (Note 2) 397,250
Total assets 3,586,352,004
LIABILITIES:
Payable upon return of securities loaned (Note 1) 128,382,434
Payable for investments purchased 106,205,654
Payable for open forward foreign currency contracts (Note 5) 19,371,359
Payable for Fund shares repurchased 3,808,273
Payable to affiliate for management fee 2,051,986
Accrued expenses 507,185
Total liabilities 260,326,891
NET ASSETS (equivalent to $23.65 per share based
on 140,653,201 shares outstanding, unlimited shares authorized) $ 3,326,025,113
NET ASSETS CONSIST OF:
Paid-in capital $ 3,040,520,339
Accumulated undistributed net investment income 38,912,911
Accumulated undistributed net realized gain 43,084,700
Net unrealized appreciation 203,507,163
NET ASSETS $ 3,326,025,113
|
See accompanying notes to the financial statements.
GMO INTERNATIONAL CORE FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - SIX MONTHS ENDED AUGUST 31, 1995
INVESTMENT INCOME:
Dividends (net of foreign tax expense of $5,809,542) $ 48,619,227
Interest (including securities lending income of $371,027) 4,003,560
Total income 52,622,787
EXPENSES:
Management fee (Note 2) 11,237,128
Custodian fees 1,181,496
Legal fees 50,550
Stamp duties and transfer taxes 37,000
Audit fees 36,196
Insurance 15,108
Transfer agent fees 13,800
Registration fees 7,480
Trustee fee (Note 2) 6,354
Miscellaneous 1,010
Total expenses 12,586,122
Less: expenses waived or borne by Manager (Note 2) (2,119,656)
Net expenses 10,466,466
Net investment income 42,156,321
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss)on:
Investments 30,000,234
Closed futures contracts 15,208,471
Foreign currency, forward contracts and foreign
currency related transactions (17,349,672)
Net realized gain 27,859,033
Change in net unrealized appreciation (depreciation)on:
Investments 160,922,429
Open futures contracts 17,749,841
Foreign currency, forward contracts and foreign
currency related transactions (12,875,967)
Net unrealized gain 165,796,303
Net realized and unrealized gain 193,655,336
Net increase in net assets resulting from operations $ 235,811,657
|
See accompanying notes to the financial statements.
GMO INTERNATIONAL CORE FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED
(UNAUDITED) FEBRUARY 28, 1995
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 42,156,321 $ 39,517,111
Net realized gain 27,859,033 238,738,544
Change in net unrealized appreciation (depreciation) 165,796,303 (424,074,855)
Net increase (decrease) in net assets resulting from
operations 235,811,657 (145,819,200)
Distributions to shareholders from:
Net investment income (3,243,410) (38,432,195)
Net realized gains (85,496,279) (172,566,881)
(88,739,689) (210,999,076)
Fund share transactions: (Note 4)
Proceeds from sale of shares 719,584,951 1,196,755,657
Net asset value of shares issued to shareholders
in payment of distributions declared 84,353,988 191,594,151
Cost of shares repurchased (216,631,646) (726,316,370)
Net increase in net assets resulting
from Fund share transactions 587,307,293 662,033,438
Total increase in net assets 734,379,261 305,215,162
NET ASSETS:
Beginning of period 2,591,645,852 2,286,430,690
End of period (including accumulated undistributed
net investment income of $38,912,911 and
$0, respectively) $ 3,326,025,113 $ 2,591,645,852
|
See accompanying notes to the financial statements.
GMO INTERNATIONAL CORE FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
SIX MONTH ENDED
AUGUST 31,1995 YEAR ENDED FEBRUARY 28/29,
(UNAUDITED) 1995 1994 1993 1992 1991
Net asset value, beginning of period $ 22.32 $ 25.56 $ 18.51 $ 18.80 $ 18.73 $ 18.79
Income (loss) from investment operations:
Net investment income (a) 0.30 0.27 0.29 0.29 0.29 0.55
Net realized and unrealized gain (loss)
on investments 1.72 (1.57) 7.44 (0.04) 0.22 0.69
Total from investment operations 2.02 (1.30) 7.73 0.25 0.51 1.24
Less distributions to shareholders:
From net investment income (0.03) (0.35) (0.27) (0.20) (0.28) (0.54)
From net realized gains (0.66) (1.59) (0.41) (0.34) (0.16) (0.76)
Total distributions (0.69) (1.94) (0.68) (0.54) (0.44) (1.30)
Net asset value, end of period $ 23.65 $ 22.32 $ 25.56 $ 18.51 $ 18.80 $ 18.73
Total Return (b) 9.05% (5.31%) 42.10% 1.43% 2.84% 7.44%
Ratios/Supplemental Data:
Net assets, end of period (000's) $ 3,326,025 $2,591,646 $ 2,286,431 $ 918,332 $ 414,341 $ 173,792
Net expenses to average
daily net assets (a) 0.70%* 0.70% 0.71%(c) 0.70% 0.70% 0.78%
Net investment income to average
daily net assets (a) 2.81%* 1.48% 1.48% 2.36% 2.36% 3.32%
Portfolio turnover rate 6% 53% 23% 23% 35% 0.81%
* Annualized
(a) Net of fees and expenses voluntarily waived or borne by the Manager of the following
per share amounts: $ 0.02 $ 0.03 $ 0.03 $ 0.03 $ 0.02 $ 0.01
(b) Calculation excludes subscription fees. The total returns would have been
lower had certain expenses not been waived during the periods shown.
(c) Includes stamp duties and transfer taxes not waived or borne by the Manager,
which approximates .01% of average daily net assets.
|
See accompanying notes to the financial statements.
GMO INTERNATIONAL CORE FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
AUGUST 31, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO International Core Fund (the "Fund") is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, diversified management investment company. The Trust was established as a Massachusetts Business Trust under the laws of the Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees to create an unlimited number of series ("Funds"), each of which issues a separate series of shares. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market quotations are available are valued at the last quoted sale price on each business day, or if there is no such reported sale, at the most recent quoted bid price. Unlisted securities for which market quotations are readily available are valued at the most recent quoted bid price. Securities which are primarily traded on foreign exchanges are generally valued at the preceding closing values of such securities on their respective exchanges, and those values are then translated into U.S. dollars at the current exchange rate. Short-term investments with a remaining maturity of sixty days or less are valued at amortized cost which approximates market value. Other assets and securities for which no quotations are readily available are valued at fair value as determined in good faith by the Trustees.
FOREIGN CURRENCY TRANSLATION
The accounting records of the Fund are maintained in U.S. dollars. The market values of foreign securities, currency holdings and other assets and liabilities are translated to U.S. dollars based on the prevailing exchange rates each business day. Income and expenses denominated in foreign currencies are translated at prevailing exchange rates when accrued or incurred. The Fund does not isolate realized and unrealized gains and losses attributable to changes in exchange rates from gains and losses that arise from changes in the market value of investments. Such fluctuations are included with net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net exchange gains and losses on disposition of foreign currencies and the difference between the amount of investment income and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent amounts actually received or paid.
FUTURES CONTRACTS
The Fund may purchase stock index futures contracts. Stock index futures contracts represent commitments for future delivery of cash based upon the level of a specified index of equity securities at a given date. The Fund may use futures contracts to manage its exposure to the stock and currency markets. Buying futures tends to increase the Fund's exposure to the underlying instrument. Selling futures tends to decrease the Fund's exposure to the underlying instrument or hedge other Fund instruments. Upon purchase of a futures contract, the Fund is required to deposit with its custodian, in a segregated account in the name of the futures broker, an amount of cash or U.S. government obligations in accordance with the initial margin requirements of the broker. Futures contracts are marked to market daily and an appropriate payable or receivable for the change in value ("variation margin") is recorded by the Fund. The payable or receivable is liquidated on the following business day. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Losses may arise from the changes in the value of the underlying instrument, if there is an illiquid secondary market for the contracts, or if counterparties do not perform under the contract terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. See Note 5 for all open futures contracts held as of August 31, 1995.
FORWARD CURRENCY CONTRACTS
The Fund may enter into forward currency contracts in connection with settling planned purchases or sales of securities or to hedge the currency exposure associated with some or all of the Fund's portfolio securities. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The market value of a forward currency contract fluctuates with changes in forward currency exchange rates. Forward currency contracts are marked to market daily and the change in value is recorded by the Fund as an unrealized gain or loss. When a forward currency contract is extinguished, through delivery or offset by entering into another forward currency contract, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished or offset. These contracts may involve market risk in excess of the unrealized gain or loss reflected in the Fund's Statement of Assets and Liabilities. In addition, the Fund could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency changes unfavorably to the U.S. dollar. The U.S. dollar value of the currencies the Fund has committed to sell is shown under Note 5 and represents the currency exposure the Fund has acquired or hedged through currency contracts as of August 31, 1995.
Security lending
The Fund may lend its securities to certain qualified brokers. The loans
are collateralized at all times with cash or securities with a market value
at least equal to the market value of the securities on loan. As with other
extensions of credit, the Fund may bear the risk of delay in recovery or
even loss of rights in the collateral should the borrower of the securities
fail financially. The Fund receives compensation for lending its
securities. At August 31, 1995, the Fund loaned securities having a market
value of $114,152,121, collateralized by cash in the amount of
$128,382,434, which was invested in short-term instruments.
TAXES
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). It is the policy of the Fund to distribute all of its taxable income, including any net realized gain on investments not offset by loss carryovers, to shareholders within the prescribed time periods. Therefore, no provision for federal income or excise tax is necessary. Taxes on foreign interest and dividend income have been withheld in accordance with the applicable country's tax treaty with the United States. Dividends received by shareholders of the Fund which are derived from foreign source income and foreign taxes paid by the Fund are to be treated, to the extent allowable under the Code, as if paid and received by the shareholders of the Fund.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment income and net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryover for federal income tax purposes. The Fund's present policy is to declare and pay distributions from net investment income semi-annually, and net realized short-term and long-term capital gains at least annually. All distributions will be paid in shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions.
Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences are primarily due to differing treatments for foreign currency transactions and redemptions in-kind.
Distributions in excess of tax basis earnings and profits will be reported in the Fund's financial statements as a return of capital. Furthermore, differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary over-distributions for financial statement purposes are classified as distributions in excess of net investment income or accumulated net realized gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Dividend income is recorded on the ex-dividend date, or when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an individual Fund. Expenses which are not readily identifiable to a specific Fund are allocated in such manner as deemed equitable by the Trustees, taking into consideration, among other things, the nature and type of expense and the relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is .75% of the amount invested. The Manager may waive such premium to the extent that a transaction results in minimal brokerage and transaction costs to the Fund. All purchase premiums are paid to and recorded as paid in capital by the Fund. For the six months ended August 31, 1995, the Fund received $4,786,743 in purchase premiums. There is no premium for cash redemptions, reinvested distributions or in-kind transactions.
INVESTMENT RISK
There are certain additional risks involved in investing in foreign securities that are not inherent in investments of domestic securities. These risks may involve adverse political and economic developments and the possible imposition of currency exchange blockages or other foreign governmental laws or restrictions. In addition, the securities of some foreign companies and securities markets are less liquid and at times more volatile than securities of comparable U.S. companies and U.S. securities markets.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the "Manager"), for management and investment advisory services is paid monthly at the annual rate of .75% of average daily net assets. The Manager has agreed to waive a portion of its fee until further notice to the extent that the Fund's annual expenses (including management and custody fees but excluding brokerage commissions and transfer taxes) exceed .69% of average daily net assets. Prior to June 27, 1995, this voluntary expense limitation was .70% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee during the six months ended August 31, 1995, was $6,354. No remuneration is paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the six months ended August 31, 1995 aggregated $299,182,410 and $171,592,966, respectively.
4. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number
of shares of beneficial interest (without par value). Transactions in Fund
shares were as follows:
Six Months Ended
August 31, 1995 Year Ended
(Unaudited) February 28, 1995
Shares sold 30,026,350 47,709,816
Shares issued to shareholders in reinvestment of
distributions 3,603,331 8,245,854
Shares repurchased (9,080,579) (29,287,818)
Net increase 24,549,102 26,667,852
Fund shares:
Beginning of period 116,104,099 89,436,247
End of period 140,653,201 116,104,099
|
5. FINANCIAL INSTRUMENTS
A summary of outstanding financial instruments at August 31, 1995 is as follows:
FUTURES CONTRACTS
Net Unrealized
Number of Appreciation
Contracts Type Expiration Date Contract Value (Depreciation)
Buys
399 All Ords September 1995 $ 16,191,943 $ 170,741
70 DAX September 1995 10,672,678 1,804
613 FT-SE 100 September 1995 82,448,872 1,109,769
5,492 IBEX September 1995 15,081,102 215,741
926 TOPIX September 1995 135,189,382 15,820,955
679 TOPIX December 1995 99,406,432 1,340,073
18,659,083
Sales
213 CAC September 1995 15,954,424 440,787
651 Hang Seng September 1995 38,411,607 (379,273)
$ 61,514
At August 31, 1995 the Fund has cash and/or securities to cover any margin
requirements on open futures contracts.
|
FORWARD CURRENCY CONTRACTS
Net Unrealized
SETTLEMENT UNITS OF IN EXCHANGE FOR APPRECIATION
DELIVER CURRENCY (IN U.S. DOLLARS) (DEPRECIATION)
DATE
BUYS
9/6/95 Australian Dollars 770,454 554,741 $ 25,070
9/6/95 British Pounds 1,666,933 2,622,758 (40,122)
3/6/96 French Francs 3,200,835 635,454 (1,726)
3/6/96 German Deutsche Marks 1,015,489 713,149 (16,662)
9/6/95 Hong Kong Dollar 4,702,009 592,915 14,455
11/1/95 Japanese Yen 6,523,139,000 140,197,715 (17,351,045)
11/6/95 Norwegian Krone 391,700,000 62,823,782 (1,745,677)
10/5/95 Swedish Krona 318,400,000 43,648,128 (216,127)
$ (19,331,834)
Sales
2/1/96 British Pounds 90,300,000 143,200,665 $ 1,671,128
12/1/95 German Deutsche Marks 226,450,000 160,122,987 5,380,606
10/2/95 Swiss Francs 23,600,000 21,255,517 1,659,070
$ 8,710,804
FORWARD CROSS CURRENCY CONTRACTS
|
Settlement Net
Date Deliver/Receive Units In Unrealized
of Exchange Appreciation
Currency for
9/6/95 Australian Dollars/
Japanese Yen AUD 5,718,522 JPY 393,491,483 $ 554,743
9/6/95 British Pounds/
Japanese Yen GBP 13,179,516 JPY 1,967,438,121 2,622,758
3/6/96 German Deutsche Marks/
Japanese Yen DEM 13,028,511 JPY 830,697,864 713,151
3/6/96 French Francs/
Japanese Yen FRF 43,867,178 JPY 786,977,178 635,455
9/6/95 Hong Kong Dollars/
Japanese Yen HKD 32,349,920 JPY 393,491,483 592,915
$ 5,119,022
|
GMO CURRENCY HEDGED INTERNATIONAL CORE FUND
(A SERIES OF GMO TRUST)
SEMI-ANNUAL REPORT
AUGUST 31, 1995
GMO CURRENCY HEDGED INTERNATIONAL CORE FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
AUGUST 31, 1995 (UNAUDITED)
SHARES DESCRIPTION VALUE ($)
STOCK AND EQUIVALENTS - 50.2%
AUSTRALIA - 2.9%
6,463 Ampolex Ltd 15,327
144,970 Australia and New Zealand Banking Group Ltd 589,360
102,862 Boral Ltd 262,520
4,509 Burns Philp & Co Ltd 9,607
101,092 Coles Myer Ltd 28,022
6,432 Commonwealth Bank of Australia 47,600
110,262 CSR Ltd 390,150
2,342 Email Ltd 6,259
443,848 Fosters Brewing Group Ltd 414,347
56,489 Goodman Fielder Ltd 51,459
4,137 Hardie (James) Industries Ltd 7,132
9,527 Mim Holdings Ltd 13,628
179,973 News Corp Ltd 1,035,164
90,561 News Corp Ltd Preferred 1.19% 467,707
20,664 North Ltd 58,338
6,737 Pacific Dunlop Ltd 15,926
11,534 Pasminco Ltd * 14,675
204,352 Pioneer International Ltd 532,308
51,979 QCT Resources Ltd 63,394
2,130 Renison Goldfields Consolidated 8,900
65,535 Santos Ltd 173,176
4,031 Schroders Property * 6,246
42,744 Schroders Property Fund 69,187
1,381 Smith (Howard) Ltd 6,612
4,014 Southcorp Holdings Ltd 8,552
24,960 Stockland Trust Group 57,313
7,000 TNT Ltd * 9,539
97,479 Western Mining Corp Holdings Ltd 655,346
26,026 Westfield Trust Units 45,849
20,250 Westpac Banking Corp 76,226
5,439,869
AUSTRIA - 0.9%
187 Austrian Airlines * 30,587
1,082 Bank Austria AG (Participating Certificate) 36,652
1,099 Bau Holding AG (Non Voting) 56,480
1,136 Brau Union AG 63,439
2,512 Creditanstalt-Bankverein 136,878
1,925 Creditanstalt-Bankverein Preferred 1.65% 99,117
166 EA-Generali AG 48,841
877 EVN Energie-Versorgung Niederoesterreich AG 114,503
354 Lenzing AG 31,863
226 Leykam-Muerztaler Papier und Zellstoff AG * 9,996
2,242 OEMV AG 213,519
122 Oesterreichische Brau Beteiligungs AG 6,175
3,759 Oesterreichische Elektrizitaetswirschafts AG 255,032
5,034 Oesterreichische Laenderbank AG 399,514
998 Oesterreichische Laenderbank AG Preferred (Non Voting) 44,722
934 Radex-Heraklith AG 33,266
262 RAS Versicherungs AG 37,808
51 Strabag Oesterreich AG 6,886
338 Veitsch-Radex AG 8,113
393 Wienerberger Baustoffindustrie AG 92,238
1,725,629
BELGIUM - 0.2%
762 Banque Bruxelles Lambert 120,938
39 Banque Nationale de Belgique 50,280
850 Groupe Bruxelles Lambert SA 108,599
983 Powerfin SA 105,094
384,911
CANADA - 1.0%
1,998 Abitibi-Price Inc 33,467
4,995 Alberta Energy Ltd 76,231
2,997 Bank of Montreal 65,819
5,994 Bank of Nova Scotia 130,523
1,998 BCE Inc 64,332
5,994 Canadian Imperial Bank of Commerce 147,256
10,989 Cominco Ltd 217,817
17,982 Domtar Inc 169,010
6,993 Fletcher Challenge Class A 113,882
1,998 Gulf Canada Resources Ltd 9,111
6,993 Imperial Oil Ltd 250,540
18,981 Macmillan Bloedel Ltd 250,819
3,996 National Bank of Canada - Montreal 33,095
999 Noranda Forest Inc 7,902
1,998 Norcen Energy Resource 30,121
999 Petro Canada 9,854
5,994 Royal Bank of Canada 133,312
5,994 Teck Corp Class B 117,136
4,995 Toronto Dominion Bank 80,415
999 United Dominion Inds Ltd 24,078
1,964,720
FINLAND - 0.3%
3,000 Amer Group Class A 51,103
1,500 Cultor OY Series 1 50,898
3,996 Nokia Corp Class A 273,004
4,000 Partek AB 55,566
200 Stockmann AB Series B 9,109
200 Stockmann Series A 10,612
5,000 Valmet 143,470
593,762
FRANCE - 3.7%
45 Accor SA 5,621
92 Air Liquide 14,661
143 Air Liquide L Shares 22,788
6,183 Alcatel Alsthom Cie Generale d'Electricite SA 619,340
3,638 Axa SA 201,291
19,398 Banque Nationale de Paris 794,890
76 BIS SA * 7,056
784 Carrefour Supermarche SA 437,202
27,060 Compagnie de Suez SA 1,114,220
276 Credit Foncier De France (Bearer) 7,376
5,176 Credit Lyonnais * 256,264
878 Credit National 61,181
60 CSF Thompson Temp (Participating Certificates) * 1,247
134 Dollfus-Mieg and Cie 6,473
192 Elf Gabon 29,647
3,399 Elf Sanofi SA 209,868
1,388 Eridania Beghin-Say SA 204,978
6,514 Financiere de Paribas SA 351,394
741 FINEXTEL 10,562
42 Labinal SA 6,485
4,837 Lafarge Coppee SA 360,992
1,336 LVMH Moet Hennessy Louis Vuitton 240,144
7,722 Michelin SA Class B 334,775
457 Parisienne de Reescompte (CPR-Cie) 32,116
1,067 Pechiney International SA 25,579
1,153 Pechiney International SA Preferred (without Warrants) 3.43% 74,637
2,235 Pernod-Ricard 140,210
3,666 Peugeot SA 484,059
14 Salomon SA 6,707
70 SIMCO 5,640
1,574 Societe Generale d 'Entreprise SA 42,065
3,455 Societe Generale Paris 360,444
664 SOVAC SA 49,818
4,203 SPIE Batignolles * 173,062
11,107 Thomson CSF 235,267
108 Total SA 6,337
90 Union Immobiliere de France 7,394
1,443 Worms et Compagnie SA 63,416
7,052,348
GERMANY - 3.9%
1,700 Bankgesellschaft Berlin AG 442,890
10,750 Bayer AG 2,778,220
10,000 Bayer Vereinsbank 271,889
2,900 Bayerische Hypotheken-und Wechselbank AG 711,110
600 Bayerische Motorenwerke AG 333,617
7,000 Berliner Handels- und Frankfurter Bank * 180,318
850 Berliner Kraft und Licht AG Class A 202,470
4,450 Commerzbank AG 1,004,873
50 Daimler-Benz AG 24,688
29,600 Dresdner Bank 782,632
150 IKB Deutsche Industriebank AG 28,074
1,500 Klockner-Humboldt Deutz * 10,678
50 Kugelfischer George Schaefer AG * 7,554
450 Porsche AG Preferred (Non Voting) * 210,705
100 Puma AG Preferred * 29,605
500 Sap AG 76,054
500 Sap AG Preferred 73,910
500 Siemens AG 254,466
50 Volkswagen AG Preferred .79% 11,553
7,435,306
HONG KONG - 2.6%
45,000 Cathay Pacific Airways Ltd 67,724
40,000 Chinese Estates Holdings Ltd 27,128
4,000 Cross Harbour Tunnel Co Ltd 7,854
42,000 Dickson Concepts (International) Ltd 27,942
228,000 Elec and Eltek International Holdings Ltd * 33,283
20,202 Goldlion Holdings Ltd 10,178
71,000 Hang Lung Development Co Ltd 110,063
33,000 Henderson Land Development Co Ltd 179,473
27,000 Hong Kong and China Gas Co Ltd 42,553
45,000 Hong Kong Ferry Co Ltd 48,250
2,000 Hongkong Aircraft Engineering Co Ltd 4,702
8,000 Hongkong and Shanghai Hotels Ltd Preferred 1.95% 9,766
51,000 Hongkong Electric Holdings Ltd 176,896
324,700 Hopewell Holdings Ltd 234,895
134,000 Hutchison Whampoa Ltd 645,679
8,000 Jardine International Motor Holdings Ltd 8,371
18,800 Kowloon Motor Bus Co Ltd 33,272
57,000 Kumagai Gumi Hong Kong Ltd 44,180
40,000 Lai Sun Garment (International) Ltd 41,338
56,000 National Mutual Asia Ltd 40,150
61,000 New World Development Co Ltd 222,219
5,000 Realty Development Corp Ltd Class A 14,339
370,000 Regal International Ltd 66,916
14,800 San Miguel Brewery Ltd 8,604
12,000 Shun Tak Holdings Ltd 10,076
136,000 Sino Land Co Ltd * 94,871
64,000 South China Morning Post Ltd 35,344
84,000 Sun Hung Kai Properties Ltd 610,386
185,000 Swire Pacific Ltd Class A 1,386,126
47,000 Tai Cheung Holdings Ltd 40,680
14,000 Television Broadcasts Ltd 51,725
206,000 Wharf Holdings Ltd 592,107
4,000 Wing On International Holdings Ltd 7,131
30,000 Winsor Industrial Corp Ltd 32,941
32,000 World International Holdings Ltd 48,573
5,015,735
ITALY - 2.1%
110,000 Alitalia Linee Aeree Italiane Class A * 51,513
2,500 Assicurazioni Generali SPA 60,155
110,000 Autostrade Concessioni e Costruzioni SPA Class B Preferred 6.39% 128,782
18,000 Banca Commerciale Italiana SPA 42,480
472,500 Banca di Roma * 448,074
2,400 Banca Popolare di Bergamo Credit 31,647
2,500 Banca Toscana * 5,407
271,224 Banco di Napoli (Non Convertible) * 124,006
6,000 Bco Ambros Veneto Di Risp (Non Convertible) 8,060
21,500 Benetton Group SPA 227,202
21,000 Cartiere Burgo SPA 142,662
5,000 Comau Finanziaria SPA 7,394
47,000 Edison SPA 198,959
250 Ericsson SPA 4,098
108,000 Fiat SPA 396,957
101,000 Fiat SPA (Non Convertible) 216,576
84,000 Fiat SPA (Private Placement) (a) 189,698
21,000 FIDIS SPA 46,066
45,518 Finmeccanica SPA * 32,843
27,500 Gilardini SPA 53,207
195,000 Industriali Riunite SPA * 141,183
22,500 Industriali Riunite (Cie) SPA (Non Convertible) * 10,273
31,500 Istituto Bancario San Paolo 169,738
15,750 Italcementi Fabbriche Riunite Cemento SPA 110,199
9,250 Italcementi Fabbriche Riunite Cemento SPA (Non Convertible) 30,493
1,000 Marzotto and Figli SPA 6,347
55,000 Montedison SPA (Non Convertible) * 34,127
335,000 Montedison SPA * 249,150
52,500 Olivetti and Co SPA * 44,416
114,200 Parmalat Finanziaria SPA 101,260
59,000 Pirelli and Co 87,797
3,900 Ratti SPA 7,642
11,000 Rinascente per l'Esercizio di Grandi Magazzini SPA 64,865
13,000 Rinascente per l'Esercizio di Grandi Magazzini SPA Preferred 5.59% 34,445
10,000 Rinascente per l'Esercizio di Grandi Magazzini SPA (Non Convertible) 31,610
8,000 SAFFA SPA * 27,358
5,000 Saipem SPA 10,937
8,000 Sasib SPA 37,710
21,500 Sirti SPA 156,458
135,000 Snia BPD SPA * 165,537
2,500 STET SPA 7,671
3,000 Unione Cementi Marchino Emiliane e di Augusta-Casale (Non Convertible) * 10,333
5,000 Unione Cementi Marchino Emiliane e di Augusta-Casale * 33,890
3,989,225
JAPAN - 11.2%
2,000 Alps Electric Co Ltd 24,710
12,000 Amada Co Ltd 124,981
65,000 Aoki Corp * 316,588
1,400 Arabian Oil Co 58,181
9,000 Asahi Breweries Ltd 103,844
5,000 Bank of Yokohama Ltd 39,261
5,000 Banyu Pharmaceutical Co Ltd 55,139
11,000 Canon Sales Co Inc 293,154
3,000 Chiba Bank Ltd 28,182
404 Chubu Electric Power Co Inc 9,405
23,000 Cosmo Oil Co Ltd 119,773
9,900 CSK Corp 295,175
2,000 Dai Nippon Ink & Chemicals 8,863
18,000 Dai Nippon Printing Co Ltd 284,883
34,000 Daicel Chemical Industries Ltd 185,388
2,000 Daiichi Seiyaku Co Ltd 27,569
1,000 Daikin Industries Ltd 8,710
3,000 Daikyo Inc 24,169
6,000 Daiwa Bank Ltd 49,073
1,000 Daiwa Kosho Lease 9,721
79 East Japan Railway Co 375,096
1,000 Eisai Co Ltd 16,133
9,000 Fuji Photo Film Co Ltd 225,149
33,000 Fujisawa Pharmaceutical Co Ltd 330,219
7,000 Fujita Corp 35,595
1,000 Fujita Kanko Inc 21,851
57,000 Fujitsu Ltd 616,940
5,000 Fukuyama Transporting Co Ltd 44,979
2,000 Furukawa Electric Co Ltd 11,518
7,000 Gakken Co Ltd * 45,602
5,000 General Sekiyu (KK) 48,246
22,000 Hankyu Corp 123,551
32,000 Haseko Corp 147,036
7,000 Hazama-Gumi Ltd 31,878
1,000 Hiroshima Bank Ltd 5,504
7,000 Hitachi Cable Ltd 52,177
73,000 Hitachi Ltd 797,570
2,000 Honda Motor Co Ltd 35,534
2,000 Hoya Corp 57,385
7,000 INAX Corp 69,689
2,000 Intec Inc 27,569
10,000 Itochu Corp 62,082
40,000 Japan Energy Co Ltd 124,572
25,000 Japan Synthetic Rubber Co Ltd 142,952
33 Japan Tobacco Inc 279,338
4,000 Joshin Denki Co Ltd 51,054
5,000 Kajima Corp 50,442
3,000 Kamigumi Co 27,814
9,000 Kankaku Securities Co Ltd * 33,451
9,000 Keihin Electric Express Railway 56,058
16,000 Keio Teito Electric Railway Co Ltd 94,430
5,000 Keisei Electric Railway 40,639
40,000 Kinki Nippon Railway 328,790
12,000 Kirin Brewery Co Ltd Com 124,981
5,000 Kokusai Kogyo Co Ltd 46,561
1,000 Kokuyo Co 21,647
37,000 Komatsu Ltd 304,886
7,000 Koyo Seiko Co Ltd 62,827
94,000 Kumagai Gumi Co Ltd 448,236
18,000 Kurabo Industries Ltd 73,334
33,000 Kureha Chemical Industry Co Ltd 145,229
3,000 Kyowa Hakko Kogyo Co Ltd 29,132
1,000 Lion Corp 5,708
5,000 Maeda Corp 53,607
7,000 Makino Milling Machine Co Ltd * 52,177
25,000 Marubeni Corp 128,146
7,000 Marudai Food Co Ltd 49,962
22,000 Marui Co Ltd 386,379
37,000 Matsushita Electric Industrial Co Ltd 578,036
47,000 Matsushita Electric Works Ltd 484,709
7,000 Mazda Motor Corp * 29,019
25,000 Minebea Co Ltd 194,006
36,000 Mitsubishi Electric Corp 269,444
51,000 Mitsubishi Estate 598,867
26,000 Mitsubishi Gas Chemical Co Inc 108,848
113,000 Mitsubishi Materials Corp 560,760
16,000 Mitsubishi Oil Co 137,071
1,000 Mitsubishi Rayon Co 4,146
17,000 Mitsubishi Trust & Banking Corp 282,943
1,000 Mitsubishi Warehouse 15,010
22,000 Mitsui Fudosan Co Ltd 283,045
30,000 Mitsui Petrochemical Industries Ltd 229,744
16,000 Mitsui Trust & Banking Co Ltd 165,007
19,000 Nagoya Railroad Co Ltd 95,839
8,000 Nakkai Electric Rail 55,302
33,000 NEC Corp 431,306
8,000 New Japan Securities Co Ltd * 42,069
13,000 Nichiei Co Ltd 54,158
26,000 Nippon Express Co 224,067
183,000 Nippon Oil Co Ltd 1,033,328
46,000 Nippon Sheet Glass Co Ltd 208,546
6,000 Nippon Suisan Kaisha Ltd * 27,998
81,000 Nissan Motor Co Ltd 620,309
17,000 Nisshinbo Industries Inc 152,581
2,000 Nissho Iwai Corp 8,067
16,000 Nitto Denko Corp 253,229
25,000 NSK Ltd 168,224
17,000 Odakyu Electric Railway 118,385
1,000 Okamoto Industries 6,596
37,000 Renown Inc * 119,008
4,000 Ricoh Co Ltd 39,822
3,000 Royal Co Ltd 39,822
7,000 Sagami Railway 31,378
3,000 Sankyo Co Ltd 66,779
18,000 Sanyo Electric Co Ltd 99,250
1,000 Sapporo Breweries Ltd 9,088
1,500 Secom Co 98,484
1,000 Seibu Railway Co Ltd 43,702
11,000 Seino Transportation Co Ltd 183,081
11,000 Sekisui Chemical Co Ltd 138,153
23,000 Sekisui House Ltd 288,865
25,000 Settsu Corp * 77,347
5,000 Shionogi and Co Ltd 45,183
5,000 Shiseido Co Ltd 52,075
12,000 Showa Shell Sekiyu 105,499
3,000 Skylark Co Ltd 47,787
2,000 Sony Corp 109,052
46,000 Sumitomo Corp 429,305
22,000 Sumitomo Metal Industries Ltd * 61,326
2,000 Sumitomo Osaka Cement Co 8,026
7,000 Sumitomo Realty and Development 51,320
12,000 Sumitomo Trust & Banking Co Ltd 162,965
7,000 Taisei Corp 47,174
2,000 Taisho Pharmaceutical Co Ltd 35,534
9,000 Takeda Chemical Industries Ltd 121,305
17,000 Tanabe Seiyaku Co Ltd 120,641
98,000 Teijin Ltd 475,315
7,000 Teikoku Oil Co 43,386
1,000 Terumo Corp 7,832
23,000 Toa Nenryo Kogyo (KK) 345,229
22,000 Tobu Railway Co 132,986
110 Toho Co 17,185
2,000 Tokyo Broadcasting System Inc 32,062
2,000 Tokyo Dome Corp 33,287
8,000 Tokyo Electric Co Ltd * 37,168
1,000 Tokyo Tatemono Ltd 4,697
1,000 Tokyotokeiba Co 3,972
23,000 Tokyu Construction Co Ltd 120,948
29,000 Tokyu Corp 204,319
5,000 Tokyu Department Store Co Ltd 32,215
8,000 Tokyu Land Corp 41,660
16,000 Toppan Printing Co Ltd 218,921
7,000 Toyo Ink Manufacturing Co Ltd 39,598
1,000 Toyo Trust & Banking Co Ltd 8,373
15,000 Toyota Motor Corp 297,136
3,000 Victor Co of Japan Ltd * 37,065
6,000 Wacoal Corp 71,068
3,000 Yakult Honsha Co Ltd 41,354
2,000 Yamaguchi Bank Ltd 34,717
50,000 Yamaichi Securities Co Ltd 321,131
11,000 Yamanouchi Pharmaceutical Co Ltd 232,501
6,000 Yamato Transport Co 62,490
7,000 Yasuda Trust and Banking Co Ltd 45,459
1,000 Yokogawa Electric Corp 9,394
21,434,522
MALAYSIA - 0.3%
118,000 Amcol Holdings Ltd 320,648
212,000 Faber Group Berhad * 203,928
524,576
NETHERLANDS - 0.0%
381 Stockland Trust Group 840
NEW ZEALAND - 0.4%
222,562 Fletcher Challenge Ltd 604,561
90,839 Lion Nathan Ltd 188,311
1,992 Telecom Corp of New Zealand 7,896
800,768
NORWAY - 1.5%
2,100 Aker AS Class A 27,321
600 Aker AS Class B (Non-Voting) 7,666
9,400 Bergesen d y AS Class A 225,549
4,000 Bergesen d y AS Class B 97,225
2,400 Det Norske Luftfartsselskab AS Class B 119,661
4,000 Dyno Industrier AS 83,514
4,600 Elkem AS Class A 55,904
6,700 Hafslund Nycomed AS Class A 161,807
9,250 Hafslund Nycomed AS Class B 219,067
3,100 Kvaerner Industrier 120,752
6,900 Leif Hoegh and Co AS 106,433
28,000 Norsk Hydro AS 1,182,277
1,400 Norske Skogindustrier AS Series A 43,954
4,000 Orkla AS Class A 186,971
1,100 Orkla-Borregaard AS Series B (Non Voting) 48,675
6,600 Unitor AS 93,065
2,779,841
SINGAPORE - 2.2%
149,000 Chuan Hup Holdings Ltd 145,801
206,000 DBS Land Ltd 591,679
58,000 First Capital Corp Ltd 166,589
68,000 Fraser and Neave Ltd 770,715
70,000 Hai Sun Hup Group Ltd 49,771
80,000 Haw Par Brothers International Ltd 163,323
139,000 Hotel Properties Ltd 224,083
25,000 Inchcape Berhad 82,013
34,000 Jurong Shipyard Ltd 236,959
62,000 Lum Chang Holdings Ltd 56,304
18,000 Metro Holdings 80,465
255,000 Neptune Orient Lines Ltd 310,560
11,000 Prima Ltd 42,203
22,000 Robinson and Co Ltd 86,730
11,000 Shangri-La Hotel Ltd 39,106
16,000 Singapore Land Ltd 90,109
135,000 Straits Trading Co Ltd 309,820
7,000 Times Publishing Ltd 16,262
540,000 United Industrial Corp Ltd 494,192
82,000 United Overseas Land Ltd 143,738
25,000 Wearne Brothers Ltd 58,430
4,158,852
SPAIN - 2.6%
13,222 Argentaria Corporacion Bancaria de Espana SA 504,748
2,426 ASLAND SA 41,956
4,082 Autopistas Cesa (Registered) 39,364
107 Autopistas Conces * 1,010
8,854 Autopistas del Mare Nostrum SA 103,023
230 Azucarera de Espana SA 6,544
24,251 Banco Bilbao Vizcaya SA 733,472
11,236 Banco Central Hispanoamericano SA 234,167
401 Banco Exterior de Espana Namen 9,715
1,328 Bankinter SA 115,363
589 Cristaleria Espanola SA * 38,962
15,965 Dragados y Construcciones SA 255,109
3,427 Ebro Agricolas Compania de Alimentacion SA 34,960
2,272 Empresa Nacional de Celulosa SA * 58,033
3,245 Empresa Nacional de Electricidad SA 168,360
5,375 Ercros SA * 5,783
214 Fabricacion de Automoviles Renault de Espana SA 6,652
86,197 FENOSA SA 399,813
64,413 Fuerzas Electricas de Cataluna SA 409,142
4,817 Huarte SA 42,229
53,800 Iberdrola SA 412,906
262 Prosegur Cia SA 6,452
10,363 Repsol SA 324,992
7,161 Sarrio SA * 36,012
69,913 Sevillana de Electricidad 442,963
6,230 Tabacalera S Namen-Akt 229,885
2,899 Tableros Defibras Series B 35,234
468 Telefonica de Espana SA 6,341
13,900 Uralita SA 153,983
3,210 Vallehermoso SA 56,666
4,913,839
SWEDEN - 0.4%
2,550 AGA AB Series A 30,707
2,700 Electrolux AB Series B 117,675
1,609 Fastighets AB (Hufvudstaden) Series A 8,785
1,000 Hennes and Mauritz AB Series B 59,252
2,800 Marieberg Tidnings AB Series A 57,473
100 Mo Och Domsjoe AB Series B 5,747
23,500 Skandinaviska Enskilda Banken Series A 121,555
5,800 Skanska AB Series B 145,639
600 SKF AB Class B 12,151
6,800 Svenska Handelsbanken Series A 106,078
665,062
SWITZERLAND - 2.7%
25 Adia SA * 4,431
150 Baloise Holdings 299,379
45 Bobst SA (Bearer) 69,876
90 CIBA-GEIGY AG (Bearer) 63,727
9,890 CS Holdings (Registered) 808,810
10 Danzas Holding AG 7,950
125 Elektrowatt AG 36,439
150 Hilti AG, Schaan (Participating Certificate) 126,708
170 Holderbank Financiere Glarus AG (Bearer) 133,043
760 Holderbank Financiere Glarus AG (Registered) 118,327
5 Interdiscount Holding SA (Bearer) 5,321
20 Intershop Holding AG 9,673
5 Magazine zum Globus (Registered) 3,147
220 Merkur Holding AG 53,019
70 Pargesa Holding SA 84,928
10 Sandoz AG Basel (Bearer) 7,304
25 Schindler Holding AG (Participating Certificate) 20,290
25 Schindler Holding AG (Registered) 21,118
150 Schweizerische Rueckversicherungsgesellschaft (Bearer) 121,242
20 Sika Finanz AG 5,499
186 SMH AG 125,540
600 SMH AG (Registered) 85,963
78 Sulzer Gebrueder AG 43,409
1,500 Swiss Bank Corp (Bearer) 509,317
1,650 Swiss Bank Corp (Registered) 281,149
1,065 Union Bank of Switzerland (Bearer) 948,137
32 Union Bank of Switzerland (Registered) 6,228
915 Winterthur Insurance (Registered) 542,559
300 Winterthur Schweizerische Versicherungs-Gesellschaft 182,609
1,425 Zurich Vericher Namen (Registered) 363,478
5,088,620
UNITED KINGDOM - 11.3%
1,731 Amersham International 28,617
20,195 Amstrad Plc 81,686
144,427 Argyll Group 787,867
667,358 ASDA Group Plc 1,122,149
760 Associated British Foods 8,457
59,090 Bass Plc 592,489
100,971 BAT Industries Plc 787,094
9,153 Berisford International Plc 25,887
18,324 Boots Co Plc 159,879
82,887 British Aerospace Plc 846,513
6,720 British Land Co Plc 41,553
296,013 British Petroleum Co Plc 2,215,745
35,916 British Steel Plc 100,190
76,425 BTR 403,879
11,029 Bunzl Plc 34,954
225,562 Burton Group Plc 356,556
554 Carlton Communications 8,929
7,494 Cobham Group Plc 48,778
14,268 Dixons Group Plc 74,627
20,598 English China Clays Plc 120,984
44,284 Fisons 175,691
85,433 Forte Plc 340,268
82,762 General Electric Co Plc 398,890
263,175 Glaxo Wellcome Plc 3,119,076
43,037 Grand Metropolitan Plc 272,122
37,002 Great Portland Estates Plc 99,205
28,220 Great Universal Stores Plc 267,215
5,827 Greenalls Group Plc 45,197
3,873 Greycoat Plc 8,523
59,193 Hammerson Property Investment and Development Corp Plc 326,574
10,561 Hillsdown Holdings Plc 31,261
15,506 Imperial Chemical Industries Plc 184,313
69,447 Ladbroke Group Plc 179,735
150,941 Lasmo Plc 414,040
5,630 London Electricity Plc 73,465
28,570 London International Group Plc 56,674
144,666 Lonrho Plc 363,198
52,404 Marks & Spencer Plc 353,277
1,827 Meyer International Plc 9,910
3,553 Midland Electricity 47,079
35,554 National Power Plc 289,274
13,847 Northern Foods Plc 41,631
4,709 NORWEB Plc 63,272
5,520 Ocean Group Plc 28,401
46,268 Peninsular and Oriental Steam Navigation Co 398,315
56,899 Pilkington Plc 186,058
31,391 Powergen Plc 284,471
14,849 Reckitt & Colman Plc 153,031
17,442 Redland Plc 105,150
37,309 Sainsbury Plc 268,066
3,184 Scottish & Newcastle Plc 29,310
2,788 Securicor Group Plc 47,312
19,541 Simon Engineering Plc * 28,770
10,405 Slough Estates Plc 35,637
102,639 Smith & Nephew Plc 304,609
104,103 Smithkline Beecham Plc Class A 966,389
183,369 Smithkline Beecham Plc Equity Units 1,603,465
234,010 Tarmac Plc 369,910
103,029 Taylor Woodrow Plc 183,620
73,678 Tesco 373,377
3,721 Thorn Emi 85,231
86,579 Trafalgar House Plc 50,987
8,016 Unigate Plc 51,555
23,682 Unilever Plc 445,920
23,011 United Biscuits Holdings Plc 97,355
23,732 Whitbread Plc Class A (Limited Voting) 226,189
2,689 Wilson (Connolly) Holdings Plc 6,668
24,901 Wimpey (George) Plc 40,906
21,377,425
TOTAL STOCK AND EQUIVALENTS (Cost $96,166,475) 95,345,850
PAR VALUE SHORT-TERM INVESTMENTS - 4.2%
$ 6,400,000 Republic Bank of New York Time Deposit, 5.81% due 9/1/95 6,400,000
1,500,000 U.S. Treasury Bill, 5.26% due 02/08/96 (b) 1,464,333
7,864,333
TOTAL SHORT-TERM INVESTMENTS (Cost $7,857,312) 7,864,333
TOTAL INVESTMENTS - 54.4%
(Cost $104,023,787) * * 103,210,183
Other Assets and Liabilities (net) - 45.6% 86,638,249
TOTAL NET ASSETS - 100.0% $ 189,848,432
NOTES TO THE SCHEDULE OF INVESTMENTS:
(a) Restricted security - This security is restricted as to resale. At
August 31, 1995, restricted securities amounted to $189,698.
(b) This security is held as collateral for open futures contracts.
* Non-income producing security.
** The aggregate identified cost for federal income tax
purposes is $104,023,787 resulting in gross
unrealized appreciation and depreciation of
$1,344,953 and $2,158,557, respectively, and net
unrealized depreciation of $813,604.
|
See accompanying notes to the financial statements.
At August 31, 1995, industry sector diversification of the Fund's equity investments was as follows:
PERCENTAGE OF
INDUSTRY SECTOR NET ASSETS
Banking 7.5 %
Services 5.3
Health Care 3.8
Oil and Gas 3.7
Construction 2.9
Retail Trade 2.9
Transportation 2.8
Chemicals 2.5
Real Estate 2.2
Utilities 2.0
Technology 1.8
Food and Beverage 1.7
Automotive 1.5
Metals and Mining 1.4
Consumer Goods 1.3
Machinery 1.3
Insurance 1.0
Telecommunications 0.9
Paper and Allied Products 0.8
Electric 0.7
Aerospace 0.6
Financial Services 0.5
Pharmaceuticals 0.4
Textiles 0.4
Miscellaneous 0.2
Primary Processing 0.1
50.2 %
|
See accompanying notes to the financial statements.
GMO CURRENCY HEDGED INTERNATIONAL CORE FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - AUGUST 31, 1995 (UNAUDITED)
ASSETS:
Investments, at value (cost $96,166,475) (Note 1) $ 95,345,850
Short-term investments, at value, (cost $7,857,312) (Note 1) 7,864,333
Foreign currency, at value (cost $12,222) (Note 1) 12,319
Cash 81,622
Receivable for Fund shares sold 86,406,305
Dividends and interest receivable 56,662
Foreign withholding taxes receivable 10,150
Receivable for investments sold 2,706,305
Receivable for open forward foreign currency contracts (Note 6) 2,939,040
Receivable for variation margin on open futures contracts (Note 1) 41,451
Receivable for expenses waived or borne by Manager (Note 2) 27,805
Total assets 195,491,842
LIABILITIES:
Payable for investments purchased 5,412,610
Payable for open forward foreign currency contracts (Note 6) 142,136
Payable to affiliate for management fee (Note 2) 43,758
Accrued expenses 44,906
Total liabilities 5,643,410
NET ASSETS (equivalent to $10.80 per share based
on 17,583,602 shares outstanding, unlimited shares authorized) $ 189,848,432
NET ASSETS CONSIST OF:
Paid-in capital $ 187,273,305
Accumulated undistributed net investment income 77,402
Accumulated undistributed net realized gain 339,950
Net unrealized appreciation 2,157,775
Net assets $ 189,848,432
|
See accompanying notes to the financial statements.
GMO CURRENCY HEDGED INTERNATIONAL CORE FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - PERIOD FROM JUNE 30, 1995 (COMMENCEMENT OF OPERATIONS)
TO AUGUST 31, 1995 (UNAUDITED)
INVESTMENT INCOME:
Dividends (net of foreign tax expense $16,739) 104,997
Interest $ 31,665
Total income 136,662
EXPENSES:
Management fee (Note 2) 63,323
Custodian fees 25,783
Audit fees 12,390
Transfer agent fees 4,484
Registration fees 2,478
Stamp duties and transfer taxes 1,003
Legal fees 649
Insurance 177
Trustee fee (Note 2) 59
Miscellaneous 236
Total expenses 110,582
Less: expenses waived or borne by Manager (Note 2) (51,322)
Net expenses 59,260
Net investment income 77,402
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments 3,678
Closed futures contracts 344,380
Foreign currency, forward contracts and foreign currency
related transactions (8,108)
Net realized gain 339,950
Change in net unrealized appreciation (depreciation) on:
Investments (813,604)
Open futures contracts 175,513
Foreign currency, forward contracts and foreign currency
related transactions 2,795,866
Net unrealized gain 2,157,775
Net realized and unrealized gain 2,497,725
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 2,575,127
|
See accompanying notes to the financial statements.
GMO CURRENCY HEDGED INTERNATIONAL CORE FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS - PERIOD FROM JUNE 30, 1995 (COMMENCEMENT OF
OPERATIONS) TO AUGUST 31, 1995 (UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 77,402
Net realized gain 339,950
Change in net unrealized appreciation (depreciation) 2,157,775
Net increase in net assets resulting from operations 2,575,127
Fund share transactions: (Note 5)
Proceeds from sale of shares 187,273,305
Net asset value of shares issued to shareholders
in payment of distributions declared -
Cost of shares repurchased -
Net increase in net assets resulting
from Fund share transactions 187,273,305
Total increase in net assets 189,848,432
NET ASSETS:
Beginning of period -
End of period (including accumulated undistributed
net investment income of $77,402) $ 189,848,432
|
See accompanying notes to the financial statements.
GMO CURRENCY HEDGED INTERNATIONAL CORE FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
PERIOD FROM JUNE 30, 1995
(COMMENCEMENT OF OPERATIONS)
TO AUGUST 31, 1995
(UNAUDITED)
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00
Income from investment operations:
Net investment income (a) -
Net realized and unrealized gain (loss)
on investments 0.80
Total from investment operations 0.80
NET ASSET VALUE, END OF PERIOD $ 10.80
TOTAL RETURN (B) 8.00%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 189,848
Net expenses to average
daily net assets (a) 0.70%* (c)
Net investment income to average
daily net assets (a) 0.91%*
Portfolio turnover rate -
* Annualized.
(a) Net of fees and expenses voluntarily waived or borne by the Manager of less
than $.01 per share.
(b) Calculation excludes subscription fees. The
total return would have been lower had certain
expenses not been waived during the period
shown.
(c) Includes stamp duties and transfer taxes not
waived or borne by the Manager, which
approximates .01% of average daily net assets.
|
See accompanying notes to the financial statements.
GMO CURRENCY HEDGED INTERNATIONAL CORE FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
AUGUST 31, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO Currency Hedged International Core Fund (the "Fund"), which commenced operations on June 30, 1995, is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, non-diversified management investment company. The Trust was established as a Massachusetts Business Trust under the laws of the Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees to create an unlimited number of series ("Funds"), each of which issues a separate series of shares. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market quotations are available are valued at the last quoted sale price on each business day, or if there is no such reported sale, at the most recent quoted bid price. Unlisted securities for which market quotations are readily available are valued at the most recent quoted bid price. Securities which are primarily traded on foreign exchanges are generally valued at the preceding closing values of such securities on their respective exchanges, and those values are then translated into U.S. dollars at the current exchange rate. Short-term investments with a remaining maturity of sixty days or less are valued at amortized cost which approximates market value. Other assets and securities for which no quotations are readily available are valued in good faith by the Trustees.
FOREIGN CURRENCY TRANSLATION
The accounting records of the Fund are maintained in U.S. dollars. The market values of foreign securities, currency holdings and other assets and liabilities are translated to U.S. dollars based on the prevailing exchange rates each business day. Income and expenses denominated in foreign currencies are translated at prevailing exchange rates when accrued or incurred. The Fund does not isolate realized and unrealized gains and losses attributable to changes in exchange rates from gains and losses that arise from changes in the market value of investments. Such fluctuations are included with net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net exchange gains and losses on disposition of foreign currencies and the difference between the amount of investment income and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent amounts actually received or paid.
FUTURE CONTRACTS
The Fund may use futures contracts to manage its exposure to the bond and currency markets. Buying futures tends to increase the Fund's exposure to the underlying instrument. Selling futures tends to decrease the Fund's exposure to the underlying instrument or hedge other Fund instruments. Upon purchase of a futures contract, the Fund is required to deposit with its custodian, in a segregated account in the name of the futures broker, an amount of cash or U.S. government obligations in accordance with the initial margin requirements of the broker. Futures contracts are marked to market daily and an appropriate payable or receivable for the change in value ("variation margin") is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Losses may arise from the changes in the value of the underlying instrument, if there is an illiquid secondary market for the contracts, or if counterparties do not perform under the contract terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. See Note 6 for all open futures contracts held as of August 31, 1995.
FORWARD CURRENCY CONTRACTS
The Fund may enter into forward currency contracts and forward cross currency contracts in connection with settling planned purchases or sales of securities or to hedge the currency exposure associated with some or all of the Fund's portfolio securities. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The market value of a forward currency contract fluctuates with changes in forward currency exchange rates. Forward currency contracts are marked to market daily and the change in value is recorded by the Fund as an unrealized gain or loss. When a forward currency contract is extinguished, through delivery or offset by entering into another forward currency contract, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished or offset. These contracts may involve market risk in excess of the unrealized gain or loss reflected in the Fund's Statement of Assets and Liabilities. In addition, the Fund could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency changes unfavorably to the U.S. dollar. The U.S. dollar value of the currencies the Fund has committed to buy or sell is shown under Note 6 and represents the currency exposure the Fund has acquired or hedged through currency contracts as of August 31, 1995.
TAXES
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. It is the policy of the Fund to distribute all of its taxable income, including any net realized gain on investments not offset by loss carryovers, to shareholders within the prescribed time periods. Therefore, no provision for federal income or excise tax is necessary. Taxes on foreign interest and dividend income have been withheld in accordance with the applicable country's tax treaty with the United States.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment income and net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryover for federal income tax purposes. The Fund's present policy is to declare and pay distributions from net investment income semi-annually, and net realized short-term and long-term capital gains at least annually. All distributions will be paid in shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions.
Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles.
Distributions in excess of tax basis earnings and profits will be reported in the Fund's financial statements as a return of capital. Furthermore, differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary over-distributions for financial statement purposes are classified as distributions in excess of net investment income or accumulated net realized gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Dividend income is recorded on the ex-dividend date, or when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an individual Fund. Expenses which are not readily identifiable to a specific Fund are allocated in such a manner as deemed equitable by the Trustees, taking into consideration, among other things, the nature and type of expense and the relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is .75% of the amount invested. The Manager may waive such premium to the extent that a transaction results in minimal brokerage and transaction costs to the Fund. All purchase premiums are paid to and recorded as paid-in capital by the Fund. For the period ended August 31, 1995, the Fund received $627,750 in purchase premiums. There is no premium for cash redemptions, reinvested distributions or in-kind transactions.
INVESTMENT RISK
There are certain additional risks involved in investing in foreign securities that are not inherent in investments of domestic securities. These risks may involve adverse political and economic developments and the possible imposition of currency exchange blockages or other foreign governmental laws or restrictions. In addition, the securities of some foreign companies and securities markets are less liquid and at times more volatile than securities of comparable U.S. companies and U.S. securities markets.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the "Manager"), for management and investment advisory services is paid monthly at the annual rate of .75% of average daily net assets. The Manager has agreed to waive a portion of its fee and bear other expenses until further notice to the extent that the Fund's annual expenses exceed .69% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee during the period ended August 31, 1995, was $59. No remuneration is paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended August 31, 1995, aggregated $96,180,013 and $13,518, respectively.
4. PRINCIPAL SHAREHOLDERS
At August 31, 1995, 75% of the outstanding shares of the Fund were held by three shareholders, each holding in excess of 10% of the Fund's outstanding shares.
5. SHARE TRANSACTIONS
The Declaration of Trust permits Trustees to issue an unlimited number of shares of beneficial interest (without par value). Transactions in Fund shares were as follows:
Period from June 30, 1995
(Commencement of Operations) to
August 31, 1995
(Unaudited)
Shares sold 17,583,602
Shares issued to shareholders in reinvestment
of distributions --
Shares repurchased --
Net increase 17,583,602
Fund shares:
Beginning of period --
End of period 17,583,602
|
6. FINANCIAL INSTRUMENTS
A summary of outstanding financial instruments at August 31, 1995 is as follows:
FUTURES CONTRACTS
Net Unrealized
Number of Appreciation
Contracts Type Expiration Date Contract Value (Depreciation)
Buys
14 All-Ords September 1995 $ 568,138 $ 3,465
200 IBEX September 1995 549,203 (5,538)
30 FT-SE 100 September 1995 4,035,018 (561)
33 TOPIX September 1995 4,817,764 119,319
30 TOPIX December 1995 4,392,037 47,567
3 DAX September 1995 457,401 480
$ 164,732
Sales
6 CAC September 1995 449,420 23,022
21 Hang Seng September 1995 1,239,084 (12,241)
10,781
$
|
At August 31, 1995, the Fund has cash and/or securities to cover any margin requirements on open futures contracts.
FORWARD CURRENCY CONTRACTS
Net Unrealized
Settlement Units of In Exchange for Appreciation
Date Deliver/Receive Currency (in U.S. Dollars) (Depreciation)
Buys
10/5/95 Norwegian Kroner 8,996,054 $ 1,832,310 $ (26,269)
Sales
10/5/95 Austrian Schillings 4,689,182 467,142 12,557
10/5/95 Australian Dollars 4,539,945 3,300,455 (114,321)
10/5/95 Belgian Francs 41,817,514 1,429,187 42,881
10/5/95 Great British Pounds 22,682,750 35,392,789 302,334
10/5/95 Danish Krone 5,719,390 1,025,592 22,208
10/5/95 Finnish Markka 3,947,539 914,209 14,567
10/5/95 French Francs 50,414,132 10,175,892 186,789
10/5/95 German Deutsche Marks 29,026,982 20,198,239 422,497
10/5/95 Hong Kong Dollars 27,734,728 3,583,024 651
10/5/95 Irish Pounds 445,086 726,005 20,416
10/5/95 Italian Lira 4,518,531,843 2,774,243 (1,262)
10/5/95 Japanese Yen 3,171,569,227 34,154,313 1,486,520
10/5/95 Malaysian Ringgit 7,213,197 2,924,140 32,731
10/5/95 Netherlands Guilder 7,985,166 5,017,200 157,974
10/5/95 New Zealand Dollars 797,509 523,025 5,968
10/5/95 Singapore Dollars 1,953,315 1,391,331 12,066
10/5/95 Spanish Pesetas 277,352,746 2,246,782 42,277
10/5/95 Swiss Francs 8,571,535 7,295,819 176,604
10/5/95 Swedish Krona 6,374,295 870,117 (284)
$ 2,823,173
|
GMO INTERNATIONAL SMALL COMPANIES FUND
(A SERIES OF GMO TRUST)
SEMI-ANNUAL REPORT
AUGUST 31, 1995
GMO INTERNATIONAL SMALL COMPANIES FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
AUGUST 31, 1995 (UNAUDITED)
SHARES DESCRIPTION VALUE ($)
STOCK AND EQUIVALENTS - 91.6%
AUSTRALIA - 2.4%
43,600 Aberfoyle Ltd 95,190
43,131 Adelaide Brighton Ltd 40,914
93,846 Australian Gas & Light 316,521
97,600 Australian National Industry Ltd 85,969
99,000 Bougainville Copper Ltd * 50,682
152,756 Burns Philp & Co Ltd 325,457
91,800 Caltex Australia Ltd 284,049
2,900 Coal & Allied Industries Ltd 30,566
44,900 Crusader Ltd * 43,606
86,106 Email Ltd 230,128
46,733 Fairfax (John) Holdings 96,753
414,610 Goodman Fielder Ltd 377,688
101,875 Hardie (James) Industries Ltd 175,635
23,200 Metal Manufactures Ltd 55,892
30,800 Opsm Protector Ltd 50,086
78,642 Pacific Magazines and Printing 155,119
266,000 Pasminco Ltd * 338,436
63,483 Pioneer International Ltd 165,364
52,800 Publishing & Broadcasting Preferred * 159,797
246,074 QCT Resources Ltd 300,116
18,050 Rothmans Holdings 64,004
252,887 Santos Ltd 668,255
96,500 Seven Network Ltd 247,010
189,800 Southcorp Holdings Ltd 404,381
47,200 WD&HO Wills 71,424
6,800 Weston (George) Foods Ltd 31,791
4,864,833
AUSTRIA - 2.4%
777 Allgemeine Baugesellschaft AG 94,002
888 Allgemeine Baugesellschaft AG Preferred 7.00% 45,121
800 Austrian Airlines * 130,852
11,700 Bank Austria AG (Participating Certificate) 396,332
700 Bau Holding AG (Non Voting) 35,975
1,150 Brau Union AG 64,221
200 BWT AG 24,351
500 Constantia Verpackungen AG * 33,391
1,000 Constantia-Iso Holdings AG * 55,457
2,800 Creditanstalt-Bankverein 152,571
1,200 Creditanstalt-Bankverein Preferred 1.65% 61,787
100 EA-Generali AG 29,422
1,100 EA-Generali AG Preferred 6.00% 176,728
500 EVN Energie-Versorgung Niederoesterreich AG 65,281
2,300 Flughafen Wien AG 125,326
1,100 Jenbacher Werke AG 182,051
200 Lenzing AG 18,002
300 Leykam-Muerztaler Papier und Zellstoff AG * 13,269
800 Miba Holding AG Preferred Series B 1.34% 32,597
7,000 OEMV AG 666,651
1,100 Oesterreichische Brau Beteiligungs AG 55,680
3,000 Oesterreichische Elektrizitaetswirschafts AG 203,537
7,200 Oesterreichische Laenderbank AG 571,415
700 Oesterreichische Laenderbank AG Preferred (Non Voting) 31,368
110 Perlmooser Zement 8,464
10,375 Radex-Heraklith AG 369,523
300 RAS Versicherungs AG 43,292
2,400 Steyr-Daimler-Puch AG * 43,205
1,942 Strabag Oesterreich AG 262,198
3,662 Universale Bau AG * 132,909
1,700 Va Technologie AG (Bearer) 187,568
11,045 Veitsch-Radex AG 265,108
200 Wiener Allianz Versicherungs AG 44,424
330 Wienerberger Baustoffindustrie AG 77,452
4,699,530
CANADA - 2.0%
6,000 Abitibi-Price Inc 100,503
5,000 Avenor Inc 111,204
17,000 Brunswick Mng & Smlt Ltd 181,928
18,900 Cameco Corp 590,955
3,100 Canadian Marconi Co 28,271
38,300 Canadian Tire Ltd Class A 463,335
900 Canfor Corp 9,631
1,900 CCL Industries Class B 18,035
21,900 Cominco Ltd 434,087
18,100 Dominion Textile Inc 124,642
24,400 Domtar Inc 229,332
13,000 Gulf Canada Resources Ltd 59,278
6,400 Hudsons Bay Co 128,643
13,900 Inter-City Prods Corp 29,492
1,700 International Forest Products A * 14,712
9,400 Ipsco Inc 174,949
15,300 Molson Co Ltd Class A 257,705
2,900 Molson Co Ltd Class B 48,576
11,300 Noranda Forest Inc 89,382
30,100 Nova Scotia Power Inc 257,696
15,800 Oshawa Group Ltd Class A 251,424
10,600 Power Corp of Canada 162,758
1,700 Scotts Hospitality Inc 11,390
10,200 Sears Canada Inc 59,799
3,600 Semi-Tech Class A 28,811
1,280 Slocan Forest Products Ltd 11,554
6,600 Total Petroleum North America 71,859
3,949,951
DENMARK - 0.0%
800 Hafnia Holdings Class A (a) * 1
FINLAND - 3.2%
29,000 Amer Group Class A 493,993
9,500 Cultor 320,189
25,000 Cultor OY Series 1 848,297
4,000 Huhtamaki 141,193
700 Instrumentarium Class B 16,260
79,000 Kesko 881,545
63,700 Partek AB 884,893
132,400 Rautaruukki 904,546
62,600 Valmet 1,796,248
6,287,164
HONG KONG - 5.8%
3,170,000 Applied International Holdings Ltd 331,701
518,000 Applied International Holdings Ltd Warrants 12/30/99 * 32,120
103,000 Cathay Pacific Airways Ltd 155,012
59,000 Cross Harbour Tunnel Co Ltd 115,851
201,993 Dairy Farm International 187,853
5,094,000 Denway Investments 401,413
333,000 Dickson Concepts (International) Ltd 221,541
12,460,000 Elec and Eltek International Holdings Ltd * 1,818,861
16,780 Furama Hotel Enterprises Ltd 19,509
1,338,100 Goldlion Holdings Ltd 674,149
19,000 Harbour Centre Development Ltd 20,740
44,500 Hong Kong Ferry Co Ltd 47,713
3,100 Hong Kong Ferry Co Ltd Warrants 6/30/96 * 801
49,000 Hongkong and Shanghai Hotels Ltd Preferred 1.95% 59,818
420,000 Jardine International Motor Holdings Ltd 439,478
113,937 Jardine Strategic Warrants 5/02/98 * 51,841
40,800 Kowloon Motor Bus Co Ltd 72,208
1,341,000 Kumagai Gumi Hong Kong Ltd 1,039,401
548,000 Lai Sun Garment (International) Ltd 566,335
203,000 Lane Crawford International Ltd Series A 304,198
2,952,000 Laws International Holdings Ltd 472,869
77,012 Mandarin Oriental 69,696
766,000 Playmate Toys Holding 163,273
211,455 Playmates Properties Holdings 29,775
40,000 Realty Development Corp Ltd Class B 20,411
6,366,509 Regal International Ltd 1,151,416
76,000 San Miguel Brewery Ltd 44,180
864,000 Shun Tak Holdings Ltd 725,488
130,000 South China Morning Post Ltd 71,793
1,933,595 Stelux Holdings International 555,774
172,500 Swire Pacific Ltd Class A 1,292,469
22,000 Television Broadcasts Ltd 81,281
85,000 Wing On International Holdings Ltd 151,531
211,500 Winsor Industrial Corp Ltd 232,237
11,622,736
ITALY - 6.4%
69,000 Alitalia Linee Aeree Italiane Class A * 32,313
118,000 Alitalia Linee Aeree Italiane Class B (Private Placement) (b) * 35,628
350,000 Autostrade Concessioni e Costruzioni SPA Class B Preferred 6.39% 409,761
474,400 Banca Nazionale dell'Agricoltura di Risp * 163,697
589,800 Banca Nazionale dell'Agricoltura SPA (Non Convertible) * 199,883
36,500 Banca Nazionale dell'Agricoltura SPA (Private Placement) (b) * 16,058
70,000 Caffaro SPA 83,031
12,000 Calcestruzzi SPA * 57,453
264,200 Caltagirone SPA 232,797
58,000 Cantoni ITC SPA * 71,477
31,500 Cartiere Burgo SPA 213,992
200,000 Cementir Cementerie del Tirreno SPA 190,400
41,100 Cia Italiana dei Grandi Alberghi Cigahotels SPA * 23,755
197,100 COFIDE SPA (Non Convertible) * 63,154
24,000 Cogefar Impresit Costruzioni Generali SPA * 23,794
335,000 Comau Finanziaria SPA 495,410
38,000 Danieli and Co SPA (Non Convertible) 114,850
30,000 Falck Acciaierie and Ferriere Lombarde * 58,414
273,000 Fiat SPA (Non Convertible) 585,398
165,000 Fiat SPA (Private Placement) (b) 372,621
439,500 Finmeccanica SPA (Non Convertible) * 281,644
102,000 Fornara SPA (a) * 4,525
230,000 Gemina SPA (Non Convertible) * 102,040
75,833 Gilardini SPA 146,723
213,400 Grassetto SPA * 132,414
88,000 Industriali Riunite SPA * 63,713
32,000 Industriali Riunite (Cie) SPA (Non Convertible) * 14,611
33,500 Italcementi Fabbriche Riunite Cemento SPA 234,391
53,000 Italcementi Fabbriche Riunite Cemento SPA (Non Convertible) 174,718
71,800 Latina di Assicurazioni SPA (Non Convertible) 137,150
3,000 Marzotto and Figli SPA (Convertible) 18,485
830,000 Montedison SPA (Non Convertible) * 515,011
315,000 Montefibre SPA 238,934
60,000 Montefibre SPA (Non Convertible) 34,383
38,000 Olivetti and Co SPA Preferred * 41,444
166,000 Olivetti and Co SPA (Non Convertible) * 103,411
177,000 Parmalat Finanziaria SPA 156,943
57,750 Pirelli and Co 85,937
77,000 Pirelli and Co (Non Convertible) 79,235
151,000 Pirelli SPA (Non Convertible) * 156,034
123,000 Ratti SPA 241,013
16,000 Recordati Industria Chimica e Farmaceutica SPA 97,603
75,500 Recordati Industria Chimica e Farmaceutica SPA (Non Convertible) 251,217
30,000 Rinascente per l'Esercizio di Grandi Magazzini SPA 176,906
220,000 Rinascente per l'Esercizio di Grandi Magazzini SPA Preferred 5.59% 582,908
140,000 Rinascente per l'Esercizio di Grandi Magazzini SPA (Non Convertible) 442,542
167,000 SAFFA SPA * 571,108
13,000 Sasib SPA 61,279
39,000 Sirti SPA 283,807
100,000 Snia BPD SPA (Convertible) 121,388
605,000 Snia BPD SPA (Non Convertible) 413,797
375,000 Societa Metallurgica Italia * 193,404
42,000 Sorin Biomedica SPA 111,282
26,000 Stefanel SPA 47,261
12,000 Tosi (Franco) SPA 113,538
840,274 Unione Cementi Marchino Emiliane e di Augusta-Casale (Non Convertible) * 2,894,288
4,900 Unione Cementi Marchino Emiliane e di Augusta-Casale * 33,212
12,802,185
JAPAN - 19.9%
6,000 Aida Engineering Ltd 44,417
7,000 Ajinomoto Co Inc 72,191
5,000 Alps Electric Co Ltd 61,776
8,000 Amada Co Ltd 83,321
56,000 Aoki Corp * 272,752
5,700 Arabian Oil Co 236,882
31,000 Asahi Breweries Ltd 357,686
6,000 Asics Corp * 18,318
3,000 Bank of Kyoto Ltd 21,749
19,000 Bank of Yokohama Ltd 149,191
8,000 Banyu Pharmaceutical Co Ltd 88,222
5,000 Canon Sales Co Inc 133,252
14,000 Chiba Bank Ltd 131,516
1,000 Chudenko Corp 39,312
7,000 Chugai Pharmaceutical Co 66,830
3,000 Chugoku Bank Ltd 52,075
68,000 Cosmo Oil Co Ltd 354,112
3,000 CSK Corp 89,447
27,000 Dai Nippon Ink & Chemicals 119,651
36,000 Daicel Chemical Industries Ltd 196,293
9,000 Daiichi Seiyaku Co Ltd 124,062
5,000 Dainippon Pharmaceutical Co Ltd 50,646
4,000 Dainippon Screen Manufacturing Co Ltd * 32,593
4,000 Daito Trust Construction Co 49,829
23,000 Daiwa Bank Ltd 188,115
8,000 Denki Kagaku Kogyo * 27,202
1,000 Dennys Japan 27,569
2,000 Descente 10,415
8,000 Eisai Co Ltd 129,065
37,000 Fuji Heavy Industries Ltd * 147,720
21,000 Fujisawa Pharmaceutical Co Ltd 210,139
15,000 Fujita Corp 76,275
7,000 Fujita Kanko Inc 152,959
60,000 Fujiya Co Ltd * 257,314
1,000 Fukuoka City Bank Ltd 7,352
21,000 Fukuyama Transporting Co Ltd 188,911
22,000 Furukawa Electric Co Ltd 126,696
95,000 Gakken Co Ltd * 618,880
40,000 General Sekiyu (KK) 385,970
39,000 Godo Shusei Co Ltd 173,227
6,000 Green Cross Corp 46,561
64,000 Hankyu Corp 359,422
5,000 Hankyu Department Stores 63,818
11,000 Hanwa Co Ltd * 36,055
22,000 Haseko Corp 101,087
9,000 Hazama-Gumi Ltd 40,986
4,000 Higo Bank Ltd 32,471
8,000 Hiroshima Bank Ltd 44,029
50,600 Hitachi Ltd 552,836
22,000 Hitachi Maxell Ltd 352,683
6,000 Hokkaido Bank Ltd 21,688
8,000 Hokuriku Bank Ltd 52,035
2,000 Honen Corp 11,212
1,000 House Food Corporation 18,992
3,000 Hoya Corp 86,078
25,000 Hyogo Bank Ltd * 0
4,000 INAX Corp 39,822
46,000 Intec Inc 634,094
8,000 Itoham Foods Inc 59,468
25,000 Japan Airport Terminal Co Ltd 288,457
119,000 Japan Energy Co Ltd 370,603
119,000 Japan Synthetic Rubber Co Ltd 680,451
35,000 Joshin Denki Co Ltd 446,725
2,000 Kaken Pharmaceutical Co Ltd 19,156
13,000 Kamigumi Co 120,529
7,000 Kao Corp 80,768
37,000 Keihin Electric Express Railway 230,459
49,000 Keio Teito Electric Railway Co Ltd 289,192
20,000 Keisei Electric Railway 162,557
1,000 Kissei Pharmaceutical Co 31,960
2,000 Kobori Juken Co Ltd 20,626
16,000 Koito Manufacturing Co Ltd 121,877
59,000 Kokusai Kogyo Co Ltd 549,426
5,000 Kokuyo Co 108,235
34,000 Komatsu Ltd 280,165
1,000 Konami Co 20,422
10,000 Konica Corp 71,272
58,000 Koyo Seiko Co Ltd 520,570
22,000 Kumagai Gumi Co Ltd 104,906
123,000 Kurabo Industries Ltd 501,118
268,000 Kureha Chemical Industry Co Ltd 1,179,435
4,000 Kyodo Printing Co Ltd 45,745
15,000 Kyowa Hakko Kogyo Co Ltd 145,658
19,000 Lion Corp 108,449
66,000 Maeda Corp 707,612
61,000 Makino Milling Machine Co Ltd * 454,689
50,000 Marubeni Corp 256,292
112,000 Marudai Food Co Ltd 799,387
15,000 Matsushita Electric Works Ltd 154,694
26,000 Matsushita Refrigeration Co 184,510
7,000 Matsuzakaya Co Ltd 75,765
36,000 Mazda Motor Corp * 149,242
9,000 Mercian Corp 62,490
13,000 Mitsubishi Gas Chemical Co Inc 54,424
200 Mitsubishi Kasei Corp 915
37,000 Mitsubishi Materials Corp 183,612
48,000 Mitsubishi Oil Co 411,212
20,000 Mitsubishi Rayon Co 82,912
25,000 Mitsubishi Trust & Banking Corp 416,092
8,000 Mitsubishi Warehouse 120,080
54,000 Mitsuboshi Belting Ltd 299,403
13,000 Mitsui Mining Ltd * 57,610
25,000 Mitsui Toatsu Chemicals Inc 94,450
22,000 Mitsui Trust & Banking Co Ltd 226,885
6,000 Mitsui-Soko Co Ltd 45,091
3,000 Mochida Pharmaceutical 43,192
83,000 Nagasakiya Co Ltd (Tokyo) * 381,375
60,000 Nagoya Railroad Co Ltd 302,650
35,000 Nakkai Electric Rail 241,946
2,000 Namco 51,667
155,000 Nichiei Co Ltd 645,734
9,000 Nichii Co Ltd 102,925
6,000 Nihon Cement Co Ltd 38,291
1,000 Nippon Beet Sugar Manufacturing Co Ltd 4,391
121,000 Nippon Chemi-Con Corp * 767,254
3,000 Nippon Denko Co Ltd 11,947
5,000 Nippon Kayaku Co Ltd 30,939
2,000 Nippon Meat Packers 27,569
4,000 Nippon Metal Industry Co Ltd 16,337
174,000 Nippon Oil Co Ltd 982,509
13,000 Nippon Piston Ring Co Ltd 66,503
12,000 Nippon Sheet Glass Co Ltd 54,403
8,000 Nippon Suisan Kaisha Ltd * 37,331
4,000 Nippon Yakin Kogyo Co Ltd * 20,013
50,000 Nissan Fire & Marine Insurance Co Ltd 304,283
2,000 Nisshin Flour Mill 21,851
25,000 Nissho Iwai Corp 100,832
1,000 Nissin Food Products 22,872
7,000 Nitto Boseki Co Ltd * 18,441
5,000 Nitto Denko Corp 79,134
19,000 NSK Ltd 127,850
54,000 Odakyu Electric Railway 376,045
17,000 Okamoto Industries 112,136
7,000 Olympus Optical Co Ltd 63,471
3,000 Ono Pharmaceutical Co Ltd 119,773
10,000 Onoda Cement Co Ltd 50,748
265,000 Renown Inc * 852,351
21,000 Ricoh Co Ltd 209,067
56,000 Royal Co Ltd 743,350
4,000 Ryobi Ltd 21,810
31,000 Sagami Railway 138,960
25,000 Sanden Corp 134,017
4,000 Sankyo Aluminum Industry 19,605
35,000 Sanrio Co Ltd 418,134
4,000 Sanwa Shutter Corp 30,183
145,000 Sanyo Securities Co Ltd * 546,332
13,000 Sapporo Breweries Ltd 118,140
5,000 Secom Co 328,279
10,000 Seino Transportation Co Ltd 166,437
11,000 Sekisui Chemical Co Ltd 138,153
256,000 Settsu Corp * 792,036
36,000 Shionogi and Co Ltd 325,318
14,000 Shiseido Co Ltd 145,811
4,000 Shochiku Co 44,928
4,000 Shokusan Jutaku Sogo Co Ltd * 15,725
134,000 Showa Denko * 413,213
40,250 Showa Shell Sekiyu 353,860
5,000 Skylark Co Ltd 79,645
3,000 Snow Brand Milk 20,800
5,000 Stanley Electric Ltd 33,338
7,000 Sumitomo Coal Mining Ltd 36,381
3,000 Sumitomo Forestry 47,480
25,000 Sumitomo Osaka Cement Co 100,322
22,000 Sumitomo Trust & Banking Co Ltd 298,770
6,000 Sumitomo Warehouse 36,024
34,000 Taisei Corp 229,132
11,000 Taisho Pharmaceutical Co Ltd 195,436
6,000 Taiyo Yuden Co Ltd 63,103
7,000 Takara Shuzo Co 56,323
28,000 Tanabe Seiyaku Co Ltd 198,703
28,000 Teikoku Oil Co 173,544
10,000 Terumo Corp 78,317
64,000 Tobu Railway Co 386,869
7,000 Toei Company 46,459
880 Toho Co 137,479
5,000 Tokai Carbon Co Ltd 21,902
9,000 Tokyo Dome Corp 149,793
90,000 Tokyo Electric Co Ltd * 418,134
43,000 Tokyo Rope Mfg Co Ltd 244,999
8,000 Tokyo Sowa Bank Ltd 39,210
13,000 Tokyotokeiba Co 51,636
113,000 Tokyu Construction Co Ltd 594,221
84,000 Tokyu Corp 591,821
7,000 Tokyu Department Store Co Ltd 45,101
35,000 Toppan Printing Co Ltd 478,889
28,000 Toshiba Tungaloy Co Ltd * 177,260
4,000 Tostem Corp 124,981
7,000 Toto 102,211
13,000 Toyo Engineering Corp 80,972
4,000 Toyo Kanetsu 20,013
10,000 Toyo Trust & Banking Co Ltd 83,729
31,000 Tsugami Corp 163,016
4,000 Tsumura and Co 70,251
1,000 Unicharm 20,524
193,000 Victor Co of Japan Ltd * 2,384,541
7,000 Wacoal Corp 82,912
3,000 Yamaguchi Bank Ltd 52,075
5,000 Yamaha Corp 66,371
10,000 Yamanouchi Pharmaceutical Co Ltd 211,365
27,000 Yamato Transport Co 281,207
2,000 Yamazaki Baking Co Ltd 35,534
19,000 Yasuda Trust and Banking Co Ltd 123,388
7,000 Yokogawa Electric Corp 65,758
4,000 Yoshitomi Pharmaceutical 34,717
39,678,174
MALAYSIA - 0.1%
42,000 Amcol Holdings Ltd 114,129
6,000 Boustead Holdings Berhad 12,376
126,505
NEW ZEALAND - 0.6%
25,000 Air New Zealand Ltd Class B 82,856
4,500 Ceramco Corp Ltd 6,317
658,000 DB Group Ltd * 367,737
15,510 Fernz Corp Ltd 42,131
9,411 Fisher and Paykel Industries Ltd 28,744
42,500 Fletcher Challenge Ltd (Forest Division) 52,475
14,500 Independent Newspapers Ltd 41,460
218,000 Lion Nathan Ltd 451,919
2,500 Steel and Tube Holdings Ltd 11,697
8,500 Wilson and Horton Ltd 49,437
1,134,773
NORWAY - 4.1%
11,100 Aker AS Class A 144,411
4,000 Aker AS Class B (Non-Voting) 51,105
13,700 Bergesen d y AS Class A 328,725
8,000 Bergesen d y AS Class B 194,449
123,700 Den Norske Bank Series A 321,868
8,600 Det Norske Luftfartsselskab AS Class B 428,786
5,800 Dyno Industrier AS 121,095
14,700 Elkem AS Class A 178,650
30,233 Hafslund Nycomed AS Class A 730,138
11,675 Hafslund Nycomed AS Class B 276,498
3,050 Kvaerner Industrier 118,804
1,200 Kvaerner Industrier AS, Oslo -B- Stimmrechtslos 44,499
11,900 Leif Hoegh and Co AS 183,558
79,750 Norsk Hydro AS 3,367,380
12,430 Norske Skogindustrier AS Series A 390,246
2,780 Norske Skogindustrier AS Series B 83,165
6,050 Orkla AS Class A 282,793
3,100 Orkla-Borregaard AS Series B (Non Voting) 137,174
35,300 Unitor AS 497,755
18,571 Vard AS Class A * 20,978
9,760 Vital Forsikring AS Series A 161,194
8,063,271
SINGAPORE - 5.0%
2,391,000 Chuan Hup Holdings Ltd 2,339,662
21,000 Fraser and Neave Ltd 238,015
494,000 Hai Sun Hup Group Ltd 351,243
16,500 Haw Par Brothers International Ltd 33,685
145,000 Hotel Properties Ltd 233,756
122,000 Inchcape Berhad 400,225
141,766 Jardine Matheson 1,020,715
805,437 Jardine Strategic 2,529,072
47,000 Kulim Berhad 71,468
45,000 Low Keng Huat Singapore Ltd 30,253
24,000 Natsteel Ltd 49,842
170,000 Neptune Orient Lines Ltd 207,040
210,000 Parkway Holdings Ltd 490,813
97,000 Prima Ltd 372,158
223,000 Robinson and Co Ltd 879,127
34,000 Straits Trading Co Ltd 78,029
245,000 Times Publishing Ltd 569,166
46,000 Wearne Brothers Ltd 107,511
10,001,780
SPAIN - 6.0%
11,050 Acerinox Rights 9/15/95 * 138,263
11,050 Acerinox SA 1,406,402
7,500 Asland SA 129,707
36,403 Asturiana del Zinc SA * 385,861
9,300 Azucarera de Espana SA 264,602
27,600 Banco Zaragozano SA * 433,329
1,125 Bodegas Y Bebidas SA 31,381
15,650 Cristaleria Espanola SA * 1,035,225
22,000 Empresa Nacional de Celulosa SA * 561,944
40,400 Ercros SA * 43,467
19,950 Espanola de Carburos Metalicos SA 801,338
138,100 Espanola de Tubos por Extrusion SA * 176,099
3,500 Fabricacion de Automoviles Renault de Espana SA 108,786
3,783 Grupo Anaya SA 87,433
27,400 Grupo Duro Felguera SA * 119,448
261,727 Huarte SA 2,294,476
1,010 Koipe SA 59,566
275,820 Sarrio SA * 1,387,067
55,799 Tableros Defibras Series B 678,170
167,515 Uralita SA 1,855,713
11,998,277
SWEDEN - 4.3%
24,900 Bilspedition AB Series B * 88,590
40,700 Celsius Industrier AB Class B 582,000
1,000 Esselte AB Series A 12,863
600 Esselte AB Series B 7,636
21,400 Euroc Industri AB Series A 453,898
57,860 Marieberg Tidnings AB Series A 1,187,633
3,300 Mo Och Domsjoe AB Series B 189,660
34,600 Pharmacia AB Class B 937,463
117,420 Skandinaviska Enskilda Banken Series A 607,360
3,000 SKF AB Class B 60,757
3,600 SKF AB Series A 73,647
295,400 Stena Line AB Class B 1,475,421
40,600 Svenska Handelsbanken Series B 605,571
64,300 Sydkraft AB Series A 1,126,247
55,600 Sydkraft AB Series C 836,913
31,900 Trelleborg AB 347,033
8,592,692
SWITZERLAND - 6.5%
900 Adia SA * 159,503
500 Ascom Holding AG * 111,387
50 Ascom Holding AG * 56,522
2,840 Bobst SA (Registered) 1,952,133
550 CIBA-GEIGY AG (Bearer) 389,441
2,625 CS Holdings (Registered) 214,674
100 Danzas Holding AG 79,503
350 Elektrowatt AG 102,029
150 EMS-Chemie Holdings AG 621,118
250 Fischer (George) AG (Registered) 60,041
200 Forbo Holdings AG (Registered) 86,294
150 Hero AG (Bearer) 69,565
500 Hero Lenzburg (Registered) 57,143
1,050 Hilti AG, Schaan (Participating Certificate) 886,957
550 Holderbank Financiere Glarus AG (Bearer) 430,435
2,400 Holderbank Financiere Glarus AG (Registered) 373,665
5,150 Holderbank Warrants 12/20/95 * 6,398
50 Interdiscount Holding SA (Bearer) 53,209
2,950 Interdiscount Holding SA (Participating Certificate) 307,826
1,160 Kuoni Reisen Holdings AG (Registered) 1,758,012
150 Landis and Gyr AG 91,553
830 Magazine zum Globus (Participating Certificate) 501,781
300 Magazine zum Globus (Registered) 188,820
20 Merkur Holding AG 4,820
4,260 Saurer Group Holdings 1,375,901
10 Schindler Holding AG (Bearer) 54,658
190 Schindler Holding AG (Participating Certificate) 154,203
270 Schindler Holding AG (Registered) 228,075
750 SGS Holdings (Registered) 243,478
250 SGS Societe Generale de Surveillance Holdings Ltd, Geneva 448,240
20 SIG AG (Bearer) 21,366
20 SIG AG (Registered) 43,230
450 Sika Finanz AG 123,727
4,600 Sika Finanz AG (Registered) 217,143
96 SMH AG 64,795
3,300 SMH AG (Registered) 472,795
175 Sulzer Gebrueder AG 97,391
350 Swiss Bank Corp (Bearer) 118,841
250 Swiss Bank Corp (Registered) 42,598
2,150 Swissair AG (Participating Certificate) * 235,031
485 Union Bank of Switzerland (Bearer) 431,781
250 Union Bank of Switzerland (Registered) 48,654
10 Zellweger Luwa AG * 8,696
12,993,432
UNITED KINGDOM - 22.9%
199,204 AMEC Plc 191,404
96,926 Amstrad Plc 392,051
6,040 Anglian Water Plc 50,552
53,964 Argyll Group 294,380
1,187,000 ASDA Group Plc 1,995,916
2,700 Associated British Foods 30,043
80,900 Astec (BSR) Plc 156,719
43,990 Barratt Developments Plc 126,803
22,060 Bass Plc 221,193
129,275 BAT Industries Plc 1,007,731
121,863 Berisford International Plc 344,665
28,620 Boots Co Plc 249,712
336,596 British Aerospace Plc 3,437,607
89,643 Bunzl Plc 284,100
595,125 Burton Group Plc 940,741
10,550 Carlton Communications 170,039
27,430 Charter Plc (Registered) 399,166
46,540 Cobham Group Plc 302,927
89,502 Costain Group * 144,254
41,081 Dawson International Plc 82,128
140,902 Dixons Group Plc 736,975
2,640 East Midland Electric Plc 32,444
130,126 English China Clays Plc 764,302
6,200 First Leisure Plc 31,804
961,550 Forte Plc 3,829,719
116,243 Glaxo Wellcome Plc 1,377,679
75,560 Grand Metropolitan Plc 477,765
92,220 Greenalls Group Plc 715,305
35,302 Greycoat Plc 77,687
39,270 Hammerson Property Investment and Development Corp Plc 216,657
109,620 Hazlewood Foods Plc 220,849
85,340 Hillsdown Holdings Plc 252,608
1,545,823 Ladbroke Group Plc 4,000,720
38,563 Laing (John) Plc 131,479
9,127 Laing (John) Plc Class A 31,118
1,195,200 Lasmo Plc 3,278,504
12,580 Lex Service PLC 61,607
75,480 Lex Service PLC (Ordinary) 376,660
45,080 London Electricity Plc 588,245
210,687 London International Group Plc 417,936
957,438 Lonrho Plc 2,403,740
46,660 Manweb Plc 699,974
90,660 Marks & Spencer Plc 611,177
50,656 Marley Plc 88,710
23,500 McAlpine (Alfred) Plc 49,166
41,981 Meyer International Plc 227,710
28,640 Midland Electricity 379,491
200,497 Norcros Plc 270,327
53,100 Northern Electric Plc 761,199
114,085 Northern Foods Plc 342,998
32,898 Northumbrian Water Group Plc 463,952
78,520 NORWEB Plc 1,055,021
44,480 Ocean Group Plc 228,857
59,565 Reckitt & Colman Plc 613,868
59,014 Sainsbury Plc 424,018
4,440 Scottish & Newcastle Plc 40,873
634 Scottish & Newcastle (Participating Certificte) 3,046
140,100 Sears Plc 243,175
22,320 Securicor Group Plc 378,765
75,420 SEEBOARD Plc 572,723
412,040 Signet Group Plc * 92,591
109,894 Simon Engineering Plc * 161,793
30,750 Smithkline Beecham Plc Class A 285,452
24,842 Smithkline Beecham Plc Equity Units 217,230
27,460 South Wales Electricity 389,389
18,316 South West Water Plc 142,494
18,300 Storehouse Plc 87,917
166,106 T and N Plc 482,668
774,600 Tarmac Plc 1,224,446
672,580 Taylor Woodrow Plc 1,198,681
378,217 Trafalgar House Plc 222,734
117,600 Transport Development Group Plc 400,040
27,855 Unilever Plc 524,495
147,418 United Biscuits Holdings Plc 623,699
11,683 Welsh Water Plc 137,785
12,618 Welsh Water Plc Preferred 6.42% * 19,995
12,040 Whitbread Plc Class A (Limited Voting) 114,753
128,180 Wilson (Connolly) Holdings Plc 317,835
352,235 Wimpey (George) Plc 578,629
5,333 Wolseley 31,158
45,554,768
TOTAL STOCK AND EQUIVALENTS (Cost $182,285,614) 182,370,072
PAR VALUE SHORT-TERM INVESTMENTS - 6.6%
$ 9,800,000 First National Bank of Chicago Time Deposit, 5.81%. due 9/1/95 9,800,000
900,000 Republic Bank of New York Time Deposit, 5.81% due 9/1/95 900,000
2,375,000 U.S. Treasury Bill, 5.22% due 12/14/95 (c) 2,338,568
13,038,568
TOTAL SHORT-TERM INVESTMENTS (Cost $13,018,412) 13,038,568
TOTAL INVESTMENTS - 98.2%
(Cost $195,304,026) * * 195,408,640
Other Assets and Liabilities (net) - 1.8% 3,615,373
TOTAL NET ASSETS - 100.0% $ 199,024,013
NOTES TO THE SCHEDULE OF INVESTMENTS:
ADR American Depositary Receipt
(a) Security is valued by management (Note 1).
(b) Restricted security - This security is restricted as
to resale. At August 31, 1995, restricted securities
amounted to $424,307 or 0.2% of net assets.
(c) This security is held as collateral for open futures
contracts.
** The aggregate identified cost for federal income
tax purposes is $195,304,026, resulting in gross
unrealized appreciation and depreciation of
$17,450,099 and $17,345,485, respectively, and net
unrealized appreciation of $104,614. See
accompanying notes to the financial statements. At
August 31, 1995, industry sector diversification of
the Fund's equity investments was as follows:
|
PERCENTAGE OF
INDUSTRY SECTOR NET ASSETS
Services 11.5 %
Transportation 11.0
Construction 10.7
Machinery 7.5
Retail Trade 6.1
Oil and Gas 6.0
Consumer Goods 4.9
Utilities 3.8
Food and Beverage 3.3
Banking 3.1
Chemicals 2.9
Paper and Allied Products 2.8
Metals and Mining 2.5
Health Care 2.5
Technology 2.5
Aerospace 2.2
Textiles 1.6
Telecommunications 1.5
Primary Processing 1.3
Automotive 0.9
Pharmaceuticals 0.7
Miscellaneous 0.6
Insurance 0.5
Real Estate 0.4
Financial Services 0.3
Electric 0.4
Manufacturing 0.1
91.6 %
|
See accompanying notes to the financial statements.
GMO INTERNATIONAL SMALL COMPANIES FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - AUGUST 31,1995 (UNAUDITED)
ASSETS:
Investments, at value (cost $182,285,614) (Note 1) $ 182,370,072
Short-term investments, at value (cost $13,018,412) (Note 1) 13,038,568
Foreign currency, at value (cost $1,724,917) (Note 1) 1,660,161
Cash 64,463
Receivable for Fund shares sold 2,373,000
Dividends and interest receivable 261,341
Receivable for variation margin on open futures contracts (Note 6) 112,776
Receivable for open forward foreign currency contracts (Note 6) 436,022
Receivable for foreign tax reclaims 97,397
Receivable for expenses waived or borne by Manager (Note 2) 127,015
Total assets 200,540,815
LIABILITIES:
Payable for investments purchased 57,389
Payable for open forward foreign currency contracts (Note 6) 1,113,381
Payable to affiliate for management fee (Note 2) 205,345
Accrued expenses 140,687
Total liabilities 1,516,802
NET ASSETS (equivalent to $12.68 per share based
on 15,691,530 shares outstanding, unlimited shares authorized) $ 199,024,013
NET ASSETS CONSIST OF:
Paid-in capital $ 195,623,335
Accumulated undistributed net investment income 3,137,700
Accumulated undistributed net realized gain 86,339
Net unrealized appreciation 176,639
NET ASSETS $ 199,024,013
|
See accompanying notes to the financial statements.
GMO INTERNATIONAL SMALL COMPANIES FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - SIX MONTHS ENDED AUGUST 31, 1995 (UNAUDITED)
INVESTMENT INCOME:
Dividends (net of foreign tax expense of $403,092) $ 2,990,500
Interest 167,555
Total income 3,158,055
EXPENSES:
Management fee (Note 2) 1,203,901
Custodian fees 215,450
Audit fees 23,942
Transfer agent fees 13,800
Stamp duties and transfer taxes 4,460
Legal fees 3,590
Insurance 1,014
Registration fees 940
Trustee fee (Note 2) 368
Miscellaneous 278
Total expenses 1,467,743
Less: expenses waived or borne by Manager (Note 2) (740,931)
Net expenses 726,812
Net investment income 2,431,243
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments 578,108
Closed futures contracts 568,091
Foreign currency, forward contracts and foreign
currency related transactions (1,037,120)
Net realized gain 109,079
Change in net unrealized appreciation (depreciation) on:
Investments 8,884,325
Open futures contracts 821,868
Foreign currency, forward contracts and foreign
currency related transactions (13,549)
Net unrealized gain 9,692,644
Net realized and unrealized gain 9,801,723
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 12,232,966
|
See accompanying notes to the financial statements.
GMO INTERNATIONAL SMALL COMPANIES FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED
(UNAUDITED) FEBRUARY 28, 1995
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 2,431,243 $ 2,536,514
Net realized gain 109,079 9,647,409
Change in net unrealized appreciation (depreciation) 9,692,644 (31,826,852)
Net increase (decrease) in net assets
resulting from operations 12,232,966 (19,642,929)
Distributions to shareholders from:
Net investment income - (2,988,635)
Net realized gains (1,004,007) (13,044,663)
(1,004,007) (16,033,298)
Fund share transactions: (Note 4)
Proceeds from sale of shares 25,195,063 110,097,988
Net asset value of shares issued to shareholders
in payment of distributions declared 972,321 14,268,183
Cost of shares repurchased (24,557,530) (35,149,466)
Net increase in net assets resulting
from Fund share transactions 1,609,854 89,216,705
Total increase in net assets 12,838,813 53,540,478
NET ASSETS:
Beginning of period 186,185,200 132,644,722
End of period (including accumulated undistributed
net investment income of $3,137,700 and
$706,457, respectively) $ 199,024,013 $ 186,185,200
|
See accompanying notes to the financial statements.
GMO INTERNATIONAL SMALL COMPANIES FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED FEBRUARY 28/29
(UNAUDITED) 1995 1994 1993 1992 *
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.95 $ 14.45 $ 8.91 $ 9.62 $ 10.00
Income (loss) from investment operations:
Net investment income (a) 0.15 0.18 0.15 0.35 0.06
Net realized and unrealized gain (loss) 0.65 (1.52) 5.59 (0.68) (0.43)
Total from investment operations 0.80 (1.34) 5.74 (0.33) (0.37)
Less distributions to shareholders from:
Net investment income -- (0.20) (0.12) (0.38) (0.01)
Net realized gains (0.07) (0.96) (0.08) -- --
Total distributions (0.07) (1.16) (0.20) (0.38) (0.01)
NET ASSET VALUE, END OF PERIOD $ 12.68 $ 11.95 $ 14.45 $ 8.91 $ 9.62
TOTAL RETURN (B) 6.69% (9.66%) 64.67% (3.30%) (3.73%)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's $199,024 $186,185 $132,645 $35,802 $24,467
Net expenses to average
daily net assets (a) 0.75%** 0.76%(c) 0.75% 0.75% 0.85%**
Net investment income to average
daily net assets (a) 2.52%** 1.45% 1.50% 4.02% 1.91%**
Portfolio turnover rate 5% 58% 38% 20% 1%
* For the period from the commencement of operations, October 15, 1991
through February 29, 1992.
** Annualized.
(a) Net of fees and expenses voluntarily waived or borne by the Manager of
the following per share amounts: $ 0.05 $ 0.08 $ 0.09 $ 0.09 $ 0.05
(b) Calculation excludes subscription and redemption fees. The total returns
would have been lower had certain expenses not been waived during the
periods shown.
(c) Includes stamp duties and transfer taxes not waived or borne by the
Manager, which approximate .01% of average daily net assets.
|
See accompanying notes to the financial statements.
GMO INTERNATIONAL SMALL COMPANIES FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
AUGUST 31, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO International Small Companies Fund (the "Fund") is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, diversified management investment company. The Trust was established as a Massachusetts Business Trust under the laws of the Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees to create an unlimited number of series ("Funds"), each of which issues a separate series of shares. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market quotations are available are valued at the last quoted sale price on each business day, or if there is no such reported sale, at the most recent quoted bid price. Unlisted securities for which market quotations are readily available are valued at the most recent quoted bid price. Securities which are primarily traded on foreign exchanges are generally valued at the preceding closing values of such securities on their respective exchanges, and those values are then translated into U.S. dollars at the current exchange rate. Short-term investments with a remaining maturity of sixty days or less are valued at amortized cost which approximates market value. Other assets and securities for which no quotations are readily available are valued at fair value as determined in good faith by the Trustees.
FOREIGN CURRENCY TRANSLATION
The accounting records of the Fund are maintained in U.S. dollars. The market values of foreign securities, currency holdings and other assets and liabilities are translated to U.S. dollars based on the prevailing exchange rates each business day. Income and expenses denominated in foreign currencies are translated at prevailing exchange rates when accrued or incurred. The Fund does not isolate realized and unrealized gains and losses attributable to changes in exchange rates from gains and losses that arise from changes in the market value of investments. Such fluctuations are included with net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net exchange gains and losses on disposition of foreign currencies and the difference between the amount of investment income and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent amounts actually received or paid.
FORWARD CURRENCY CONTRACTS
The Fund may enter into forward currency contracts in connection with planned purchases or sales of securities or to hedge the currency exposure associated with some or all of the Fund's portfolio securities. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The market value of a forward currency contract fluctuates with changes in forward currency exchange rates. Forward currency contracts are marked to market daily and the change in value is recorded by the Fund as an unrealized gain or loss. When a forward currency contract is extinguished, through delivery or offset by entering into another forward currency contract with the same broker, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished or offset. These contracts may involve market risk in excess of the unrealized gain or loss reflected in the Fund's Statement of Assets and Liabilities. In addition, the Fund could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency changes unfavorably to the U.S. dollar. The U.S. dollar value of the currencies the Fund has committed to sell is shown under Note 5, and represents the currency exposure the Fund has acquired or hedged through currency contracts as of August 31, 1995.
FUTURES CONTRACTS
The Fund may purchase index futures contracts. Stock index futures contracts represent commitments for future delivery of cash based upon the level of a specified index of equity securities at a given date. The Fund may use futures contracts to manage its exposure to the stock and currency markets. Buying futures tends to increase the Fund's exposure to the underlying instrument. Selling futures tends to decrease the Fund's exposure to the underlying instrument or hedge other Fund instruments. Upon purchase of a futures contract, the Fund is required to deposit with its custodian, in a segregated account in the name of the futures broker, an amount of cash or U.S. government obligations in accordance with the initial margin requirements of the broker. Futures contracts are marked to market daily and an appropriate payable or receivable for the change in value ("variation margin") is recorded by the Fund. The payable or receivable is liquidated on the following business day. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Losses may arise from the changes in the value of the underlying instrument, if there is an illiquid secondary market for the contracts, or if counterparties do not perform under the contract terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. See Note 5 for all open futures contracts held as of August 31, 1995.
TAXES
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). It is the policy of the Fund to distribute all of its taxable income, including any net realized gain on investments not offset by loss carryovers, to shareholders within the prescribed time periods. Therefore, no provision for federal income or excise tax is necessary. Taxes on foreign interest and dividend income have been withheld in accordance with the applicable country's tax treaty with the United States. Dividends received by shareholders of the Fund which are derived from foreign source income and foreign taxes paid by the Fund are to be treated, to the extent allowable under the Code, as if paid and received by the shareholders of the Fund.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment income and net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryover for federal income tax purposes. The Fund's present policy is to declare and pay distributions from net investment income semi-annually, and net realized short-term and long-term capital gains at least annually. All distributions will be paid in shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. There is no premium incurred on reinvested distributions.
Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences are primarily due to differing treatments for foreign currency transactions.
Distributions in excess of tax basis earnings and profits will be reported in the Fund's financial statements as a return of capital. Furthermore, differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary over-distributions for financial statement purposes are classified as distributions in excess of net investment income or accumulated net realized gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Dividend income is recorded on the ex-dividend date, or when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an individual Fund. Expenses which are not readily identifiable to a specific Fund are allocated in such manner as deemed equitable by the Trustees, taking into consideration, among other things, the nature and type of expense and the relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is 1.25% of the amount invested. In the case of cash redemptions, the premium is .75% of the amount redeemed. The Manager may waive such premium to the extent that a transaction results in minimal brokerage and transaction costs to the Fund. All purchase and redemption premiums are paid to and recorded as paid-in capital by the Fund. For the six months ended August 31, 1995, the Fund received $106,657, in purchase premiums and no redemption premiums. There is no premium for reinvested distributions or in-kind transactions.
INVESTMENT RISK
There are certain additional risks involved in investing in foreign securities that are not inherent in investments of domestic securities. These risks may involve adverse political and economic developments and the possible imposition of currency exchange blockages or other foreign governmental laws or restrictions. In addition, the securities of some foreign companies and securities markets are less liquid and at times more volatile than securities of comparable U.S. companies and U.S. securities markets.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the "Manager"), for management and investment advisory services is paid monthly at the annual rate of 1.25% of average daily net assets. The Manager has agreed to waive a portion of its fee and bear other expenses until further notice to the extent that the Fund's annual expenses (including management and custody fees but excluding brokerage commissions and transfer taxes) exceed .75% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee during the six months ended August 31, 1995, was $368. No remuneration is paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the six months ended August 31, 1995, aggregated $8,500,691 and $21,200,087, respectively.
4. SHARE TRANSACTIONS The Declaration of Trust permits the Trustees to issue an unlimited number of shares of beneficial interest (without par value). Transactions in Fund shares were as follows:
Six Months Ended
August 31, 1995 Year Ended
(Unaudited) February 28, 1995
Shares sold 2,011,931 7,848,879
Shares issued to shareholders in reinvestment
of distributions 79,633 1,117,555
Shares repurchased (1,985,467) (2,560,141)
Net increase 106,097 6,406,293
Fund shares:
Beginning of period 15,585,433 9,179,140
End of period 15,691,530 15,585,433
|
5. FINANCIAL INSTRUMENTS A summary of outstanding financial instruments at August 31, 1995 is as follows:
FORWARD CURRENCY CONTRACTS
In Exchange for Net Unrealized
Settlement Units of (in U.S. Dollars) Appreciation
Date Deliver/Receive Currency (Note 1) (Depreciation)
Sales
2/1/96 British Pounds 6,200,000 $ 9,830,960 $ 116,462
12/1/95 Deutsche Marks 6,675,000 4,481,983 (79,313)
2/1/96 Deutsche Marks 1,450,000 971,720 (21,907)
10/2/95 Swiss Francs 5,100,000 4,554,385 319,560
$ 334,802
Buys
11/1/95 Japanese Yen 692,000,000 $ 8,063,154 $ (940,845)
11/6/95 Norwegian Kroner 13,300,000 2,145,196 (71,316)
$ (1,012,161)
|
FUTURES CONTRACTS
Net Unrealized
Number of Appreciation
Contracts Type Expiration Date Contract Value (Depreciation)
Buys
12 All-Ords September 1995 $ 486,976 $ (3,150)
111 IBEX September 1995 304,807 (185)
49 TOPIX September 1995 7,153,650 817,588
27 TOPIX December 1995 3,952,833 64,399
$ 878,652
Sales
9 FT - SE 100 September 1995 1,210,506 $ (16,512)
72 Hang Seng September 1995 4,248,288 (40,272)
$ (56,784)
|
At August 31, 1995, the Fund has cash and/or securities to cover any margin requirements on open futures contracts.
GMO JAPAN FUND
(A SERIES OF GMO TRUST)
SEMI-ANNUAL REPORT
AUGUST 31, 1995
GMO JAPAN FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
AUGUST 31, 1995 (UNAUDITED)
SHARES DESCRIPTION VALUE ($)
STOCK AND EQUIVALENTS - 96.7%
AUTOMOTIVE - 7.2%
21,000 Fuji Heavy Industries Ltd * 83,841
14,000 Honda Motor Co Ltd 248,736
192,000 Mazda Motor Corp (a) * 795,957
503,000 Nissan Motor Co Ltd 3,852,045
112,000 Toyota Motor Corp 2,218,614
7,199,193
BANKING - 4.4%
78,000 Asahi Bank Ltd 812,376
30,000 Bank of Fukoka 242,916
29,000 Bank of Tokyo (a) 447,133
4,000 Bank of Yokohama Ltd 31,409
7,000 Daiwa Bank Ltd (a) 57,252
14,000 Gunma Bank 145,811
20,000 Hiroshima Bank Ltd 110,073
14,000 Mitsubishi Trust & Banking Corp 233,012
35,000 Sanwa Bank Ltd 668,300
74,000 Sumitomo Trust & Banking Co Ltd 1,004,952
20,000 Tokai Bank 222,597
2,000 Yamaguchi Bank Ltd 34,717
68,000 Yasuda Trust and Banking Co Ltd 441,599
4,452,147
CHEMICALS - 4.6%
30,000 Dai Nippon Ink & Chemicals 132,945
42,000 Daicel Chemical Industries Ltd 229,009
39,000 Denki Kagaku Kogyo * 132,608
20,000 Japan Synthetic Rubber Co Ltd 114,362
14,000 Kansai Paint Co Ltd 67,187
35,000 Kureha Chemical Industry Co Ltd 154,031
96,000 Mitsubishi Gas Chemical Co Inc 401,899
369,000 Mitsubishi Kasei Corp 1,687,977
23,000 Mitsubishi Rayon Co 95,349
64,000 Mitsui Petrochemical Industries Ltd 490,121
8,000 Shin-Etsu Chemical Co Ltd 159,289
162,000 Teijin Ltd 785,725
3,000 Toagosei Chemical Industry Co Ltd 15,286
18,000 Toray Industries Inc 117,078
5,000 Toyo Ink Manufacturing Co Ltd 28,284
4,611,150
CONSTRUCTION - 7.4%
68,000 Aoki Corp * 331,198
2,000 Chudenko Corp 78,624
5,800 Daito Trust Construction Co 72,252
90,000 Fujita Corp 457,650
42,000 Haseko Corp 192,985
20,000 Hazama-Gumi Ltd 91,081
14,000 INAX Corp 139,378
35,000 Kajima Corp 353,091
100,000 Kumagai Gumi Co Ltd 476,847
24,000 Maeda Corp (a) 257,314
14,000 Nichiei Co Ltd 58,324
6,000 Nihon Cement Co Ltd 38,291
29,000 Obayashi Corp 227,712
10,000 Okumura Corp 95,982
14,000 Onoda Cement Co Ltd 71,047
4,000 Sanwa Shutter Corp 30,183
112,000 Sekisui Chemical Co Ltd 1,406,647
108,000 Sekisui House Ltd 1,356,410
21,000 Shimizu Corp 220,861
48,000 Sumitomo Osaka Cement Co 192,618
121,000 Taisei Corp 815,439
27,000 Tokyu Construction Co Ltd 141,982
5,000 Tostem Corp 156,226
8,000 Toto 116,812
7,378,954
CONSUMER GOODS - 6.2%
8,000 Ajinomoto Co Inc 82,504
18,000 Ezaki Glico Co Ltd 156,226
56,000 Fuji Photo Film Co Ltd 1,400,929
2,000 Hitachi Maxell Ltd 32,062
8,000 Kao Corp 92,306
37,000 Konica Corp 263,706
1,700 Nintendo Co Ltd 105,887
10,000 Olympus Optical Co Ltd 90,672
332,000 Sanyo Electric Co Ltd 1,830,602
20,000 Sony Corp 1,090,519
67,000 Victor Co of Japan Ltd * 827,794
13,000 Yakult Honsha Co Ltd 179,200
7,000 Yamaha Corp 92,919
6,245,326
ELECTRIC - 5.5%
10,000 Alps Electric Co Ltd 123,551
162,000 Matsushita Electric Industrial Co Ltd 2,530,862
62,000 Matsushita Electric Works Ltd (a) 639,404
251,000 Mitsubishi Electric Corp 1,878,624
56,000 Tokyo Electric Co Ltd * 260,173
10,000 Yokogawa Electric Corp 93,940
5,526,554
FINANCIAL SERVICES - 1.0%
7,000 Kankaku Securities Co Ltd * 26,017
46,000 Mitsui Trust & Banking Co Ltd 474,396
6,000 New Japan Securities Co Ltd * 31,552
33,000 Nippon Shinpan Co 212,284
43,000 Yamaichi Securities Co Ltd 276,173
1,020,422
FOOD AND BEVERAGE - 3.5%
45,000 Asahi Breweries Ltd (a) 519,222
125 Japan Tobacco Inc 1,058,100
8,000 Katokichi Co Ltd 147,853
64,000 Kirin Brewery Co Ltd Com 666,565
5,000 Marudai Food Co Ltd 35,687
5,000 Mercian Corp 34,717
16,000 Nippon Meat Packers 220,554
59,000 Nippon Suisan Kaisha Ltd * 275,315
1,000 Nissin Food Products 22,872
7,700 QP Corporation 65,100
16,000 Sapporo Breweries Ltd (a) 145,403
27,000 Snow Brand Milk 187,196
10,000 Takara Shuzo Co 80,462
2,000 Yamazaki Baking Co Ltd 35,534
3,494,580
HEALTH CARE - 2.4%
18,000 Daiichi Seiyaku Co Ltd 248,124
10,000 Eisai Co Ltd 161,332
8,000 Green Cross Corp 62,082
7,000 Hoya Corp 200,848
21,000 Kyowa Hakko Kogyo Co Ltd 203,921
21,000 Lion Corp (a) 119,865
21,000 Sankyo Co Ltd 467,453
21,000 Shionogi and Co Ltd 189,769
64,000 Shiseido Co Ltd 666,565
2,000 Unicharm 41,048
2,361,007
INSURANCE - 0.4%
21,000 Dai Tokyo Fire and Marine Insurance Co Ltd 139,378
21,000 Nichido Fire & Marine 166,182
8,000 Sumitomo Marine & Fire Insurance 60,775
366,335
MACHINERY - 3.2%
8,000 Aida Engineering Ltd 59,223
33,000 Aisin Seiki Co Ltd 404,350
77,000 Amada Co Ltd 801,960
21,000 Daikin Industries Ltd 182,907
24,000 Furukawa Electric Co Ltd 138,214
8,000 Hitachi Cable Ltd 59,631
55,000 Komatsu Ltd 453,209
24,000 Koyo Seiko Co Ltd 215,408
2,000 Kurita Water Industries 53,913
5,000 Makino Milling Machine Co Ltd * 37,270
21,000 Minebea Co Ltd 162,965
23,000 NHK Spring Co Ltd 107,561
42,000 NSK Ltd 282,616
32,000 Stanley Electric Ltd (a) 213,366
3,172,593
METALS AND MINING - 2.1%
207,000 Mitsubishi Materials Corp 1,027,232
18,000 Mitsui Mining Ltd * 79,767
70,000 Nippon Sheet Glass Co Ltd 317,353
13,000 Nitto Denko Corp (a) 205,749
7,000 Sumitomo Coal Mining Ltd 36,381
13,000 Toyo Seikan Kaisha Ltd 439,373
2,105,855
OIL AND GAS - 7.6%
8,700 Arabian Oil Co 361,556
103,000 Cosmo Oil Co Ltd 536,376
56,000 General Sekiyu K K 540,358
179,000 Japan Energy Co Ltd 557,462
73,000 Mitsubishi Oil Co (a) 625,384
471,000 Nippon Oil Co Ltd 2,659,550
60,400 Showa Shell Sekiyu 531,009
42,000 Teikoku Oil Co 260,316
105,000 Toa Nenryo Kogyo K K 1,576,045
7,648,056
PAPER AND ALLIED PRODUCTS - 0.4%
37,000 Mitsubishi Paper Mills 213,080
24,000 Settsu Corp * 74,253
10,000 Sumitomo Forestry 158,268
445,601
PHARMACEUTICALS - 3.2%
16,000 Banyu Pharmaceutical Co Ltd 176,444
10,000 Chugai Pharmaceutical Co 95,471
7,000 Dainippon Pharmaceutical Co Ltd 70,904
83,000 Fujisawa Pharmaceutical Co Ltd 830,551
3,000 Kaken Pharmaceutical Co Ltd 28,733
5,000 Kissei Pharmaceutical Co 159,800
4,000 Mochida Pharmaceutical 57,589
5,000 Nippon Kayaku Co Ltd 30,939
5,000 Ono Pharmaceutical Co Ltd 199,622
17,000 Taisho Pharmaceutical Co Ltd 302,037
46,000 Takeda Chemical Industries Ltd 620,003
24,000 Tanabe Seiyaku Co Ltd 170,317
14,000 Terumo Corp 109,644
17,000 Yamanouchi Pharmaceutical Co Ltd (a) 359,320
4,000 Yoshitomi Pharmaceutical 34,717
3,246,091
PRIMARY PROCESSING - 1.2%
18,000 Daido Steel Co Ltd 90,979
29,000 Nippon Yakin Kogyo Co Ltd * 145,096
62,000 Nisshin Steel Co Ltd 250,697
246,000 Sumitomo Metal Industries Ltd * 685,741
1,172,513
REAL ESTATE - 4.2%
17,000 Daikyo Inc 136,958
14,000 Daiwa Kosho Lease 136,090
10,000 Heiwa Real Estate (a) 75,050
160,000 Mitsubishi Estate 1,878,797
99,000 Mitsui Fudosan Co Ltd 1,273,702
49,000 Sumitomo Realty and Development 359,238
21,000 Tokyo Tatemono Ltd 98,637
56,000 Tokyu Land Corp 291,622
4,250,094
RETAIL TRADE - 1.6%
7,000 Hankyu Department Stores (a) 89,345
3,000 Joshin Denki Co Ltd 38,291
56,000 Marui Co Ltd 983,509
5,000 Matsuzakaya Co Ltd 54,118
10,000 Nichii Co Ltd 114,362
18,000 UNY Co Ltd (a) 286,721
1,566,346
SERVICES - 7.3%
8,000 Canon Sales Co Inc 213,203
14,600 CSK Corp 435,309
64,000 Dai Nippon Printing Co Ltd 1,012,917
10,000 Hanwa Co Ltd * 32,777
2,000 Intec Inc 27,569
75,000 Itochu Corp 465,615
16,000 Kamigumi Co 148,343
4,000 Kokusai Kogyo Co Ltd 37,249
10,000 Kokuyo Co 216,470
5,000 Kyodo Printing Co Ltd 57,181
173,000 Marubeni Corp 886,772
10,000 Mitsubishi Warehouse 150,100
8,000 Mitsui-Soko Co Ltd 60,122
29,000 Nissho Iwai Corp 116,965
20,000 Okamoto Industries 131,924
8,000 Secom Co 525,246
172,000 Sumitomo Corp 1,605,228
6,000 Sumitomo Warehouse 36,024
84,000 Toppan Printing Co Ltd 1,149,334
7,308,348
TECHNOLOGY - 8.4%
4,000 Dainippon Screen Manufacturing Co Ltd * 32,593
143,000 Fujitsu Ltd 1,547,761
315,000 Hitachi Ltd 3,441,568
2,000 Makita Corp 32,062
300 Murata Manufacturing Co Ltd 11,947
115,000 NEC Corp (a) 1,503,038
5,000 Omron Corp 109,767
46,000 Ricoh Co Ltd 457,957
16,000 Rohm Co (a) 985,143
5,000 TDK Corp 256,803
8,378,639
TELECOMMUNICATIONS - 0.3%
6,000 Gakken Co Ltd * 39,087
17,000 Tokyo Broadcasting System Inc 272,528
311,615
TEXTILES - 1.4%
20,000 Kurabo Industries Ltd 81,483
40,000 Nisshinbo Industries Inc 359,014
20,000 Onward Kashiyama Co Ltd 265,482
29,000 Renown Inc * 93,276
13,000 Tokyo Style Co Ltd 184,510
10,000 Tokyu Department Store Co Ltd 64,430
26,000 Wacoal Corp 307,959
1,356,154
TRANSPORTATION - 12.6%
1,000 Dennys Japan 27,569
338 East Japan Railway Co 1,604,840
10,000 Fujita Kanko Inc 218,512
32,000 Fukuyama Transporting Co Ltd 287,864
99,000 Hankyu Corp (a) 555,981
7,000 Japan Airport Terminal Co Ltd 80,768
56,000 Keihin Electric Express Railway (a) 348,803
74,000 Keio Teito Electric Railway Co Ltd (a) 436,739
29,000 Keisei Electric Railway (a) 235,707
182,000 Kinki Nippon Railway 1,495,992
91,000 Nagoya Railroad Co Ltd (a) 459,019
52,000 Nakkai Electric Rail (a) 359,463
2,900 Namco (a) 74,917
125,000 Nippon Express Co 1,077,245
81,000 Odakyu Electric Railway (a) 564,068
3,000 Royal Co Ltd 39,822
45,000 Sagami Railway (a) 201,715
29,000 Seibu Railway Co Ltd 1,267,371
39,000 Seino Transportation Co Ltd (a) 649,104
5,000 Shochiku Co (a) 56,160
11,000 Skylark Co Ltd 175,218
99,000 Tobu Railway Co 598,438
10,000 Toei Company 66,371
1,100 Toho Co 171,849
11,000 Tokyo Dome Corp 183,081
20,000 Tokyotokeiba Co 79,440
127,000 Tokyu Corp 894,777
40,000 Yamato Transport Co (a) 416,603
12,627,436
UTILITIES - 0.6%
11,600 Chugoku Electric Power Co Inc 277,163
11,000 Kyushu Electric Power Co Inc 263,951
3,600 Tohoku Electric Power Co Inc 86,384
627,498
TOTAL STOCK AND EQUIVALENTS (Cost $95,532,023) 96,872,507
PAR VALUE SHORT-TERM INVESTMENTS - 6.6%
$ 600,000 First National Bank of Chicago Time Deposit, 5.81%. due 9/1/95 600,000
5,288,750 The Prime Portfolio of Short-Term Investments Co 5,288,750
690,000 U.S. Treasury Bill, 5.26% due 2/8/96 673,593
TOTAL SHORT-TERM INVESTMENTS (Cost $6,540,173) 6,562,343
TOTAL INVESTMENTS - 103.3%
(Cost $102,072,196) * * 103,434,850
Other Assets and Liabilities (net) - (3.3%) (3,300,531)
TOTAL NET ASSETS - 100.0% $ 100,134,319
NOTES TO THE SCHEDULE OF INVESTMENTS:
ADR American Depositary Receipt
(a) All or a portion of this security is on loan.
(b) This security is held as collateral for open futures contracts.
* Non-income producing security.
** The aggregate identified cost for federal income tax
purposes is $102,072,196, resulting in gross unrealized
appreciation and depreciation of $4,903,141 and
$3,540,487, respectively, and net unrealized
appreciation of $1,362,654.
|
See accompanying notes to the financial statements.
GMO JAPAN FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - AUGUST 31, 1995 (UNAUDITED)
ASSETS:
Investments, at value (cost $95,532,023) (Note 1) $ 96,872,507
Short-term investments, at value (cost $1,251,423) (Note 1) 6,562,343
Foreign currency, at value (cost $2,589,915) (Note 1) 2,449,865
Cash 99,287
Receivable from variation margin on open futures contracts 166,301
Dividends and interest receivable 50,913
Receivable for expenses waived or borne by Manager (Note 2) 6,107
Total assets 106,207,323
LIABILITIES:
Payable upon return of securities loaned (Note 1) 5,288,750
Payable for investments purchased 675,984
Payable to affiliate for management fee (Note 2) 47,891
Accrued expenses 60,379
Total liabilities 6,073,004
NET ASSETS (equivalent to $9.69 per share based
on 10,333,221 shares outstanding, unlimited shares authorized) $ 100,134,319
NET ASSETS CONSIST OF:
Paid-in capital $ 87,478,963
Distributions in excess of net investment income (411,556)
Accumulated undistributed net realized gain 11,742,908
Net unrealized appreciation 1,324,004
NET ASSETS $ 100,134,319
|
See accompanying notes to the financial statements.
GMO JAPAN FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - SIX MONTHS ENDED AUGUST 31, 1995 (UNAUDITED)
INVESTMENT INCOME:
Dividends (net of foreign tax expense of $50,723) $ 293,006
Interest (including securities lending income of $17,486) 52,715
Total income 345,721
EXPENSES:
Management fee (Note 2) 270,489
Custodian fees 83,192
Audit fees 24,932
Transfer agent fees 13,800
Stamp duties and transfer taxes 2,250
Registration 1,002
Legal fees 564
Insurance 368
Trustee fee (Note 2) 94
Miscellaneous 94
Total expenses 396,785
Less: expenses waived or borne by Manager (Note 2) (40,854)
Net expenses 355,931
Net investment loss (10,210)
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments (8,690)
Closed futures contracts 262
Foreign currency and foreign currency related
transactions 103,488
Net realized gain 95,060
Change in net unrealized appreciation (depreciation) on:
Investments 3,982,090
Open futures contracts 95,233
Foreign currency and foreign currency related
transactions (151,017)
Net unrealized gain 3,926,306
Net realized and unrealized gain 4,021,366
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 4,011,156
|
See accompanying notes to the financial statements.
GMO JAPAN FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED
(UNAUDITED) FEBRUARY 28, 1995
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment loss $ (10,210) $ (92,986)
Net realized gain 95,060 151,486,989
Change in net unrealized appreciation (depreciation) 3,926,306 (156,391,026)
Net increase (decrease) in net assets resulting from
operations 4,011,156 (4,997,023)
Distributions to shareholders:
From net realized gains - (42,616,601)
- (42,616,601)
Fund share transactions: (Note 4)
Proceeds from sale of shares 36,000,000 95,499,568
Net asset value of shares issued to shareholders
in payment of distributions declared - 41,776,818
Cost of shares repurchased - (479,890,795)
Net increase (decrease) in net assets resulting
from Fund share transactions 36,000,000 (342,614,409)
Total increase (decrease) in net assets 40,011,156 (390,228,033)
NET ASSETS:
Beginning of period 60,123,163 450,351,196
End of period (including distributions in excess of net
investment income of $411,556 and $401,346,
respectively) $ 100,134,319 $ 60,123,163
|
See accompanying notes to the financial statements.
GMO JAPAN FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED FEBRUARY 28/29,
(UNAUDITED) 1995 1994 1993 1992 1991 *
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.12 $ 11.13 $ 7.37 $ 7.73 $ 9.48 $ 10.00
Income (loss) from investment operations:
Net investment income (loss) (a) - - (d) -- 0.01 -- (0.01)
Net realized and unrealized gain (loss) 0.57 (1.08) 3.94 (0.36) (1.74) (0.39)
Total from investment operations 0.57 (1.08) 3.94 (0.35) (1.74) (0.40)
Less distributions to shareholders:
From net investment income - -- -- (0.01) -- --
In excess of net investment income - -- (0.01) -- -- --
From net realized gains - (0.93) (0.17) -- -- --
From paid-in capital (c) - -- -- -- (0.01) (0.12)
Total distributions - (0.93) (0.18) (0.01) (0.01) (0.12)
NET ASSET VALUE, END OF PERIOD $ 9.69 $ 9.12 $ 11.13 $ 7.37 $ 7.73 $ 9.48
TOTAL RETURN (B) 6.25% (10.62%) 53.95% (4.49%) (18.42%) (3.79%)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 100,134 $ 60,123 $ 450,351 $ 306,423 $129,560 $ 60,509
Net expenses to average
daily net assets (a) 1.00%** 0.83% 0.87% 0.88% 0.93% 0.95%**
Net investment income to average
daily net assets (a) (0.03%)** (0.02%) (0.01%) 0.12% (0.11%) (0.32%) **
Portfolio turnover rate 0% 60% 8% 17% 25% 11%
* For the period from the commencement of operations, June 8, 1990 through
February 28, 1991.
** Annualized
(a) Net of fees and expenses voluntarily waived or borne by the Manager of the
following per share amounts: $ 0.01 $ 0.01 $ 0.01 $ 0.01 $ 0.01 $ 0.01
(b) Calculation excludes subscription and redemption fees. The total returns
would have been lower had certain expenses not been waived during the
periods presented.
(c) Return of capital for book purposes only. A distribution was required for
tax purposes to avoid the payment of federal excise tax.
(d) Based on average month end shares outstanding.
|
See accompanying notes to the financial statements.
GMO JAPAN FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
AUGUST 31, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO Japan Fund (the "Fund") is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, non-diversified management investment company. The Trust was established as a Massachusetts Business Trust under the laws of the Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees to create an unlimited number of series ("Funds"), each of which issues a separate series of shares. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market quotations are available are valued at the last quoted sale price on each business day, or if there is no such reported sale, at the most recent quoted bid price. Unlisted securities for which market quotations are readily available are valued at the most recent quoted bid price. Securities which are primarily traded on foreign exchanges are generally valued at the preceding closing values of such securities on their respective exchanges. Those values are then translated into U.S. dollars at the current exchange rate. Short-term investments with a remaining maturity of sixty days or less are valued at amortized cost which approximates market value. Other assets and securities for which no quotations are readily available are valued at fair value as determined in good faith by the Trustees.
FOREIGN CURRENCY TRANSLATION
The accounting records of the Fund are maintained in U.S. dollars. The market values of foreign securities, currency holdings and other assets and liabilities are translated to U.S. dollars based on the prevailing exchange rates each business day. Income and expenses denominated in foreign currencies are translated at prevailing exchange rates when accrued or incurred. The Fund does not isolate realized and unrealized gains and losses attributable to changes in exchange rates from gains and losses that arise from changes in the market value of investments. Such fluctuations are included with net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net exchange gains and losses on disposition of foreign currencies and the difference between the amount of investment income and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent amounts actually received or paid.
FUTURES CONTRACTS
The Fund may purchase Japanese futures contracts. Japanese futures contracts represent commitments for future delivery of cash based upon the level of a specified index of equity securities at a given date. The Fund may use futures contracts to manage its exposure to the stock and currency markets. Buying futures tends to increase the Fund's exposure to the underlying instrument. Selling futures tends to decrease the Fund's exposure to the underlying instruments or hedge other Fund instruments. Upon purchase of a futures contract, the Fund is required to deposit with its custodian, in a segregated account in the name of the futures broker, an amount of cash and U.S. government obligations in accordance with the initial margin requirements of the broker. Futures contracts are marked to market daily and an appropriate payable or receivable for the change in commitment value ("variation margin") is recorded by the Fund. The payable or receivable is liquidated on the following business day. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Losses may arise from the changes in the value of the underlying instrument, if there is an illiquid secondary market for the contracts, or if counterparties do not perform under the contract terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. See Note 6 for all open futures contracts held as of August 31, 1995.
FORWARD CURRENCY CONTRACTS
The Fund may enter into forward currency contracts in connection with planned purchases or sales of securities or to hedge the currency exposure associated with some or all of the Fund's portfolio securities. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The market value of a forward currency contract fluctuates with changes in forward currency exchange rates. Forward currency contracts are marked to market daily and the change in value is recorded by the Fund as an unrealized gain or loss. When a forward currency contract is extinguished, through delivery or offset by entering into another forward currency contract with the same broker, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished or offset. These contracts may involve market risk in excess of the unrealized gain or loss reflected in the Fund's Statement of Assets and Liabilities. In addition, the Fund could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency changes unfavorably to the U.S. dollar. At August 31, 1995, there were no outstanding forward currency contracts.
OPTIONS
The Fund may write call and put options on securities it owns or in which it may invest. When the Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the current value of the option written. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are offset against the proceeds or amounts paid on the transaction to determine the realized gain or loss. If a written put option is exercised, the premium reduces the cost basis of the securities purchased by the Fund. The Fund as a writer of an option has no control over whether the underlying securities may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the security underlying the written option. There is the risk the Fund may not be able to enter into a closing transaction because of an illiquid market.
The Fund may also purchase put and call options. The Fund pays a premium which is included in the Fund's Statement of Assets and Liabilities as an investment and subsequently marked to market to reflect the current value of the option. The risk associated with purchasing put and call options is limited to the premium paid.
SECURITY LENDING
The Fund may lend its securities to certain qualified brokers. The loans are collateralized at all times with cash or securities with a market value at least equal to the market value of the securities on loan. As with other extensions of credit, the Fund may bear the risk of delay in recovery or even loss of rights in the collateral should the borrower of the securities fail financially. The Fund receives compensation for lending its securities. At August 31, 1995, the Fund loaned securities having a market value of $4,990,483, collateralized by cash in the amount of $5,288,750, which was invested in short-term instruments.
TAXES
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. It is the policy of the Fund to distribute all of its taxable income, including any net realized gain on investments not offset by loss carryovers, to shareholders within the prescribed time periods. Therefore, no provision for federal income or excise tax is necessary. Taxes on foreign interest and dividend income has been withheld in accordance with the applicable country's tax treaty with the United States.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment income and net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryover for federal income tax purposes. The Fund's present policy is to declare and pay distributions from net investment income semi-annually, and net realized short-term and long-term capital gains, if any, at least annually. All distributions will be paid in shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions.
Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences are primarily due to differing treatments for foreign currency transactions and redemptions in-kind.
Distributions in excess of tax basis earnings and profits will be reported in the Fund's financial statements as a return of capital. Furthermore, differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary over-distributions for financial statement purposes are classified as distributions in excess of net investment income or accumulated net realized gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Dividend income is recorded on the ex-dividend date, or when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an individual Fund. Expenses which are not readily identifiable to a specific Fund are allocated in such manner as deemed equitable by the Trustees, taking into consideration, among other things, the nature and type of expense and the relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is .40% of the amount invested. In the case of cash redemptions, the premium is .70% of the amount redeemed. The Manager may waive such premium to the extent that a transaction results in minimal brokerage and transaction costs to the Fund. All purchase and redemption premiums are paid to and recorded as paid-in capital by the Fund. For the six months ended August 31, 1995 the Fund received $24,000 in purchase premiums and no redemption premiums. There is no premium for reinvested distributions or in-kind transactions.
INVESTMENT RISK
There are certain additional risks involved in investing in foreign securities that are not inherent in investments in domestic securities. These risks may involve adverse political and economic developments and the possible imposition of currency exchange blockages or other foreign governmental laws or restrictions. In addition, the securities of some foreign companies and securities markets are less liquid and at times more volatile than securities of comparable U.S. companies and U.S. securities markets.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the "Manager"), for management and investment advisory services is paid monthly at the annual rate of .75% of average daily net assets. The Manager has agreed to waive a portion of its fee until further notice to the extent that the Fund's annual expenses (including management fee but excluding brokerage commissions, transfer taxes and custodian fees) exceed .75% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee during the six months ended August 31, 1995, was $94. No remuneration is paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the six months ended August 31, 1995, aggregated $41,254,120 and $41,940, respectively.
4. PRINCIPAL SHAREHOLDERS
At August 31, 1995, 94% of the outstanding shares of the Fund were held by three shareholders, each holding in excess of 10% of the Fund's outstanding shares.
5. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number of shares of beneficial interest (without par value). Transactions in Fund shares were as follows:
Six Months Ended Year Ended
August 31, 1995 February 28, 1995
(Unaudited)
Shares sold 3,741,979 8,607,105
Shares issued to shareholders in reinvestment
of distributions -- 4,075,787
Shares repurchased -- (46,537,969)
Net increase (decrease) 3,741,979 (33,855,077)
Fund shares:
Beginning of period 6,591,242 40,446,319
End of period 10,333,221 6,591,242
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6. FINANCIAL INSTRUMENTS
A summary of outstanding futures contracts at August 31, 1995 is as follows:
FUTURES CONTRACTS
Number of Net Unrealized
Contracts Type Expiration Date Contract Value Appreciation
Buys
9 TOPIX September 1995 $ 1,313,936 $ 82,627
5 TOPIX December 1995 732,006 12,606
$ 95,233
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GMO EMERGING MARKETS FUND
(A SERIES OF GMO TRUST)
SEMI-ANNUAL REPORT
AUGUST 31, 1995
GMO EMERGING MARKETS FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
AUGUST 31, 1995 (UNAUDITED)
SHARES DESCRIPTION VALUE ($)
STOCK AND EQUIVALENTS - 89.6%
ARGENTINA - 5.3%
6,446,978 Acindar Industria Argentina de Aceros SA Class A * 4,585,865
7,031,520 Alpargatas SA * 2,849,048
749,900 Astra Cia Argentina 1,301,662
731,815 Atanor Cia Naci * 1,500,896
10,199,657 Cia Celulosa Argentina SA Class B * 3,857,206
858,556 Ciadea SA (Bearer) 3,521,664
172,954 Corcemar Class B * 865,159
83,622 Fiplasto Class B 217,515
194,381 Garovaglio Y Zorraquin * 637,857
1,874,900 Indupa SA Industrial y Comercial * 1,069,174
392,906 Industrias Petroq Koppers * 1,729,565
327,321 Juan Minetti SA (1 Vote) 1,038,075
1,823,160 Ledesma SA 2,061,098
67,983 Pirelli Cables Industria * 133,987
688,358 Polledo * 592,254
450,430 Quimica Estrella Class B 292,911
468,308 Rigolleau Christalerias Preferred * 243,630
6,679,418 Siderca 5,446,176
15,703 YPF Sociedad Anonima ADR 276,765
32,220,507
BRAZIL - 13.0%
65,000,000 Acesita Cia Acos Espec Preferred 489,185
5,521,000 Acos Villares SA Preferred 2,016,570
170,000,000 Avipal SA Common 429,451
199,446,000 Banco de Brasil SA Preferred * 3,186,769
354,319,000 Banco Estado Sao Paulo Preferred * 2,647,929
148,940,000 Banco Nacional Preferred 2,712,133
4,400,000 Belgo Mineira Common (Registered) 426,037
7,770,000 Belgo Mineira Preferred (Registered) 654,281
55,136 Brahma Preferred New * 14,543
3,000,000 Brahma Preferred (Registered) 1,120,994
2,319,000 Brasinca Industrial SA Preferred 432,044
7,802,000 Caemi Min E Metal Preferred 613,451
50,700,000 Cemig Preferred 1,147,361
35,700,000 Cia Energetica de Sao Paulo SA Preferred (Registered) * 1,333,982
90,500,000 Cia Hering Preferred (Registered) 995,448
1,770,000 Cimento Port Itau Preferred (Registered) 530,972
51,400 Cofap Cia Fabricadora Pecas Preferred 378,717
75,000,000 Companhia Paranaense Common 603,126
2,236,000 Copene-Petroquimica do Nordeste SA Class A Preferred 1,470,975
6,700,000 Duratex Preferred 352,401
60,053,771 Electrobras Class B Preferred (Registered) 16,561,326
9,800,000 Electrobras Common 2,712,910
1,300,000 Iochpe Maxion Preferred 435,135
147,000,000 Iparanga Brasil De Petroleo Preferred 1,547,287
2,380,000 Itaubanco Preferred (Registered) 749,034
395,000 Klabin Preferred 582,075
42,420,000 Mesbla Preferred (Registered) * 1,374,782
13,600,000 Metal Leve Industry Preferred 2.50% (Registered) 267,691
335,746,000 Olvebra Preferred * 81,282
141,700,000 Paranapanema Preferred 2,088,101
40,500,000 Petroleo Brasileiro SA Preferred 3,900,584
3,930,000 Sider Tubarao Class B Preferred 2,709,489
56,700,000 Siderurgica Nacional Common 1,265,239
31,700,000 Siderurgica Riograndense Preferred (Registered) 707,373
16,000 Telebras Sponsored ADR 660,000
410,031,000 Telecomunicacoes Brasileiras SA Common 15,105,610
93,200,000 Telecomunicacoes Brasileiras SA Preferred 4,041,724
249,222 Telecomunicacoes de Sao Paulo SA Preferred 40,923
857,400,000 Usiminas Preferred 875,404
251,000 Varig Preferred (Registered) * 937,898
1,000,000 Weg Preferred (Registered) 513,657
78,713,893
CHINA - 1.1%
6,100,000 Champion Technology 583,129
1,066,000 Chengdu Telecom Cable * 275,417
866,650 China First Pencil Class B 282,528
24,000 China Tire Hldgs Ltd 219,000
4,526,000 Maanshan Iron & Steel Series H 754,236
2,070,000 Qingling Motor Co Ltd 541,500
1,172,900 Shanghai Chlor-Alkali Chemical Co Series B 368,291
1,639,990 Shanghai Erfangji Textile Class B * 285,358
434,160 Shanghai Haixin Co Class B 184,952
2,408,000 Shanghai Haixin Shipping Class H 264,410
1,140,100 Shanghai Hero Co Ltd Class B 348,871
1,000,000 Shanghai Petrochemical Co Series H 326,185
437,800 Shanghai Phoenix Bicycle Series B 91,938
612,500 Shenzhen China Bicycle Co Class B 213,635
770,000 Shenzhen Konka Electronic B * 442,643
316,000 Sime Darby H.K. 383,723
4,810,000 Tianjin Bohai Chemical Industry 553,016
1,900,000 Yizheng Chemical Fibre Co 564,527
6,683,359
CZECH REPUBLIC - 0.7%
20,300 Ceske Energeticke Zavody * 792,674
45,700 Czech Republic Fund Inc 554,113
2,300 IPS Praha 183,897
27,200 Komercni Bank As GDR 144A 489,600
950 Metrostav AS 75,604
1,600 Sepap AS * 100,558
13,300 SPT Telecom AS * 1,271,142
1,380 Stavby Silnic A Zeleznic SA * 56,452
9,600 Synthesia * 295,961
3,700 Vertex SA * 154,797
3,974,798
GREECE - 4.3%
18,220 Aktor 316,121
34,820 Alpha Leasing 881,153
32,400 Aluminum of Greece Preferred 7.83% 1,529,452
11,000 Aluminum of Greece (Registered) 535,318
26,200 Atti-Kat SA 288,268
750,470 Balkan Export * 444,613
236,900 Boutaris Wine Co * 973,432
211,246 Commercial Bank of Greece (Registered) 7,804,120
10,029 Credit Bank Athens (Registered) 592,467
50,270 Ergo Bank SA (Registered) 2,308,128
108,880 Etba Leasing (Registered) 1,955,902
87,500 Etma Rayon Manufacturing 444,335
79,600 Hellenic Technodom SA 1,876,245
28,850 Ionian Bank (Registered) 656,824
64,100 Klonatex SA Preferred 781,217
67,975 National Bank of Greece (Registered) 3,758,199
6,250 National Investment Bank for Industrial Development (Registered) 132,772
2,275 National Mortgage Bank of Greece * 60,652
88,750 Petzetakis SA Preferred * 319,234
14,500 Petzetakis SA * 68,724
83,800 Shelman * 521,294
26,248,470
HUNGARY - 0.3%
25,500 Danubus Hotel (Registered) 245,183
13,771 Egis Gyogysergyar 323,076
7,600 Graboplast (Registered) 93,535
1,943 Matav (Registered) * 294,428
8,460 Pannonplast Muanyagipari 104,119
10,000 Pick Szeged (Bearer) 510,750
11,267 Richter Gedeon Vegyeszeti Gyar 199,332
5,874 Zalakeramia AG 151,363
1,921,786
INDIA - 5.9%
238,000 Arvind Mills Ltd GDR * 892,500
25,000 Ashok Leyland GDR 144A 312,500
55,000 Ashok Leyland Ltd GDR 687,500
7,000 Bajaj Auto GDR 144A 211,750
185,300 Bombay Dyeing and Manufacturing GDR * 1,899,325
95,000 Bombay Dyeing and Manufacturing Warrants 12/2/95 * 142,500
45,000 DCW * 315,000
16,000 Finolex Cables Ltd GDR * 112,000
166,000 Garden Silk Mills GDR * 871,500
63,500 Grasim Industries Ltd GDS 144A 1,476,375
45,000 Great Eastern Shipping Co GDR 144A 360,000
131,000 Great Eastern Shipping Co GDR * 1,048,000
55,000 Hindalco Industries GDR * 1,925,000
20,000 Hindalco Industry Ltd Warrants 11/2/95 375,000
100,000 Hindustan Development Corp GDR * 66,000
300,000 Hindustan Development Corp GDR 144A 198,000
97,000 Hindusthan Development Corp GDR 126,100
81,000 India Cements GDR 719,280
30,000 India Fund Inc 292,500
40,000 Indian Aluminum 144A 280,000
189,100 Indian Petrochemical GDR * 2,694,675
20,000 Indian Rayon & Industries GDR * 270,000
90,000 Indo Gulf Fertilizers GDR 144A 189,000
100,000 Indo Gulf Fertilizers GDR 210,000
100,000 Jain Irrigation Systems Ltd EDR * 388,000
176,000 Jct Limited GDR (Registered) * 2,244,000
115,200 Larsen & Toubro GDR * 2,246,400
90,500 Mahindra Mahindra GDR * 1,153,875
87,400 Morgan Stanley India Fund Inc 906,775
100,000 NEPC Micon Ltd GDR 144A 160,000
40,000 Raymond Woolens GDR * 680,000
295,500 Reliance Industries GDR * 5,466,750
50,000 Sanghi Polyesters GDS 144A 150,000
265,000 Siv Industries GDR * 1,166,000
168,500 Southern Petrochemical GDR (Registered) * 1,474,375
20,000 Sterlite Industrieltd GDR * 270,000
161,000 TATA Engineering Warrants expires 8/3/96 * 1,070,650
43,000 Tube Investment GDR 144A 236,500
25,000 Tube Investments of India GDR 137,500
28,000 Usha Beltron GDR 144A 112,000
655,000 Videocon International GDR * 2,259,750
26,000 Wockhart GDR * 195,000
35,992,080
INDONESIA - 6.3%
428,000 Andayani Megah (Foreign Registered) 339,907
1,746,500 Astra International (Foreign Registered) 3,486,835
104,500 Bank Bali Warrants 8/29/00 (Foreign Registered) * 59,938
705,375 Bank Bali (Foreign Registered) 1,680,576
1,013,250 Bank Dagang Nasional Ind (Foreign Registered) 1,028,226
825,000 Bank Danamon Pt (Foreign Registered) 1,273,991
250,400 Bank International Indonesia (Foreign Regestered) 900,402
800,250 Bank Private Development Finance (Foreign Registered) 688,501
700,000 Barito Pacific Timber (Foreign Registered) 756,673
50,000 Cipendawa Farm Enterprise (Foreign Registered) 63,975
370,000 Ciputrav Devlopment (Foreign Registered) 808,074
1,270,000 Dharmala Intiland (Foreign Registered) 784,469
2,854,000 Duta Anggada (Foreign Registered) 2,046,217
3,839,000 Gadjah Tunggal (ForeignRegistered) 2,794,772
1,870,000 Great River Industries (Foreign Registered) 1,175,711
3,816,500 Hadtex Indosyntec (Foreign Registered) 2,020,649
2,373,100 Indah Kiat Pulp and Paper (Foreign Registered) * 3,271,978
204,000 Indocement Tunggal (Foreign Registered) 724,553
95,700 Indorama Synthetics (Foreign Registered) 316,678
2,838,000 Jakarta International Hotel and Development (Foreign Registered) 3,318,200
2,079,000 JAPFA Comfeed Indonesia (Foreign Registered) 1,261,251
223,000 Kawsan Industri Jabeka (Foreign Registered) 383,719
552,000 Metrodata Electronics (Foreign Registered) 401,853
2,123,500 Multipolar (Foreign Registered) 1,124,289
287,000 Pabrik Kertas Tjiwi (Foreign Registered) 633,135
1,991,500 Pan Brothers Textile (Foreign Registered) * 527,201
3,498,000 Polysindo Eka Perkasa (Foreign Registered) 1,543,349
221,500 Pt Jaya Real Property (Foreign Registered) * 693,867
1,258,500 Rig Tenders Indonesia (Foreign Registered) 263,749
806,000 Semen Gresik (Foreign Registered) 2,418,178
352,000 Sinar Mas Agro (Foreign Registered) 264,019
2,500 Trafindo Perkasa (Foreign Registered) * 1,875
1,859,550 Ungul Indah Corp (Foreign Registered) 1,558,855
38,615,665
KOREA - 9.7%
5,160 Asia Cement Manufacturing 221,028
57,892 Boram Bank 782,762
8,860 Central Investment and Finance 194,801
13,215 Cho Hung Bank Co Ltd 175,212
68,300 Coryo Securities Preferred * 781,758
70,760 Daegu Bank 1,123,082
11,805 Daegu Bank New * 176,251
172,400 Daewoo Heavy Ind Ltd Preferred * 1,398,019
151,250 Daewoo Sec Ltd Preferred 15.98% * 3,268,248
24,600 Daihan Investment and Finance Preferred 23.40% * 397,698
140,900 Daishin Secs Preferred 18.00% * 1,640,067
47,640 Dong Shin Construction 597,656
12,900 Dongbu Construction Co Preferred * 141,813
29,990 Dongbu Industrial Co Preferred 4.84% * 274,999
73,370 Dongbu Steel Preferred * 1,053,294
193,600 Dongsuh Securities Preferred * 2,391,205
17,770 Haitai Confectionary Preferred 153,982
62,120 Haitai Confectionery Co Ltd 972,131
30,000 Han Dok Preferred 174,599
40,000 Han Wha Corp 641,490
6,328 Han Wha Corp Preferred New 101,484
111,176 Hana Bank 2,377,660
94,250 Hanbo Steel & General Construct 1,243,339
108,407 Hanil Bank 1,373,279
66,000 Hanil Synthetic Fiber Preferred * 388,386
8,500 Hannong 626,617
33,500 Hanshin Securities Co Preferred * 437,597
16,700 Hanwha Chemical Preferred * 155,510
63,700 Hyundai Motor Service Preferred * 1,705,367
29,350 Inkel 421,346
31,890 Inkel Corp Preferred 255,301
48,500 Kang Won Industrial Preferred (Non Voting) * 461,039
10,600 Keum Kang Ltd 792,532
35,000 Kia Motors GDS 144A 647,500
39,500 Kolon Construction Co Ltd Preferred 2.03% * 388,257
41,200 Kolon Industries Preferred * 559,493
21,200 Kolon International Corp * 205,639
246,814 Korea First Bank 2,518,575
48,290 Korea Fund 977,873
69,400 Korea Kumho Petrochemical 813,197
68,325 Korea Long Term Credit Bank 2,080,546
69,600 Kum Ho & Co Inc Preferred 2.02% * 427,574
56,800 Kumho Construction & Engineering Preferred * 454,723
48,800 Kumho Petrochemical Preferred 382,473
7,106 Kwangju Bank New * 81,886
34,000 Kwanju Bank 391,800
20,000 Kyung Nam Bank 239,524
11,910 Kyungnam Wool Text Preferred * 117,067
54,000 Lg Securities Co Preferred 50.00% * 712,364
122,400 Lucky Chemical Ltd Preferred * 1,424,728
37,400 Oriental Brewing Co Ltd Preferred * 377,289
29,900 Pacific Chemical Co Ltd Preferred * 336,433
28,882 Sam Hee Investment and Finance Co Ltd 466,923
31,000 Sam Whan Preferred * 376,875
65,800 Sammi Corp Preferred * 314,873
33,139 Samsung Display Devices Preferred * 1,354,576
4,755 Samsung Electronic New Preferred * 406,115
176 Samsung Electronic New Common * 35,572
50,352 Samsung Electronics Preferred (Non Voting) * 4,530,833
35,439 Shin Han Investment and Finance Co Ltd 806,682
26,022 Shin Poong Paper Manufacturing 1,228,405
20,161 Shinhan Bank (New) * 393,729
109,800 Shinhan Bank * 2,577,431
7,387 Shinhan Investment and Finance Preferred New * 79,297
12,700 Shinhan Investment & Financial Preferred 136,330
27,000 Shinwon Preferred * 421,657
92,300 Shinyoung Securities Preferred * 1,193,740
56,600 Ssangyong Investment Securities Co Preferred 59.90% * 724,703
29,330 STC Corp 660,039
27,100 STC Corp Preferred (Non Voting) * 281,445
9,350 Sung Bo Chemical Co 279,339
47,300 Sunkyong Ltd Preferred * 593,391
14,350 Sunkyong Securities 243,126
70,700 Sunkyong Securities Preferred 13.11% (Non Voting) * 757,108
46,060 Tong Yang Cement Corp Preferred * 696,976
22,700 Tong Yang Investment & Financial Preferred * 278,906
42,000 Tong Yang Securities Co Preferred 77.36% * 470,409
59,344,973
MALAYSIA - 10.2%
731,000 Amsteel Corporation Berhad 641,639
584,800 Amsteel New A Shares * 513,311
146,200 Amsteel Rights Expires 10/95 * -
243,666 Amsteel Rights to Warrants Expire 10/95 * -
1,746,000 Berjaya Group 1,357,611
1,062,000 Berjaya Industrial Berhad 744,890
94,000 Berjaya Leisure 81,002
285,000 Cement Industries of Malaysia Berhad 930,962
22,000 Esso Malaysia Bhd 63,928
2,178,000 Golden Hope Plantations Berhad 3,648,914
1,144,000 Guinness Anchor Berhad 2,044,986
1,243,000 IGB Corp Bhd 1,120,942
483,000 Kedah Cement Bhd 801,451
961,000 Kuala Lumpur Kepong 2,869,519
2,225,000 Kumpulan Guthrie Berhad 3,477,956
1,345,000 Malayan Cement Berhad 2,479,760
1,292,000 Malaysia Mining Berhad 2,102,413
1,165,000 Malaysian International Ship (Alien Market) 3,338,577
363,000 Malaysian Tobacco Co Berhad 611,062
1,601,000 Malaysian United Industries 2,913,242
1,916,000 MBF Capital Berhad 2,227,014
571,000 Metroplex Berhad 503,487
350,000 Nestle Malaysia 2,637,275
1,302,000 Nylex Berhad 4,174,750
1,032,000 Olympia Industries 972,024
139,000 Perusahaan Otomobil 532,044
247,000 Public Bank Berhad (Foreign Registered) 544,489
488,000 Rothmans of Pall Mall Malaysia Berhad 3,833,587
373,000 Shell Refinery Co 1,173,567
2,591,200 Sime Darby Berhad 6,594,838
1,156,000 Sime UEP Properties Berhad 2,339,800
1,047,000 Tan Chong Motor 1,233,739
1,196,000 Tractors Malaysia Holdings Berhad 1,831,150
133,600 UMW Holding Berhad Warrants 1/26/00 (a) * 156,893
1,125,600 UMW Holdings Berhad 3,699,367
62,196,189
MEXICO - 7.1%
6,680,000 Aerovias de Mexico SA de CV Class A * 542,484
432,000 Alfa SA Class A 5,915,924
59,300 Celanese Mexicana Series B 1,057,580
2,262,480 Cydsa SA Class A * 7,493,564
946,000 Gigante SA Class B * 228,968
588,963 Grupo Fin Bancomer SA Class L 224,144
780,600 Grupo Financiero Banamex Class B 1,588,546
39,030 Grupo Financiero Banamex Class L 77,811
12,972,000 Grupo Financiero Bancomer Class B 5,164,013
60,400 Grupo Financiero Invermex Series L 26,353
992,000 Grupo Financiero Invermexico Class B 432,815
722,700 Grupo Financiero Serfin SA de CV Class B * 616,827
90,886 Grupo Mexico Class B Warrants 8/9/01 * 376,280
2,430,000 Grupo Situr SA Class B 1,354,299
67,000 Sears Roebuck Mexico Series Class B * 224,045
118,500 Telefonos de Mexico ADR Series L 3,880,875
1,133,100 Tubos de Acero de Mexico SA * 7,758,487
1,763,280 Vitro SA 5,306,687
112,600 Vitro SA ADR 1,041,550
43,311,252
PERU - 0.9%
463,853 Banco De Credito Del Peru * 904,726
219,430 Banco Weise * 406,443
1,048,410 CNC Trabajo * 673,827
595,000 CPT Telefonica Del Peru B Shs 1,165,834
11,642 El Pacifico Peruano * 285,789
176,689 Enrique Ferreyos 236,584
69,419 Milpo Minera T Shs 534,469
47,128 Minsur Trab 656,279
111,000 Southern Peru Copper T Shs * 479,572
5,343,523
PHILIPPINES - 0.0%
492,000 Philex Mining Corp Class B * 64,537
322,000 Robinsons Land Corp Class B * 45,965
159,000 Sime Darby Pilipinas Inc 153,356
263,858
POLAND - 3.1%
98,100 Agros Holdings Series C * 1,091,544
6,800 Bank Przemyslowo Handlowy 220,109
102,685 Bank Rozwoju Eksportu SA 1,582,965
58,200 Bank Slaski 3,296,783
58,284 Debica Series A 707,473
96,000 Drosed 1,013,797
608,300 Elektrim SA (Bearer) 1,919,782
202,835 Exbud SA * 1,846,566
106,309 Jelfa * 1,225,898
17,200 Polfa Kunto Series A * 222,699
144,076 Polifarb Cieszyn (Bearer) 641,245
314,300 Polifarb Wroclaw 826,603
531,300 Sokolow * 479,385
174,513 Universal SA 462,497
175,100 Vistula 680,138
1,064,600 Wielkopolski 2,175,290
54,495 Wolczanka SA 529,185
18,921,959
PORTUGAL - 2.8%
171,700 Banco Chemical (Registered) 1,710,256
45,750 Banco Commercial Portugues (Registered) 565,432
140,100 Banco De Fomento Exterior SA 1,198,108
63,840 Banco Espirito Santo e Commercial de Lisboa (Registered) 848,415
212,800 Banco Espirito Santo e Commercial de Lisboa (Registered) 2,828,049
287,100 Banco Totta & Acores (Registered) 5,531,308
71,000 Banif Banco Internacional Funchal (Registered) 633,233
15,400 Cel-Cat Fabrica Nacional de Condutores Electricos SA * 273,487
19,900 Cimpor Cimentos De Portugal SA (Registered) 308,412
19,000 Cristais Alcobaca * 261,469
12,666 Cristais Alcobaca Preferred 6/2/95 New * 174,304
67,400 Empresa Fabril de Maquinas Electricas 618,351
44,500 Fisipe Fibra Sint 303,278
27,700 Investimentos Participacoes Gestao SA 490,107
60,700 Sonae Investimentos 1,378,286
17,122,495
RUSSIA - 0.4%
7 Chernogorneft RDC 144A 525,000
10 Irkutsken Ergo 144A (Participating Certificates) 565,000
8 Lukoil Holding RDC 144A 1,100,000
80 Mosengergo RDC 144A 236,000
6 Rostelecom RDC 144A 288,000
2,714,000
SOUTH AFRICA - 10.4%
58,400 AECI Ltd 387,178
553,585 Amalgamated Bank of South Africa 2,149,110
115,500 Anglo American Corp (Registered) 6,173,262
40,900 Anglo American Platinum * 318,680
64,000 Beatrix Mines Ltd 564,281
348,800 De Beers Centenary Link Units 8,939,922
106,000 De Beers Cons Mines Ltd ADR 2,722,875
335,300 Del Monte Royal Foods Ltd 394,174
169,500 Driefontein Consolidated Ltd 2,509,309
56,300 Eastvaal Gold Holdings * 103,126
258,600 Elandsrand Gold Mining Co Ltd 1,413,984
160,300 Engen Ltd 997,013
117,700 First National Bank 748,144
328,800 Free State Consolidated Gold Mines 3,851,843
30,000 Free State Consolidated Gold Mines ADR 348,750
439,700 Genbel Investments Ltd 1,045,831
19,700 Harmony Gold Mining 177,732
72,800 Impala Platinum Hldings Ltd 1,850,974
40,900 JCI Ltd * 324,270
40,900 Johnnies Industrial Corp (Registered) 469,633
82,800 Kloof Gold Mining Company 939,430
10,000 Kloof Gold Mining Ltd ADR 113,750
392,900 Lebowa Platinum Mines * 440,405
239,800 Loraine Gold Mines Ltd * 917,832
13,600 Nedcor Ltd Units 144A 693,600
50,000 Pick'N Pay Stores Ltd 148,999
77,600 Polifin * 158,053
84,600 Randfontein Estates Goldmine 543,531
373,500 Rembrandt Group Ltd 2,986,775
76,300 Richemont Secs AG Series A 923,047
88,900 Sappi Ltd 1,701,319
517,321 Sasol Ltd 4,419,734
3,857,300 South African Iron & Steel 4,429,133
36,600 Southvaal Ltd 1,050,646
34,100 Standard Bank Investment Corp 1,128,043
372,000 Sun International Ltd 2,339,143
15,369 Tongaat-Hulett Group Ltd 192,231
241,383 Western Areas Gold Mining 3,778,054
27,400 Western Deep Levels 943,859
63,337,675
SRI LANKA - 0.4%
121,000 Aitken Spence & Co 442,769
1,009,700 Blue Diamonds Jewelery Ltd * 420,301
26,500 Development Finance Corp 156,486
86,700 Hayleys Ltd 320,614
124,000 John Keells Holdings Ltd 470,552
116,900 Lanka Walltile Ltd 140,325
96,000 National Development Bank 479,535
2,430,582
TAIWAN - 4.7%
393,800 Asia Cement 640,151
10,534 Asia Cement Corp GDR 144A * 197,513
2,864,000 Chia Hsin Flour 1,593,541
1,326,000 Chia Hsin Livestock * 728,148
4,660,000 China Steel 3,558,804
28,300 China Steel Corp GDR 144A * 537,700
384,000 China Wire & Cable 234,606
3,988,000 Chung Shing Textile * 1,805,608
297,000 Ensure Co Ltd * 224,656
330,000 Feng An Metal Industrial Co Ltd 262,819
739,000 Formosa Chemicals and Fiber Co 693,367
2,225,000 Goldsun Development & Construction 1,456,470
402,320 Hua Engineering Wire and Cable 277,987
2,028,350 Kwong Fong Industries Corp 1,113,830
525,330 Laelae Enterprise Co Ltd * 435,578
292,600 Li Peng 167,060
240,000 Megamedia Corp 260,954
1,007,360 Pacific Construction 670,401
820,600 Pacific Elec Wire 584,907
412,385 Pao Shiang Construction & Industrial 241,450
15,600 President Enterprises Corp GDS 175,500
545,600 Prince Housing Develop Corp 331,352
365,900 R O C Taiwan Fund 3,796,213
430,000 Shin Yih Fiber 323,696
21,000 Taiwan Cement 26,424
387,000 Taiwan Match & Woodwork Co Ltd 865,536
587,000 Taroko Textile * 279,646
6,731 Tuntex Distinct Corp GDR 144A 45,434
74,421 Tuntex Distinct Corp GDS * 502,342
1,723,210 Universal Cement 1,366,135
867,000 Wan Yu Paper * 425,649
1,918,000 Yieh Loong Co 1,136,934
5,523,000 Yue Loong Motor * 3,394,381
367,000 Yuen Foong Yu Manufacturing 304,298
28,659,090
THAILAND - 0.2%
165,400 Bangkok Rubber Public Co Ltd (Foreign Registered) 117,153
142,400 CP Feedmill Public Co Ltd (Foreign Registered) 767,119
227,600 GFPT Pub Co Ltd (Foreign Registered) * 122,610
304,100 NEP Realty and Industry Co Ltd (Foreign Registered) * 145,619
87,200 Prasit Development (Foreign Registered) * 121,788
175,600 Saha Union Public Co Ltd (Foreign Registered) 231,237
1,505,526
TURKEY - 1.7%
2,005,000 Akal Tekstil 563,027
1,000,000 Akbank 254,810
2,100,000 Bagfas 917,317
2,520,000 Eczacibasi Ilac * 283,058
7,365,000 Eregli Demir ve Celik Fabrikalari Turk Anonim Sirketi 1,026,427
4,400,000 Global Menkul Degerler * 384,399
12,000,000 Hurriyet Gazette * 636,505
25,170,000 Izmir Demir Celik 667,535
1,130,000 Netas Telekomunik 423,089
1,080,000 Petkim 842,434
10,024,000 Tofas Otomobil Fab 1,522,105
2,000,000 Turk Sise Cam 426,417
2,700,000 Turkiye Garanti Bankasi AS 241,498
38,000,000 Yapi Ve Kredi Bankasi AS 1,995,840
10,184,461
UNITED KINGDOM - 0.3%
830,322 Lonrho Plc 2,084,603
VENEZUELA - 0.8%
384,799 Ceramica Carabobo Class A ADR 404,039
1,030,000 Ceramica Carabobo Class B ADR 1,071,200
11,040 Mantex SAICA ADR 40,020
174,975 Siderurgica Venezolana Sivensa 65,956
1,028,000 Siderurgica Venezuela ADR 1,562,560
82,500 Sudamtex de Venezuela ADR 360,938
124,800 Venezolana de Cementos 166,121
527,000 Venezolano de Pulpa y Papel GDS 144A 1,054,000
2,333 Veprecar GDS * 13,065
4,737,899
TOTAL STOCK AND EQUIVALENTS (Cost $577,157,441) 546,528,643
Par Value CONVERTIBLE BONDS - 0.9%
INDIA - 0.4%
$ 1,950,000 Essar Gujarat, 5.5% due 8/5/98 1,940,250
700,000 Sterlite, 3.50% due 6/30/99 598,500
2,538,750
KOREA - 0.3%
800,000 Samsung Display Devices, 0.50% due 4/12/02 850,000
945,000 Ssangyong Oil Refining, 3.75% due 12/31/08 987,525
1,837,525
SOUTH AFRICA - 0.2%
350,000 Liblife International, 6.50% due 9/30/04 396,375
845,000 Sappi Bvi Finance Ltd, 7.50% due 8/1/02 870,350
1,266,725
THAILAND - 0.0%
566,000 Bangkok Land Ltd, 4.50% due 10/13/03 (Foreign Registered) 299,980
TOTAL CONVERTIBLE BONDS (Cost $6,818,763) 5,942,980
Principal Amount
of Contracts
(000's omitted) CALL OPTIONS PURCHASED - 0.2%
South Africa - 0.2%
SAR 5 South Africian Index, Expires 3/15/96 Strike 5550 * 662,620
TOTAL CALL OPTIONS PURCHASED (Cost $965,636) 662,620
SHORT-TERM INVESTMENTS - 1.5%
United States - 1.5%
$ 8,700,000 First National Bank of Chicago Time Deposit, 5.81% due 9/1/95 8,700,000
TOTAL SHORT-TERM INVESTMENTS (Cost $8,700,000) 8,700,000
TOTAL INVESTMENTS - 92.2%
(Cost $593,641,840) * * 561,834,243
Other Assets and Liabilities (net) - 7.8% 47,795,350
TOTAL NET ASSETS - 100.0% $ 609,629,593
NOTES TO THE SCHEDULE OF INVESTMENTS:
ADR American Depositary Receipt
EDR European Depositary Receipt
GDR Global Depositary Receipt
GDS Global Depositary Shares
Currency Abbreviation
SAR South African Rand
144A Securities exempt from registration under rule 144A of the Securities
Act of 1933. These securities may be resold in transactions exempt
from registration, normally to qualified institutional buyers.
(a) Security valued by management (Note 1).
* Non-income producing security.
* * The aggregate identified cost for federal income tax purposes is $593,641,840,
resulting in gross unrealized appreciation and depreciation of $32,453,001
and $64,260,598, respectively, and net unrealized depreciation of $31,807,597.
See accompanying notes to the financial statements.]
At August 31, 1995, industry sector diversification of the Fund's
equity investments was as follows:
|
Percentage of
INDUSTRY SECTOR Net Assets
Banking 12.8 %
Services 10.6
Primary Processing 6.6
Metals and Mining 6.5
Construction 5.7
Financial Services 5.1
Textiles 4.5
Utilities 4.2
Telecommunications 3.9
Automotive 3.7
Chemicals 3.5
Oil and Gas 3.1
Consumer Goods 3.0
Miscellaneous 3.0
Real Estate 2.3
Food and Beverage 2.0
Transportation 1.9
Machinery 1.9
Technology 1.9
Paper and Allied Products 1.0
Manufacturing 0.9
Computers and Office Equipment 0.5
Retail Trade 0.4
Insurance 0.4
Health Care 0.2
89.6 %
See accompanying notes to the financial statements.
|
GMO EMERGING MARKETS FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - AUGUST 31,1995 (UNAUDITED)
ASSETS:
Investments, at value (cost $584,941,840) (Note 1) $ 553,134,243
Short-term investments, at cost (Note 1) 8,700,000
Foreign currency, at value (cost $21,309,695) (Note 1) 21,300,056
Cash 1,060,170
Receivable for investments sold 16,259,749
Receivable for Fund shares sold 21,321,000
Dividends and interest receivable 1,664,747
Receivable for open forward foreign currency contracts (Note 6) 2,333,982
Foreign withholding taxes receivable 23,372
Receivable for expenses waived or borne by Manager (Note 2) 10,117
Total assets 625,807,436
LIABILITIES:
Payable for investments purchased 15,073,192
Payable for open forward foreign currency contracts (Note 6) 440,524
Payable to affiliate for management fee (Note 2) 501,912
Accrued expenses 162,215
Total liabilities 16,177,843
NET ASSETS (equivalent to $10.53 per share based
on 57,879,323 shares outstanding, unlimited shares authorized) $ 609,629,593
NET ASSETS CONSIST OF:
Paid-in capital $ 659,958,844
Accumulated undistributed net investment income 6,289,965
Accumulated undistributed net realized loss (26,585,344)
Net unrealized depreciation (30,033,872)
NET ASSETS $ 609,629,593
See accompanying notes to the financial statements.
|
GMO EMERGING MARKETS FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - SIX MONTHS ENDED AUGUST 31, 1995 (UNAUDITED)
INVESTMENT INCOME:
Dividends (net of foreign tax expense of $1,158,614) $ 8,819,966
Interest 884,849
Total income 9,704,815
EXPENSES:
Management fee (Note 2) 2,504,377
Custodian fees 562,962
Stamp duties and transfer taxes 297,070
Audit fees 30,452
Transfer agent fees 13,800
Legal fees 8,930
Registration fees 7,180
IOF Fees Brazil (Note 1) 7,122
Insurance 2,490
Trustee fee (Note 2) 916
Miscellaneous 818
Total expenses 3,436,117
Less: expenses waived by Manager (Note 2) (21,267)
Net expenses 3,414,850
Net investment income 6,289,965
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized loss on:
Investments (23,189,158)
Foreign currency, forward contracts and foreign
currency related transactions (821,147)
Net realized loss (24,010,305)
Change in net unrealized appreciation (depreciation) on:
Investments 61,876,602
Foreign currency, forward contracts and foreign
currency related transactions 1,808,800
Net unrealized gain 63,685,402
Net realized and unrealized gain 39,675,097
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 45,965,062
See accompanying notes to the financial statements.
|
GMO EMERGING MARKETS FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED
(UNAUDITED) FEBRUARY 28, 1995
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 6,289,965 $ 2,567,359
Net realized gain (loss) (24,010,305) 10,748,639
Change in net unrealized appreciation (depreciation) 63,685,402 (99,215,818)
Net increase (decrease) in net assets
resulting from operations 45,965,062 (85,899,820)
Distributions to shareholders from:
Net investment income - (2,332,870)
Net realized gains (7,081,456) (7,201,224)
(7,081,456) (9,534,094)
Fund share transactions: (Note 5)
Proceeds from sale of shares 180,160,147 374,416,514
Net asset value of shares issued to shareholders
in payment of distributions declared 6,828,994 8,065,981
Cost of shares repurchased (501,916) (17,198,392)
Net increase in net assets resulting
from Fund share transactions 186,487,225 365,284,103
Total increase in net assets 225,370,831 269,850,189
NET ASSETS:
Beginning of period 384,258,762 114,408,573
End of period (including accumulated undistributed
net investment income of $6,289,965 and $0, $ 609,629,593 $ 384,258,762
respectively)
See accompanying notes to the financial statements.
|
GMO EMERGING MARKETS FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
SIX MONTHS ENDED PERIOD FROM DECEMBER 9, 1993
AUGUST 31, 1995 YEAR ENDED (COMMENCEMENT OF OPERATIONS)
(UNAUDITED) FEBRUARY 28, 1995 TO FEBRUARY 28, 1994
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.52 $ 12.13 $ 10.00
Income (loss) from investment operations:
Net investment income 0.11 (a) 0.05 0.02 (a)
Net realized and unrealized gain (loss)
on investments 1.03 (2.37) 2.11
Total from investment operations 1.14 (2.32) 2.13
Less distributions to shareholders from:
Net investment income - (0.07) (0.00)(c)
Net realized gains (0.13) (0.22) -
Total distributions (0.13) (0.29) (0.00)
Net asset value, end of period $ 10.53 $ 9.52 $ 12.13
TOTAL RETURN (B) 12.03% (19.51%) 21.35%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 609,630 $ 384,259 $ 114,409
Net expenses to average
daily net assets 1.42%* (a) 1.58% 1.64%* (a)
Net investment income to average
daily net assets 2.61%* (a) 0.85% 0.87%* (a)
Portfolio turnover rate 26% 50% 2%
* Annualized.
(a) Net of fees and expenses voluntarily waived or borne by the manager of
the following per share amounts $ - - $ 0.003
(b) Calculation excludes subscription and redemption fees.
The total returns would have been lower had certain
expenses not been waived during the periods shown.
(c) The per share income distribution was $ 0.004.
See accompanying notes to the financial statements.
|
GMO EMERGING MARKETS FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
AUGUST 31,
1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO Emerging Markets Fund (the "Fund") is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, non-diversified management investment company. The Trust was established as a Massachusetts Business Trust under the laws of the Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees to create an unlimited number of series ("Funds"), each of which issues a separate series of shares. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market quotations
are available are valued at the last quoted sale price on each business day, or
if there is no such reported sale, at the most recent quoted bid price. Unlisted
securities for which market quotations are readily available are valued at the
most recent quoted bid price. Securities which are primarily traded on foreign
exchanges are generally valued at the preceding closing values of such
securities on their respective exchanges, and those values are then translated
into U.S. dollars at the current exchange rate. Short-term investments with a
remaining maturity of sixty days or less are valued at amortized cost which
approximates market value. Other assets and securities for which no quotations
are readily available are valued at fair value as determined in good faith by
the Trustees.
FOREIGN CURRENCY TRANSLATION
The accounting records of the Fund are maintained in U.S. dollars. The market
values of foreign securities, currency holdings and other assets and liabilities
are translated to U.S. dollars based on the prevailing exchange rates each
business day. Income and expenses denominated in foreign currencies are
translated at prevailing exchange rates when accrued or incurred. The Fund does
not isolate realized and unrealized gains and losses attributable to changes in
exchange rates from gains and losses that arise from changes in the market value
of investments. Such fluctuations are included with net realized and unrealized
gain or loss on investments. Net realized gains and losses on foreign currency
transactions represent net exchange gains and losses on disposition of foreign
currencies and the difference between the amount of investment income and
foreign withholding taxes recorded on the Fund's books and the U.S. dollar
equivalent amounts actually received or paid.
FORWARD CURRENCY CONTRACTS
The Fund may enter into forward currency contracts in connection with settling
planned purchases or sales of securities or to hedge the currency exposure
associated with some or all of the Fund's portfolio securities. A forward
currency contract is an agreement between two parties to buy and sell a currency
at a set price on a future date. The market value of a forward currency contract
fluctuates with changes in forward currency exchange rates. Forward currency
contracts are marked to market daily and the change in value is recorded by the
Fund as an unrealized gain or loss. When a forward currency contract is
extinguished, through delivery or offset by entering into another forward
currency contract, the Fund records a realized gain or loss equal to the
difference between the value of the contract at the time it was opened and the
value of the contract at the time it was extinguished or offset. These contracts
may involve market risk in excess of the unrealized gain or loss reflected in
the Fund's Statement of Assets and Liabilities. In addition, the Fund could be
exposed to risk if the counterparties are unable to meet the terms of the
contracts or if the value of the currency changes unfavorably to the U.S.
dollar. The U.S. dollar value of the currencies the Fund has committed to sell
is shown under Note 6, and represents the currency exposure the Fund has
acquired or hedged through currency contracts as of August 31, 1995.
SWAP AGREEMENTS
The Fund may invest in swap agreements. A swap is an agreement to exchange the
return generated by one instrument for the return generated by another
instrument. The Fund enters into equity swap agreements which involve a
commitment by one party in the agreement to pay interest in exchange for a
market linked return based on anotional amount. To the extent that the total
return of the security or index underlying the transaction exceeds or falls
short of the offsetting interest rate obligation, the Fund will receive a
payment from or make a payment to the counterparty, respectively. Equity swaps
are marked to market daily based upon quotations from market makers and the
change, if any, is recorded as unrealized gain or loss in the Statement of
Operations. Payments received or made at the end of the measurement period are
recorded as realized gain or loss in the Statement of Operations. Entering into
these agreements involves, to varying degrees, elements of credit and market
risk in excess of the amounts recognized on the Statement of Assets and
Liabilities. Such risks involve the possibility that there is no liquid market
for these agreements, that the counterparty to the agreements may default on its
obligation to perform or that there may be unfavorable changes in the price of
the security or index underlying these transactions. As of August 31, 1995,
there were no outstanding swap agreements.
OPTIONS
The Fund may write call and put options on securities it owns or in which it may
invest. When the Fund writes a call or put option, an amount equal to the
premium received is recorded as a liability and subsequently marked to market to
reflect the current value of the option written. Premiums received from writing
options which expire are treated as realized gains. Premiums received from
writing options which are exercised or closed are offset against the proceeds or
amounts paid on the transaction to determine the realized gain or loss. If a
written put option is exercised, the premium reduces the cost basis of the
securities purchased by the Fund. The Fund as a writer of an option has no
control over whether the underlying securities may be sold (call) or purchased
(put) and as a result bears the market risk of an unfavorable change in the
price of the security underlying the written option. There is the risk the Fund
may not be able to enter into a closing transaction because of an illiquid
market.
The Fund may also purchase put and call options. The Fund pays a premium which is included in the Fund's Statement of Assets and Liabilities as an investment and subsequently marked to market to reflect the current value of the option. The risk associated with purchasing put and call options is limited to the premium paid.
TAXES
The Fund intends to qualify each year as a regulated investment company under
Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). It
is the policy of the Fund to distribute all of its taxable income, including any
net realized gain on investments not offset by loss carryovers, to shareholders
within the prescribed time periods. Therefore, no provision for federal income
or excise tax is necessary. Taxes on foreign interest and dividend income have
been withheld in accordance with the applicable country's tax treaty with the
United States.
The Fund is subject to an Imposto Sobre Operacues Financeiras (IOF) tax which is imposed on certain investment transactions in Brazil.
Dividends received by shareholders of the Fund which are derived from foreign source income and foreign taxes paid by the Fund are to be treated, to the extent allowable under the Code, as if paid and received by the shareholders of the Fund.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment income
and net realized short-term and long-term capital gains, if any, after giving
effect to any available capital loss carryover for federal income tax purposes.
The Fund's present policy is to declare and pay distributions from net
investment income semi-annually, and net realized short-term and long-term
capital gains at least annually. All distributions will be paid in shares of the
Fund, at net asset value, unless the shareholder elects to receive cash
distributions.
Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences are primarily due to differing treatments for foreign currency transactions.
Distributions in excess of tax basis earnings and profits will be reported in the Fund's financial statements as a return of capital. Furthermore, differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary over-distributions for financial statement purposes are classified as distributions in excess of net investment income or accumulated net realized gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Dividend income is
recorded on the ex-dividend date, or when the Fund is informed of the
ex-dividend date. Interest income is recorded on the accrual basis. In
determining the net gain or loss on securities sold, the cost of securities is
determined on the identified cost basis.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an individual
Fund. Expenses which are not readily identifiable to a specific Fund are
allocated in such manner as deemed equitable by the Trustees, taking into
consideration, among other things, the nature and type of expense and the
relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is 1.60% of the amount invested. In
the case of cash redemptions, the premium is .40% of the amount redeemed. For
shares acquired on or prior to June 1, 1995, the premium on cash purchases was
2% and there was no premium on cash redemptions. The Manager may waive such
premium to the extent that a transaction results in minimal brokerage and
transaction costs to the Fund. All purchase and redemption premiums are paid to
and recorded as paid-in capital by the Fund. For the six months ended August 31,
1995, the Fund received $3,127,882 in purchase premiums and no redemption
premiums. There is no premium for reinvested distributions or in-kind
transactions.
INVESTMENT RISK
There are certain additional risks involved in investing in foreign securities
that are not inherent in investments of domestic securities. These risks may
involve adverse political and economic developments and the possible imposition
of currency exchange blockages or other foreign governmental laws or
restrictions. In addition, the securities of some foreign companies and
securities markets are less liquid and at times more volatile than securities of
comparable U.S. companies and U.S. securities markets.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the "Manager"), for management and investment advisory services is paid monthly at the annual rate of 1.00% of average daily net assets. Effective June 27, 1995, the Manager has agreed to reduce to .98% of its 1.00% management fee. The Manager has also agreed to waive a portion of its fee until further notice to the extent that the Fund's annual expenses (including management but excluding custody fees, brokerage commissions and transfer taxes) exceed 1.18% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee during the six months ended August 31, 1995, was $916. No remuneration is paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the six months ended August 31, 1995, aggregated $264,730,220 and $119,442,509, respectively.
4. PRINCIPAL SHAREHOLDERS
At August 31, 1995, 14% of the outstanding shares of the Fund were held by one shareholder.
5. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number of
shares of beneficial interest (without par value). Transactions in Fund shares
were as follows:
Six Months Ended
August 31, 1995 Year Ended
(Unaudited) February 28, 1995
Shares sold 16,922,728 31,656,227
Shares issued to shareholders in reinvestment of
distributions 653,492 708,112
Shares repurchased (52,350) (1,438,354)
Net increase 17,523,870 30,925,985
Fund shares:
Beginning of period 40,355,453 9,429,468
End of period 57,879,323 40,355,453
|
6. FINANCIAL INSTRUMENTS
A summary of outstanding forward currency contracts at August 31, 1995 is
as follows:
Net Unrealized
Units of In Exchange for Appreciation
Settlement Date Deliver/Receive currency (in U.S. Dollars) (Depreciation)
Buys
5/9/96 Malaysian Ringgit 142,193,046 $ 57,589,546 $ (440,524)
Sales
2/1/96 Deutsche Marks 80,080,600 $ 57,545,901 $ 2,333,982
|
GMO GLOBAL HEDGED EQUITY FUND
(A SERIES OF GMO TRUST)
SEMI-ANNUAL REPORT
AUGUST 31, 1995
GMO GLOBAL HEDGED EQUITY FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
AUGUST 31, 1995 (UNAUDITED)
SHARES DESCRIPTION VALUE ($)
STOCK AND EQUIVALENTS - 78.2%
AUSTRALIA - 3.0%
22,157 Adelaide Brighton Ltd 21,018
148,874 Australia and New Zealand Banking Group Ltd 605,231
12,464 Australian Gas & Light 42,038
95,218 Australian National Industry Ltd 83,871
54,300 Boral Ltd 138,582
66,600 Burns Philp & Co Ltd 141,896
156,026 Coles Myer Ltd 506,271
245,350 CSR Ltd 868,145
34,851 Email Ltd 93,143
566,400 Fosters Brewing Group Ltd 528,754
227,298 Goodman Fielder Ltd 207,057
49,002 Hardie (James) Industries Ltd 84,481
8,547 Memtec Ltd 15,700
10,998 Metal Manufactures Ltd 26,496
2,500 Newcrest Mining Ltd * 10,954
288,569 News Corp Ltd 1,659,783
182,424 News Corp Ltd Preferred 1.19% 942,138
18,521 Opsm Protector Ltd 30,118
243,513 Pacific Dunlop Ltd 575,652
29,859 Pacific Magazines and Printing 58,896
40,800 Pasminco Ltd * 51,911
293,500 Pioneer International Ltd 764,527
54,018 Publishing & Broadcasting Ltd 164,703
3,562 QBE Insurance Group Ltd 15,393
39,462 QCT Resources Ltd 48,129
7,985 Rothmans Holdings 28,314
59,762 Santos Ltd 157,921
23,140 Schroders Property * 35,854
92,560 Schroders Property Fund 149,820
32,641 Seven Network Ltd 83,551
22,531 Smith (Howard) Ltd 107,881
70,942 Southcorp Holdings Ltd 151,147
80,273 Stockland Trust Group 184,322
44,600 TNT Ltd * 60,775
17,209 WD&HO Wills 26,041
112,100 Western Mining Corp Holdings Ltd 753,643
13,398 Westfield Holdings 126,084
224,680 Westfield Trust Units 395,812
2,585 Weston (George) Foods Ltd 12,085
107,100 Westpac Banking Corp 403,151
10,361,288
AUSTRIA - 1.0%
100 Allgemeine Baugesellschaft AG 12,098
399 Austrian Airlines * 65,263
2,809 Bank Austria AG (Participating Certificate) 95,154
2,404 Bau Holding AG (Non Voting) 123,548
3,972 Brau Union AG 221,815
266 Constantia-Iso Holdings AG * 14,752
4,998 Creditanstalt-Bankverein 272,339
3,830 Creditanstalt-Bankverein Preferred 1.65% 197,204
340 EA-Generali AG 100,036
197 EA-Generali AG Preferred 6.00% 31,650
1,774 EVN Energie-Versorgung Niederoesterreich AG 231,617
162 Jenbacher Werke AG 26,811
700 Lenzing AG 63,007
1,291 Leykam-Muerztaler Papier und Zellstoff AG * 57,102
523 Miba Holding AG Preferred Series B 1.34% 21,310
3,507 OEMV AG 333,992
3,328 Oesterreichische Brau Beteiligungs AG 168,457
7,499 Oesterreichische Elektrizitaetswirschafts AG 508,776
5,060 Oesterreichische Laenderbank AG 401,578
2,650 Oesterreichische Laenderbank AG Preferred (Non Voting) 118,750
440 Perlmooser Zement 33,855
1,300 Radex-Heraklith AG 46,302
662 RAS Versicherungs AG 95,530
1,217 Steyr-Daimler-Puch AG * 21,908
292 Strabag Oesterreich AG 39,424
547 Universale Bau AG * 19,853
1,300 Veitsch-Radex AG 31,203
177 Wiener Allianz Versicherungs AG 39,315
667 Wienerberger Baustoffindustrie AG 156,546
3,549,195
BELGIUM - 0.1%
136 Banque Bruxelles Lambert 21,585
20 Banque Nationale de Belgique 25,784
200 Barco NV 21,217
400 Electrabel SA 84,867
160 Petrofina SA Bruxelles 47,663
50 Solvay Et Cie 26,231
50 Tractebel 17,419
244,766
CANADA - 1.5%
6,600 Abitibi-Price Inc 110,553
6,600 Air Canada Inc 24,567
11,000 Alberta Energy Ltd 167,876
500 Avenor Inc 11,120
11,800 Bank of Montreal 259,148
14,490 Bank of Nova Scotia 315,528
600 BC Telecom Inc 10,720
5,310 BCE Inc 170,972
2,500 Brascan Ltd Class A (Convertible) 40,945
3,800 Cae Industries Inc 25,461
20,400 Canadian Imperial Bank of Commerce 501,173
1,400 Canadian Marconi Co 12,768
3,300 Canadian Tire Ltd Class A 39,922
1,100 Canfor Corp 11,772
1,600 CCL Industries Class B 15,187
17,400 Cominco Ltd 344,891
600 Dofasco Inc 7,649
4,100 Dominion Textile Inc 28,234
22,800 Domtar Inc 214,294
900 Donohue Inc Class A 12,563
10,600 Fletcher Challenge Class A 172,622
8,500 Gulf Canada Resources Ltd 38,759
3,100 Hees International Bancorp Inc 33,752
1,900 Hudsons Bay Co 38,191
8,100 Imasco Ltd 147,739
12,800 Imperial Oil Ltd 458,589
8,100 Inco Ltd 282,663
4,500 Laidlaw Inc Class B (Non Voting) 40,620
19,200 Macmillan Bloedel Ltd 253,713
2,300 Mitel Corp 12,414
800 Molson Co Ltd Class A 13,475
16,800 National Bank of Canada 139,140
7,700 Noranda Forest Inc 60,906
2,200 Noranda Inc 44,631
5,000 Norcen Energy Resource 75,377
1,600 Nova Scotia Power Inc 13,698
2,600 Numac Energy Inc 12,339
900 Oshawa Group Ltd Class A 14,322
4,300 Petro Canada 42,416
1,800 Power Corp of Canada 27,638
5,900 Ranger Oil Ltd 33,492
1,700 Repap Enterprises Inc 12,498
11,280 Royal Bank of Canada 250,877
1,100 Sceptre Resources Ltd 6,961
1,700 Sears Canada Inc 9,967
900 Sherritt Inc 10,720
8,900 Teck Corp Class B 173,925
2,100 Telus Corp 25,600
1,000 Thomson Corp 13,307
14,300 Toronto Dominion Bank 230,216
3,200 Transcanada Pipelines Ltd 44,072
4,300 United Dominion Inds Ltd 103,639
800 Westcoast Energy Inc 12,209
5,175,830
FINLAND - 0.0%
1,400 Amer Group Class A 23,848
500 Cultor OY Series 1 16,966
24,600 Kansallis-Osake-Pankki * 23,809
500 Kymmene Corp 14,689
860 Nokia Corp Class A 58,755
6,000 Unitas Bank Ltd Class A * 17,080
155,147
FRANCE - 2.5%
200 Accor SA 24,983
150 Agache Financiere * 39,226
47 Air Liquide L Shares 7,490
190 Air Liquide (Registered) 30,278
7,480 Alcatel Alsthom Cie Generale d'Electricite SA 749,259
11 Axa SA 609
17,081 Banque Nationale de Paris 699,944
25 Bongrain 13,486
255 Bouygues 30,995
1,000 Carnaudmetal Box SA 42,463
1,025 Carrefour Supermarche SA 571,598
1,950 Casino Guichard Perrachon 55,394
235 Cetelem 36,379
450 Club Mediterranee SA * 43,294
27,785 Compagnie de Suez SA 1,144,072
2,879 Credit Commercial de France 122,421
2,019 Credit Foncier De France (Bearer) 53,957
1,377 Credit Local de France SA 116,397
8,980 Credit Lyonnais * 444,600
1,822 Credit National 126,961
78 CSF Thompson Temp (Participating Certificates) * 1,621
250 Dassault Electronique SA 10,096
3,671 Elf Sanofi SA 226,662
739 Eridania Beghin-Say SA 109,135
522 Essilor International 88,145
7,466 Financiere de Paribas SA 402,749
1,311 FINEXTEL 18,686
1,032 Gruope Danone 169,157
200 Labinal SA 30,882
5,899 Lafarge Coppee SA 440,250
3,270 LVMH Louis Vuitton Moet Hennessy 587,778
15 Lyonnaise Des Eaux * 1,406
9,640 Michelin SA Class B 417,927
364 Parisienne de Reescompte (CPR-Cie) 25,581
1,600 Pechiney International SA 38,357
1,594 Pechiney International SA Preferred 3.43% 103,185
1,824 Pernod-Ricard 114,427
2,449 Peugeot SA 323,366
150 Radiotechnique 12,893
100 Saint Louis 29,516
200 Saint-Gobain 25,379
301 SIMCO 24,252
24 SIMCO (Registered) 1,753
688 Societe Generale d 'Entreprise SA 18,387
4,156 Societe Generale Paris 433,577
360 SOVAC SA 27,010
1,928 SPIE Batignolles * 79,387
4,494 Thomson CSF 95,191
637 Total SA 37,376
3,800 Worms et Compagnie SA 167,000
8,414,937
GERMANY - 2.3%
250 AEG AG 24,756
660 Bankgesellschaft Berlin AG 171,945
10,390 Bayer AG 2,683,503
20,100 Bayer Vereinsbank AG 546,497
1,370 Bayerische Hypotheken-und Wechselbank AG 335,938
190 Bayerische Motorenwerke AG 105,645
50 Beiersdorf AG (Bearer) 37,432
8,400 Berliner Handels- und Frankfurter Bank * 216,381
100 Boss (Hugo) AG Preferred 3.84% 77,585
350 Bremer Vulkan Verbund AG * 18,937
2,700 Commerzbank AG 609,698
430 Daimler-Benz AG 212,315
500 Douglas Holding AG 18,614
32,100 Dresdner Bank 848,732
100 Gehe AG 45,054
25 Gehe AG New * 11,042
600 Kaufhalle AG * 74,319
350 Kugelfischer George Schaefer AG * 52,881
50 Linotype Hell AG * 9,953
150 Philips Kommunikations Industrie AG 52,064
400 Puma AG Preferred * 118,420
300 RWE AG (Non Voting) 81,281
2,000 Sap AG 304,216
2,500 Sap AG Preferred 369,551
540 Siemens AG 274,824
200 Villeroy and Boch AG 40,018
900 Volkswagen AG 275,142
300 Volkswagen AG Preferred .79% 69,281
7,686,024
HONG KONG - 2.5%
22,500 Amoy Properties Ltd 20,201
109,000 Cathay Pacific Airways Ltd 164,042
60,000 Chinese Estates Holdings Ltd 40,692
55,000 Cross Harbour Tunnel Co Ltd 107,996
163,371 Dairy Farm International 151,935
242,000 Denway Investments 19,070
83,000 Dickson Concepts (International) Ltd 55,219
453,000 Elec and Eltek International Holdings Ltd * 66,127
8,000 Furama Hotel Enterprises Ltd 9,301
190,097 Goldlion Holdings Ltd 95,773
8,000 Great Eagle Holdings Ltd 16,329
126,000 Hang Lung Development Co Ltd 195,324
102,000 Harbour Centre Development Ltd 111,342
32,000 Henderson Land Development Co Ltd 174,034
33,000 Hong Kong and China Gas Co Ltd 52,009
163,000 Hong Kong Ferry Co Ltd 174,771
31,000 Hong Kong Land Holdings 56,420
16,000 Hongkong Aircraft Engineering Co Ltd 37,618
39,500 Hongkong and Shanghai Hotels Ltd Preferred 1.95% 48,221
42,500 Hongkong Electric Holdings Ltd 147,413
232,846 Hopewell Holdings Ltd 168,446
184,000 Hutchison Whampoa Ltd 886,604
72,000 Jardine International Motor Holdings Ltd 75,339
17,250 Jardine Strategic Warrants 5/02/98 * 7,849
56,800 Kowloon Motor Bus Co Ltd 100,524
157,000 Kumagai Gumi Hong Kong Ltd 121,690
118,000 Lai Sun Garment (International) Ltd 121,948
23,000 Lane Crawford International Ltd Series A 34,466
83,327 Mandarin Oriental 75,411
228,000 National Mutual Asia Ltd 163,467
79,897 New World Development Co Ltd 291,060
116,000 Playmate Toys Holding 24,725
15,000 Realty Development Corp Ltd Class A 43,018
916,397 Regal International Ltd 165,735
86,000 San Miguel Brewery Ltd 49,994
98,000 Shun Tak Holdings Ltd 82,289
12,956 Sino Hotel Ltd (c) 2,996
164,614 Sino Land Co Ltd * 114,832
124,000 South China Morning Post Ltd 68,480
319,000 Stelux Holdings International 91,690
62,000 Sun Hung Kai Properties Ltd 450,523
314,000 Swire Pacific Ltd Class A 2,352,668
138,000 Tai Cheung Holdings Ltd 119,442
29,000 Television Broadcasts Ltd 107,144
283,000 Wharf Holdings Ltd 813,429
31,000 Wing On International Holdings Ltd 55,264
105,500 Winsor Industrial Corp Ltd 115,844
93,000 World International Holdings Ltd 141,164
8,589,878
ITALY - 2.3%
282,100 Alitalia Linee Aeree Italiane Class A * 132,107
83,000 Alitalia Linee Aeree Italiane Class B (Private Placement) (b) * 25,060
1,700 Assicurazioni Generali SPA 40,905
380,000 Autostrade Concessioni e Costruzioni SPA Class B Preferred 6.39% 444,883
26,300 Banca Commerciale Italiana SPA 62,067
993,340 Banca di Roma * 941,988
76,000 Banca Nazionale dell'Agricoltura SPA (Non Convertible) * 25,756
1,000 Banca Popolare di Bergamo Credit 13,186
27,500 Banca Toscana * 59,477
1,128,137 Banco di Napoli (Non Convertible) * 515,792
380,000 Bastogi-IRBS SPA * 22,478
11,000 BCO Ambros Veneto Di Risp (Non Convertible) 14,776
14,800 Benetton Group SPA 156,399
20,000 Caffaro SPA 23,723
33,000 Cartiere Burgo SPA 224,182
29,970 Cia Italiana dei Grandi Alberghi Cigahotels SPA * 17,322
40,000 Comau Finanziaria SPA 59,153
16,300 Credito Italiano 20,288
24,590 Credito Italiano (Non Convertible) 26,076
18,000 Danieli and Co SPA (Non Convertible) 54,403
47,000 Edison SPA 198,959
9,000 Editoriale l'Espresso SPA * 17,191
3,500 Ericsson SPA 57,367
155,000 Fiat SPA 569,706
173,000 Fiat SPA Preferred (b) 390,687
237,000 Fiat SPA (Non Convertible) 508,202
22,750 FIDIS SPA 49,905
92,397 Finmeccanica SPA * 66,669
32,500 Gilardini SPA 62,881
12,500 Grassetto SPA * 7,756
193,850 Industriali Riunite SPA * 140,350
40,000 Industriali Riunite (Cie) SPA (Non Convertible) * 18,264
40,420 Istituto Bancario San Paolo 217,804
21,750 Italcementi Fabbriche Riunite Cemento SPA 152,179
46,250 Italcementi Fabbriche Riunite Cemento SPA (Non Convertible) 152,467
1,000 Marzotto and Figli SPA 6,347
215,000 Montedison SPA (Non Convertible) * 133,406
545,000 Montedison SPA * 405,334
105,000 Montefibre SPA 79,645
5,000 Olivetti and Co SPA Preferred * 5,453
33,500 Olivetti and Co SPA (Non Convertible) * 20,869
75,000 Olivetti and Co SPA * 63,451
145,800 Parmalat Finanziaria SPA 129,279
112,400 Pirelli and Co 167,260
22,000 Pirelli and Co (Non Convertible) 22,639
7,000 Pirelli SPA (Non Convertible) * 7,233
6,000 Ratti SPA 11,757
21,000 Rinascente per l'Esercizio di Grandi Magazzini SPA 123,834
18,000 Rinascente per l'Esercizio di Grandi Magazzini SPA Preferred 5.59% 47,692
14,000 Rinascente per l'Esercizio di Grandi Magazzini SPA (Non Convertible) 44,254
5,000 SAFFA SPA * 17,099
30,000 Saipem SPA 65,623
13,000 Sasib SPA 61,279
6,000 Sasib SPA (Non Convertible) 16,452
30,500 Sirti SPA 221,952
221,630 Snia BPD SPA * 271,763
90,000 Societa Metallurgica Italia * 46,417
33,000 Sorin Biomedica SPA 87,436
43,630 STET SPA 133,882
14,000 Telecom Italia Mobile SPA (Non Convertible) * 14,035
11,000 Telecom Italia Mobile SPA * 16,233
11,000 Telecom Italia SPA 17,691
14,000 Telecom Italia Spa di Risp 18,029
6,700 Tosi (Franco) SPA 63,392
4,200 Unione Cementi Marchino Emiliane e di Augusta-Casale (Non Convertible) * 14,467
3,500 Unione Cementi Marchino Emiliane e di Augusta-Casale * 23,723
7,848,334
JAPAN - 7.7%
1,000 Ajinomoto Co Inc 10,313
8,000 Alps Electric Co Ltd 98,841
4,000 Amada Co Ltd 41,660
68,000 Aoki Corp * 331,199
1,900 Arabian Oil Co 78,961
9,000 Asahi Breweries Ltd 103,844
1,000 Bank of Yokohama Ltd 7,852
16,000 Banyu Pharmaceutical Co Ltd 176,444
1,000 Canon Sales Co Inc 26,650
2,828 Chubu Electric Power Co Inc 65,838
2,000 Chugai Pharmaceutical Co 19,094
22,000 Cosmo Oil Co Ltd 114,566
8,100 CSK Corp 241,507
7,000 Dai Nippon Ink & Chemicals 31,021
14,000 Dai Nippon Printing Co Ltd 221,576
4,000 Dai Tokyo Fire and Marine Insurance Co Ltd 26,548
50,000 Daicel Chemical Industries Ltd 272,630
2,000 Daiichi Seiyaku Co Ltd 27,569
3,000 Daikyo Inc 24,169
1,000 Daiwa Bank Ltd 8,179
5,000 Daiwa House Industry Co Ltd 77,092
3,000 Daiwa Kosho Lease 29,162
236 East Japan Railway Co 1,120,539
2,000 Eisai Co Ltd 32,266
7,000 Fuji Photo Film Co Ltd 175,116
25,000 Fujisawa Pharmaceutical Co Ltd 250,166
21,000 Fujita Corp 106,785
1,000 Fujita Kanko Inc 21,851
35,000 Fujitsu Ltd 378,823
7,000 Fukuyama Transporting Co Ltd 62,970
5,000 Furukawa Electric Co Ltd 28,795
12,000 Gakken Co Ltd * 78,174
12,000 General Sekiyu (KK) 115,791
22,000 Hankyu Corp 123,551
16,000 Hanwa Co Ltd * 52,443
46,000 Haseko Corp 211,365
12,000 Hazama-Gumi Ltd 54,648
2,000 Heiwa Real Estate 15,010
9,000 Hitachi Cable Ltd 67,085
12,000 Hitachi Ltd 131,107
8,000 Hitachi Maxell Ltd 128,248
4,000 Hokuriku Bank Ltd 26,017
5,000 Honda Motor Co Ltd 88,834
16,000 INAX Corp 159,289
4,000 Intec Inc 55,139
16,000 Itochu Corp 99,331
7,000 Japan Airport Terminal Co Ltd 80,768
40,000 Japan Energy Co Ltd 124,572
32,000 Japan Synthetic Rubber Co Ltd 182,979
5 Japan Tobacco Inc 42,324
7,000 Joshin Denki Co Ltd 89,345
1,000 Kajima Corp 10,088
3,000 Kamigumi Co 27,814
46,000 Kankaku Securities Co Ltd * 170,971
12,000 Keihin Electric Express Railway 74,743
16,000 Keio Teito Electric Railway Co Ltd 94,430
5,000 Keisei Electric Railway 40,639
42,000 Kinki Nippon Railway 345,229
19,000 Kirin Brewery Co Ltd Com 197,886
7,000 Koito Manufacturing Co Ltd 53,321
7,000 Kokusai Kogyo Co Ltd 65,186
1,000 Kokuyo Co 21,647
9,000 Komatsu Ltd 74,161
1,000 Koyo Seiko Co Ltd 8,975
187,000 Kumagai Gumi Co Ltd 891,704
28,000 Kurabo Industries Ltd 114,076
43,000 Kureha Chemical Industry Co Ltd 189,238
3,000 Kyowa Hakko Kogyo Co Ltd 29,132
15,000 Maeda Corp 160,821
19,000 Marubeni Corp 97,391
12,000 Marudai Food Co Ltd 85,649
21,000 Marui Co Ltd 368,816
5,000 Matsushita Electric Industrial Co Ltd 78,113
22,000 Matsushita Electric Works Ltd 226,885
25,000 Mazda Motor Corp * 103,640
9,000 Meiji Seika Kaisha Ltd 53,484
4,000 Minebea Co Ltd 31,041
28,000 Mitsubishi Electric Corp 209,568
99,000 Mitsubishi Estate 1,162,506
16,000 Mitsubishi Gas Chemical Co Inc 66,983
31,000 Mitsubishi Materials Corp 153,837
16,000 Mitsubishi Oil Co 137,071
19,000 Mitsubishi Trust & Banking Corp 316,230
2,000 Mitsubishi Warehouse 30,020
22,000 Mitsui Fudosan Co Ltd 283,045
4,000 Mitsui Mining Ltd * 17,726
18,000 Mitsui Petrochemical Industries Ltd 137,847
17,000 Mitsui Trust & Banking Co Ltd 175,320
1,000 Mochida Pharmaceutical 14,397
21,000 Nagoya Railroad Co Ltd 105,927
9,000 Nakkai Electric Rail 62,215
30,000 NEC Corp 392,097
16,000 New Japan Securities Co Ltd * 84,137
19,000 Nichiei Co Ltd 79,155
7,000 Nichii Co Ltd 80,053
28,000 Nippon Express Co 241,303
325,000 Nippon Oil Co Ltd 1,835,146
56,000 Nippon Sheet Glass Co Ltd 253,883
12,000 Nippon Suisan Kaisha Ltd * 55,996
42,000 Nissan Motor Co Ltd 321,642
3,000 Nisshinbo Industries Inc 26,926
7,000 Nissho Iwai Corp 28,233
18,000 Nitto Denko Corp 284,883
10,000 NSK Ltd 67,290
17,000 Odakyu Electric Railway 118,385
4,000 Okamoto Industries 26,385
1,000 Ono Pharmaceutical Co Ltd 39,924
3,000 Onoda Cement Co Ltd 15,224
45,000 Renown Inc * 144,739
7,000 Ricoh Co Ltd 69,689
7,000 Royal Co Ltd 92,919
8,000 Sagami Railway 35,861
3,000 Sankyo Co Ltd 66,779
23,000 Sanyo Electric Co Ltd 126,819
3,000 Sapporo Breweries Ltd 27,263
1,000 Secom Co 65,656
23,000 Seibu Railway Co Ltd 1,005,156
5,000 Seino Transportation Co Ltd 83,218
5,000 Sekisui Chemical Co Ltd 62,797
82,000 Sekisui House Ltd 1,029,867
37,000 Settsu Corp * 114,474
14,000 Shionogi and Co Ltd 126,512
28,000 Shiseido Co Ltd 291,622
11,500 Showa Shell Sekiyu 101,103
1,000 Skylark Co Ltd 15,929
4,000 Sony Corp 218,104
18,000 Sumitomo Corp 167,989
37,000 Sumitomo Metal Industries Ltd * 103,140
9,000 Sumitomo Realty and Development 65,983
17,000 Sumitomo Trust & Banking Co Ltd 230,867
24,000 Taisei Corp 161,740
2,000 Taisho Pharmaceutical Co Ltd 35,534
22,000 Takeda Chemical Industries Ltd 296,523
21,000 Tanabe Seiyaku Co Ltd 149,027
193,000 Teijin Ltd 936,080
8,000 Teikoku Oil Co 49,584
8,000 The Japan Steel Works Ltd * 24,424
23,000 Toa Nenryo Kogyo (KK) 345,229
22,000 Tobu Railway Co 132,986
220 Toho Co 34,370
2,000 Tokyo Dome Corp 33,287
4,000 Tokyo Tatemono Ltd 18,788
4,000 Tokyotokeiba Co 15,888
26,000 Tokyu Construction Co Ltd 136,723
28,000 Tokyu Corp 197,274
11,000 Tokyu Department Store Co Ltd 70,874
12,000 Tokyu Land Corp 62,490
11,000 Toppan Printing Co Ltd 150,508
9,000 Toshiba Tungaloy Co Ltd * 56,977
1,000 Tostem Corp 31,245
1,000 Toto 14,602
7,000 Toyo Trust & Banking Co Ltd 58,610
1,000 Toyota Motor Corp 19,809
22,000 Victor Co of Japan Ltd * 271,813
8,000 Wacoal Corp 94,757
4,000 Yakult Honsha Co Ltd 55,139
8,000 Yamaha Corp 106,193
229,000 Yamaichi Securities Co Ltd 1,470,782
10,000 Yamanouchi Pharmaceutical Co Ltd 211,365
8,000 Yamato Transport Co 83,321
12,000 Yasuda Trust and Banking Co Ltd 77,929
3,000 Yokogawa Bridge Corp 42,579
11,000 Yokogawa Electric Corp 103,334
26,372,750
MALAYSIA - 0.4%
192,000 Amcol Holdings Ltd 521,732
29,000 Antah Holdings Berhad 31,150
39,200 Bandar Raya Developments Warrants 9/1/97 * 49,648
65,000 DMIB Berhad 67,735
52,000 Faber Group Berhad * 50,020
46,000 Golden Hope Plantations Berhad 77,066
49,000 Highlands and Lowlands Berhad 86,413
29,000 Kuala Lumpur Kepong 86,593
35,000 Malaysian Mosaics 47,695
61,000 Malaysian Resources Corp 107,086
62,000 Malaysian United Industries 112,818
26,000 Perlis Plantations 85,451
36,000 Selangor Properties 37,804
1,361,211
NETHERLANDS - 0.7%
8,300 Royal Dutch Petroleum Co ADR 989,775
3,253 Stockland Trust Group 7,171
12,400 Unilever Nv 1,532,950
2,529,896
NEW ZEALAND - 0.4%
170,471 DB Group Ltd * 95,271
98,238 Fisher and Paykel Industries Ltd 300,048
8,814 Fletcher Challenge Ltd 23,942
13,006 Independent Newspapers Ltd 37,189
344,538 Lion Nathan Ltd 714,235
4,449 Wilson and Horton Ltd 25,876
1,196,561
NORWAY - 1.7%
3,900 Aker AS Class A 50,739
2,600 Aker AS Class B (Non-Voting) 33,218
12,510 Bergesen d y AS Class A 300,172
7,830 Bergesen d y AS Class B 190,317
37,994 Den Norske Bank Series A 98,861
5,350 Det Norske Luftfartsselskab AS Class B 266,745
5,400 Dyno Industrier AS 112,743
4,300 Elkem AS Class A 52,258
2,365 Hafslund Nycomed AS Class A 57,116
22,821 Hafslund Nycomed AS Class B 540,468
5,310 Kvaerner Industrier 206,836
400 Kvaerner Industrier AS, Oslo -B- Stimmrechtslos 14,833
5,880 Leif Hoegh and Co AS 90,699
70,300 Norsk Hydro AS 2,968,361
11,300 Norske Skogindustrier AS Series A 354,769
5,010 Orkla AS Class A 234,181
2,900 Saga Petroleum Series A 36,600
7,390 Unitor AS 104,204
5,713,120
PHILIPPINES - 0.0%
110,000 Bougainville Copper Ltd * 56,313
SINGAPORE - 2.4%
166,000 Chuan Hup Holdings Ltd 162,436
292,000 DBS Land Ltd 838,691
44,000 Faber Group Berhad * 42,746
144,000 First Capital Corp Ltd 413,601
19,000 Fraser and Neave Ltd 215,347
306,000 Hai Sun Hup Group Ltd 217,571
119,000 Haw Par Brothers International Ltd 242,943
170,000 Hotel Properties Ltd 274,058
61,000 Inchcape Berhad 200,113
79,674 Jardine Matheson 573,653
701,250 Jardine Strategic 2,201,925
10,000 Jurong Shipyard Ltd 69,694
21,000 Lum Chang Holdings Ltd 19,071
38,400 Metro Holdings 171,658
15,000 Natsteel Ltd 31,151
215,000 Neptune Orient Lines Ltd 261,844
7,000 Prima Ltd 26,857
39,000 Robinson and Co Ltd 153,749
18,000 Shangri-La Hotel Ltd 63,992
89,000 Singapore Airlines Ltd 751,848
156,000 Straits Trading Co Ltd 358,015
31,000 Times Publishing Ltd 72,017
42,000 United Engineers 80,718
553,000 United Industrial Corp Ltd 506,089
23,000 United Overseas Land Ltd 40,317
44,000 Wearne Brothers Ltd 102,837
8,092,941
SPAIN - 3.1%
25,470 Argentaria Corporacion Bancaria de Espana SA 972,314
2,150 Asland SA 37,183
13,200 Asturiana del Zinc SA * 139,916
7,250 Autopistas Cesa (Registered) 69,914
483 Autopistas Conces * 4,558
22,069 Autopistas del Mare Nostrum SA 256,790
600 Azucarera de Espana SA 17,071
49,510 Banco Bilbao Vizcaya SA 1,497,432
37,640 Banco Central Hispanoamericano SA 784,447
900 Banco Exterior de Espana Namen 21,805
2,450 Banco Zaragozano SA * 38,466
1,420 Bankinter SA 123,355
2,850 Cristaleria Espanola SA * 188,523
18,330 Dragados y Construcciones SA 292,900
3,100 Ebro Agricolas Compania de Alimentacion SA 31,624
18,950 Empresa Nacional de Celulosa SA * 484,038
5,040 Empresa Nacional de Electricidad SA 261,489
12,300 Ercros SA * 13,234
236,230 FENOSA SA 1,095,722
200 Fomento Construcciones y Contratas SA 16,545
86,350 Fuerzas Electricas de Cataluna SA 548,483
5,150 Huarte SA 45,148
78,480 Iberdrola SA 602,320
15,380 Repsol SA 482,329
22,346 Sarrio SA * 112,375
178,430 Sevillana de Electricidad 1,130,518
17,589 Tabacalera S Namen-Akt. 649,030
9,850 Tableros Defibras Series B 119,715
20,900 Telefonica de Espana SA 283,164
6,600 Uralita SA 73,114
10,600 Vallehermoso SA 187,121
10,580,643
SWEDEN - 0.0%
400 Mo Och Domsjoe AB Series B 22,989
1,450 Pharmacia AB Class A 39,584
3,940 Skandinaviska Enskilda Banken Series A 20,380
960 Skanska AB Series B 24,106
1,500 Svenska Handelsbanken Series A 23,400
1,900 Volvo Aktiebolaget Series B 37,699
168,158
SWITZERLAND - 2.4%
190 Baloise Holdings 379,213
527 Banque Cantonale Vaudoise 258,808
20 CIBA-GEIGY AG (Bearer) 14,161
8,850 CS Holdings (Registered) 723,758
60 Elektrowatt AG 17,491
250 Helvetia Schweizerische Versicherungsgesellschaft 121,118
100 Hero AG (Bearer) 46,377
300 Hero Lenzburg (Registered) 34,286
75 Hilti AG, Schaan (Participating Certificate) 63,354
40 Holderbank Financiere Glarus AG (Bearer) 31,304
170 Holderbank Financiere Glarus AG (Registered) 26,468
40 Interdiscount Holding SA (Bearer) 42,567
50 Intershop Holding AG 24,182
100 Landis and Gyr AG 61,035
40 Merkur Holding AG 9,640
20 Pargesa Holding SA 24,265
125 Schindler Holding AG (Participating Certificate) 101,449
60 Schindler Holding AG (Registered) 50,683
650 Schweizerische Rueckversicherungsgesellschaft (Bearer) 525,383
25 Schweizerische Rueckversicherungsgesellschaft (Registered) 20,207
20 SIG AG (Bearer) 21,366
5 SIG AG (Registered) 10,807
1,060 SMH AG (Bearer) 715,445
4,400 SMH AG (Registered) 630,393
1,260 Swiss Bank Corp (Bearer) 427,826
1,400 Swiss Bank Corp (Registered) 238,551
1,080 Union Bank of Switzerland (Bearer) 961,491
1,150 Winterthur Insurance (Registered) 681,905
270 Winterthur Schweizerische Versicherungs-Gesellschaft 164,348
7,250 Zurich Vericher Namen (Registered) 1,849,275
8,277,156
UNITED KINGDOM - 11.2%
51,925 AMEC Plc 49,892
5,174 Amersham International 85,536
9,000 Amstrad Plc 36,404
8,312 Anglian Water Plc 69,560
280,814 Argyll Group 1,531,875
1,392,738 ASDA Group Plc 2,341,861
4,490 BAA Plc 35,697
25,012 Barratt Developments Plc 72,098
159,126 Bass Plc 1,595,539
91,180 BAT Industries Plc 710,771
13,500 Berisford International Plc 38,182
14,009 Boots Co Plc 122,230
179,945 British Aerospace Plc 1,837,753
31,869 British Land Co Plc 197,062
132,011 British Petroleum Co Plc 988,142
280,188 British Steel Plc 781,599
134,477 BTR 710,664
21,945 Bunzl Plc 69,549
348,723 Burton Group Plc 551,242
2,090 Carlton Communications 33,685
5,079 Charter Plc (Registered) 73,910
3,950 Cobham Group Plc 25,710
26,100 Costain Group * 42,066
28,055 Dixons Group Plc 146,739
48,124 English China Clays Plc 282,659
107,891 Fisons 428,043
296,025 Forte Plc 1,179,026
33,152 General Electric Co Plc 159,784
421,207 Glaxo Wellcome Plc 4,992,027
43,331 Grand Metropolitan Plc 273,981
115,518 Great Portland Estates Plc 309,712
11,308 Great Universal Stores Plc 107,075
6,600 Greenalls Group Plc 51,193
29,691 Guinness 225,927
145,005 Hammerson Property Investment and Development Corp Plc 800,009
165,057 Hillsdown Holdings Plc 488,573
6,211 Imperial Chemical Industries Plc 73,828
339,447 Ladbroke Group Plc 878,517
376,093 Lasmo Plc 1,031,645
3,978 Lex Service Plc 19,481
23,871 Lex Service Plc (Ordinary) 119,121
11,108 London Electricity Plc 144,947
41,512 London International Group Plc 82,347
57,998 Lonrho Plc 145,610
54,750 Marks & Spencer Plc 369,093
13,029 MEPC Plc 76,325
19,907 Meyer International Plc 107,978
7,875 Midland Electricity 104,347
117,740 National Power Plc 957,955
19,500 Norcros Plc 26,292
7,133 North West Water Group Plc 69,200
28,131 Northern Foods Plc 84,576
2,010 Northumbrian Water Group Plc 28,346
9,149 NORWEB Plc 122,929
10,956 Ocean Group Plc 56,371
18,526 Peninsular and Oriental Steam Navigation Co 159,488
315,555 Pilkington Plc 1,031,857
74,395 Powergen Plc 674,180
23,291 Reckitt & Colman Plc 240,033
62,511 Redland Plc 376,850
51,077 Sainsbury Plc 366,990
9,501 Scottish Power Plc 50,209
1,700 Scottish & Newcastle Plc 15,649
242 Scottish & Newcastle (Participating Certificte) 1,163
338,366 Sears Plc 587,309
5,497 Securicor Group Plc 93,283
7,361 Severn Trent Plc 72,097
79,000 Signet Group Plc * 17,752
29,757 Slough Estates Plc 101,916
138,899 Smith & Nephew Plc 412,221
218,477 Smithkline Beecham Plc Class A 2,028,124
238,413 Smithkline Beecham Plc Equity Units 2,084,795
17,594 South Western Electricity Plc 263,120
15,188 Southern Water Plc 164,293
57,964 Storehouse Plc 278,472
512,415 Tarmac Plc 809,998
260,772 Taylor Woodrow Plc 464,751
54,467 Tesco 276,022
6,861 Thorn Emi 157,153
46,000 Trafalgar House Plc 27,090
16,738 Transport Development Group Plc 56,938
10,053 Unigate Plc 64,656
39,838 Unilever Plc 750,129
36,074 United Biscuits Holdings Plc 152,623
5,801 Welsh Water Plc 68,415
6,265 Welsh Water Plc Preferred 6.42% * 9,928
22,011 Whitbread Plc Class A (Limited Voting) 209,786
114,834 Wimpey (George) Plc 188,642
1,139 Wolseley 6,655
38,207,270
UNITED STATES - 33.0%
3,100 20th Century Industries California 48,825
22,800 3Com Corp 889,200
23,000 Abbott Laboratories 891,250
11,300 AES Corp 209,050
11,900 Aetna Life and Casualty 812,175
9,600 Aflac Inc 392,400
1,500 Alco Standard Corp 120,750
17,400 Allegheny Power System 424,125
1,500 Allmerica Property & Casualty 36,188
17,900 Allstate Corp 606,363
2,700 Alltel Corp 76,275
3,900 Ambac Corp 164,775
9,300 Amdahl 84,863
18,500 American Electric Power 631,313
19,000 American General Corp 669,750
19,800 American Home Products 1,524,600
7,800 Ameritech Corp 399,750
30,800 Amgen Inc 1,474,550
11,600 Amoco Corp 739,500
25,600 Anheuser Busch Inc 1,462,400
8,600 Aon Corp 335,400
18,600 Apple Computer Inc 799,800
31,500 Archer Daniels Midland 523,688
11,900 Ashland Inc 389,725
600 Atlanta Gas Light 22,125
2,300 Atlantic Richfield Co 250,988
22,300 AT&T Corp 1,259,950
1,500 Automatic Data Processing Inc 97,500
4,500 Avery Dennison Corp 184,500
14,000 Baltimore Gas & Elec Co 367,500
2,000 Bandag Inc 118,750
10,100 Bear Stearns Co 208,313
6,200 Bell Atlantic Corp 370,450
7,000 Bellsouth Corp 481,250
6,400 Beneficial Corp 314,400
1,500 BHC Communications Inc Class A 136,125
13,600 Black & Decker Corp 440,300
63,000 Boeing Co 4,016,250
45,900 Bristol-Myers Squibb Co 3,149,888
2,800 Brooklyn Union 70,350
6,200 Brown Forman Corp Class B 229,400
2,500 Cabot Corp 120,313
7,500 Capital Cities 862,500
4,300 Carolina Power & Light 131,688
8,100 Centerior Energy Corp 87,075
17,500 Central & South West Corp 428,750
3,600 Chase Manhattan Corp 207,000
9,500 Chemical Banking Corp 553,375
8,000 Chevron Corp 387,000
2,000 Chubb Corp 182,500
6,400 Cigna Corp 619,200
17,900 Cinergy Corp 458,688
1,900 Cipsco 62,463
5,500 Circuit City Stores Inc 189,750
4,800 Cisco Systems Inc 315,000
27,500 Citicorp 1,825,313
3,200 Clorox Co 216,400
7,100 CMS Energy Corp 174,838
200 CNA Financial Corp 19,175
70,500 Coca Cola Co 4,529,625
900 Columbia Gas Systems 31,725
24,800 Conagra Inc 939,300
13,600 Consolidated Edison Co of New York 384,200
3,000 Consolidated Papers Inc 181,500
8,600 CPC International 540,725
15,000 CPL Inc 333,750
5,200 Danaher Corp 171,600
4,700 Dean Foods Co 124,550
23,500 Dean Witter Discover & Co 1,198,500
15,700 Detroit Edison Co 480,813
600 Digital Equipment Corp 25,050
2,400 Dollar General 63,000
10,000 Dominion Resources Inc 361,250
4,600 Dover Corp 366,850
5,800 DQE 138,475
15,100 Duke Power Co 613,438
6,800 Dun & Bradstreet Corp 393,550
30,100 Eastman Kodak 1,734,513
6,300 Edwards AG Inc 153,563
6,700 EGG Inc 127,300
1,700 El Paso Natural Gas Co 47,813
16,500 Entergy Corp 396,000
30,100 Exxon Corp 2,069,375
4,700 F M C Corp 361,900
900 First American Bank Corp 39,825
3,000 First Chicago Corp 190,125
2,300 Fleming Co 66,988
7,600 Florida Progress 230,850
7,400 FPL Group 287,675
1,900 Frontier Corp 52,963
1,400 Fruit of The Loom Class A 32,900
4,900 Gannett Co 262,150
900 Geico Corp 61,425
12,200 General Mills Inc 629,825
9,300 General Public Utilities 266,213
1,500 Glatfelter (PH) Co 33,750
13,600 GTE Corp 498,100
2,300 Harnischfeger Industries Inc 84,525
1,000 Hawaiian Electric Industries 36,125
22,500 Heinz (HJ) Co 953,438
1,800 Hershey Foods Corp 107,775
45,600 Hewlett Packard Co 3,648,000
3,700 Hormel (Geo A) & Co 88,800
12,700 Household International Inc 712,788
2,000 Houston Industries Inc 84,750
1,945 Hubbell Inc Class B 114,026
4,000 IBP Inc 197,000
3,200 Idaho Power 84,400
1,000 IES Industries 25,250
5,700 Illinova Corp 143,213
53,600 International Business Machines Corp 5,540,900
6,700 International Flavors & Fragrances 320,763
1,500 Ipalco Enterprises 51,938
1,800 Jefferson Pilot Corp 113,175
21,600 Johnson & Johnson 1,490,400
5,300 Kansas City Power & Light Co 118,588
11,800 Kellogg Co 796,500
500 Kingworld Productions 19,000
2,400 Kroger Co 78,300
1,200 Ku Energy 32,700
900 LG&E Energy Corp 34,875
32,500 Lilly (Eli) and Co 2,660,938
2,600 Liz Claiborne 59,150
23,823 Lockheed Martin Corp 1,450,225
1,100 Loctite Corp 52,800
3,600 Loews Corp 472,950
19,400 LSI Logic Corp 955,450
3,600 Lyondell Petrochemical 99,000
12,400 Manpower Inc 356,500
400 Marsh & McLennan Cos Inc 32,950
2,300 MBIA Inc 156,400
2,100 Mc Graw Hill Inc 165,375
5,100 MCN Corp 94,988
17,400 Medtronic Inc 1,642,125
13,400 Melville Corp 447,225
42,700 Merck & Co 2,129,663
1,100 MGIC Investment Corp 61,600
40,600 Micron Tech 3,121,125
18,800 Microsoft Corp 1,739,000
3,500 Mid American Resource Inc 49,875
5,400 Minnesota Mining & Manufacturing 294,975
400 Minnesota Power and Light Co 10,750
8,900 Mobil Corp 847,725
5,200 Montana Power Co 114,400
12,600 Morgan Stanley Group Inc 1,094,625
300 Murphy Oil Corp 12,150
6,150 Mylan Laboratories 140,681
1,300 National Fuel Gas Co 36,563
2,900 Natl Service Industries 84,100
2,800 Nevada Power 57,050
3,500 New England Elec Systems 122,500
2,200 New York State Electric & Gas Corp 53,075
5,400 Newell Co 135,000
3,200 Nicor Inc 82,000
4,000 Nike Inc Class B 370,500
4,600 Nipsco Industry 150,650
5,300 Northern States Power 225,913
18,700 Novell Inc 336,600
6,000 Nynex Corp 270,000
3,900 Occidental Petroleum Corp 84,825
1,300 Ohio Edison Co 28,113
4,200 Oklahoma Gas & Electric 148,575
4,900 Old Republic International Corp 135,363
3,000 Omni Group Inc 188,250
47,100 Pacific Corp 853,688
14,600 Pacific Enterprises 350,400
6,000 Pacific Telesis Group 170,250
8,200 Pall Corp Co 179,375
22,600 Panhandle Eastern Corp 565,000
4,050 Parker Hannifin Corp 160,481
100 Pennzoil Co 4,400
1,700 Peoples Energy Corp 46,325
43,800 Pfizer Inc 2,162,625
33,600 Philip Morris Cos Inc 2,507,400
7,100 Polaroid Corp 309,738
23,500 Potomac Electric Power Co 502,313
9,200 PP&L Resources 201,250
2,900 Premark International Inc 151,888
3,700 Provident Life & Accident Insurance Co of America Class B 96,663
5,800 Providian Corp 222,575
9,300 Public Service of Colorado 301,088
4,400 Puget Sound Power & Light 95,150
27,800 Raytheon Co 2,248,325
7,100 Readers Digest Class A (Non-Voting) 328,375
5,300 Reebok International Ltd 188,150
2,700 Rhone Poulenc Rorer Inc 119,475
17,400 Rite Aid Corp 487,200
1,800 Rockwell International Corp 80,550
1,900 SAFECO Corp 122,788
900 San Diego Gas & Electric 19,575
28,200 Sara Lee Corp 782,550
8,500 SBC Communications Inc 430,313
4,800 Scana Corp 111,600
3,400 SCE Corp 56,525
14,800 Silicon Graphics Inc 625,300
69,300 Southern Co 1,463,963
2,000 Southwestern Public Service 60,000
4,900 Sprint Corp 173,950
12,800 St Paul Cos 694,400
4,400 Student Loan Marketing 238,150
13,200 Sun Microsystems Inc 763,950
2,000 Supervalu Inc 59,250
1,100 Tambrands Inc 49,363
23,200 Tandem Computers Inc 284,200
11,400 Teco Energy Inc 246,525
21,500 Tenet Healthcare Corp 341,313
6,900 Tenneco Inc 334,650
4,100 Texaco Inc 265,475
3,100 Textron Inc 212,350
1,000 Thomas & Betts Corp 67,500
9,200 Torchmark Corp 368,000
5,500 Transamerica Corp 374,000
400 Transatlantic Hldg Inc 28,000
14,100 Travelers (The) 676,800
2,300 Tyson Foods Inc Class A 59,225
1,500 UGI Corp 32,063
5,900 Union Electric 210,188
3,400 Universal Foods Corp 107,950
20,200 Upjohn Co 855,975
6,700 US West Inc 291,450
2,200 Utilicorp United Inc 59,675
6,200 V F Corporation 339,450
7,800 Vishay Intertechnology 315,900
1,200 Vulcan Materials 63,150
16,400 Walgreen Co 401,800
1,700 Warner Lambert 153,638
1,000 Washington Gas Light Co 19,125
6,400 Washington Water Power 99,200
1,200 Weis Markets 33,900
5,600 Wellpoint Health Networks Inc Class A 166,600
3,700 Western Resources 111,925
10,500 Whitman Corp 211,313
10,700 Williams Comp Inc 391,888
2,900 Winn-Dixie Stores Inc 172,550
13,600 Wisconsin Energy Corp 365,500
1,000 WPL Holdings Inc 28,500
500 WPS Resources Corp 14,438
2,800 York International Corp 124,600
112,149,064
TOTAL STOCK AND EQUIVALENTS (Cost $242,130,547) 266,730,482
Par Value U.S. GOVERNMENT - 6.3%
UNITED STATES - 6.3%
$ 2,700,000 U.S. Treasury Note, 6.88% due 10/31/96 (a) 2,732,484
13,500,000 U.S. Treasury Note, 6.88% due 2/28/97 (a) 13,700,391
5,000,000 U.S. Treasury Note, 5.88% due 7/31/97 (a) 5,000,781
21,433,656
TOTAL U.S. GOVERNMENT (Cost $21,387,102) 21,433,656
Principal Amount
of Contracts
(000's omitted) CALL OPTIONS PURCHASED - 1.0%
UNITED STATES - 1.0%
250,000 U.S. Treasury Bond, expires 12/04/95 strike $99 * 3,320,313
TOTAL CALL OPTIONS PURCHASED (Cost $3,222,656) 3,320,313
Par Value SHORT-TERM INVESTMENTS - 14.9%
UNITED STATES - 14.9%
$17,000,000 First National Bank of Chicago Time Deposit, 5.81% due 9/1/95 17,000,000
16,700,000 Morgan Guaranty Time Deposit, 5.75% due 9/1/95 16,700,000
17,000,000 Republic Bank of New York Time Depostit, 5.81% due 9/1/95 17,000,000
50,700,000
TOTAL SHORT-TERM INVESTMENTS (at cost) 50,700,000
TOTAL INVESTMENTS - 100.4%
(Cost $317,440,305) * * $ 342,184,451
Other Assets and Liabilities (net) - (0.4%) (1,487,134)
TOTAL NET ASSETS - 100.0% $ 340,697,317
NOTES TO THE SCHEDULE OF INVESTMENTS:
ADR American Depositary Receipt
(a) All or a portion of this security is held as collateral for open futures
contracts.
(b) Restricted security - This security is restricted as to resale. At August
31, 1995 restricted securities amounted to $415,747 or 0.1% of net assets.
(c) Security valued by management (Note 1).
* Non-income producing security.
** The aggregate identified cost for federal income tax purposes is
$317,440,305, resulting in gross unrealized appreciation and depreciation
of $30,501,029 and $5,756,883, respectively, and net unrealized
appreciation of $24,744,146.
|
At August 31, 1995, industry sector diversification of the Fund's equity investments was as follows:
Percentage of
Industry Sector Net Assets
Health Care 6.6 %
Banking 6.4
Utilities 6.1
Food and Beverage 6.0
Services 5.9
Oil and Gas 5.2
Computers and Office Equipment 4.0
Consumer Goods 3.9
Transportation 3.5
Retail Trade 3.3
Aerospace 2.9
Technology 2.7
Construction 2.7
Insurance 2.7
Telecommunications 2.4
Real Estate 2.1
Chemicals 1.6
Financial Services 1.6
Miscellaneous 1.5
Pharmaceuticals 1.4
Metals and Mining 1.4
Automotive 0.9
Machinery 0.9
Manufacturing 0.9
Paper and Allied Products 0.7
Textiles 0.3
Primary Processing 0.4
Electric 0.2
78.2 %
|
See accompanying notes to the financial statements.
GMO GLOBAL HEDGED EQUITY FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - AUGUST 31, 1995 (UNAUDITED)
ASSETS:
Investments, at value (cost $266,740,305) (Note 1) $ 291,484,451
Short-term investments, at cost (Note 1) 50,700,000
Foreign currency, at value (cost $205,728) (Note 1) 186,219
Cash 57,864
Receivable for investments sold 13,599
Dividends and interest receivable 623,918
Foreign withholding taxes receivable 147,615
Receivable for expenses waived or borne by Manager (Note 2) 15,779
Total assets 343,229,445
LIABILITIES:
Payable for investments purchased 18,331
Payable for open swap contracts (Notes 1 and 6 ) 1,951,443
Payable for daily variation margin on open futures contracts (Note 1) 327,025
Payable to affiliate for management fee (Note 2) 180,602
Accrued expenses 54,727
Total liabilities 2,532,128
NET ASSETS (equivalent to $10.50 per share based
on 32,443,087 shares outstanding, unlimited shares authorized) $ 340,697,317
NET ASSETS CONSIST OF:
Paid-in capital $ 328,881,940
Accumulated undistributed net investment income 4,329,441
Accumulated undistributed net realized loss (9,937,977)
Net unrealized appreciation 17,423,913
NET ASSETS $ 340,697,317
|
See accompanying notes to the financial statements.
GMO GLOBAL HEDGED EQUITY FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - SIX MONTHS ENDED AUGUST 31, 1995 (UNAUDITED)
INVESTMENT INCOME:
Dividends (net of foreign tax expense of $298,539) $ 3,668,784
Interest 1,765,857
Total income 5,434,641
EXPENSES:
Management fee (Note 2) 918,184
Custodian fees 170,518
Audit fees 27,552
Registration fees 19,540
Transfer agent fees 13,800
Legal fees 9,474
Insurance 1,190
Trustee fee (Note 2) 646
Miscellaneous 368
Total expenses 1,161,272
Less: expenses waived or borne by Manager (Note 2) (72,570)
Net expenses 1,088,702
Net investment income 4,345,939
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments 4,036,461
Closed futures contracts (9,399,239)
Closed swap contracts (4,618,329)
Foreign currency and foreign currency related
transactions (67,556)
Net realized loss (10,048,663)
Change in net unrealized appreciation (depreciation) on:
Investments 22,164,374
Open futures contracts (2,131,450)
Open swap contracts (2,877,763)
Foreign currency and foreign currency related
transactions (34,990)
Net unrealized gain 17,120,171
Net realized and unrealized gain 7,071,508
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 11,417,447
|
See accompanying notes to the financial statements.
GMO GLOBAL HEDGED EQUITY FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED
AUGUST 31, 1995 PERIOD ENDED
(UNAUDITED) FEBRUARY 28, 1995*
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 4,345,939 $ 1,420,553
Net realized gain (loss) (10,048,663) 130,219
Change in net unrealized appreciation (depreciation) 17,120,171 303,742
Net increase in net assets resulting from operations 11,417,447 1,854,514
Distributions to shareholders from:
Net investment income (761,607) (694,977)
Fund share transactions: (Note 5)
Proceeds from sale of shares 124,685,708 214,025,378
Net asset value of shares issued to shareholders
in payment of distributions declared 454,942 153,241
Cost of shares repurchased (9,737,294) (700,035)
Net increase in net assets resulting
from Fund share transactions 115,403,356 213,478,584
Total increase in net assets 126,059,196 214,638,121
Net assets:
Beginning of period 214,638,121 -
End of period (including accumulated undistributed
net income of $4,329,441 and $745,109, respectively) $ 340,697,317 $ 214,638,121
* Period from July 29, 1994 (commencement of operations) to February 28, 1995.
|
See accompanying notes to the financial statements.
GMO GLOBAL HEDGED EQUITY FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
SIX MONTHS ENDED PERIOD FROM JULY 29, 1994
AUGUST 31, 1995 (COMMENCEMENT OF OPERATIONS)
(UNAUDITED) TO FEBRUARY 28, 1995
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.12 $ 10.00
Income from investment operations:
Net investment income (a) 0.12 0.11
Net realized and unrealized gain
on investments 0.29 0.08
Total from investment operations 0.41 0.19
Less distributions to shareholders :
From net investment income (0.03) (0.07)
NET ASSET VALUE, END OF PERIOD $ 10.50 $ 10.12
TOTAL RETURN (B) 4.01% 1.92%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $340,697 $214,638
Net expenses to average
daily net assets (a) 0.77%* 0.92%*
Net investment income to average
daily net assets (a) 3.07%* 2.85%*
Portfolio turnover rate 67% 194%
* Annualized.
(a) Net of fees and expenses voluntarily waived or borne by the Manager of the following
per share amounts: $ 0.002 $ 0.006
(b) Calculation excludes subscription fees. The total
returns would have been lower had certain expenses
not been waived during the period shown.
|
See accompanying notes to the financial statements.
GMO GLOBAL HEDGED EQUITY FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
AUGUST 31, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO Global Hedged Equity Fund (the "Fund"), which commenced operations on July 29, 1994, is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, non-diversified management investment company. The Trust was established as a Massachusetts Business Trust under the laws of the Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees to create an unlimited number of series ("Funds"), each of which issues a separate series of shares. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market
quotations are available are valued at the last quoted sale price on each
business day, or if there is no such reported sale, at the most recent quoted
bid price. Unlisted securities for which market quotations are readily available
are valued at the most recent quoted bid price. Securities which are primarily
traded on foreign exchanges are generally valued at the preceding closing values
of such securities on their respective exchanges, and those values are then
translated into U.S. dollars at the current exchange rate. Short-term
investments with a remaining maturity of sixty days or less are valued at
amortized cost which approximates market value. Other assets and securities for
which no quotations are readily available are valued at fair value as determined
in good faith by the Trustees.
FOREIGN CURRENCY TRANSLATION
The accounting records of the Fund are maintained in U.S. dollars. The
market values of foreign securities, currency holdings, other assets and
liabilities are translated to U.S. dollars based on the prevailing exchange
rates each business day. Income and expenses denominated in foreign currencies
are translated at prevailing exchange rates when accrued or incurred. The Fund
does not isolate realized and unrealized gains and losses attributable to
changes in exchange rates from gains and losses that arise from changes in the
market value of investments. Such fluctuations are included with net realized
and unrealized gain or loss on investments. Net realized gains and losses on
foreign currency transactions represent net exchange gains and losses on
disposition of foreign currencies and the difference between the amount of
investment income and foreign withholding taxes recorded on the Fund's books and
the U.S. dollar equivalent amounts actually received or paid.
FUTURES CONTRACTS
The Fund may purchase index futures contracts. Stock index futures
contracts represent commitments for future delivery of cash based upon the level
of a specified index of equity securities at a given date. The Fund may use
futures contracts to manage its exposure to the stock and currency markets.
Buying futures tends to increase the Fund's exposure to the underlying
instrument. Selling futures tends to decrease the Fund's exposure to the
underlying instrument or hedge other Fund instruments. Upon purchase of a
futures contract, the Fund is required to deposit with its custodian, in a
segregated account in the name of the futures broker, an amount of cash or U.S.
government obligations in accordance with the initial margin requirements of the
broker. Futures contracts are marked to market daily and an appropriate payable
or receivable for the change in value ("variation margin") is recorded by the
Fund. The payable or receivable is liquidated on the following business day.
Gains or losses are recognized but not considered realized until the contracts
expire or are closed. Futures contracts involve, to varying degrees, risk of
loss in excess of the variation margin disclosed in the Statement of Assets and
Liabilities. Losses may arise from the changes in the value of the underlying
instrument, if there is an illiquid secondary market for the contracts or if
counterparties do not perform under the contract terms. Futures contracts are
valued at the settlement price established each day by the board of trade or
exchange on which they are traded. See Note 6 for all open futures contracts
held as of August 31, 1995.
FORWARD CURRENCY CONTRACTS
The Fund may enter into forward currency contracts in connection with
settling planned purchases or sales of securities or to hedge the currency
exposure associated with some or all of the Fund's portfolio securities. A
forward currency contract is an agreement between two parties to buy and sell a
currency at a set price on a future date. The market value of a forward currency
contract fluctuates with changes in forward currency exchange rates. Forward
currency contracts are marked to market daily and the change in value is
recorded by the Fund as an unrealized gain or loss. When a forward currency
contract is extinguished, through delivery or offset by entering into another
forward currency contract, the Fund records a realized gain or loss equal to the
difference between the value of the contract at the time it was opened and the
value of the contract at the time it was extinguished or offset. These contracts
may involve market risk in excess of the unrealized gain or loss reflected in
the Fund's Statement of Assets and Liabilities. In addition, the Fund could be
exposed to risk if the counterparties are unable to meet the terms of the
contracts or if the value of the currency changes unfavorably to the U.S.
dollar. At August 31, 1995 there were no outstanding forward currency contracts.
OPTIONS
The Fund may write call and put options on securities it owns or in
which it may invest. When the Fund writes a call or put option, an amount equal
to the premium received is recorded as a liability and subsequently marked to
market to reflect the current value of the option written. Premiums received
from writing options which expire are treated as realized gains. Premiums
received from writing options which are exercised or closed are offset against
the proceeds or amounts paid on the transaction to determine the realized gain
or loss. If a written put option is exercised, the premium reduces the cost
basis of the securities purchased by the Fund. The Fund as a writer of an option
has no control over whether the underlying securities may be sold (call) or
purchased (put) and as a result bears the market risk of an unfavorable change
in the price of the security underlying the written option. There is the risk
the Fund may not be able to enter into a closing transaction because of an
illiquid market.
The Fund may also purchase put and call options. The Fund pays a premium which is included in the Fund's Statement of Assets and Liabilities as an investment and subsequently marked to market to reflect the current value of the option. The risk associated with purchasing put and call options is limited to the premium paid.
SWAP AGREEMENTS
The Fund may invest in swap agreements. A swap is an agreement to
exchange the return generated by one instrument for the return generated by
another instrument. The Fund entered into equity swap agreements which involve a
commitment by one party in the agreement to pay interest in exchange for a
market linked return based on a notional amount. To the extent that the total
return of the security or index underlying the transaction exceeds or falls
short of the offsetting interest rate obligation, the Fund will receive a
payment from or make a payment to the counterparty, respectively. Equity swaps
are marked to market daily based upon quotations from market makers and the
change, if any, is recorded as unrealized gain or loss in the Statement of
Operations. Payments received or made at the end of the measurement period are
recorded as realized gain or loss in the Statement of Operations. Entering into
these agreements involves, to varying degrees, elements of credit and market
risk in excess of the amounts recognized on the Statement of Assets and
Liabilities. Such risks involve the possibility that there is no liquid market
for these agreements, that the counterparty to the agreements may default on its
obligation to perform or that there may be unfavorable changes in the price of
the security or index underlying these transactions. See Note 6 for a summary of
all open swap agreements as of August 31, 1995.
TAXES
The Fund intends to qualify each year as a regulated investment company
under Subchapter M of the Internal Revenue Code of 1986, as amended (the
"Code"). It is the policy of the Fund to distribute all of its taxable income,
including any net realized gain on investments not offset by loss carryovers, to
shareholders within the prescribed time periods. Therefore, no provision for
federal income or excise tax is necessary. Taxes on foreign interest and
dividend income have been withheld in accordance with the applicable country's
tax treaty with the United States. Dividends received by shareholders of the
Fund which are derived from foreign source income and foreign taxes paid by the
Fund are to be treated, to the extent allowable under the Code, as if paid and
received by the shareholders of the Fund.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment
income and net realized short-term and long-term capital gains, if any, after
giving effect to any available capital loss carryover for federal income tax
purposes. The Fund's present policy is to declare and pay distributions from net
investment income semi-annually, and net realized short-term and long-term
capital gains at least annually. All distributions will be paid in shares of the
Fund, at net asset value, unless the shareholder elects to receive cash
distributions.
Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences are primarily due to differing treatments for foreign currency transactions.
Distributions in excess of tax basis earnings and profits will be reported in the Fund's financial statements as a return of capital. Furthermore, differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary over-distributions for financial statement purposes are classified as distributions in excess of net investment income or accumulated net realized gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Dividend income is
recorded on the ex-dividend date, or when the Fund is informed of the
ex-dividend date. Interest income is recorded on the accrual basis. In
determining the net gain or loss on securities sold, the cost of securities is
determined on the identified cost basis.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an
individual Fund. Expenses which are not readily identifiable to a specific Fund
are allocated in such manner as deemed equitable by the Trustees, taking into
consideration, among other things, the nature and type of expense and the
relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is .60% of the amount
invested. In the case of cash redemptions, the premium is 1.40% of the amount
redeemed. The Manager may waive such premium to the extent that a transaction
results in minimal brokerage and transaction costs to the Fund. All purchase and
redemption premiums are paid to and recorded as paid-in capital by the Fund. For
the six months ended August 31, 1995, the Fund received $529,474 in purchase
premiums and no redemption premiums. There is no premium for reinvested
distributions or in-kind transactions.
INVESTMENT RISK
There are certain additional risks involved in investing in foreign
securities that are not inherent in investments in domestic securities. These
risks may involve adverse political and economic developments and the possible
imposition of currency exchange blockages or other foreign governmental laws or
restrictions. In addition, the securities of some foreign companies and
securities markets are less liquid and at times more volatile than securities of
comparable U.S. companies and U.S. securities markets.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the "Manager"), for management and investment advisory services is paid monthly at the annual rate of 0.65% of average daily net assets. The Manager has agreed to waive a portion of its fee until further notice to the extent that the Fund's annual expenses (including management but excluding custody fees, brokerage commissions and transfer taxes) exceed 0.65% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee during the six months ended August 31, 1995, was $646. No remuneration is paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
For the six months ended August 31, 1995, purchases and sales of investments, other than short-term obligations, were as follows:
Purchases Sales
U.S. Government securities $116,878,229 $117,051,281
Investments (non-U.S. Government securities) 94,882,240 38,077,055
|
4. PRINCIPAL SHAREHOLDER
At August 31, 1995, 28% of the outstanding shares of the Fund were held by one shareholder.
5. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional shares of beneficial interest (without par value). Transactions in Fund shares were as follows:
Period from July 29, 1994
Six Months Ended (Commencement of Operations)
August 31, 1995 to February 28, 1995
(Unaudited)
Shares sold 12,127,111 21,270,733
Shares issued to shareholders in reinvestment
of distributions 43,913 15,401
Shares repurchased (944,829) (69,242)
Net increase 11,226,195 21,216,892
Fund shares:
Beginning of period 21,216,892 ___
End of period 32,443,087 21,216,892
|
6. FINANCIAL INSTRUMENTS
A summary of outstanding financial instruments at August 31, 1995 is as
follows:
FUTURES CONTRACTS
Net Unrealized
Number of Contract Appreciation
Contracts Type Expiration Date Value (Depreciation)
Buys
4 All Ords September 1995 $ 162,325 $ 2,200
3 CAC September 1995 224,709 (9,245)
3 DAX September 1995 457,400 (5,168)
6 FT-SE 100 September 1995 807,004 (13,875)
39 IBEX September 1995 107,095 (2,710)
6 TOPIX September 1995 875,992 6,287
2 TOPIX December 1995 292,802 5,042
(17,469)
Sales
45 Hang Seng September 1995 $ 2,655,180 $ (26,219)
401 S&P 500 September 1995 91,484,513 (5,297,288)
$ (5,323,507)
|
At August 31, 1995, the Fund had cash and/or securities to cover any margin requirements on open futures contracts.
SWAP AGREEMENTS
UNREALIZED
NOTIONAL EXPIRATION APPRECIATION
AMOUNT DATE DESCRIPTION (DEPRECIATION)
7,833,465 9/1/95 Agreement with Morgan Stanley & Co. International $ (611,281)
Limited dated 9/1/94 to pay (receive) the notional
amount multiplied by the return on the EASEA index
plus 5.93% of the EASEA dividend yield and to receive
6 month LIBOR plus 0.10%. (a)
8,000,000 9/29/95 Agreement with Union Bank of Switzerland dated 9/30/94 (415,722)
to pay (receive) the notional amount multiplied by the
return on the EAFE Japan index multiplied by a stated
Japan weight (which is a percentage of the EAFE Japan
Index as a proportion of the market capitalization
weighted EAFE Index currently at 23%) plus the return
on the EASEA index multiplied by 1 minus the stated
Japan weighting and to receive LIBOR plus 0.10%.
13,079,036 10/31/95 Agreement with Morgan Stanley & Co. International (309,402)
Limited dated 10/28/94 to pay (receive) the notional
amount multiplied by the return on the EASEA index
plus 5.93% of the EASEA dividend yield and to receive 6
month LIBOR plus 0.05%. (a)
36,043,614 1/31/96 Agreement with Morgan Stanley & Co. International 1,487,303
Limited dated 1/31/95 to pay (receive) the notional
amount multiplied by the return on the EASEA index plus
5.93% of the EASEA dividend yield and to receive 6
month LIBOR minus 0.05%. (a)
50,000,000 1/31/96 Agreement with Swiss Bank Corporation dated 1/31/95 to (2,337,112)
pay (receive) the notional amount multiplied by the
return on the EAFE Index and to receive LIBOR plus 0.05%.
7,000,000 5/15/96 Agreement with Morgan Stanley & Co. International (127,994)
Limited dated 5/15/95 to pay (receive) the notional
amount multiplied by the return on the EASEA index plus
9.0927% of the EASEA dividend yield and to receive 6
month LIBOR minus 0.4293%. (a)
6,000,000 5/31/96 Agreement with Morgan Stanley & Co. International 76,753
Limited dated 5/15/95 to pay (receive) the notional
amount multiplied by the return on the EAFE index plus
8.352% of the EAFE dividend yield and to receive 6
month LIBOR minus 0.1885%. (a)
13,000,000 5/31/96 Agreement with Swiss Bank Corporation dated 5/15/95 to 175,013
pay (receive) the notional amount multiplied by the
return on the EAFE Index and to receive LIBOR.
10,000,000 5/31/96 Agreement with Swiss Bank Corporation dated 5/31/95 to 110,999
pay (receive) the notional amount multiplied by the
return on the EAFE Index and to receive LIBOR.
Net unrealized depreciation $ (1,951,443)
|
(a) Notional amount is increased (decreased) by each periodic payment received or made.
GMO DOMESTIC BOND FUND
(A SERIES OF GMO TRUST)
SEMI-ANNUAL REPORT
AUGUST 31, 1995
GMO DOMESTIC BOND FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
AUGUST 31, 1995 (UNAUDITED)
PAR VALUE DESCRIPTION VALUE ($)
DEBT OBLIGATIONS - 96.5%
ASSET BACKED SECURITIES - 52.2%
$ 10,000,000 Banc One Credit Card Master Trust 94-B, 7.55% due 12/15/99 10,283,984
2,000,000 Carco Auto Loan 92-A Class A, Variable Rate, 6.29% due 9/15/99 2,000,000
10,000,000 Carco Auto Loan 94-2 Class A, 7.88% due 7/15/99 10,296,094
4,500,000 Dilmun Capital Corp, Variable Rate, 7.00% due 11/15/03 4,511,250
6,400,000 Discover Card Master Trust I 94-2 Class A, 6.22% due 10/16/04 6,445,498
3,000,000 EMC Mortgage Corp Trust 93-L2 Class 2, Variable Rate, 7.18% due 2/25/04 3,001,875
5,000,000 European Sovereign Investments, Variable Rate, 6.21% due 1/20/99 5,007,813
2,500,000 Federal National Mortgage Association, 4.62% due 2/25/98 2,421,875
15,000,000 Federal National Mortgage Association, 5.19% due 7/20/98 14,593,935
5,000,000 First USA Credit Card Master Trust 94-4 Class A, Variable Rate, 6.25% due 8/15/03 5,043,295
3,500,000 Fremont SBL Master Trust 93-A Class A, Variable Rate, 6.35% due 3/15/98 3,501,094
10,000,000 Keycorp Student Loan Trust 94-B Certificates, Variable Rate, 6.67% due 11/25/21 10,018,750
10,000,000 Keycorp Student Loan Trust 95-A Class B, Variable Rate, 6.69% due 10/27/21 10,031,250
12,400,000 MBNA Master Credit Card Trust 94-C Class A, Variable Rate, 6.13% due 03/15/04 12,423,250
6,000,000 Navistar Financial Dealer Note Master Trust 95-1 Class A,Variable Rate, 6.24% due 8/25/07 5,996,248
6,000,000 Oakwood Mortgage Investors Inc 95-A Class A4, Variable Rate, 7.70% due 9/15/20 5,925,000
3,000,000 Potomac Mills Finance Corp, Variable Rate, 6.59% due 10/20/04 2,998,125
5,000,000 Premier Auto Trust 95-1 Certificates, 8.10% due 03/04/01 5,226,953
4,689,584 Resolution Trust Corp 94-C1 Class A3, Variable Rate, 6.55% due 6/25/26 4,689,584
10,535,000 Signet Credit Card Master Trust 94-4 Class A, 6.80% due 12/15/00 10,653,519
2,637,000 SMS Student Loan Trust 94-B Certificates, Variable Rate, 6.69% due 10/25/23 2,646,889
4,932,000 SMS Student Loan Trust 95-A Certificates, Variable Rate, 6.59% due 4/25/25 4,932,000
5,888,000 Society Student Loan Trust 93-A Class B, Variable Rate, 6.63% due 7/25/03 5,935,840
4,948,017 UCFC Home Equity Loan 95-B2 Class A8, Variable Rate, 6.39% due 10/10/26 4,941,832
153,525,953
CORPORATE OBLIGATION - 3.3%
8,855,000 New England Telephone & Telegraph, 7.88% due 11/15/29 9,609,765
STRUCTURED NOTES - 16.6%
3,000,000 Federal Home Loan Bank, 4.90% due 2/23/98 2,930,379
3,550,000 Federal Home Loan Bank, Variable Rate, 3.04% due 7/28/98 (d) 3,239,375
10,000,000 Federal National Mortgage Association, 5.00% Step up, due 1/19/99 9,724,160
14,000,000 Sallie Mae, Variable Rate, 0.00% due 1/24/96 (c) 13,737,500
20,000,000 Sallie Mae, Variable Rate, 4.00% due 3/23/98 (e) 18,975,000
48,606,414
U.S. GOVERNMENT - 24.4%
14,000,000 U.S. Treasury Bond 6.25% due 8/15/23 (a) 13,125,000
15,000,000 U.S. Treasury Note 6.25% due 8/31/96 (a) (b) 15,070,290
10,000,000 U.S. Treasury Note 6.38% due 8/15/02 (a) 10,087,500
22,000,000 U.S. Treasury Note 6.88% due 8/31/99 (a) 22,618,750
10,000,000 U.S. Treasury Note 7.25% due 5/15/04 (a) 10,600,000
71,501,540
TOTAL DEBT OBLIGATIONS (Cost $278,176,237) 283,243,672
SHORT-TERM INVESTMENTS - 21.2%
REPURCHASE AGREEMENT - 3.6%
10,648,829 Salomon Brothers Repurchase Agreement, dated
8/31/95, due 9/1/95, with a maturity value of
$10,650,396 and an effective yield of 5.30%,
collateralized by U.S. Treasury Obligations with
rates ranging from 6.25% to 6.50%, with maturity
dates ranging from 4/30/97 to 8/15/23 and with an
aggregate market value of $10,878,828. 10,648,829
CASH EQUIVALENTS - 17.6%
13,406,743 Bank of Boston Time Deposit, 5.95% due 9/1/95 13,406,743
4,616,994 Dreyfus Cash Management Money Market Fund Plus, A Shares 4,616,994
4,149,807 Fleet Bank of Massachusetts Time Deposit, 5.95% due 9/1/95 4,149,807
11,515,149 Lehman Prime Value Money Market Fund 11,515,149
4,149,807 National Westminster Time Deposit, 5.95% due 9/1/95 4,149,807
13,500,000 Prudential Securities Group, Inc. Master Note, 5.95% due 9/1/95 13,500,000
51,338,500
TOTAL SHORT-TERM INVESTMENTS (cost $61,987,329) 61,987,329
TOTAL INVESTMENTS - 117.7%
(Cost $340,163,566) * * 345,231,001
Other Assets and Liabilities (net) - (17.7%) (51,804,587)
TOTAL NET ASSETS - 100.0% $ 293,426,414
NOTES TO THE SCHEDULE OF INVESTMENTS:
(a) All or a portion of this security is on loan.
(b) A portion of this security is held as collateral for open futures contracts.
(c) Interest rate is linked to changes in the daily 3 month LIBOR rate.
(d) Interest rate is linked to changes in
the daily 3 month LIBOR rate, and the
Constant Maturity Treasury index.
(e) Interest rate is linked to changes in the 5 year German Mark swap rate.
Variable rates - The rates shown on variable rate
notes are the current interest rates at August
31, 1995, which are subject to change based on
the terms of the security.
** The aggregate identified cost for federal
income tax purposes is $340,163,566, resulting
in gross unrealized appreciation and
depreciation of $5,231,627 and $164,192,
respectively, and net unrealized appreciation
of $5,067,435.
See accompanying notes to the financial statements.
|
GMO DOMESTIC BOND FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - AUGUST 31, 1995 (UNAUDITED)
ASSETS:
Investments, at value (cost $278,176,237) (Note 1) $ 283,243,672
Short-term investments, at cost (Note 1) 61,987,329
Receivable from brokers for open futures contracts (Note 1) 393,301
Interest receivable 1,638,683
Receivable for expenses waived or borne by Manager (Note 2) 12,400
Total assets 347,275,385
LIABILITIES:
Payable for investments purchased 2,424,169
Payable upon return of securities loaned (Note 1) 51,335,104
Payable to affiliate for management fee (Note 2) 59,208
Accrued expenses 30,490
Total liabilities 53,848,971
NET ASSETS (equivalent to $10.63 per share based
on 27,611,985 shares outstanding, unlimited shares authorized) $ 293,426,414
NET ASSETS CONSIST OF:
Paid-in capital $ 278,270,504
Accumulated undistributed net investment income 3,284,083
Accumulated undistributed net realized gain 6,034,745
Net unrealized appreciation 5,837,082
NET ASSETS $ 293,426,414
|
See accompanying notes to the financial statements.
GMO DOMESTIC BOND FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - SIX MONTHS ENDED AUGUST 31, 1995 (UNAUDITED)
INVESTMENT INCOME:
Interest (including securities lending income of $23,621) $ 8,795,627
EXPENSES:
Management fee (Note 2) 318,583
Custodian and transfer agent fees 34,333
Audit fees 18,551
Registration fees 10,849
Legal fees 6,521
Insurance 914
Trustee fee (Note 2) 457
Miscellaneous 283
Total expenses 390,491
Less: expenses waived or borne by Manager (Note 2) (71,908)
Net expenses 318,583
Net investment income 8,477,044
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments 1,774,429
Closed futures contracts 5,551,996
Net realized gain 7,326,425
Change in net unrealized appreciation (depreciation) on:
Investments 3,810,078
Open futures contracts (526,360)
Net unrealized gain 3,283,718
Net realized and unrealized gain 10,610,143
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 19,087,187
|
See accompanying notes to the financial statements.
GMO DOMESTIC BOND FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED
(UNAUDITED) FEBRUARY 28, 1995
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 8,477,044 $ 2,663,941
Net realized gain (loss) 7,326,425 (103,743)
Change in net unrealized appreciation (depreciation) 3,283,718 2,553,364
Net increase in net assets resulting from operations 19,087,187 5,113,562
Distributions to shareholders from:
Net investment income (6,514,968) (1,341,934)
Net realized gains (1,187,937) -
(7,702,905) (1,341,934)
Fund share transactions: (Note 5)
Proceeds from sale of shares 72,331,347 210,727,193
Net asset value of shares issued to shareholders
in payment of distributions declared 6,677,113 957,879
Cost of shares repurchased (6,343,576) (6,079,452)
Net increase in net assets resulting
from Fund share transactions 72,664,884 205,605,620
Total increase in net assets 84,049,166 209,377,248
NET ASSETS:
Beginning of period 209,377,248 -
End of period (including accumulated undistributed
net investment income of $3,284,083 and
$1,322,007, respectively) $ 293,426,414 $ 209,377,248
|
See accompanying notes to the financial statements.
GMO DOMESTIC BOND FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
SIX MONTHS ENDED PERIOD FROM AUGUST 18, 1994
AUGUST 31, 1995 (COMMENCEMENT OF OPERATIONS)
(UNAUDITED) TO FEBRUARY 28, 1995
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.13 $ 10.00
Income from investment operations:
Net investment income (a) 0.33 0.24
Net realized and unrealized gain 0.49 0.07
Total from investment operations 0.82 0.31
Less distributions to shareholders:
From net investment income (0.27) (0.18)
From net realized gains (0.05) -
Total distributions (0.32) (0.18)
NET ASSET VALUE, END OF PERIOD $ 10.63 $ 10.13
TOTAL RETURN (B) 8.15% 3.16%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 293,426 $ 209,377
Net expenses to average
daily net assets (a) 0.25%* 0.25%*
Net investment income to average
daily net assets (a) 6.65%* 6.96%*
Portfolio turnover rate 34% 65%
* Annualized
(a) Net of fees and expenses voluntarily waived or borne by the Manager of the following
per share amounts $ - $ 0.01
(b) The total returns would have been lower had certain
expenses not been waived during the period shown.
|
See accompanying notes to the financial statements.
GMO DOMESTIC BOND FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS
AUGUST 31, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO Domestic Bond Fund (the "Fund") is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, non-diversified management investment company. The Trust was established as a Massachusetts Business Trust under the laws of the Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees to create an unlimited number of series ("Funds"), each of which issues a separate series of shares. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market quotations are available are valued at the last quoted sale price on each business day, or if there is no such reported sale, at the most recent quoted bid price. Unlisted securities for which market quotations are readily available are valued at the most recent quoted bid price. Short-term investments with a remaining maturity of sixty days or less are valued at amortized cost which approximates market value. Other assets and securities for which no quotations are readily available are valued at fair value as determined in good faith by the Trustees.
FUTURES CONTRACTS
The Fund may use futures contracts to manage its exposure to the bond markets. Buying futures tends to increase the Fund's exposure to the underlying instrument. Selling futures tends to decrease the Fund's exposure to the underlying instruments or hedge other Fund instruments. Upon purchase of a futures contract, the Fund is required to deposit with its custodian, in a segregated account in the name of the futures broker, an amount of cash or U.S. government obligations in accordance with the initial margin requirements of the broker. Futures contracts are marked to market daily and an appropriate payable or receivable for the change in value ("variation margin") is recorded by the Fund. The payable or receivable is liquidated on the following business day. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Losses may arise from the changes in the value of the underlying instrument, if there is an illiquid secondary market for the contracts, or if counterparties do not perform under the contract terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. See Note 6 for all open futures contracts held as of August 31, 1995.
REPURCHASE AGREEMENTS
The Fund may enter into repurchase agreements with certain banks and broker/dealers whereby the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets remains sufficient to protect the Fund in the event of default by the seller. In connection with transactions in repurchase agreements, if the seller defaults, the value of the collateral declines or if the seller enters insolvency proceedings, realization of collateral by the Fund may be delayed or limited.
INDEXED SECURITIES
The Fund may also invest in indexed securities whose redemption values and/or coupons are linked to the prices of other securities, securities indicies, or other financial indicators. The Fund uses indexed securities to increase or decrease its exposure to different underlying instruments and to gain exposure to markets that may be difficult to invest in through conventional securities. Indexed securities may be more volatile than their underlying instruments, but any loss is limited to the amount of the original investment.
SECURITY LENDING
The Fund may lend its securities to certain member firms of the New York Stock Exchange. The loans are collateralized at all times with cash or securities with a market value at least equal to the market value of the securities on loan. As with other extensions of credit, the Fund may bear the risk of delay in recovery or even loss of rights in the collateral should the borrower of the securities fail financially. The Fund receives compensation for lending its securities. At August 31, 1995, the Fund loaned securities having a market value of $50,221,500, collateralized by cash in the amount of $51,338,500, which was invested in short-term instruments.
TAXES
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. It is the policy of the Fund to distribute all of its taxable income, including any net realized gain on investments not offset by loss carryovers, to shareholders within the prescribed time periods. Therefore, no provision for federal income or excise tax is necessary.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment income and net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryover for federal income tax purposes. The Fund's present policy is to declare and pay distributions from net investment income quarterly, and net realized short-term and long-term capital gains at least annually. All distributions will be paid in shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions.
Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. Distributions in excess of tax basis earnings and profits will be reported in the Fund's financial statements as a return of capital. Furthermore, differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary over-distributions for financial statement purposes are classified as distributions in excess of net investment income or accumulated net realized gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis. Premiums and market discounts are amortized and accreted.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an individual Fund. Expenses which are not readily identifiable to a specific Fund are allocated in such manner as deemed equitable by the Trustees, taking into consideration, among other things, the nature and type of expense and the relative size of the Funds.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the "Manager") for management and investment advisory services is paid monthly at the annual rate of .25% of average daily net assets. The Manager has agreed to waive a portion of its fee and bear other expenses until further notice to the extent that the Fund's annual expenses (including the management fee but excluding brokerage commissions and transfer taxes) exceed .25% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee during the six months ended August 31, 1995, was $457. No remuneration is paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
For the six months ended August 31, 1995, purchases and sales of investments, other than short-term obligations, were as follows:
Purchases Sales
U.S. Government securities $ 33,300,775 $ 58,303,669
Investments (non-U.S. Government securities) 154,274,646 22,286,060
|
4. PRINCIPAL SHAREHOLDERS
At August 31, 1995, 70% of the outstanding shares of the Fund were held by two shareholders, each holding in excess of 10% of the Fund's outstanding shares.
5. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number of shares of beneficial interest (without par value). Transactions in Fund shares were as follows:
Period from
Six Months Ended August 18, 1994
August 31, 1995 (Commencement of Operations)
(Unaudited) to February 28, 1995
Shares sold 6,894,982 21,191,425
Shares issued to shareholders in
reinvestment of distributions 643,053 98,345
Shares repurchased (597,034) (618,786)
Net increase 6,941,001 20,670,984
Fund shares:
Beginning of period 20,670,984 ---
End of period 27,611,985 20,670,984
|
6. FINANCIAL INSTRUMENTS
A summary of outstanding futures contracts at August 31, 1995, is as follows:
Number of Net Unrealized
Contracts Type Expiration Date Contract Value Appreciation
220 U.S. Treasury Note 5 Yr December 1995 $ 23,543,440 $ 213,553
455 U.S. Treasury Note 10 Yr December 1995 49,882,500 104,869
370 U.S. Treasury Bond December 1995 41,717,500 451,225
$ 769,647
|
At August 31, 1995, the Fund has sufficient cash and/or securities to cover any commitments or margin on these contracts.
GMO SHORT-TERM INCOME FUND
(A SERIES OF GMO TRUST)
SEMI-ANNUAL REPORT
AUGUST 31, 1995
GMO SHORT-TERM INCOME FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
AUGUST 31, 1995 (UNAUDITED)
PAR VALUE DESCRIPTION VALUE ($)
DEBT OBLIGATIONS - 91.7%
ASSET BACKED SECURITIES - 37.3%
$ 500,000 Dilmun Capital Corp,Variable Rate, 7.00% due 11/15/03 501,250
1,000,000 Fremont SBL Master Trust 93-A Class A, Variable Rate, 6.35% due 3/15/98 1,000,313
1,000,000 Premier Auto Trust 94-4 Class B Certificates, 6.85% due 5/2/99 1,008,988
2,510,551
STRUCTURED NOTES - 28.8%
1,000,000 Sallie Mae, Variable Rate, 0.00% due 1/24/96 (a) 981,250
1,000,000 Toyota Motor Credit, Variable Rate, 1.540% due 7/28/96 (b) 960,000
1,941,250
U.S. GOVERNMENT - 25.6%
1,700,000 U.S. Treasury Note, 6.88% due 10/31/96 1,721,250
TOTAL DEBT OBLIGATIONS (Cost $6,116,955) 6,173,051
SHORT-TERM INVESTMENTS - 7.5%
REPURCHASE AGREEMENTS - 7.5%
336,564 Salomon Brothers Repurchase Agreement, dated 8/31/95,
due 9/1/95, with a maturity value of $336,614 and an
effective yield of 5.3%, collateralized by U.S. Treasury
Obligations with rates ranging from 6.25% to 6.50%, with maturity dates
ranging from 4/30/97 to 8/15/23 and with an aggregate market
value of $343,834. 336,564
172,474 Prudential Bache Securities, Inc. Repurchase Agreement
dated 8/31/95, due 9/1/95, with a maturity value of $172,500
and an effective yield of 5.37%, collateralized by a Federal Home
Loan Mortgage Corporation Bond with a rate of 7.38%, a maturity
date of 8/1/23, and with an aggregated market value of $175,924. 172,474
509,038
TOTAL SHORT-TERM INVESTMENTS (at cost) 509,038
TOTAL INVESTMENTS - 99.2%
(Cost $6,625,993) * * 6,682,089
Other Assets and Liabilities (net) - 0.8% 50,520
TOTAL NET ASSETS - 100.0% $ 6,732,609
NOTES TO SCHEDULE OF INVESTMENTS:
Variable rates - The rates shown on variable rate notes are the current interest
rates at August 31, 1995, which are subject to change based on the terms of
the security.
(a) Interest rate linked to changes in the 3 month LIBOR rate.
(b) Interest rate linked to changes in the 3 year Danish Kroner swap rate.
* * The aggregate identified cost for federal income tax purposes is
$6,625,993, resulting in gross unrealized appreciation and depreciation of
$58,292 and $2,196, respectively, and net unrealized appreciation of
$56,096.
|
See accompanying notes to the financial statements.
GMO SHORT-TERM INCOME FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - AUGUST 31, 1995 (UNAUDITED)
ASSETS:
Investments, at value (cost $6,116,955) (Note 1) $ 6,173,051
Short-term investments, at cost (Note 1) 509,038
Interest receivable 60,096
Receivable for expenses waived or borne by Manager (Note 2) 2,232
Total assets 6,744,417
LIABILITIES:
Payable to affiliate for management fee (Note 2) 1,350
Accrued expenses 10,458
Total liabilities 11,808
NET ASSETS (equivalent to $9.65 per share based
on 697,949 shares outstanding, unlimited shares authorized) $ 6,732,609
NET ASSETS CONSIST OF:
Paid-in capital $ 6,750,598
Accumulated undistributed net investment income 72,013
Accumulated undistributed net realized loss (146,098)
Net unrealized appreciation 56,096
NET ASSETS $ 6,732,609
|
See accompanying notes to the financial statements.
GMO SHORT-TERM INCOME FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - SIX MONTHS ENDED AUGUST 31, 1995 (UNAUDITED)
INVESTMENT INCOME:
Interest 256,222
EXPENSES:
Management fee (Note 2) 9,475
Audit fees 10,393
Custodian and transfer agent fees 1,933
Registration fees 740
Legal fees 184
Trustee fee (Note 2) 14
Insurance 14
Miscellaneous 156
Total expenses 22,909
Less: expenses waived or borne by Manager (Note 2) (13,434)
Net expenses 9,475
Net investment income 246,747
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on investments 21,838
Change in net unrealized appreciation (depreciation) on investments 65,271
Net realized and unrealized gain on investments 87,109
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 333,856
|
See accompanying notes to the financial statements.
GMO SHORT-TERM INCOME FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED
(UNAUDITED) FEBRUARY 28, 1995
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 246,747 $ 655,082
Net realized gain (loss) 21,838 (168,682)
Change in net unrealized appreciation (depreciation) 65,271 (44,099)
Net increase in net assets resulting from operations 333,856 442,301
Distributions to shareholders from:
Net investment income (273,835) (612,710)
Fund share transactions: (Note 4)
Proceeds from sale of shares 5,246,108 31,888,771
Net asset value of shares issued to shareholders
in payment of distributions declared 252,657 502,424
Cost of shares repurchased (7,019,673) (32,122,310)
Net increase (decrease) in net assets resulting
from Fund share transactions (1,520,908) 268,885
Total increase (decrease) in net assets (1,460,887) 98,476
NET ASSETS:
Beginning of period 8,193,496 8,095,020
End of period (including accumulated undistributed
net investment income of $72,013 and
$99,101, respectively) $ 6,732,609 $ 8,193,496
|
See accompanying notes to the financial statements.
GMO SHORT-TERM INCOME FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
SIX MONTHS ENDED
AUGUST 31,1995 YEAR ENDED FEBRUARY 28/29,
(UNAUDITED) 1995 1994 1993 1992 (C) 1991 (B)(C)*
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.56 $ 9.79 $ 10.05 $ 10.11 $ 10.00 $ 10.00
Income from investment operations:
Net investment income (a) 0.33 0.63 0.44 0.46 0.56 0.67
Net realized and unrealized gain (loss) 0.10 (0.28) (0.09) 0.30 0.11 -
Total from investment operations 0.43 0.35 0.35 0.76 0.67 0.67
Less distributions to shareholders:
From net investment income (0.34) (0.58) (0.46) (0.38) (0.56) (0.67)
From net realized gains - - (0.15) (0.44) - -
Total distributions (0.34) (0.58) (0.61) (0.82) (0.56) (0.67)
NET ASSET VALUE, END OF PERIOD $ 9.65 $ 9.56 $ 9.79 $ 10.05 $ 10.11 $ 10.00
TOTAL RETURN (D) 4.59% 3.78% 3.54% 8.25% 11.88% 3.83%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 6,733 $ 8,193 $ 8,095 $ 10,499 $ 9,257 $ 40,850
Net expenses to average
daily net assets (a) 0.25%** 0.25% 0.25% 0.25% 0.25% 0.25%**
Net investment income to average
daily net assets (a) 6.51%** 5.02% 4.35% 4.94% 5.83% 7.88%**
Portfolio turnover rate 7% 335% 243% 649% 135% -
* For the period from the commencement of operations, April 17, 1990 to February 28, 1991.
** Annualized.
(a) Net of fees and expenses voluntarily waived or borne by the Manager of the following
per share amounts: $ 0.02 $ 0.02 $ 0.02 $ 0.03 $ 0.03 $ 0.09
(b) The per share amounts and the number of shares outstanding have been restated to
reflect a one for ten reverse stock split effective
December 1, 1991.
(c) The Fund operated as a money market fund from April 17, 1990 until June 30, 1991.
Subsequently, the Fund became a short-term income fund.
(d) Calculation excludes subscription fees. The total returns
would have been lower had certain expenses not been
waived during the periods shown.
|
See accompanying notes to the financial statements.
GMO SHORT-TERM INCOME FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
AUGUST 31, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO Short-Term Income Fund ( the "Fund") is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, non-diversified management investment company. The Trust was established as a Massachusetts Business Trust under the laws of the Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees to create an unlimited number of series ("Funds"), each of which issues a separate series of shares. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market quotations are available are valued at the last quoted sale price on each business day, or if there is no such reported sale, at the most recent quoted bid price. Unlisted securities for which market quotations are readily available are valued at the most recent quoted bid price. Short-term investments with a remaining maturity of sixty days or less may be valued at amortized cost which approximates market value, unless circumstances dictate otherwise. Other assets and securities for which no quotations are readily available are valued at fair value as determined in good faith by the Trustees.
REPURCHASE AGREEMENTS
The Fund may enter into repurchase agreements with certain banks and broker/dealers whereby the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets remains sufficient to protect the Fund in the event of default by the seller. In connection with transactions in repurchase agreements, if the seller defaults, the value of the collateral declines or if the seller enters insolvency proceedings, realization of collateral by the Fund may be delayed or limited.
INDEXED SECURITIES
The Fund may also invest in indexed securities whose redemption values and/or coupons are linked to the prices of other securities, securities indicies, or other financial indicators. The Fund uses indexed securities to increase or decrease its exposure to different underlying instruments and to gain exposure to markets that may be difficult to invest in through conventional securities. Indexed securities may be more volatile than their underlying instruments, but any loss is limited to the amount of the original investment.
SECURITY LENDING
The Fund may lend its securities to certain member firms of the New York Stock Exchange. The loans are collateralized at all times with cash or securities with a market value at least equal to the market value of the securities on loan. As with other extensions of credit, the Fund may bear the risk of delay in recovery or even loss of rights in the collateral should the borrower of the securities fail financially. The Fund receives compensation for lending its securities. At August 31, 1995, the Fund had no securities on loan.
TAXES
The Fund intends to qualify each year as a regulated investment company
under Subchapter M of the Internal Revenue Code of 1986, as amended. It is
the policy of the Fund to distribute all of its taxable income, including
any net realized gain on investments not offset by loss carryovers, to
shareholders within the prescribed time periods.
Therefore, no provision for federal income or excise tax is necessary.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment income and net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryover for federal income tax purposes. The Fund's present policy is to declare and pay distributions from net investment income quarterly, and net realized short-term and long-term capital gains at least annually. All distributions will be paid in shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions.
Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. Distributions in excess of tax basis earnings and profits will be reported in the Fund's financial statements as a return of capital. Furthermore, differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary over-distributions for financial statement purposes are classified as distributions in excess of net investment income or accumulated net realized gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Interest income is recorded on the accrual basis. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis. Premium and market discount are amortized and accreted.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an individual Fund. Expenses which are not readily identifiable to a specific Fund are allocated in such manner as deemed equitable by the Trustees, taking into consideration, among other things, the nature and type of expense and the relative size of the Funds.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the "Manager") for management and investment advisory services is paid monthly at the annual rate of .25% of average daily net assets. The Manager has agreed to waive a portion of its fee and bear other expenses until further notice to the extent that the Fund's annual expenses (including the management fee but excluding brokerage commissions and transfer taxes) exceed .25% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee during the six months ended August 31, 1995, was $14. No remuneration is paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
For the six months ended August 31, 1995, purchases and sales of investments, other than short-term obligations, were as follows:
Purchases Sales
U.S. Government securities $ - $ 1,314,125
Investments (non-U.S. Government securities) 502,750 471,406
|
4. PRINCIPAL SHAREHOLDER
At August 31, 1995, 68% of the outstanding shares of the Fund were held by one shareholder.
5. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number
of shares of beneficial interest (without par value). Transactions in Fund
shares were as follows:
Six Months Ended
August 31, 1995 Year Ended
(Unaudited) February 28, 1995
Shares sold 547,622 3,299,162
Shares issued to shareholders in reinvestment
of distributions 26,602 52,796
Shares repurchased (733,107) (3,322,035)
Net increase (decrease) (158,883) 29,923
Fund shares:
Beginning of period 856,832 826,909
End of period 697,949 856,832
|
GMO INTERNATIONAL BOND FUND
(A SERIES OF GMO TRUST)
SEMI-ANNUAL REPORT
AUGUST 31, 1995
GMO INTERNATIONAL BOND FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
AUGUST 31, 1995 (UNAUDITED)
PAR VALUE DESCRIPTION VALUE ($)
DEBT OBLIGATIONS - 97.0%
ARGENTINA - 2.9%
AGP 4,500,000 Argentina Bocon - Pro 1, Variable Rate, Peso Deposit Rate 1 mo., due 4/1/07 2,137,500
USD 5,500,000 Argentina Bocon - Pro 2, Variable Rate, 1 mo. LIBOR, due 4/1/07 3,355,000
5,492,500
BRAZIL - 4.1%
USD 4,752,548 Republic of Brazil Capitalization Bond, 8.00% due 4/15/14 2,317,491
USD 2,112,243 Republic of Brazil Capitalization Bond (Registered), 8.00% due 4/15/14 1,060,144
USD 8,000,000 Republic of Brazil New Money Bond, Variable Rate, 6 mo. LIBOR + 13/16 (7.31%),
due 4/15/09 4,350,000
7,727,635
BULGARIA - 0.4%
USD 1,000,000 Bulgaria Discount Bond, Variable Rate, 6 mo. LIBOR + 13/16 (6.75%), due 7/28/24 500,000
USD 1,000,000 Bulgaria FLIRB Series A (Registered), Variable Rate, 2.00% Step up, due 7/28/12 257,500
757,500
CANADA - 4.1%
CAD 2,000,000 Province of British Columbia, 7.88% due 11/30/23 1,330,678
GBP 2,000,000 Province of Ontario, 6.88% due 9/15/00 2,935,545
CAD 3,000,000 Province of Quebec, 7.50% due 12/1/03 2,080,325
CAD 2,000,000 Societe Quebec D'Ass D'Eaux, 8.13% due 8/11/03 1,421,872
7,768,420
CHINA - 0.5%
USD 1,000,000 Bank of China, 8.25% due 3/15/14 935,486
DENMARK - 1.9%
DKK 20,000,000 Kingdom of Denmark, 8.00% due 11/15/01 3,592,037
ECUADOR - 0.2%
USD 1,021,811 Republic of Ecuador PDI (Registered), Variable Rate, 3.00% Step up, due 2/27/15 319,315
FINLAND - 1.4%
JPY 250,000,000 Republic of Finland, 5.25% due 4/16/98 2,792,241
FRANCE - 12.2%
ECU 4,500,000 Caisse Francaise Development, 5.50% due 2/9/01 5,271,588
SEK 20,000,000 Credit Foncier, 6.50% due 2/22/99 2,439,826
ECU 7,000,000 Government of France, 8.25% due 4/25/22 8,883,974
ECU 4,750,000 Societe Nationale Chemins de France, 9.38% due 3/12/01 6,580,308
23,175,696
GERMANY - 4.9%
JPY 150,000,000 Deutsche Bank Finance NV, 4.38% due 7/16/98 1,647,014
GBP 1,300,000 Dresdner Finance Bank, 6.00% due 12/7/99 1,877,896
ECU 2,000,000 KFW International Finance, 5.50% due 1/31/01 2,349,312
JPY 300,000,000 KFW International Finance, 6.00% due 11/29/99 3,529,862
9,404,084
JAPAN - 5.3%
CAD 7,000,000 Japan Highway Public Corp, 7.88% due 9/27/02 5,119,854
GBP 3,000,000 Kobe City, 9.50% due 10/20/04 4,909,872
10,029,726
JORDAN - 0.7%
USD 2,000,000 Jordan Par, 4.00% Step up, due 12/23/23 850,000
USD 1,000,000 Jordan PDI, Variable Rate, 6 mo. LIBOR + 13/16 (6.69%), due 12/23/05 725,000
1,575,000
MEXICO - 2.4%
FRF 35,000,000 Mexico Par Bond, 6.63% due 12/31/19 3,862,172
CHF 1,500,000 Mexico Par Bond, 3.75% due 12/31/19 630,435
4,492,607
MULTINATIONAL - 2.6%
USD 5,000,000 European Sovereign Investments, Variable Rate, 3 mo. LIBOR + 1/10 (6.16%),
due 7/28/99 4,967,500
NETHERLANDS - 6.7%
USD 13,000,000 Eagle Pier Corp Bv, Variable Rate, 6 mo. LIBOR + 1/4 (6.69%), due 10/3/01 12,948,000
SOUTH AFRICA - 1.0%
SAR 8,000,000 Republic of South Africa Series R153, 13.00% due 8/31/10 1,836,514
SOUTH KOREA - 0.5%
USD 1,200,000 Korea Electric Power, 6.38% due 12/1/03 1,150,500
SPAIN - 5.4%
ESP 650,000,000 Government of Spain, 10.25% due 11/30/98 5,133,134
ESP 650,000,000 Government of Spain, 10.90% due 8/30/03 5,140,391
10,273,525
SUPRANATIONAL - 2.0%
SEK 10,000,000 International Finance Corp, 10.63% due 9/20/99 1,390,468
JPY 200,000,000 World Bank, 6.75% due 6/18/01 2,470,648
3,861,116
SWEDEN - 6.9%
SEK 65,000,000 Kingdom of Sweden, 10.25% due 5/5/20 9,012,220
SEK 40,000,000 Kingdom of Sweden, 6.00% due 2/9/05 4,109,210
13,121,430
THAILAND - 0.5%
THB 25,000,000 Thai Military Bank, 6.75% due 2/28/97 943,984
TURKEY - 0.4%
GBP 600,000 Republic of Turkey, 9.00% due 10/27/03 792,365
UNITED KINGDOM - 2.0%
GBP 2,000,000 Guaranteed Export Financial Corp, 12.88% due 9/29/02 3,816,982
UNITED STATES - 26.9%
ASSET BACKED SECURITIES - 21.9%
USD 1,022,077 BCI Home Equity Loan 94-1 Class A-1, Variable Rate, 6.30% due 4/15/09 1,016,740
USD 8,000,000 Discover Card Master Trust I 94-2 Class A, Variable Rate, 6.15% due 10/16/04 8,056,872
USD 2,500,000 First USA Credit Card Master Trust 94-4 Class A, Variable Rate, 6.25% due 8/15/03 2,521,648
USD 5,500,000 Fremont SBL Master Trust 93-A Class A, Variable Rate, 6.35% due 3/15/98 5,501,719
USD 5,000,000 MBNA Master Credit Card Trust 94-C Class A, Variable Rate, 6.13% due 03/15/04 5,009,375
USD 1,000,000 Potomac Mills Finance Corp, Variable Rate, 6.59% due 10/20/04 999,375
USD 3,000,000 Premier Auto Trust 94-4 Class B Certificates, 6.85% due 5/2/99 3,026,964
USD 2,813,751 Resolution Trust Corp 94-C1 Class A3, Variable Rate, 6.55% due 6/25/26 2,813,751
USD 4,437,904 Resolution Trust Corp 94-C2 Class A1, Variable Rate, 6.45% due 4/25/25 4,436,517
USD 3,766,000 SMS Student Loan 94-A, Variable Rate, 6.84% due 7/26/21 3,770,708
USD 4,500,000 Society Student Loan Trust 93-A Class B, Variable Rate, 6.63% due 7/25/03 4,536,190
41,689,859
CORPORATE OBLIGATIONS - 1.9%
USD 1,500,000 First International Funding Co, Variable Rate, 6.61% due 6/3/98 1,509,450
USD 2,000,000 New England Telephone & Telegraph, 7.88% due 11/15/29 2,170,472
3,679,922
STRUCTURED NOTES - 3.1%
USD 1,000,000 Bankers Trust Medium Term Note, 17.10% due 10/14/97 (a) 1,105,800
USD 5,000,000 Sallie Mae, Variable Rate, 4.00% due 3/23/98 (b) 4,743,750
5,849,550
TOTAL UNITED STATES 51,219,331
VENEZUELA - 1.1%
USD 1,000,000 Republic of Venezuela FLIRB Series A, Variable Rate, 6mo. LIBOR + 13/16 (7.00%),
due 3/31/07 503,750
USD 2,000,000 Republic of Venezuela FLIRB Series B, Variable Rate, 6mo. LIBOR + 13/16 (7.00%),
due 3/31/07 1,007,500
USD 1,000,000 Republic of Venezuela Discount Bond Series W-A, Variable Rate,
6 mo. LIBOR + 13/16 (7.19%), due 3/31/20 523,750
2,035,000
TOTAL DEBT OBLIGATIONS (Cost $178,003,123) 185,028,494
LOAN PARTICIPATIONS - 1.4%
IVORY COAST - 0.2%
FRF 15,000,000 Ivory Coast Syndicated Loan, (Sub-participation with Banque Paribas) * 460,715
MOROCCO - 0.3%
USD 1,000,000 Kingdom of Morocco Registered Loan Agreement Tranche A, LIBOR + 13/16,
(Sub-participation with Banque Paribas) 608,750
RUSSIA - 0.9%
ECU 1,000,000 Russia Vnesheconombank Promissory Note,
(Sub-participation with Bank of America, Illinois) * 357,504
FRF 25,000,000 Russia Vnesheconombank Syndicated Loan,
(Sub-participation with Banque Paribas) * 1,387,100
1,744,604
TOTAL LOAN PARTICIPATIONS (Cost $3,234,354) 2,814,069
Principal Amounts
of Contracts CALL OPTIONS PURCHASED - 1.3%
(000's omitted) CROSS CURRENCY OPTIONS - 0.0%
DEM 30,000 DEM Call / BEF Put, Expires 3/4/96 Strike 21.50 14,291
OPTIONS ON BONDS - 0.9%
USD 3,500 Brazil Par Bond 4.00%, Expires 10/16/95 Strike 30.00 518,942
USD 7,000 Brazil Par Bond 4.00%, Expires 10/16/95 Strike 29.50 1,072,617
1,591,559
OPTIONS ON CURRENCY - 0.4%
USD 15,000 French Francs, Expires 12/19/95 Strike 4.94 214,500
USD 12,000 French Francs, Expires 5/28/96 Strike 5.17 597,000
811,500
TOTAL CALL OPTIONS PURCHASED (Cost $1,744,348) 2,417,350
PUT OPTIONS PURCHASED - 2.6%
OPTIONS ON BONDS - 0.1%
USD 6,650 Brazil IDU, Brady Bond, Expires 10/27/95 Strike 78.63 26,600
USD 2,850 Brazil IDU, Brady Bond, Expires 11/20/95 Strike 80.31 25,080
USD 2,850 Brazil IDU, Brady Bond, Expires 11/21/95 Strike 80.13 23,655
USD 5,700 Brazil IDU, Brady Bond, Expires 11/9/95 Strike 77.94 19,403
94,738
OPTIONS ON CURRENCY - 2.5%
DEM 26,000 DEM Put/ ITL Call, Expires 10/10/95 Strike 1,131.00 417,557
USD 15,000 French Francs, Expires 12/19/95 Strike 4.94 522,000
USD 12,000 French Francs, Expires 5/28/96 Strike 5.17 293,400
JPY 2,000,000 Japanese Yen, Expires 4/18/96 Strike 86.00 2,309,340
JPY 2,000,000 Japanese Yen, Expires 4/30/96 Strike 92.00 1,253,700
4,795,997
TOTAL PUT OPTIONS PURCHASED (Cost $1,939,338) 4,890,735
Shares RIGHTS AND WARRANTS - 0.0%
VENEZUELA - 0.0%
5,000 Republic of Venezuela Warrants, Expires 4/15/20 -
TOTAL RIGHTS AND WARRANTS (Cost $0) -
SHORT-TERM INVESTMENTS - 1.2%
REPURCHASE AGREEMENT - 0.7%
USD 1,244,608 Salomon Brothers Repurchase Agreement, dated 8/31/95,
due 9/1/95, with a maturity value of $1,244,792 and an
effective yield of 5.30%, collateralized by U.S. Treasury
Obligations with rates ranging from 6.25% to 6.50%, with maturity dates
ranging from 4/30/97 to 8/15/23 and with an aggregate market
value of $1,271,490. 1,244,608
U.S. GOVERNMENT - 0.5%
USD 1,000,000 U. S. Treasury Bill, 5.41% due 5/30/96 (c) 959,275
TOTAL SHORT-TERM INVESTMENTS (Cost $2,206,226) 2,203,883
TOTAL INVESTMENTS - 103.5%
(Cost $187,127,389) * * 197,354,531
Other Assets and Liabilities (net) - (3.5%) (6,670,407)
TOTAL NET ASSETS - 100.0% $ 190,684,124
|
NOTES TO THE SCHEDULE OF INVESTMENTS:
(a) Principal is linked to the value of the Brazilian Capitalization Bond and the Brazilian IDU Bond.
(b) Interest rate linked to changes in the daily 3 month LIBOR rate.
(c) This security is held as collateral for open futures contracts.
* Non-performing. Borrower not currently paying interest.
Variable rates - The rates shown on variable rate notes are the current interest rates at August 31, 1995, which are subject to change based on the terms of the security.
* * The aggregate identified cost for federal income tax purposes is $187,127,389, resulting in gross unrealized appreciation and depreciation of $12,233,438 and $2,006,296, respectively, and net unrealized appreciation of $10,227,142.
The principal amount of each security is stated in the currency in which the security is denominated.
AGP - Argentinian Peso FRF - French Franc CAD - Canadian Dollar GBP - British Pound Sterling CHF - Swiss Franc JPY - Japanese Yen DEM - German Mark SAR - South African Rand DKK - Danish Krone SEK - Swedish Krona ECU - European Currency Unit THB - Thai Baht ESP - Spanish Peseta USD - United States Dollar |
See accompanying notes to the financial statements.
GMO INTERNATIONAL BOND FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - AUGUST 31, 1995 (UNAUDITED)
ASSETS:
Investments, at value (cost $184,921,163) (Note 1) $ 195,150,648
Short-term investments, at value (cost $ 2,206,226) (Note 1) 2,203,883
Foreign currency, at value (cost $573,584) (Note 1) 575,483
Receivable for investments sold 13,465,531
Interest receivable 5,646,353
Receivable for open forward foreign currency contracts (Note 6) 4,445,388
Receivable for expenses waived or borne by Manager (Note 2) 21,793
Total assets 221,509,079
LIABILITIES:
Payable for investments purchased 1,311,302
Written options outstanding, at value (premiums $2,803,876) (Note 6) 1,539,900
Payable to brokers for open futures contracts (Note 1) 165,341
Payable for Fund shares repurchased 11,600,000
Payable for open forward foreign currency contracts (Note 6) 16,093,635
Payable to affiliate for management fee (Note 2) 71,350
Accrued expenses 43,427
Total liabilities 30,824,955
NET ASSETS (equivalent to $10.69 per share based
on 17,840,505 shares outstanding, unlimited shares authorized) $ 190,684,124
NET ASSETS CONSIST OF:
Paid-in capital $ 174,855,008
Accumulated undistributed net investment income 11,494,360
Accumulated undistributed net realized gain 3,697,739
Net unrealized appreciation 637,017
NET ASSETS $ 190,684,124
See accompanying notes to the financial statements.
|
GMO INTERNATIONAL BOND FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - SIX MONTHS ENDED AUGUST 31, 1995 (UNAUDITED)
INVESTMENT INCOME:
Interest (including securities lending income of $4,194) $ 8,173,247
EXPENSES:
Management fee (Note 2) 389,741
Custodian and transfer agent fees 67,570
Audit fees 27,510
Legal fees 6,326
Registration fees 5,935
Insurance 825
Trustee fee (Note 2) 366
Miscellaneous 277
Total expenses 498,550
Less: expenses waived or borne by Manager (Note 2) (108,809)
Net expenses 389,741
Net investment income 7,783,506
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on:
Investments 719,319
Closed futures contracts 5,120,964
Written options 341,678
Foreign currency, forward contracts and foreign
currency related transactions 5,557,582
Net realized gain 11,739,543
Change in net unrealized appreciation
(depreciation) on:
Investments 12,666,582
Open futures contracts 679,178
Written options 1,370,876
Foreign currency, forward contracts and foreign
currency related transactions (12,526,087)
Net unrealized gain 2,190,549
Net realized and unrealized gain 13,930,092
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 21,713,598
See accompanying notes to the financial statements.
|
GMO INTERNATIONAL BOND FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED
(UNAUDITED) FEBRUARY 28, 1995
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 7,783,506 $ 6,486,357
Net realized gain 11,739,543 3,431,159
Change in net unrealized appreciation (depreciation) 2,190,549 (1,159,762)
Net increase in net assets resulting from operations 21,713,598 8,757,754
Distributions to shareholders from:
Net investment income (54,248) (6,618,737)
Net realized gains (4,700,407) (3,028,602)
(4,754,655) (9,647,339)
Fund share transactions: (Note 4)
Proceeds from sale of shares 75,073,554 137,180,193
Net asset value of shares issued to shareholders
in payment of distributions declared 4,676,505 6,467,224
Cost of shares repurchased (57,214,249) (31,018,305)
Net increase in net assets resulting
from Fund share transactions 22,535,810 112,629,112
Total increase in net assets 39,494,753 111,739,527
NET ASSETS:
Beginning of period 151,189,371 39,449,844
End of period (including accumulated undistributed
net investment income of $11,494,360 and
$3,765,102, respectively) $ 190,684,124 $ 151,189,371
See accompanying notes to the financial statements.
|
GMO INTERNATIONAL BOND FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
SIX MONTHS ENDED PERIOD FROM DECEMBER 22, 1993
AUGUST 31, 1995 YEAR ENDED (COMMENCEMENT OF OPERATIONS) TO
(UNAUDITED) FEBRUARY 28, 1995 FEBRUARY 28, 1994
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.64 $ 9.96 $ 10.00
Income from investment operations:
Net investment income (a) 0.41 0.98 0.08
Net realized and unrealized gain (loss) 0.90 (0.21) (0.12)
Total from investment operations 1.31 0.77 (0.04)
Less distributions to shareholders:
From net investment income (0.00)(c) (0.75) -
From net realized gains (0.26) (0.34) -
Total distributions (0.26) (1.09) -
NET ASSET VALUE, END OF PERIOD $ 10.69 $ 9.64 $ 9.96
Total Return (b) 13.56% 8.23% (0.40%)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 190,684 $ 151,189 $ 39,450
Net expenses to average
daily net assets (a) 0.40%* 0.40% 0.40%*
Net investment income to average
daily net assets (a) 7.99%* 7.51% 5.34%*
Portfolio turnover rate 40% 141% 14%
* Annualized.
(a) Net of fees and expenses voluntarily waived or borne by the Manager of the following
per share amounts: $ 0.01 $ 0.02 $ 0.01
(b) Calculation excludes subscription fees. The total
return would have been lower had certain expenses
not been waived during the periods shown.
(c) The per share income distribution was $0.003.
See accompanying notes to the financial statements.
|
GMO INTERNATIONAL BOND FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
AUGUST 31, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO International Bond Fund (the "Fund") is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, non-diversified management investment company. The Trust was established as a Massachusetts Business Trust under the laws of the Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees to create an unlimited number of series ("Funds"), each of which issues a separate series of shares. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market quotations
are available are valued at the last quoted sale price on each business day, or
if there is no such reported sale, at the most recent quoted bid price. Unlisted
securities for which market quotations are readily available are valued at the
most recent quoted bid price. Securities which are primarily traded on foreign
exchanges are generally valued at the preceding closing values of such
securities on their respective exchanges, and those values are then translated
into U.S. dollars at the current exchange rate. Short-term investments with a
remaining maturity of sixty days or less are valued at amortized cost which
approximates market value. Other assets and securities for which no quotations
are readily available are valued in good faith by the Trustees.
FOREIGN CURRENCY TRANSLATION
The accounting records of the Fund are maintained in U.S. dollars. The market
values of foreign securities, currency holdings and other assets and liabilities
are translated to U.S. dollars based on the prevailing exchange rates each
business day. Income and expenses denominated in foreign currencies are
translated at prevailing exchange rates when accrued or incurred. The Fund does
not isolate realized and unrealized gains and losses attributable to changes in
exchange rates from gains and losses that arise from changes in the market value
of investments. Such fluctuations are included with net realized and unrealized
gain or loss on investments. Net realized gains and losses on foreign currency
transactions represent net exchange gains and losses on disposition of foreign
currencies and the difference between the amount of investment income and
foreign withholding taxes recorded on the Fund's books and the U.S. dollar
equivalent amounts actually received or paid.
FUTURES CONTRACTS
The Fund may use futures contracts to manage its exposure to the bond and
currency markets. Buying futures tends to increase the Fund's exposure to the
underlying instrument. Selling futures tends to decrease the Fund's exposure to
the underlying instrument or hedge other Fund instruments. Upon purchase of a
futures contract, the Fund is required to deposit with its custodian, in a
segregated account in the name of the futures broker, an amount of cash or U.S.
government obligations in accordance with the initial margin requirements of the
broker. Futures contracts are marked to market daily and an appropriate payable
or receivable for the change in value ("variation margin") is recorded by the
Fund. Gains or losses are recognized but not considered realized until the
contracts expire or are closed. Futures contracts involve, to varying degrees,
risk of loss in excess of the variation margin disclosed in the Statement of
Assets and Liabilities. Losses may arise from the changes in the value of the
underlying instrument, if there is an illiquid secondary market for the
contracts, or if counterparties do not perform under the contract terms. Futures
contracts are valued at the settlement price established each day by the board
of trade or exchange on which they are traded. See Note 6 for all open futures
contracts held as of August 31, 1995.
FORWARD CURRENCY CONTRACTS
The Fund may enter into forward currency contracts and forward cross currency
contracts in connection with settling planned purchases or sales of securities
or to hedge the currency exposure associated with some or all of the Fund's
portfolio securities. A forward currency contract is an agreement between two
parties to buy and sell a currency at a set price on a future date. The market
value of a forward currency contract fluctuates with changes in forward currency
exchange rates. Forward currency contracts are marked to market daily and the
change in value is recorded by the Fund as an unrealized gain or loss. When a
forward currency contract is extinguished, through delivery or offset by
entering into another forward currency contract, the Fund records a realized
gain or loss equal to the difference between the value of the contract at the
time it was opened and the value of the contract at the time it was extinguished
or offset. These contracts may involve market risk in excess of the unrealized
gain or loss reflected in the Fund's Statement of Assets and Liabilities. In
addition, the Fund could be exposed to risk if the counterparties are unable to
meet the terms of the contracts or if the value of the currency changes
unfavorably to the U.S. dollar. The U.S. dollar value of the currencies the Fund
has committed to buy or sell is shown under Note 6 and represents the currency
exposure the Fund has acquired or hedged through currency contracts as of August
31, 1995.
OPTIONS
The Fund may write call and put options on securities it owns or in which it may
invest. When the Fund writes a call or put option, an amount equal to the
premium received is recorded as a liability and subsequently marked to market to
reflect the current value of the option written. Premiums received from writing
options which expire are treated as realized gains. Premiums received from
writing options which are exercised or closed are offset against the proceeds or
amounts paid on the transaction to determine the realized gain or loss. If a
written put option is exercised, the premium reduces the cost basis of the
securities purchased by the Fund. The Fund as a writer of an option has no
control over whether the underlying securities may be sold (call) or purchased
(put) and as a result bears the market risk of an unfavorable change in the
price of the security underlying the written option. There is the risk the Fund
may not be able to enter into a closing transaction because of an illiquid
market. See Note 6 for a summary of open written option contracts as of August
31, 1995.
The Fund may also purchase put and call options. The Fund pays a premium which is included in the Fund's Statement of Assets and Liabilities as an investment and subsequently marked to market to reflect the current value of the option. The risk associated with purchasing put and call options is limited to the premium paid.
In some cases, depending upon the executing broker, premiums on purchased and written options are not paid or received until the contracts expire or are closed or exercised. These contracts are marked to market daily, and the daily change in market value is paid to or received from the respective broker. A corresponding payable or receivable is recorded for the accumulated unrealized position received or paid. Upon settlement, the net payable or receivable for original premiums and accumulated unrealized gains and losses is paid to or received from the broker and a gain or loss is realized.
LOAN AGREEMENTS
The Fund may invest in loan agreements which are indirect interests in amounts
owed by a corporate, governmental, or other borrower to lenders or lending
syndicates. A loan is often administered by a bank or other financial
institution (the lender) that acts as agent for all holders. The lender
administers the terms of the loan, as specified in the loan agreement. The Fund
has the right to receive payments of principal, interest and any fees to which
it is entitled only from the lender selling the loan agreement and only upon
receipt by the lender of payments from the borrower. The Fund generally has no
right to enforce compliance with the terms of the loan agreement with the
borrower. As a result, the Fund may be subject to the credit risk of both the
borrower and the lender that is selling the loan agreement. In addition, if the
Fund invests in the indebtedness of an emerging country, there is a risk that
the governmental entities responsible for the repayment of the debt may be
unable or unwilling to pay the principal and interest when due.
INDEXED SECURITIES
The Fund may invest in indexed securities whose redemption values and/or coupons
are linked to the prices of other securities, securities indices, or other
financial indicators. The Fund uses indexed securities to increase or decrease
its exposure to different underlying instruments and to gain exposure to markets
that may be difficult to invest in through conventional securities. Indexed
securities may be more volatile than their underlying instruments, but any loss
is limited to the amount of the original investment.
REPURCHASE AGREEMENTS
The Fund may enter into repurchase agreements with certain banks and
broker/dealers whereby the Fund acquires a security for cash and obtains a
simultaneous commitment from the seller to repurchase the security at an agreed
upon price and date. The Fund, through its custodian, takes possession of
securities collateralizing the repurchase agreement. The collateral is marked to
market daily to ensure that the market value of the underlying assets remains
sufficient to protect the Fund in the event of default by the seller. In
connection with transactions in repurchase agreements, if the seller defaults
and the value of the collateral declines or if the seller enters insolvency
proceedings, realization of collateral by the Fund may be delayed or limited.
SECURITY LENDING
The Fund may lend its securities to certain member firms of the New York Stock
Exchange. The loans are collateralized at all times with cash or securities with
a market value at least equal to the market value of the securities on loan. As
with other extensions of credit, the Fund may bear the risk of delay in recovery
or even loss of rights in the collateral should the borrower fail financially.
The Fund receives compensation for lending its securities. At August 31, 1995,
the Fund had no securities on loan.
TAXES
The Fund intends to qualify each year as a regulated investment company under
Subchapter M of the Internal Revenue Code of 1986, as amended. It is the policy
of the Fund to distribute all of its taxable income, including any net realized
gain on investments not offset by loss carryovers, to shareholders within the
prescribed time periods. Therefore, no provision for federal income or excise
tax is necessary. Withholding taxes on foreign interest and dividend income have
been withheld in accordance with the applicable country's tax treaty with the
United States.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment income
and net realized short-term and long-term capital gains, if any, after giving
effect to any available capital loss carryover for federal income tax purposes.
The Fund's present policy is to declare and pay distributions from net
investment income semi-annually, and net realized short-term and long-term
capital gains at least annually. All distributions will be paid in shares of the
Fund, at net asset value, unless the shareholder elects to receive cash
distributions.
Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences are primarily due to differing treatments for foreign currency transactions.
Distributions in excess of tax basis earnings and profits will be reported in the Fund's financial statements as a return of capital. Furthermore, differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary over-distributions for financial statement purposes are classified as distributions in excess of net investment income or accumulated net realized gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Interest income is
recorded on the accrual basis. In determining the net gain or loss on securities
sold, the cost of securities is determined on the identified cost basis.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an individual
Fund. Expenses which are not readily identifiable to a specific Fund are
allocated in such a manner as deemed equitable by the Trustees, taking into
consideration, among other things, the nature and type of expense and the
relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is .15% of the amount invested. The
Manager may waive such premium to the extent that a transaction results in
minimal brokerage and transaction costs to the Fund. All purchase premiums are
paid to and recorded as paid-in capital by the Fund. For the six months ended
August 31, 1995, the Fund received $89,490 in purchase premiums. There is no
premium for cash redemptions, reinvested distributions or in-kind transactions.
INVESTMENT RISK
There are certain additional risks involved in investing in foreign securities
that are not inherent in investments in domestic securities. These risks may
involve adverse political and economic developments and the possible imposition
of currency exchange blockages or other foreign governmental laws or
restrictions. In addition, the securities of some foreign companies and
securities markets are less liquid and at times more volatile than securities of
comparable U.S. companies and U.S. securities markets.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the "Manager"), formanagement and investment advisory services is paid monthly at the annual rate of .40% of average daily net assets. The Manager has agreed to waive a portion of its fee and bear other expenses until further notice to the extent that the Fund's annual expenses exceed .40% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee during the six months ended August 31, 1995, was $366. No remuneration is paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
For the six months ended August 31, 1995, purchases and sales of investments, other than short-term obligations, were as follows:
PURCHASES SALES
U.S. Government securities $ - $ 3,037,500
Investments (non-U.S. Government securities) 115,773,498 65,916,313
|
4. PRINCIPAL SHAREHOLDERS
At August 31, 1995, 36% of the outstanding shares of the Fund were held by two shareholders, each holding in excess of 10% of the Fund's outstanding shares.
5. SHARE TRANSACTIONS
The Declaration of Trust permits Trustees to issue an unlimited number of
shares of beneficial interest (without par value). Transactions in Fund shares
were as follows:
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED
(UNAUDITED) FEBRUARY 28, 1995
Shares sold 6,922,449 14,201,980
Shares issued to shareholders in
reinvestment of distributions 426,688 696,838
Shares repurchased (5,196,111) (3,171,314)
Net increase 2,153,026 11,727,504
Fund shares:
Beginning of period 15,687,479 3,959,975
End of period 17,840,505 15,687,479
|
A summary of outstanding financial instruments at August 31, 1995 is as follows:
FORWARD CURRENCY CONTRACTS
In Exchange Net Unrealized
Settlement Units of for Appreciation
Date Deliver/Receive Currency (U.S.Dollars) (Depreciation)
Sales
9/7/95 Argentinian Pesos 3,000,000 $ 2,992,668 $ (3,567)
9/19/95 Argentinian Pesos 2,043,740 2,000,000 (35,402)
9/22/95 Argentinian Pesos 2,500,000 2,427,184 (60,856)
10/16/95 Australian Dollars 12,000,000 8,872,800 (149,007)
11/1/95 Australian Dollars 8,000,000 5,923,200 (90,032)
10/2/95 Canadian Dollars 34,000,000 24,967,160 (335,354)
9/1/95 Danish Krone 25,000,000 4,368,338 (16,484)
11/2/95 European Currency Units 3,000,000 3,832,500 546
11/2/95 German Deutsche Marks 32,000,000 22,377,462 541,166
10/2/95 Great British Pounds 22,000,000 33,988,090 (66,473)
9/26/95 Japanese Yen 880,000,000 9,833,385 815,217
9/5/95 Spanish Pesetas 70,850,000 563,913 (779)
11/2/95 Swedish Krona 185,000,000 25,766,390 563,662
$ 1,162,637
Buys
11/1/95 Australian Dollars 8,000,000 $ 5,872,000 $ 141,232
10/2/95 Canadian Dollars 30,000,000 21,831,678 494,070
, 9/1/95 Danish Krone 25,000,000 4,658,530 (273,707)
12/1/95 Danish Krone 25,000,000 4,369,254 15,992
11/2/95 European Currency Units 44,000,000 59,049,320 (2,847,328)
11/30/95 French Francs 63,000,000 12,444,936 40,330
11/2/95 German Deutsche Marks 46,000,000 33,330,530 (1,940,854)
10/2/95 Great British Pounds 6,000,000 9,630.480 (342,872)
11/2/95 Italian Lira 27,000,000 16,796,268 (284,122)
9/26/95 Japanese Yen 6,750,000,000 77,545,550 (8,372,106)
$ (13,369,365)
|
FORWARD CROSS CURRENCY CONTRACTS
In Exchange Net Unrealized
Settlement Units of for Appreciation
Date Deliver/Receive Currency (U.S.Dollars) (Depreciation)
9/20/95 Belgian Francs/ BEF 642,719,000 ECU 17,000,000 396,378
European Currency Units
11/6/95 French Francs/ FRF 64,170,500 ECU 10,000,000 56,706
European Currency Unit
9/7/95 German Deutsche DEM 19,000,000 ITL 22,181,500,000 $ 725,840
Marks/Italian Lira
9/7/95 German Deutsche DEM 10,000,000 SEK 51,304,000 216,666
Marks/Swedish Krona
10/4/95 German Deutsche DEM 15,000,000 ECU 8,165,932 205,522
Marks/European Currency
Units
10/10/95 German Deutsche DEM 30,000,000 FRF 103,602,900 79,606
Marks/French Francs
10/10/95 German Deutsche DEM 32,000,000 ESP 2,752,590,000 43,930
Marks/Spanish Pesetas
10/12/95 German Deutsche DEM 3,000,000 ITL 3,512,700,000 108,525
Marks/Italian Lira
9/7/95 Italian Lira/German ITL 22,743,000,000 DEM 19,000,000 (1,071,612)
Deutsche Marks
10/12/95 Italian Lira/German ITL 38,683,180,000 DEM 34,500,000 (197,801)
Deutsche Marks
11/17/95 Netherlands Guilders/ NLG 14,543,100 DEM 13,000,000 (1,616)
German Deutsche Marks
10/6/95 Swiss Francs/German CHF 5,734,470 DEM 7,000,000 (3,663)
Deutsche Marks
$ 558,481
|
FUTURES CONTRACTS
Net Unrealized
Number of Appreciation
Contracts Type Expiration Date Contract Value (Depreciation)
Buys
93 Australian Dollar 3 Year September 1995 12,145,991 $ (9,073)
45 Australian Dollar 10 Year September 1995 3,873,297 (14,127)
40 Canadian Government Bond September 1995 3,096,506 (4,227)
50 German Government Bond September 1995 8,538,501 140,525
14 Japanese Yen 10 Year December 1995 17,453,200 (19,654)
94 Italian Government Bond 5 Year September 1995 14,611,363 206,520
64 Italian Government Bond 10 Year September 1995 7,795,862 199,706
215 MATIF ECU Bond September 1995 24,583,930 421,240
30 Spain Government Bond 10 Year September 1995 2,121,715 69,948
54 U.K. Gilt September 1995 4,578,711 37,317
2 U.K. Gilt December 1995 163,656 130
$ 1,028,305
Sales
60 Euro Dollar December 1995 14,142,000 $ 8,550
63 French Government Bond December 1995 7,239,690 (62)
65 Swiss Government Bond September 1995 6,233,866 (87,366)
60 U.S. Treasury Note December 1995 6,570,000 (58,575)
90 U.S. Treasury Bond December 1995 10,711,250 (146,869)
$ (284,322)
At August 31, 1995, the Fund has cash and/or securities to cover any margin
requirements on open futures contracts.
|
WRITTEN OPTION TRANSACTIONS
Puts Calls
Numbers of Numbers of
Contracts Premiums Contracts Premiums
Outstanding, beginning of period 20,000,001 $ 167,576 2 $ 186,584
Options written 26,806,905 1,068,102 4,071,500,000 1,909,876
Options terminated in closing
transactions (6,306,906) (277,488) __ __
Options exercised __ __ (2) (186,584)
Options expired 20,000,000 (64,190) __ __
Outstanding, end of period 20,500,000 $ 894,000 4,071,500,000 $ 1,909,876
SUMMARY OF WRITTEN OPTIONS OUTSTANDING
Principal Amount
of Contracts
(000's omitted) Exercise Price Expiration Date Value
CALLS
DEM Call/ITL Put 25,000 1,235.00 DEM 9/8/95 $ 1,701
DEM Call/ITL Put 26,000 1,219.00 DEM 10/10/95 1,769
Japanese Yen Call 2,000,000 68.00 JPY 4/18/96 4,080
Japanese Yen Call 2,000,000 68.00 JPY 4/30/96 5,100
Swiss Franc Call 8,000 1.17 CHF 5/28/96 345,600
Swiss Franc Call 12,500 1.15 CHF 12/19/95 170,000
$ 528,250
Puts
Swiss Franc Put 8,000 1.17 CHF 5/28/96 $ 370,400
Swiss Franc Put 12,500 1.15 CHF 12/19/95 641,250
$ 1,011,650
|
GMO CURRENCY HEDGED INTERNATIONAL BOND FUND
(A SERIES OF GMO TRUST)
SEMI-ANNUAL REPORT
AUGUST 31, 1995
GMO CURRENCY HEDGED INTERNATIONAL BOND FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
AUGUST 31, 1995 (UNAUDITED)
PAR VALUE DESCRIPTION VALUE ($)
DEBT OBLIGATIONS - 87.1%
ARGENTINA - 3.2%
AGP 8,500,000 Argentina Bocon - Pro 1, Variable Rate, Peso Deposit Rate 1 mo., due 4/1/07 4,037,500
USD 5,000,000 Argentina Bocon - Pro 2, Variable Rate, 1 mo. LIBOR, due 4/1/07 3,050,000
7,087,500
AUSTRIA - 1.5%
SEK 25,000,000 Oesterreich Kontrollbank, 9.25% due 7/15/99 3,334,897
BRAZIL - 3.7%
USD 4,753,068 Republic of Brazil Capitalization Bond, 8.00% due 4/15/14 2,317,491
USD 2,112,474 Republic of Brazil Capitalization Bond (Registered), 8.00% due 4/15/14 1,060,144
USD 9,000,000 Republic of Brazil New Money Bond, Variable Rate, 6 mo. LIBOR + 13/16 (7.31%),
due 4/15/09 4,893,750
8,271,385
BULGARIA - 0.8%
USD 1,400,000 Bulgaria FLIRB Series A (Registered), Variable Rate, 2.00% Step up, due 7/28/12 360,500
USD 5,000,000 Bulgaria FLIRB Series A, Variable Rate, 2.00% Step up, due 7/28/12 1,287,500
1,648,000
CANADA - 6.7%
CAD 8,600,000 Canada (Cayman) Government , 7.25% due 6/1/08 5,689,905
CAD 3,000,000 Government of Canada, 10.25% due 3/15/14 2,640,884
CAD 5,000,000 Province of Quebec, 7.50% due 12/1/03 3,467,208
CAD 4,000,000 Province of Quebec, 10.50% due 11/30/98 3,182,461
14,980,458
DENMARK - 1.6%
DKK 20,000,000 Kingdom of Denmark, 8.00% due 11/15/01 3,592,037
ECUADOR - 0.2%
USD 1,511,258 Republic of Ecuador PDI (Registered), Variable Rate, 3.00% Step up, due 2/27/15 472,268
FINLAND - 2.4%
ECU 4,000,000 Republic of Finland, 8.50% due 2/13/07 5,279,568
FRANCE - 16.5%
ECU 6,000,000 Caisse Francaise Development, 5.50% due 2/9/01 7,028,784
SEK 20,000,000 Credit Foncier, 6.50% due 2/22/99 2,439,826
ECU 16,000,000 Government of France, 8.25% due 4/25/22 20,306,227
ECU 5,250,000 Societe Nationale Chemins de France, 9.38% due 3/12/01 7,272,972
37,047,809
GERMANY - 2.6%
JPY 500,000,000 KFW International Finance, 6.00% due 11/29/99 5,883,104
ITALY - 2.9%
ECU 5,000,000 Government of Italy, 9.25% due 3/7/11 6,540,408
JAPAN - 1.5%
GBP 2,000,000 Kobe City, 9.50% due 10/20/04 3,273,248
JORDAN - 0.2%
USD 1,000,000 Jordan Par, 4.00% Step up, due 12/23/23 425,016
MEXICO - 2.0%
FRF 41,500,000 Mexico Par Bond, 6.63% due 12/31/19 4,579,432
MULTINATIONAL - 2.4%
USD 5,300,000 European Sovereign Investments, Variable Rate, 3 mo. LIBOR + 1/10 (6.16%),
due 7/28/99 5,265,550
NETHERLANDS - 5.3%
USD 12,000,000 Eagle Pier Corp Bv, Variable Rate, 6 mo. LIBOR + 1/4 (6.69%) due 10/3/01 11,952,000
SOUTH AFRICA - 0.8%
SAR 8,000,000 Republic of South Africa Series R153, 13.00% due 8/31/10 1,836,514
SPAIN - 3.5%
ESP 500,000,000 Government of Spain, 10.25% due 11/30/98 3,948,565
ESP 500,000,000 Government of Spain, 10.90% due 8/30/03 3,954,147
7,902,712
SUPRANATIONAL - 0.9%
SEK 15,000,000 International Finance Corp, 10.63% due 9/20/99 2,085,702
SWEDEN - 4.8%
SEK 40,000,000 Kingdom of Sweden, 10.25% due 5/5/20 5,545,981
SEK 50,000,000 Kingdom of Sweden, 6.00% due 2/9/05 5,136,512
10,682,493
UNITED KINGDOM - 3.5%
GBP 4,160,000 Guaranteed Export Financial Corp., 12.88% due 9/29/02 7,939,323
UNITED STATES - 19.2%
ASSET BACKED SECURITIES - 14.8%
USD 4,000,000 Discover Card Master Trust I 94-2 Class A, Variable Rate, 6.15% due 10/16/04 4,028,436
USD 5,000,000 First USA Credit Card Master Trust 95-2 Class A, Variable Rate, 6.12% due 10/15/04 5,021,875
USD 1,950,000 Keycorp Student Loan Trust 94-B Certificates, Variable Rate, 6.67% due 11/25/21 1,953,656
USD 10,500,000 MBNA Master Credit Card Trust 94-C Class A, Variable Rate, 6.13% due 03/15/04 10,519,688
USD 6,892,000 Oakwood Mortgage Investors Inc 95-A Class A4, 7.70% due 9/15/20 6,805,850
USD 2,200,000 SMS Student Loan 94-A, Variable Rate, 6.84% due 7/26/21 2,202,750
USD 2,620,000 SMS Student Loan Trust 94-B Certificates, Variable Rate, 6.69% due 10/25/23 2,629,825
33,162,080
CORPORATE OBLIGATIONS - 1.5%
USD 3,000,000 New England Telephone & Telegraph, 7.88% due 11/15/29 3,255,708
STRUCTURED NOTES - 2.9%
USD 2,000,000 Bankers Trust Medium Term Note, 17.10% due 10/14/97 (b) 2,211,600
USD 4,500,000 Toyota Motor Credit, Variable Rate, 1.54% due 7/28/96 (c) 4,320,000
6,531,600
TOTAL UNITED STATES 42,949,388
VENEZUELA - 0.9%
USD 3,000,000 Republic of Venezuela FLIRB Series B, Variable Rate,
6 mo. LIBOR + 13/16 (7.00%) due 3/31/07 1,511,250
USD 1,000,000 Republic of Venezuela Discount Bond Series W-A, Variable Rate,
6 mo. LIBOR +13/16 (7.19%) due 3/31/20 523,750
2,035,000
TOTAL DEBT OBLIGATIONS (Cost $185,136,142) 195,063,812
LOAN PARTICIPATIONS - 0.8%
RUSSIA - 0.8%
ECU 1,000,000 Russia Vnesheconombank Promissory Note,
(Sub-participation with Bank of America, Illinois) * 357,504
FRF 25,000,000 Russia Vnesheconombank Syndicated Loan,
(Sub-participation with Chase Manhattan Bank) * 1,387,100
1,744,604
TOTAL LOAN PARTICIPATIONS (Cost $1,570,992) 1,744,604
PRINCIPAL AMOUNT
OF CONTRACTS CALL OPTIONS PURCHASED - 1.4%
(000'S OMITTED) CROSS CURRENCY OPTIONS - 0.0%
DEM 40,000 DEM Call / BEF Put, Expires 3/4/96 Strike 21.50 19,054
19,054
OPTIONS ON BONDS - 0.9%
USD 6,000 Brazil Par Bond 4.00%, Expires 10/16/95 Strike 30.00 889,614
USD 8,000 Brazil Par Bond 4.00%, Expires 10/16/95 Strike 29.50 1,225,848
2,115,462
OPTIONS ON CURRENCY - 0.5%
USD 15,000 French Francs, Expires 12/19/95 Strike 4.94 214,500
USD 18,000 French Francs, Expires 5/28/96 Strike 5.17 895,500
1,110,000
TOTAL CALL OPTIONS PURCHASED (Cost $2,268,580) 3,244,516
PUT OPTIONS PURCHASED - 3.1%
OPTIONS ON BONDS - 0.1%
USD 7,600 Brazil IDU, Brady Bond, Expires 10/27/95 Strike 78.63 30,400
USD 4,750 Brazil IDU, Brady Bond, Expires 11/15/95 Strike 79.44 23,750
USD 2,850 Brazil IDU, Brady Bond, Expires 11/20/95 Strike 80.31 25,080
USD 2,850 Brazil IDU, Brady Bond, Expires 11/21/95 Strike 80.13 23,655
USD 8,550 Brazil IDU, Brady Bond, Expires 11/9/95 Strike 77.94 29,104
131,989
OPTIONS ON CURRENCY - 3.0%
DEM 24,000 DEM Put/ ITL Call, Expires 10/10/95 Strike 1,131.00 385,437
USD 15,000 French Francs, Expires 12/19/95 Strike 4.94 522,000
USD 18,000 French Francs, Expires 5/28/96 Strike 5.17 440,100
JPY 3,000,000 Japanese Yen, Expires 4/18/96 Strike 86.00 3,464,010
JPY 3,000,000 Japanese Yen, Expires 4/30/96 Strike 92.00 1,880,550
6,692,097
TOTAL PUT OPTIONS PURCHASED (Cost $2,576,625) 6,824,086
SHARES RIGHTS AND WARRANTS - 0.0%
MEXICO - 0.0%
7,221,000 Mexico Value Recovery Series Rights, Expires 6/30/03 -
VENEZUELA - 0.0%
5,000 Republic of Venezuela Warrants, Expires 4/15/20 -
TOTAL RIGHTS AND WARRANTS (Cost $0) -
SHORT-TERM INVESTMENTS - 5.7%
REPURCHASE AGREEMENT - 4.0%
USD 9,018,169 Salomon Brothers
Repurchase Agreement, dated
8/31/95, due 9/1/95, with a
maturity value of $9,019,497
and an effective yield of
5.30%, collateralized by
U.S. Treasury Obligations
with rates ranging from
6.25% to 6.50%, with
maturity dates ranging from
4/30/97 to 8/15/23 and with
an aggregate market
value of $9,212,949. 9,018,169
U.S. GOVERNMENT - 1.7%
USD 4,000,000 U. S. Treasury Bill, 5.41% due 5/30/96 (a) 3,837,100
TOTAL SHORT-TERM INVESTMENTS (Cost $12,858,973) 12,855,269
TOTAL INVESTMENTS - 98.1%
(Cost $204,411,312) * * 219,732,287
Other Assets and Liabilities (net) - 1.9% 4,193,788
TOTAL NET ASSETS - 100.0% $ 223,926,075
NOTES TO THE SCHEDULE OF INVESTMENTS:
(a) This security is held as collateral for open futures contracts.
(b) Principal is linked to the value of the Brazilian Capitalization Bond and the
Brazilian IDU Bond.
(c) Interest rate linked to changes in the 3 year Danish Krone swap rate.
* Non-performing. Borrower not currently paying interest.
Variable rates - The rates shown on variable rate notes
are the current interest rates at August 31,
1995, which are subject to change based on the
terms of the security.
* * The aggregate identified cost for federal
income tax purposes is $204,411,312, resulting in
gross unrealized appreciation and depreciation of
$16,816,868 and $1,495,893, respectively, and net
unrealized appreciation of $15,320,975.
The principal amount of each security is stated in the
currency in which the security is denominated.
AGP - Argentinian Peso FRF - French Franc
CAD - Canadian Dollar GBP - British Pound Sterling
DEM - German Mark JPY - Japanese Yen
DKK - Danish Krone SAR - South African Rand
ECU - European Currency Unit SEK - Swedish Krona
ESP - Spanish Peseta USD - United States Dollar
|
See accompanying notes to the financial statements.
GMO CURRENCY HEDGED INTERNATIONAL BOND FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - AUGUST 31, 1995 (UNAUDITED)
ASSETS:
Investments, at value (cost $191,552,339) (Note 1) $ 206,877,018
Short-term investments, at value (cost $12,858,973) (Note 1) 12,855,269
Foreign currency, at value (cost $418,949) (Note 1) 421,302
Receivable for investments sold 525,333
Receivable for Fund shares sold 11,600,000
Interest receivable 6,325,593
Receivable for open forward foreign currency contracts (Note 6) 6,702,024
Receivable for expenses waived or borne by Manager (Note 2) 44,286
Total assets 245,350,825
LIABILITIES:
Payable for investments purchased 15,479,828
Written options outstanding, at value (premiums $3,525,482) (Note 6) 1,902,354
Payable to brokers for open futures contracts (Note 1) 118,188
Payable for open forward foreign currency contracts (Note 6) 3,786,830
Payable to affiliate for management fee (Note 2) 85,815
Accrued expenses 51,735
Total liabilities 21,424,750
NET ASSETS (equivalent to $11.41 per share based
on 19,619,510 shares outstanding, unlimited shares authorized) $ 223,926,075
NET ASSETS CONSIST OF:
Paid-in capital $ 189,819,428
Accumulated undistributed net investment income 9,330,112
Accumulated undistributed net realized gain 4,507,319
Net unrealized appreciation 20,269,216
NET ASSETS $ 223,926,075
|
See accompanying notes to the financial statements.
GMO CURRENCY HEDGED INTERNATIONAL BOND FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - SIX MONTHS ENDED AUGUST 31, 1995 (UNAUDITED)
INVESTMENT INCOME:
Interest (including securities lending income of $5,388) $ 10,697,697
EXPENSES:
Management fee (Note 2) 581,119
Custodian and transfer agent fees 118,253
Audit fees 27,886
Legal fees 8,228
Registration fees 6,845
Insurance 1,100
Trustee fee (Note 2) 550
Miscellaneous 277
Total expenses 744,258
Less: expenses waived or borne by Manager (Note 2) (279,363)
Net expenses 464,895
Net investment income 10,232,802
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments 4,162,380
Closed futures contracts 2,990,990
Written options 460,816
Foreign currency, forward contracts and foreign
currency related transactions (3,108,932)
Net realized gain 4,505,254
Change in net unrealized appreciation (depreciation) on:
Investments 16,550,326
Open futures contracts 1,088,185
Written options 1,875,242
Foreign currency, forward contracts and foreign
currency related transactions 2,128,874
Net unrealized gain 21,642,627
Net realized and unrealized gain 26,147,881
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 36,380,683
|
See accompanying notes to the financial statements.
GMO CURRENCY HEDGED INTERNATIONAL BOND FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED
AUGUST 31, 1995 PERIOD ENDED
(UNAUDITED) FEBRUARY 28, 1995*
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 10,232,802 $ 5,175,342
Net realized gain (loss) 4,505,254 (998,046)
Change in net unrealized appreciation (depreciation) 21,642,627 (1,373,411)
Net increase in net assets resulting from operations 36,380,683 2,803,885
Distributions to shareholders from:
Net investment income (2,975,615) (2,089,096)
Net realized gains (35,020)
(3,010,635) (2,089,096)
Fund share transactions: (Note 5)
Proceeds from sale of shares 70,599,121 251,185,791
Net asset value of shares issued to shareholders
in payment of distributions declared 2,153,531 998,389
Cost of shares repurchased (120,861,063) (14,234,531)
Net increase (decrease) in net assets resulting
from Fund share transactions (48,108,411) 237,949,649
Total increase (decrease) in net assets (14,738,363) 238,664,438
NET ASSETS:
Beginning of period 238,664,438
End of period (including accumulated undistributed
net investment income of $9,330,112 and
$2,072,925, respectively) $ 223,926,075 $ 238,664,438
* Period from September 30, 1994 (commencement of operations) to February 28,
1995.
|
See accompanying notes to the financial statements.
GMO CURRENCY HEDGED INTERNATIONAL BOND FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
SIX MONTHS END PERIOD FROM SEPTEMBER 30, 1994
AUGUST 31, 1995 (COMMENCEMENT OF OPERATIONS)
(UNAUDITED) TO FEBRUARY 28, 1995
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.99 $ 10.00
Income from investment operations:
Net investment income (a) 0.56 0.24
Net realized and unrealized gain (loss) 1.03 (0.09)
Total from investment operations 1.59 0.15
Less distributions to shareholders:
From net investment income (0.17) (0.16)
From net realized gains (0.00)(c)
Total distributions (0.17) (0.16)
NET ASSET VALUE, END OF PERIOD $ 11.41 $ 9.99
TOTAL RETURN (B) 16.02% 1.49%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 223,926 $ 238,664
Net expenses to average
daily net assets (a) 0.40%* 0.40%*
Net investment income to average
daily net assets (a) 8.81%* 8.46%*
Portfolio turnover rate 57% 64%
* Annualized.
(a) Net of fees and expenses voluntarily waived or borne by the Manager of the following
per share amounts: $ 0.02 $ 0.01
(b) Calculation excludes subscription fees. The
total return would have been lower had certain
expenses not been waived during the period
shown.
(c) The per share capital gain distributions was $0.002 per share.
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See accompanying notes to the financial statements.
GMO CURRENCY HEDGED INTERNATIONAL BOND FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
AUGUST 31, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO Currency Hedged International Bond Fund (the "Fund") is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, non-diversified management investment company. The Trust was established as a Massachusetts Business Trust under the laws of the Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees to create an unlimited number of series ("Funds"), each of which issues a separate series of shares. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market quotations are available are valued at the last quoted sale price on each business day, or if there is no such reported sale, at the most recent quoted bid price. Unlisted securities for which market quotations are readily available are valued at the most recent quoted bid price. Securities which are primarily traded on foreign exchanges are generally valued at the preceding closing values of such securities on their respective exchanges, and those values are then translated into U.S. dollars at the current exchange rate. Short-term investments with a remaining maturity of sixty days or less are valued at amortized cost which approximates market value. Other assets and securities for which no quotations are readily available are valued in good faith by the Trustees.
FOREIGN CURRENCY TRANSLATION
The accounting records of the Fund are maintained in U.S. dollars. The market values of foreign securities, currency holdings and other assets and liabilities are translated to U.S. dollars based on the prevailing exchange rates each business day. Income and expenses denominated in foreign currencies are translated at prevailing exchange rates when accrued or incurred. The Fund does not isolate realized and unrealized gains and losses attributable to changes in exchange rates from gains and losses that arise from changes in the market value of investments. Such fluctuations are included with net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net exchange gains and losses on disposition of foreign currencies and the difference between the amount of investment income and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent amounts actually received or paid.
FUTURES CONTRACTS
The Fund may use futures contracts to manage its exposure to the bond and currency markets. Buying futures tends to increase the Fund's exposure to the underlying instrument. Selling futures tends to decrease the Fund's exposure to the underlying instrument or hedge other Fund instruments. Upon purchase of a futures contract, the Fund is required to deposit with its custodian, in a segregated account in the name of the futures broker, an amount of cash or U.S. government obligations in accordance with the initial margin requirements of the broker. Futures contracts are marked to market daily and an appropriate payable or receivable for the change in value ("variation margin") is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Losses may arise from the changes in the value of the underlying instrument, if there is an illiquid secondary market for the contracts, or if counterparties do not perform under the contract terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. See Note 6 for all open futures contracts held as of August 31, 1995.
FORWARD CURRENCY CONTRACTS
The Fund may enter into forward currency contracts and forward cross currency contracts in connection with settling planned purchases or sales of securities or to hedge the currency exposure associated with some or all of the Fund's portfolio securities. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The market value of a forward currency contract fluctuates with changes in forward currency exchange rates. Forward currency contracts are marked to market daily and the change in value is recorded by the Fund as an unrealized gain or loss. When a forward currency contract is extinguished, through delivery or offset by entering into another forward currency contract, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished or offset. These contracts may involve market risk in excess of the unrealized gain or loss reflected in the Fund's Statement of Assets and Liabilities. In addition, the Fund could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency changes unfavorably to the U.S. dollar. The U.S. dollar value of the currencies the Fund has committed to buy or sell is shown under Note 6 and represents the currency exposure the Fund has acquired or hedged through currency contracts as of August 31, 1995.
OPTIONS
The Fund may write call and put options on securities it owns or in which it may invest. When the Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the current value of the option written. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are offset against the proceeds or amounts paid on the transaction to determine the realized gain or loss. If a written put option is exercised, the premium reduces the cost basis of the securities purchased by the Fund. The Fund as a writer of an option has no control over whether the underlying securities may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the security underlying the written option. There is the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. See Note 6 for summary of all open written option contracts as of August 31, 1995.
The Fund may also purchase put and call options. The Fund pays a premium which is included in the Fund's Statement of Assets and Liabilities as an investment and subsequently marked to market to reflect the current value of the option. The risk associated with purchasing put and call options is limited to the premium paid.
In some cases, depending upon the executing broker, premiums on purchased and written options are not paid or received until the contracts expire or are closed or exercised. These contracts are marked to market daily, and the daily change in market value is paid to or received from the respective broker. A corresponding payable or receivable is recorded for the accumulated unrealized position received or paid. Upon settlement, the net payable or receivable for original premiums and accumulated unrealized gains and losses is paid to or received from the broker and a gain or loss is realized.
LOAN AGREEMENTS
The Fund may invest in loan agreements which are indirect interests in amounts owed by a corporate, governmental, or other borrower to lenders or lending syndicates. A loan is often administered by a bank or other financial institution (the lender) that acts as agent for all holders. The lender administers the terms of the loan, as specified in the loan agreement. The Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt by the lender of payments from the borrower. The Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, the Fund may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. In addition, if the Fund invests in the indebtedness of an emerging country, there is a risk that the governmental entities responsible for the repayment of the debt may be unable or unwilling to pay the principal and interest when due.
INDEXED SECURITIES
The Fund may invest in indexed securities whose redemption values and/or coupons are linked to the prices of other securities, securities indices, or other financial indicators. The Fund uses indexed securities to increase or decrease its exposure to different underlying instruments and to gain exposure to markets that may be difficult to invest in through conventional securities. Indexed securities may be more volatile than their underlying instruments, but any loss is limited to the amount of the original investment.
REPURCHASE AGREEMENTS
The Fund may enter into repurchase agreements with certain banks and broker/dealers whereby the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets remains sufficient to protect the Fund in the event of default by the seller. In connection with transactions in repurchase agreements, if the seller defaults and the value of the collateral declines or if the seller enters insolvency proceedings, realization of collateral by the Fund may be delayed or limited.
SECURITY LENDING
The Fund may lend its securities to certain member firms of the New York Stock Exchange. The loans are collateralized at all times with cash or securities with a market value at least equal to the market value of the securities on loan. As with other extensions of credit, the Fund may bear the risk of delay in recovery or even loss of rights in the collateral should the borrower fail financially. The Fund receives compensation for lending its securities. At August 31, 1995, the Fund had no securities on loan.
TAXES
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. It is the policy of the Fund to distribute all of its taxable income, including any net realized gain on investments not offset by loss carryovers, to shareholders within the prescribed time periods. Therefore, no provision for federal income or excise tax is necessary. Taxes on foreign interest and dividend income have been withheld in accordance with the applicable country's tax treaty with the United States.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment income and net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryover for federal income tax purposes. The Fund's present policy is to declare and pay distributions from net investment income semi-annually, and net realized short-term and long-term capital gains at least annually. All distributions will be paid in shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions.
Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences are primarily due to differing treatments for foreign currency transactions and redemptions in-kind.
Distributions in excess of tax basis earnings and profits will be reported in the Fund's financial statements as a return of capital. Furthermore, differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary over-distributions for financial statement purposes are classified as distributions in excess of net investment income or accumulated net realized gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Interest income is recorded on the accrual basis. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an individual Fund. Expenses which are not readily identifiable to a specific Fund are allocated in such a manner as deemed equitable by the Trustees, taking into consideration, among other things, the nature and type of expense and the relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is .15% of the amount invested. The Manager may waive such premium to the extent that a transaction results in minimal brokerage and transaction costs to the Fund. All purchase premiums are paid to and recorded as paid-in capital by the Fund. For the six months ended August 31, 1995, the Fund received $55,228 in purchase premiums. There is no premium for cash redemptions, reinvested distributions or in-kind transactions.
INVESTMENT RISK
There are certain additional risks involved in investing in foreign securities that are not inherent in investments of domestic securities. These risks may involve adverse political and economic developments and the possible imposition of currency exchange blockages or other foreign governmental laws or restrictions. In addition, the securities of some foreign companies and securities markets are less liquid and at times more volatile than securities of comparable U.S. companies and U.S. securities markets.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the "Manager"), for management and investment advisory services is paid monthly at the annual rate of .50% of average daily net assets. The Manager has agreed to waive a portion of its fee and bear other expenses until further notice to the extent that the Fund's annual expenses exceed .40% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee during the six months ended August 31, 1995, was $550. No remuneration is paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
For the six months ended August 31, 1995, purchases and sales of investments, other than short-term obligations, were as follows:
Purchases Sales
U.S. Government securities $ 3,002,813 $ 5,061,719
Investments (non-U.S. Government securities) 120,633,556 161,656,631
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4. PRINCIPAL SHAREHOLDERS
At August 31, 1995, 53% of the outstanding shares of the Fund were held by two shareholders, each holding in excess of 10% of the Fund's outstanding shares.
5. SHARE TRANSACTIONS
The Declaration of Trust permits Trustees to issue an unlimited number of
shares of beneficial interest (without par value). Transactions in Fund
shares were as follows:
Period from
Six Months Ended September 30, 1994
August 31, 1995 (Commencement of
(Unaudited) Operations) to February 28,
1995
Shares sold
6,414,653 25,227,397
Shares issued to shareholders in
reinvestment of distributions 198,117 101,052
Shares repurchased (10,878,710) (1,442,999)
Net increase (decrease)
(4,265,940) 23,885,450
Fund shares:
Beginning of period 23,885,450 --
End of period 19,619,510 23,885,450
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6. FINANCIAL INSTRUMENTS
A summary of outstanding financial instruments at August 31, 1995 is as follows:
FORWARD CURRENCY CONTRACTS
Net Unrealized
Settlement Units of In Exchange for Appreciation
Date Deliver/Receive Currency (in U.S. Dollars) (Depreciation)
Buys
10/02/95 Canadian Dollars 18,000,000 13,099,007 $ 296,442
9/01/95 French Francs 50,000,000 9,887,635 20,230
10/02/95 Great British Pounds 3,000,000 4,813,200 (169,396)
11/02/95 Italian Lira 9,000,000,000 5,598,756 (94,707)
9/26/95 Japanese Yen 2,650,000,000 28,975,392 (1,818,410)
$ (1,765,841)
Sales
9/07/95 Argentinian Pesos 3,000,000 2,992,668 $ (3,567)
9/19/95 Argentinian Pesos 2,043,740 2,000,000 (35,402)
9/22/95 Argentinian Pesos 2,500,000 2,427,184 (60,856)
10/16/95 Australian Dollars 5,000,000 3,697,000 (62,086)
10/02/95 Canadian Dollars 21,000,000 15,501,092 (126,931)
9/01/95 French Francs 50,000,000 10,464,411 556,546
11/30/95 French Francs 33,000,000 6,518,776 (21,125)
11/02/95 German Deutsche Marks 63,000,000 45,014,229 2,024,021
10/02/95 Great British Pounds 24,000,000 37,785,410 634,978
11/02/95 Italian Lira 9,000,000,000 5,496,015 (8,033)
9/26/95 Japanese Yen 500,000,000 5,969,997 846,038
9/05/95 Spanish Pesetas 54,500,000 433,779 (599)
11/02/95 Swedish Kronas 159,000,000 22,142,398 481,673
$ 4,224,657
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FORWARD CROSS CURRENCY CONTRACTS
Net Unrealized
Settlement Units of In Exchange for Appreciation
Date Deliver/Receive Currency (Depreciation)
9/20/95 Belgian Francs/ BEF 869,561,000 ECU 23,000,000 $ 536,277
European Currency
Units
11/06/95 French Francs/ FRF 96,255,750 ECU 15,000,000 85,056
European Currency
Units
9/07/95 German Deutsche Marks/ DEM 11,000,000 ITL 12,980,000,000 505,252
Italian Lira
9/07/95 German Deutsche Marks/ DEM 5,000,000 ITL 5,780,750,000 156,226
Italian Lira
10/04/95 German Deutsche Marks/ DEM 15,000,000 ECU 8,165,932 205,522
European Currency
Units
10/10/95 German Deutsche Marks/ DEM 30,000,000 FRF 103,602,900 79,606
French Francs
10/10/95 German Deutsche Marks/ DEM 15,000,000 ESP 1,294,875,000 57,108
Spanish Pesetas
10/12/95 German Deutsche Marks/ DEM 6,000,000 ITL 7,025,400,000 217,049
Italian Lira
9/7/95 Italian Lira/ ITL 25,137,000,000 DEM 21,000,000 (1,184,413)
German Deutsche Marks
10/12/95 Italian Lira/ ITL 27,004,440,000 DEM 24,000,000 (195,483)
German Deutsche Marks
11/17/95 Netherlands Guilders/ NLG 33,561,000 DEM 30,000,000 (3,729)
German Deutsche Marks
11/06/95 Swiss Francs/ CHF 3,276,840 DEM 4,000,000 (2,093)
German Deutsche Marks
$ 456,378
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FUTURES CONTRACTS
Net Unrealized
Number Appreciation
of Type Expiration Date Contract (Depreciation)
Contracts Value
Buys
75 Australian Dollar 10 year September 1995 6,598,560 $ 91,246 $
99 Australian Dollar 13 year September 1995 8,061,558 (12,010)
40 Canadian Government Bond September 1995 3,092,769 (4,229)
100 Italian 5 year Bond September 1995 15,743,660 220,749
44 Italian 10 year Bond September 1995 5,431,640 156,474
140 MATIF ECU Bond September 1995 16,014,986 281,169
10 U. K. Gilt September 1995 847,707 5,553
40 Greman Government Bond December 1995 6,430,795 8,309
10 Italian 10 year Bond December 1995 1,270,679 (19,843)
16 Japanese 10 year Govt. Bond December 1995 19,946,513 (26,500)
35 U.K. Gilt December 1995 2,868,014 10,068
$ 710,986
Sales
55 Swiss Government Bond September 1995 5,274,794 $ (74,855) $
120 Euro Dollars December 1995 28,284,000 17,100
112 MATIF December 1995 12,858,597 (16,167)
10 Swiss Govrnment Bond December 1995 890,347 (333)
145 U.S. Treasury Bond December 1995 16,348,750 (317,025)
$ (391,280)
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At August 31, 1995, the Fund has cash and/or securities to cover any margin requirements on open futures contracts.
WRITTEN OPTION TRANSACTIONS
Puts Calls
Numbers Numbers of
of Premiums Contracts Premiums
Contracts
Outstanding, beginning of 1 $ 103,386 30,000,000 $ 96,285
period
Options written 33,960,357 1,357,153 6,073,500,000 2,429,482
Options expired (9,460,358) (364,539) (30,000,000) (96,285)
Outstanding, end of period 24,500,000 $ 1,096,000 6,073,500,000 $ 2,429,482
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SUMMARY OF WRITTEN OPTIONS OUTSTANDING
Principal Amount
of Contracts Expiration
(000's omitted) Exercise Date Value
Price
CALLS
DEM Call/ITL Put 25,000 ITL 1,235 ITL 9/8/95 $ 1,700
DEM Call/ITL Put 24,000 ITL 1,219 ITL 10/10/95 1,634
Japanese Yen Call 3,000,000 JPY 68 JPY 4/18/96 6,120
Japanese Yen Call 3,000,000 JPY 68 JPY 4/30/96 7,650
Swiss Francs Call 12,000 CHF 1.17 CHF 5/28/96 518,400
Swiss Francs Call 12,500 CHF 1.15 CHF 12/19/95 170,000
$ 705,504
PUTS
Swiss Francs Put 12,000 CHF 1.17 CHF 5/28/96 $ 555,600
Swiss Francs Put 12,500 CHF 1.15 CHF 12/19/95 641,250
$ 1,196,850
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GMO EMERGING COUNTRY DEBT FUND
(A SERIES OF GMO TRUST)
SEMI-ANNUAL REPORT
AUGUST 31, 1995
GMO EMERGING COUNTRY DEBT FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
AUGUST 31, 1995 (UNAUDITED)
PAR VALUE DESCRIPTION VALUE ($)
DEBT OBLIGATIONS - 71.9%
ARGENTINA - 17.6%
AGP 45,670,000 Republic of Argentina Bocon - Pro 1, Variable Rate, Peso Deposit Rate 1 mo., due 4/1/07 21,693,250
USD 88,500,000 Republic of Argentina Bocon - Pro 2, Variable Rate, 1 mo. LIBOR, due 4/1/07 53,985,000
USD 4,000,000 Republic of Argentina Series L (Registered) FRB, Variable Rate, 6 mo. LIBOR + 13/16 (7.31%),
due 3/31/05 2,435,000
USD 20,000,000 Republic of Argentina Discount, Variable Rate, 6 mo. LIBOR + 13/16 (6.88%), due 3/31/23 11,350,000
89,463,250
BRAZIL - 11.9%
USD 500,000 Brazil Discount Series L (Registered), Variable Rate, 6 mo. LIBOR + 13/16 (7.31%),
due 4/15/12 258,125
USD 15,000,000 Brazil Exit, 6.00% due 9/15/13 7,350,000
USD 33,799,590 Republic of Brazil Capitalization Bond, 8.00% due 4/15/14 16,926,097
USD 26,180,859 Republic of Brazil Capitalization Bond (Registered), 8.00% due 4/15/14 12,506,362
USD 42,000,000 Republic of Brazil New Money Bond, Variable Rate, 6 mo. LIBOR + 13/16 (7.31%),
due 4/15/09 22,837,500
USD 1,079,000 Republic of Brazil Series L FLIRB, Variable Rate, 4.00% Step up, due 4/15/09 517,920
60,396,004
BULGARIA - 4.6%
USD 10,833,479 Bulgaria Discount Bond Series B, Variable Rate, 6 mo. LIBOR + 1 5/16 (7.25%),
due 7/28/24 5,416,740
USD 27,089,572 Bulgaria FLIRB Series B, Variable Rate, 2.50% Step up, due 7/28/12 6,975,565
USD 6,000,000 Bulgaria FLIRB Series A (Registered), Variable Rate, 2.00% Step up, due 7/28/12 1,545,000
USD 36,000,000 Bulgaria FLIRB Series A, Variable Rate, 2.00% Step up, due 7/28/12 9,270,000
23,207,305
CHINA - 0.4%
USD 2,000,000 Bank of China, 8.25% due 3/15/14
1,870,972
COSTA RICA - 1.8%
USD 2,482,392 Banco Central Costa Rica, Variable Rate, 3 mo. LIBOR + 13/16 (6.94%),
due 5/21/05 1,762,498
USD 5,000,000 Banco Central Costa Rica Par Bond A, 6.25% due 5/21/10 2,500,000
USD 7,371,952 Banco Central Costa Rica Series A, Variable Rate, 3 mo. LIBOR + 13/16 (6.94%),
due 5/21/05 5,307,805
9,570,303
DOMINICAN REPUBLIC - 1.5%
USD 16,057,000 Dominican Republic Discount, Variable Rate, 6 mo. LIBOR + 13/16 (6.88%), due 8/30/24 7,707,360
ECUADOR - 3.2%
USD 9,671,219 Republic of Ecuador PDI, Variable Rate, 3.00% Step up, due 2/27/15 (a) 3,118,968
USD 41,670,377 Republic of Ecuador PDI (Registered), Variable Rate, 3.00% Step up, due 2/27/15 13,020,809
16,139,777
HUNGARY - 0.3%
USD 2,095,000 National Bank of Hungary, 8.88% due 11/1/13 1,710,088
JORDAN - 3.6%
USD 19,250,000 Jordan Par, 4.00% Step up, due 12/23/23 8,181,246
USD 14,585,795 Jordan PDI, Variable Rate, 6 mo. LIBOR + 13/16 (6.69%), due 12/23/05 10,574,701
18,755,947
MEXICO - 9.1%
USD 22,500,000 Mexico Discount Bond Series A, Variable Rate, 6 mo. LIBOR + 13/16 (7.22%),
due 12/31/19 15,946,875
USD 5,000,000 Mexico Par Bond Series A, 6.25% due 12/31/19 3,025,000
USD 5,000,000 Mexico Par Bond Series B, 6.25% due 12/31/19 3,025,000
FRF 213,250,000 Mexico Par Bond, 6.63% due 12/31/19 23,531,661
CHF 1,500,000 Mexico Par Bond, 3.75% due 12/31/19 630,435
46,158,971
NETHERLANDS - 0.4%
USD 2,000,000 Indah Kiat International Finance, 12.50% due 6/15/06 2,040,000
NIGERIA - 1.3%
USD 15,000,000 Central Bank of Nigeria Par Bond, Variable Rate, 6.25% Step up, due 11/15/20 6,581,250
PAKISTAN - 0.5%
USD 2,500,000 Islamic Republic of Pakistan, 11.50% due 12/22/99 2,509,375
PHILIPPINES - 0.4%
USD 3,000,000 Central Bank of the Philippines Par, 5.75% Step up, due 12/1/17 (a) 2,201,250
POLAND - 2.2%
USD 5,000,000 Poland PDI, 3.25%, due 10/27/14 (a) 3,050,000
USD 10,000,000 Poland PDI (Registered), 3.25% due 10/27/14 6,000,000
USD 5,000,000 Poland PDI (Registered), Variable Rate, 2.75% Step up, due 10/27/24 2,162,500
11,212,500
SOUTH AFRICA - 2.2%
SAR 22,000,000 Republic of South Africa ESCOM #169, 15.00% due 10/1/98 5,972,442
SAR 22,000,000 Republic of South Africa Series R153, 13.00% due 8/31/10 5,050,413
11,022,855
SOUTH KOREA - 0.1%
USD 500,000 Korea Electric Power, 6.38% due 12/1/03 479,375
THAILAND - 0.1%
THB 15,000,000 Thai Military Bank, 6.75% due 2/28/97 566,391
TURKEY - 0.8%
GBP 2,900,000 Republic of Turkey, 9.00% due 10/27/03 3,829,762
URUGUAY - 1.0%
USD 7,500,000 Banco Central del Uruguay DCN, Variable Rate, 6 mo. LIBOR + 13/16 (6.75%),
due 2/18/07 5,100,000
UNITED STATES - 0.7%
Structured Notes - 0.7%
USD 3,000,000 Bankers Trust Medium Term Note, 17.10% due 10/14/97 (c) 3,317,400
TOTAL UNITED STATES 3,317,400
VENEZUELA - 8.2%
USD 19,993,000 Republic of Venezuela FLIRB Series A, Variable Rate, 6mo. LIBOR + 13/16 (7.00%),
due 3/31/07 10,059,009
USD 31,971,000 Republic of Venezuela FLIRB Series B, Variable Rate, 6mo. LIBOR + 13/16 (7.00%),
due 3/31/07 16,098,036
USD 28,330,000 Republic of Venezuela New Money Bond Series A, Variable Rate,
6mo. LIBOR + 13/16 (6.94%) due 12/18/05 12,996,391
FRF 1,670,000 Republic of Venezuela Par Bond, 7.71 % due 3/31/20 151,811
USD 1,000,000 Republic of Venezuela Discount Bond Series W-A, Variable Rate,
6 mo. LIBOR + 13/16 (7.19%), due 3/31/20 523,750
USD 3,000,000 Republic of Venezuela Discount Bond Series B, Variable Rate,
USD 3,000,000 6 mo. LIBOR + 13/16 (6.94%), due 3/31/20 1,571,250
41,400,247
TOTAL DEBT OBLIGATIONS (Cost $ 339,225,808) 365,240,382
LOAN PARTICIPATIONS - 16.2%
ALGERIA - 1.0%
FRF 75,000,000 Banque Exterieure d'Algerie Unrestructured Loan, LIBOR + 1.25%,
(Sub participation with Salomon) 5,053,007
CAMEROON - 0.3%
NLG 28,052,902 United Republic of Cameroon Syndicated Loan (Sub-participation with Bank of America
and Salomon) * 1,620,372
CHILE - 0.9%
JPY 463,687,933 Banco del Estado de Chile Syndicated Loan (Sub-participation with Citicorp) 4,414,385
IVORY COAST - 2.2%
FRF 1,150,000 Ivory Coast Syndicated Loan (Sub-participation with Salomon) * 26,206
JPY 12,886,580 Ivory Coast Syndicated Loan (Sub-participation with Salomon) * 15,130
USD 1,641,700 Ivory Coast Syndicated Loan (Sub-participation with Salomon) * 188,795
DEM 361,735 Ivory Coast Syndicated Loan (Sub-participation with Salomon) * 28,309
JPY 214,145,671 Ivory Coast Syndicated Loan (Sub-participation with Salomon) * 251,422
SDR 2,974,383 Ivory Coast Syndicated Loan (Sub-participation with Salomon) * 510,516
JPY 201,259,091 Ivory Coast Syndicated Loan (Sub-participation with Salomon) * 236,292
BEF 18,333,554 Ivory Coast Syndicated Loan (Sub-participation with Salomon) * 69,850
FRF 322,149,632 Ivory Coast Syndicated Loan, (Sub-participation with Bank of America, Illinois,
Banque Paribas and Morgan Stanley) * 9,894,619
11,221,139
JAMAICA - 1.2%
USD 9,000,000 Republic of Jamaica Syndicated Loan Tranche B, LIBOR + 13/16,
(Sub-participation with Chase Manhattan Bank and Salomon) 5,850,000
MEXICO - 0.2%
CHF 1,671,811 Petroleos Mexicanos Combined Multi-Year Restructure Agreement of the
United Mexican States, LIBOR + 13/16, (Sub-participation with Salomon) 901,059
MOROCCO - 3.6%
JPY 384,300,844 Kingdom of Morocco Consolidated Tranche A Loans, Prime + 0.2175%,
(Sub Participation with J.P. Morgan) 1,922,485
JPY 2,440,061,143 Kingdom of Morocco Consolidated Tranche A Loans, Yen LIBOR + 0.1175%,
(Sub Participation with Bankers Trust and J.P. Morgan) 12,206,533
USD 7,000,000 Kingdom of Morocco Registered Loan Agreement Tranche A, LIBOR + 13/16,
(Sub-participation with Banque Paribas) 4,261,250
18,390,268
NIGERIA - 1.0%
USD 15,000,000 Nigeria Promissory Notes (Sub-participation with J.P. Morgan and Salomon) 5,175,000
PANAMA - 0.9%
USD 5,000,000 Republic of Panama Syndicated Loan (Sub-participation with Chase Manhattan Bank) * 2,700,000
JPY 386,232,904 Republic of Panama Syndicated Loan (Sub-participation with Chase Manhattan Bank) * 1,873,003
4,573,003
RUSSIA - 4.9%
ECU 6,500,000 Russia Vnesheconombank Promissory Note (Sub-participation with
Bank of America, Illinois, and Chase Manhattan Bank) * 2,323,776
GBP 6,000,000 Russia Vnesheconombank Syndicated Loan (Sub-participation with Bank of America) * 2,602,488
FRF 299,221,000 Russia Vnesheconombank Syndicated Loan (Sub-participation with
Bank of America, Illinois, Banque Paribas and Chase Manhattan Bank) * 16,601,978
NLG 13,276,991 Russia Vnesheconombank Syndicated Loan (Sub-participation with Chase Manhattan Bank
and J.P. Morgan) * 2,098,874
CHF 5,000,000 Russia Vnesheconombank Syndicated Loan (Sub-participation with Chase Manhattan Bank) * 1,160,862
24,787,978
TOTAL LOAN PARTICIPATIONS (Cost $79,765,564) 81,986,211
PRINCIPAL AMOUNT
OF CONTRACTS CALL OPTIONS PURCHASED - 8.9%
(000's omitted) OPTIONS ON BONDS - 8.9%
USD 22,000 Brazil Discount Z, Variable Rate, 6 mo. LIBOR + 13/16 (7.25%),
Expires 11/6/95 Strike 49.13 1,738,000
USD 56,500 Brazil Par Bond, 4.00%, Expires 10/16/95 Strike 30.00 8,377,199
USD 60,000 Brazil Par Bond, 4.00%, Expires 10/16/95 Strike 29.50 9,193,860
USD 100,000 Brazil Par Series Y3, 4.00%, Expires 10/16/95 Strike 30.00 14,826,900
USD 37,500 Mexico Discount Bond, Variable Rate, 6 mo. LIBOR + 13/16 (7.22%),
Expires 10/31/95 Strike 55.00 5,817,038
USD 26,500 Mexico Par Bond 6.25%, Expires 1/08/96 Strike 54.00 1,526,665
USD 25,000 Mexico Par Bond, 6.25%, Expires 10/25/95 Strike 45.00 3,759,550
45,239,212
TOTAL CALL OPTIONS PURCHASED (Cost $25,444,588) 45,239,212
PUT OPTIONS PURCHASED - 0.0%
OPTIONS ON BONDS - 0.0%
USD 9,500 Brazil IDU, Brady Bond, Expires 10/27/95 Strike 78.63 38,000
USD 4,750 Brazil IDU, Brady Bond, Expires 11/15/95 Strike 79.44 23,750
USD 3,800 Brazil IDU, Brady Bond, Expires 11/20/95 Strike 80.31 33,440
USD 3,800 Brazil IDU, Brady Bond, Expires 11/21/95 Strike 80.13 31,540
USD 9,500 Brazil IDU, Brady Bond, Expires 11/9/95 Strike 77.94 32,338
159,068
TOTAL PUT OPTIONS PURCHASED (Cost $319,485) 159,068
Shares RIGHTS AND WARRANTS - 0.0%
MEXICO - 0.0%
70,453,000 Mexico Value Recovery, Series Rights, Expires 6/30/03 -
NIGERIA - 0.0%
15,000 Central Bank of Nigeria Warrants, Expires 11/15/20 -
VENEZUELA - 0.0%
28,350 Republic of Venezuela Warrants, Expires 4/15/20 -
TOTAL RIGHTS AND WARRANTS (Cost $0) -
Par Value SHORT-TERM INVESTMENTS - 7.9%
Cash Equivalents - 1.7%
USD 4,670,144 Bank of Boston Time Deposit, 5.95% due 9/1/95 4,670,144
USD 801,522 Dreyfus Cash Management Money Market Fund Plus, A Shares 801,522
USD 720,417 Fleet Bank of Massachusetts Time Deposit, 5.95% due 9/1/95 720,417
USD 720,417 National Westminster Time Deposit, 5.95% due 9/1/95 720,417
USD 2,000,000 Prudential Securities Group, Inc. Master Note, 5.95% due 9/1/95 2,000,000
8,912,500
REPURCHASE AGREEMENTS - 5.9%
USD 25,117,239 Salomon Brothers Repurchase Agreement, dated 8/31/95,
due 9/1/95, with a maturity value of $25,120,937 and an
effective yield of 5.30%, collateralized by U.S. Treasury
Obligations with rates ranging from 6.25% to 6.50%, with maturity dates
ranging from 4/30/97 to 8/15/23 and with an aggregate market
value of $25,659,736. 25,117,239
USD 4,832,254 Prudential Bache Securities, Inc. Repurchase Agreement
dated 2/28/95, due 3/1/95, with a maturity value of $4,832,974
and an effective yield of 5.75%, collateralized by U.S. Government
Agency Obligations with rates ranging from 3.64% to 11.62% and
maturities ranging from 5/1/00 to 10/25/24, with an aggregate market
value of $4,928,899. 4,832,254
29,949,493
U.S. GOVERNMENT - 0.3%
USD 1,500,000 U. S. Treasury Bill, 5.41% due 5/30/96 (b)
1,438,913
TOTAL SHORT-TERM INVESTMENTS (Cost $40,303,060) 40,300,906
TOTAL INVESTMENTS - 104.9%
(Cost $485,058,505) * * 532,925,779
Other Assets and Liabilities (net) - (4.9%) (25,121,553)
TOTAL NET ASSETS - 100.0% $ 507,804,226
See accompanying notes to the financial statements.
Notes to the Schedule of Investments:
(a) All or a portion of this security is on loan.
(b) This security is held as collateral for open futures contracts.
(c) Principal is linked to the value of the Brazilian Capitalization Bond and the
Brazilian IDU Bond.
VariableRates - The rates shown on variable rate notes are the current interest
rates at August 31, 1995, which are subject to change based on the terms
of the security.
* Non-performing. Borrower not currently paying interest.
* * The aggregate identified cost for federal income tax purposes is $485,058,505,
resulting in gross unrealized appreciation and depreciation of $52,524,539
and $4,657,265, respectively, and net unrealized appreciation of $47,867,274.
The principal amount of each security is stated in the currency
in which the security is denominated.
AGP - Argentinian Peso JPY - Japanese Yen
BEF - Belgian Franc NLG - Netherlands Guilder
CHF - Swiss Franc SAR - South African Rand
DEM - German Mark SDR - Special Drawing Rights
ECU - European Currency Unit THB - Thai Baht
FRF - French Franc USD - United States Dollar
GBP - British Pound Sterling
See accompanying notes to the financial statements.
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GMO EMERGING COUNTRY DEBT FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - AUGUST 31, 1995 (UNAUDITED)
ASSETS:
Investments, at value (cost $444,755,445) (Note 1) $ 492,624,873
Short-term investments, at value (cost $40,303,060) (Note 1) 40,300,906
Foreign currency, at value (cost $267,799) (Note 1) 264,450
Receivable for investments sold 6,079,202
Interest receivable 10,415,634
Receivable for open forward foreign currency contracts (Note 6) 4,104,196
Receivable for expenses waived or borne by Manager (Note 2) 76,508
Total assets 553,865,769
LIABILITIES:
Payable for investments purchased 36,525,178
Payable upon return of securities loaned (Note 1) 8,905,746
Payable to brokers for open futures contracts (Note 1) 84,939
Payable for open forward foreign currency contracts (Note 6) 232,673
Payable to affiliate for management fee (Note 2) 205,514
Accrued expenses 107,493
Total liabilities 46,061,543
NET ASSETS (equivalent to $10.91 per share based
on 46,553,536 shares outstanding, unlimited shares authorized) $ 507,804,226
NET ASSETS CONSIST OF:
Paid-in capital $ 431,280,634
Accumulated undistributed net investment income 29,886,155
Accumulated net realized loss (5,746,027)
Net unrealized appreciation 52,383,464
NET ASSETS $ 507,804,226
See accompanying notes to the financial statements.
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GMO EMERGING COUNTRY DEBT FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - SIX MONTHS ENDED AUGUST 31, 1995 (UNAUDITED)
INVESTMENT INCOME:
Interest (including securities lending income of $73,514) $ 31,969,973
EXPENSES:
Management fee (Note 2) 1,046,340
Custodian and transfer agent fees 230,956
Audit fees 24,844
Registration fees 16,400
Legal fees 14,919
Insurance 1,832
Trustee fee (Note 2) 825
Miscellaneous 461
Total expenses 1,336,577
Less: expenses waived or borne by Manager (Note 2) (290,237)
Net expenses 1,046,340
Net investment income 30,923,633
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments 7,041,777
Closed futures contracts (1,970,072)
Written options 497,942
Foreign currency, forward contracts and foreign
currency related transactions (3,571,548)
Net realized gain 1,998,099
Change in net unrealized appreciation (depreciation) on:
Investments 77,652,151
Open futures contracts 320,235
Written options 504,227
Foreign currency, forward contracts and foreign
currency related transactions 5,771,062
Net unrealized gain 84,247,675
Net realized and unrealized gain 86,245,774
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 117,169,407
See accompanying notes to the financial statements.
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GMO EMERGING COUNTRY DEBT FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED
AUGUST 31, 1995 PERIOD ENDED
(UNAUDITED) FEBRUARY 28, 1995*
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 30,923,633 $ 8,832,634
Net realized gain (loss) 1,998,099 (6,189,201)
Change in net unrealized appreciation (depreciation) 84,247,675 (31,864,211)
Net increase (decrease) in net assets resulting from operations 117,169,407 (29,220,778)
Distributions to shareholders from:
Net investment income (3,395,584) (6,479,050)
In excess of net realized gain (1,550,403)
(3,395,584) (8,029,453)
Fund share transactions: (Note 5)
Proceeds from sale of shares 242,597,879 277,027,720
Net asset value of shares issued to shareholders
in payment of distributions declared 2,126,818 5,095,310
Cost of shares repurchased (94,145,638) (1,421,455)
Net increase in net assets resulting
from Fund share transactions 150,579,059 280,701,575
Total increase in net assets 264,352,882 243,451,344
NET ASSETS:
Beginning of period 243,451,344 -
End of period (including accumulated undistributed
net investment income of $29,886,155 and
$2,358,106, respectively) $ 507,804,226 $ 243,451,344
* Period from April 19, 1995 (Commencement of Operations) to February 28, 1995.
See accompanying notes to the financial statements.
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GMO EMERGING COUNTRY DEBT FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
SIX MONTHS ENDED PERIOD FROM APRIL 19, 1994
AUGUST 31, 1995 (COMMENCEMENT OF OPERATIONS)
(UNAUDITED) TO FEBRUARY 28, 1995
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.39 $ 10.00
Income from investment operations:
Net investment income (a) 0.64 0.48
Net realized and unrealized gain (loss) 1.96 (1.59)
Total from investment operations 2.60 (1.11)
Less distributions to shareholders:
From net investment income (0.08) (0.40)
In excess of net realized gains - (0.10)
Total distributions (0.08) (0.50)
NET ASSET VALUE, END OF PERIOD $ 10.91 $ 8.39
TOTAL RETURN (B) 30.99% (11.65%)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 507,804 $ 243,451
Net expenses to average
daily net assets (a) 0.50%* 0.50%*
Net investment income to average
daily net assets (a) 14.73%* 10.57%*
Portfolio turnover rate 89% 104%
* Annualized.
(a) Net of fees and expenses voluntarily waived or borne by the Manager of the following
per share amounts: $ 0.01 $ 0.01
(b) Calculation excludes subscription fees.
The total return would have been lower
had certain expenses not been waived
during the period shown.
See accompanying noteS to the financial statements.
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GMO EMERGING COUNTRY DEBT FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
AUGUST 31, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO Emerging Country Debt Fund (the "Fund") is a series of GMO Trust (the "Trust"). The Fund is registered under the Investment Company Act of 1940, as amended, as an open-end, non-diversified management investment company. The Trust was established as a Massachusetts Business Trust under the laws of the Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees to create an unlimited number of series ("Funds"), each of which issues a separate series of shares. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market quotations are available are valued at the last quoted sale price on each business day, or if there is no such reported sale, at the most recent quoted bid price. Unlisted securities for which market quotations are readily available are valued at the most recent quoted bid price. Securities which are primarily traded on foreign exchanges are generally valued at the preceding closing values of such securities on their respective exchanges, and those values are then translated into U.S. dollars at the current exchange rate. Short-term investments with a remaining maturity of sixty days or less are valued at amortized cost which approximates market value. Other assets and securities for which no quotations are readily available are valued in good faith by the Trustees.
FOREIGN CURRENCY TRANSLATION
The accountingrecords of the Fund are maintained in U.S. dollars. The market values of foreign securities, currency holdings and other assets and liabilities are translated to U.S. dollars based on the prevailing exchange rates each business day. Income and expenses denominated in foreign currencies are translated at prevailing exchange rates when accrued or incurred. The Fund does not isolate realized and unrealized gains and losses attributable to changes in exchange rates from gains and losses that arise from changes in the market value of investments. Such fluctuations are included with net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net exchange gains and losses on disposition of foreign currencies and the difference between the amount of investment income and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent amounts actually received or paid.
FUTURES CONTRACTS
The Fund may use futures contracts to manage its exposure to the bond and currency markets. Buying futures tends to increase the Fund's exposure to the underlying instrument. Selling futures tends to decrease the Fund's exposure to the underlying instrument or hedge other Fund instruments. Upon purchase of a futures contract, the Fund is required to deposit with its custodian, in a segregated account in the name of the futures broker, an amount of cash or U.S. government obligations in accordance with the initial margin requirements of the broker. Futures contracts are marked to market daily and an appropriate payable or receivable for the change in value ("variation margin") is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Losses may arise from the changes in the value of the underlying instrument, if there is an illiquid secondary market for the contracts, or if counterparties do not perform under the contract terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. See Note 6 for all open futures contracts held as of August 31, 1995.
FORWARD CURRENCY CONTRACTS
The Fund may enter into forward currency contracts in connection with settling planned purchases or sales of securities or to hedge the currency exposure associated with some or all of the Fund's portfolio securities. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The market value of a forward currency contract fluctuates with changes in forward currency exchange rates. Forward currency contracts are marked to market daily and the change in value is recorded by the Fund as an unrealized gain or loss. When a forward currency contract is extinguished, through delivery or offset by entering into another forward currency contract, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished or offset. These contracts may involve market risk in excess of the unrealized gain or loss reflected in the Fund's Statement of Assets and Liabilities. In addition, the Fund could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency changes unfavorably to the U.S. dollar. The U.S. dollar value of the currencies the Fund has committed to buy or sell is shown under Note 6 and represents the currency exposure the Fund has acquired or hedged through currency contracts as of August 31, 1995.
OPTIONS
The Fund may write call and put options on securities it owns or in which it may invest. When the Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the current value of the option written. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are offset against the proceeds or amounts paid on the transaction to determine the realized gain or loss. If a written put option is exercised, the premium reduces the cost basis of the securities purchased by the Fund. The Fund as a writer of an option has no control over whether the underlying securities may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the security underlying the written option. There is the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. There were no outstanding written option contracts as of August 31, 1995.
The Fund may also purchase put and call options. The Fund pays a premium which is included in the Fund's Statement of Assets and Liabilities as an investment and subsequently marked to market to reflect the current value of the option. The risk associated with purchasing put and call options is limited to the premium paid.
In some cases, depending upon the executing broker, premiums on purchased and written options are not paid or received until the contracts expire or are closed or exercised. These contracts are marked to market daily, and the daily change in market value is paid to or received from the respective broker. A corresponding payable or receivable is recorded for the accumulated unrealized position received or paid. Upon settlement, the net payable or receivable for original premiums and accumulated unrealized gains and losses is paid to or received from the broker and a gain or loss is realized.
LOAN AGREEMENTS
The Fund may invest in loan agreements which are indirect interests in amounts owed by a corporate, governmental, or other borrower to lenders or lending syndicates. A loan is often administered by a bank or other financial institution (the lender) that acts as agent for all holders. The lender administers the terms of the loan, as specified in the loan agreement. The Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt by the lender of payments from the borrower. The Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, the Fund may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. In addition, if the Fund invests in the indebtedness of an emerging country, there is a risk that the governmental entities responsible for the repayment of the debt may be unable, or unwilling to pay the principal and interest when due.
INDEXED SECURITIES
The Fund may invest in indexed securities whose redemption values and/or coupons are linked to the prices of other securities, securities indices, or other financial indicators. The Fund uses indexed securities to increase or decrease its exposure to different underlying instruments and to gain exposure to markets that may be difficult to invest in through conventional securities. Indexed securities may be more volatile than their underlying instruments, but any loss is limited to the amount of the original investment.
REPURCHASE AGREEMENTS
The Fund may enter into repurchase agreements with certain banks and broker/dealers whereby the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets remains sufficient to protect the Fund in the event of default by the seller. In connection with transactions in repurchase agreements, if the seller defaults and the value of the collateral declines or if the seller enters insolvency proceedings, realization of collateral by the Fund may be delayed or limited.
SECURITY LENDING
The Fund may lend its securities to certain member firms of the New York Stock Exchange. The loans are collateralized at all times with cash or securities with a market value at least equal to the market value of the securities on loan. As with other extensions of credit, the Fund may bear the risk of delay in recovery or even loss of rights in the collateral should the borrower of the securities fail financially. The Fund receives compensation for lending its securities. At August 31, 1995, the Fund loaned securities having a market value of $8,476,250, collateralized by cash in the amount of $8,912,500, which was invested in short-term instruments.
TAXES
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. It is the policy of the Fund to distribute all of its taxable income, including any net realized gain on investments not offset by loss carryovers, to shareholders within the prescribed time periods. Therefore, no provision for federal income or excise tax is necessary. Taxes on foreign interest income have been withheld in accordance with the applicable country's tax treaty with the United States.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment income and net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryover for federal income tax purposes. The Fund's present policy is to declare and pay distributions from net investment income semi-annually, and net realized short-term and long-term capital gains at least annually. All distributions will be paid in shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions.
Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences are primarily due to differing treatments for foreign currency transactions.
Distributions in excess of tax basis earnings and profits will be reported in the Fund's financial statements as a return of capital. Furthermore, differences in the recognition or classification of income between the financial statements and tax earnings and profits which result in temporary over-distributions for financial statement purposes are classified as distributions in excess of net investment income or accumulated net realized gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Interest income is recorded on the accrual basis. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis. Premium and market discounts are amortized or accreted.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an individual Fund. Expenses which are not readily identifiable to a specific Fund are allocated in such manner as deemed equitable by the Trustees, taking into consideration, among other things, the nature and type of expense and the relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is .50% of the amount invested. Effective with shares acquired on or after July 1, 1995, the premium on cash redemptions is .25% of the amount redeemed. The Manager may waive such premium to the extent that a transaction results in minimal brokerage and transaction costs to the Fund. All purchase and redemption premiums are paid to and recorded as paid-in capital by the Fund. For the six months ended August 31, 1995, the Fund received $989,869 in purchase premiums and no redemption premiums. There is no premium for reinvested distributions or in-kind transactions.
INVESTMENT RISK
There are certain additional risks involved in investing in foreign securities that are not inherent in investments in domestic securities. These risks may involve adverse political and economic developments and the possible imposition of currency exchange blockages or other foreign governmental laws or restrictions. In addition, the securities of some foreign companies and securities markets are less liquid and at times more volatile than securities of comparable U.S. companies and U.S. securities markets.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the "Manager"), for management and investment advisory services is paid monthly at the annual rate of .50% of average daily net assets. The Manager has agreed to waive a portion of its fee and bear other expenses until further notice to the extent that the Fund's annual expenses exceed .50% of average daily net assets.
3. PURCHASES AND SALES OF SECURITIES
For the six months ended August 31, 1995, purchases and sales of investments, other than short-term obligations, were as follows:
Purchases Sales
U.S. Government securities $ __ $ 8,098,984
Investments (non-U.S. Government securities) 464,644,751 322,570,040
|
4. PRINCIPAL SHAREHOLDERS At August 31, 1995, 29% of the outstanding shares of the Fund were held by two shareholders, each holding in excess of 10% of the Fund's outstanding shares.
5. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number
shares of beneficial interest (without par value). Transactions in Fund
shares were as follows:
Six Months Ended Period from April 19, 1994
August 31, 1995 (commencement of operations) to
(Unaudited) February 28, 1995
Shares sold 26,445,537 28,628,219
Shares issued to shareholders in reinvestment
of distributions 201,023 549,064
Shares repurchased (9,117,813) (152,494)
Net increase 17,528,747 29,024,789
Fund shares:
Beginning of period 29,024,789 __
End of period 46,553,536 29,024,789
|
6. FINANCIAL INSTRUMENTS A summary of outstanding financial instruments at August 31, 1995 is as follows:
FORWARD CURRENCY CONTRACTS
Net Unrealized
Units In Exchange for Appreciation
Settlement Date Deliver/Receive of Currency (in U.S. Dollars) (Depreciation)
Buys
9/1/95 French Francs 1,795,000 $ 354,358 $ 1,335
Sales
9/7/95 Argentinian Pesos 4,000,000 $ 3,990,224 $ (4,756)
9/19/95 Argentinian Pesos 6,131,220 6,000,000 (106,205)
9/22/95 Argentinian Pesos 5,000,000 4,854,369 (121,712)
1/29/96 French Francs 200,000,000 41,547,218 1,886,827
10/11/95 Japanese Yen 1,300,000,000 15,567,119 2,216,034
$ 3,870,188
|
FUTURES CONTRACTS
Net Unrealized
Number of Contract Value Appreciation
Contracts Type Expiration Date (Depreciation)
Sales
200 Euro Dollar December 1995 $ 47,140,000 $ 28,500
200 MATIF December 1995 10,480,890 (10,477)
200 U.S. Treasury Bill December 1995 22,431,250 (577,531)
$ (559,508)
At August 31, 1995, the Fund has Cash and/or securities to cover any margin
requirements on open futures contracts.
|
WRITTEN PUT OPTION TRANSACTIONS
Number of Contracts
Premiums
Outstanding, beginning of period 2 $ 206,773
Options written 10,511,509 291,170
Options expired 10,511,511 497,943
Outstanding, end of period __ __
|
GMO TRUST
PART C. OTHER INFORMATION
Item 24. Financial Statements and Exhibits
(a) Financial Statements: See "Financial Highlights" in the Prospectus and "Financial Statements" and "Report of Independent Accountants" in the Statement of Additional Information.
(b) Exhibits
1. (a) Agreement and Declaration of Trust of the Trust1; Amendment No. 1 to the Agreement and Declaration of Trust1; Amendment No. 2 to the Agreement and Declaration of Trust1; Amendment No. 3 to the Agreement and Declaration of Trust1; Amendment No. 4 to the Agreement and Declaration of Trust1; Amendment No. 5 to the Agreement and Declaration of Trust1; Amendment No. 6 to the Agreement and Declaration of Trust1; Amendment No. 7 to the Agreement and Declaration of Trust1; Amendment No. 8 to the Agreement and Declaration of Trust1; Amendment No. 9 to the Agreement and Declaration of Trust1; Amendment No. 10 to the Agreement and Declaration of Trust1; Amendment No. 11 to the Agreement and Declaration of Trust1; Amendment No. 12 to the Agreement and Declaration of Trust; Amendment No. 13 to the Agreement and Declaration of Trust1; Amendment No. 14 to the Agreement and Declaration of Trust1; Amendment No. 15 to the Agreement and Declaration of Trust1; Amendment No. 16 to the Agreement and Declaration of Trust1; Amendment No. 17 to the Agreement and Declaration of Trust1; Amendment No. 18 to the Agreement and Declaration of Trust1; Amendment No. 19 to the Agreement and Declaration of Trust1; and Form of Amendment No. 20 to the Agreement and Declaration of Trust1; Amendment No. 21 to the Agreement and Declaration of Trust1; Amendment No. 22 to the Agreement and Declaration of Trust1; Amendment No. 23 to the Agreement and Declaration of Trust2; Amendment No. 24 to the Agreement and Declaration of Trust2; Amendment No. 25 to the Agreement and Declaration of Trust2;
1 Previously manually filed with the Securities and Exchange Commission
and incorporated herein by reference.
2 Previously electronically filed with the Securities and Exchange
Commission and incorporated herein by reference.
|
(b) Form of Amendment No. 26 to the Agreement and Declaration of Trust -- Exhibit 1.
2. By-laws of the Trust, as amended -- Exhibit 2.
3. None.
4. Not Applicable.
5. (a) Form of Management Contract between the Trust, on behalf of its GMO Core Fund (formerly Domestic Equity Series), and Grantham, Mayo, Van Otterloo & Co. ("GMO")1;
(b) Form of Management Contract between the Trust, on behalf of its GMO Currency Hedged International Bond Fund (formerly Domestic Equity (South Africa Free) Series), and GMO1;
(c) Form of Management Contract between the Trust, on behalf of its GMO International Core Fund (formerly International Series), and GMO1;
(d) Form of Management Contract between the Trust, on behalf of
its GMO Growth Allocation Fund (formerly Domestic Equity
Growth Series), and
GMO1;
(e) Form of Management Contract between the Trust, on behalf of its Pelican Fund, and GMO1;
(f) Form of Management Contract between the Trust, on behalf of its GMO Value Allocation Fund (formerly Blue Chip Series), and GMO1;
(g) Form of Management Contract between the Trust, on behalf of its GMO International Small Companies Fund (formerly International Small Capitalization Series), and GMO1;
(h) Form of Management Contract between the Trust, on behalf of its GMO Japan Fund (formerly Japan Series), and GMO1;
1 Previously manually filed with the Securities and Exchange Commission
and incorporated herein by reference.
2 Previously electronically filed with the Securities and Exchange
Commission and incorporated herein by reference.
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(i) Form of Management Contract between the Trust, on behalf of its GMO Short-Term Income Fund (formerly Money Market Series), and GMO1;
(j) Form of Management Contract between the Trust, on behalf of its GMO Core II Secondaries Fund (formerly GMO Second Tier Fund), and GMO1;
(k) Form of Management Contract between the Trust, on behalf of its GMO Fundamental Value Fund, and GMO1;
(l) Form of Management Contract between the Trust, on behalf of its GMO Tobacco-Free Core Fund, and GMO1;
(m) Form of Management Contract between the Trust, on behalf of its GMO U.S. Sector Allocation Fund, and GMO1;
(n) Management Contract between the Trust, on behalf of its GMO Conservative Equity Fund, and GMO1;
(o) Management Contract between the Trust, on behalf of its GMO
International Bond Fund (formerly GMO World Bond Fund), and
GMO1;
(p) Management Contract between the Trust, on behalf of its GMO Emerging Country Debt Fund (formerly GMO International SAF Fund), and GMO1;
(q) Management Contract between the Trust, on behalf of its GMO Emerging Markets Fund, and GMO1;
(r) Sub-Advisory Contract between GMO, on behalf of its GMO Emerging Markets Fund, and Dancing Elephant, Ltd.1;
(s) Form of Management Contract between the Trust, on behalf of its GMO Domestic Bond Fund (formerly GMO Domestic T & A Fund), and GMO1;
(t) Form of Management Contract between the Trust, on behalf of its GMO Global Hedged Equity Fund (formerly GMO Global T & A Fund), and GMO1;
1 Previously manually filed with the Securities and Exchange Commission
and incorporated herein by
reference.
2 Previously electronically filed with the Securities and Exchange
Commission and incorporated herein by reference.
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(u) Form of Management Contract between the Trust, on behalf of its GMO Currency Hedged International Core Fund (formerly GMO Domestic Long Bond Fund), and GMO1;
(v) Form of Management Contract between the Trust, on behalf of its GMO Core Emerging Country Debt Fund (formerly GMO Bond Allocation Fund), and GMO1;
(w) Form of Management Contract between the Trust, on behalf of the GMO REIT Fund, and GMO2;
(x) Form of Management Contract between the Trust, on behalf of the GMO Global Bond Fund, and GMO2;
(y) Form of Management Contract between the Trust, on behalf of
the GMO Foreign Fund (formerly GMO Global Core Fund), and
GMO2
(z) Form of Management Contract between the Trust, on behalf of the GMO International Equity Allocation Fund, and GMO -- Exhibit 5.1.
(aa) Form of Management Contract between the Trust, on behalf of the GMO Traditional International Equity Allocation Fund, and GMO -- Exhibit 5.2.
(bb) Form of Management Contract between the Trust, on behalf of the GMO World Equity Allocation Fund, and GMO -- Exhibit 5.3.
(cc) Form of Management Contract between the Trust, on behalf of the GMO Traditional World Equity Allocation Fund, and GMO -- Exhibit 5.4.
(dd) Form of Management Contract between the Trust, on behalf of the GMO Global Equity Allocation Fund, and GMO -- Exhibit 5.5.
(ee) Form of Management Contract between the Trust, on behalf of the GMO Traditional Global Equity Allocation Fund, and GMO -- Exhibit 5.6.
(ff) Form of Management Contract between the Trust, on behalf of the GMO Global Balanced Allocation Fund, and GMO -- Exhibit 5.7.
1 Previously manually filed with the Securities and Exchange Commission
and incorporated herein by reference.
2 Previously electronically filed with the Securities and Exchange
Commission and incorporated herein by reference.
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(gg) Form of Management Contract between the Trust, on behalf of the GMO Traditional Global Balanced Allocation Fund, and GMO -- Exhibit 5.8.
6. None.
7. None.
8. (a) Custodian Agreement among the Trust, on behalf of its GMO Core Fund, GMO Currency Hedged International Bond Fund (formerly GMO SAF Core Fund), GMO Value Allocation Fund, GMO Growth Allocation Fund (formerly GMO Growth Fund), and GMO Short-Term Income Fund, GMO and Investors Bank & Trust Company ("IBT")1;
(b) Form of Letter Agreement among the Trust, on behalf of its GMO Tobacco- Free Core Fund and GMO Fundamental Value Fund, GMO and IBT1;
(c) Form of Letter Agreement among the Trust, on behalf of its GMO U.S. Sector Allocation Fund, GMO and IBT1;
(d) Letter Agreement among the Trust, on behalf of its GMO Conservative Equity Fund, GMO and IBT1;
(e) Letter Agreement among the Trust, on behalf of its GMO International Bond Fund (formerly GMO World Bond Fund), GMO and IBT1;
(f) Form of Letter Agreement among the Trust, on behalf of its GMO Core II Secondaries Fund, GMO and IBT1;
(g) Form of Custodian Agreement among the Trust, on behalf of its GMO International Core Fund and GMO Japan Fund, GMO and Brown Brothers Harriman & Co. ("BBH")1;
(h) Form of Letter Agreement among the Trust, on behalf of its GMO Emerging Markets Fund, GMO and BBH1;
(i) Letter Agreement among the Trust, on behalf of its GMO Emerging Country Debt Fund, GMO and IBT1;
1 Previously manually filed with the Securities and Exchange Commission
and incorporated herein by reference.
2 Previously electronically filed with the Securities and Exchange
Commission and incorporated herein by reference.
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(j) Form of Letter Agreement among the Trust, on behalf of its GMO Core Emerging Country Debt Fund, GMO and IBT1;
(k) Custodian Agreement among the Trust, on behalf of its Pelican Fund, GMO and State Street Bank and Trust Company1;
(l) Form of Letter Agreement among the Trust, on behalf of its GMO Domestic Bond Fund (formerly GMO Domestic T & A Fund), GMO and IBT1;
(m) Form of Letter Agreement among the Trust, on behalf of its GMO Global Hedged Equity Fund (formerly GMO Global T & A Fund), GMO and BBH1;
(n) Form of Letter Agreement among the Trust, on behalf of its GMO International Small Companies Fund, GMO and BBH1;
(o) Form of Letter Agreement among the Trust, on behalf of its GMO Currency Hedged International Core Fund, GMO and IBT1;
(p) Form of Letter Agreement among the Trust, on behalf of its GMO REIT Fund and GMO Global Bond Fund, GMO and IBT2;
(q) Form of Letter Agreement among the Trust, on behalf of its
GMO Foreign Fund (formerly GMO Global Core Fund), GMO and
BBH2;
(r) Form of Letter Agreement among the Trust, on behalf of its GMO International Equity Allocation Fund, GMO Traditional International Equity Allocation Fund, GMO World Equity Allocation Fund, GMO Traditional World Equity Allocation Fund, GMO Global Equity Allocation Fund, GMO Traditional Global Equity Allocation Fund, GMO Global Balanced Allocation Fund, GMO Traditional Global Balanced Allocation Fund, GMO and IBT-- Exhibit 8.
9. (a) Transfer Agency Agreement among the Trust, on behalf of its GMO Core Fund, GMO Currency Hedged International Bond Fund (formerly GMO SAF Core Fund), GMO Growth Allocation Fund (formerly GMO Growth
1 Previously manually filed with the Securities and Exchange Commission
and incorporated herein by reference.
2 Previously electronically filed with the Securities and Exchange
Commission and incorporated herein by reference.
|
Fund), GMO Value Allocation Fund, GMO Short-Term Income Fund, GMO International Core Fund and GMO Japan Fund, GMO and IBT1;
(b) Form of Letter Agreement among the Trust, on behalf of its GMO Fundamental Value Fund, and GMO Tobacco-Free Core Fund (formerly GMO Global Bond Fund), GMO and IBT1;
(c) Form of Letter Agreement among the Trust, on behalf of its GMO U.S. Sector Allocation Fund, GMO and IBT1;
(d) Letter Agreement among the Trust, on behalf of its GMO Conservative Equity Fund and GMO International Bond Fund (formerly GMO World Bond Fund), GMO and IBT1;
(e) Letter Agreement among the Trust, on behalf of its GMO Emerging Markets Fund, GMO and IBT1;
(f) Letter Agreement among the Trust, on behalf of its GMO Emerging Country Debt Fund, GMO and IBT1;
(g) Form of Transfer Agency Agreement among the Trust, on
behalf of its GMO Domestic Bond Fund (formerly GMO Domestic
Hedged Equity Fund), GMO Global Hedged Equity Fund, GMO and
IBT1 ;
(h) Form of Transfer Agency Agreement among the Trust, on behalf of its GMO Core II Secondaries Fund, GMO and IBT1;
(i) Form of Transfer Agency Agreement among the Trust, on behalf of its GMO International Small Companies Fund, GMO and IBT1;
(j) Form of Transfer Agency Agreement among the Trust, on behalf of its Pelican Fund, GMO and IBT1;
(k) Form of Transfer Agency Agreement among the Trust, on behalf of its GMO Currency Hedged International Core Fund, GMO and IBT1;
1 Previously manually filed with the Securities and Exchange Commission
and incorporated herein by reference.
2 Previously electronically filed with the Securities and Exchange
Commission and incorporated herein by reference.
|
(l) Form of Transfer Agency Agreement among the Trust, on behalf of its GMO Core Emerging Country Debt Fund, GMO and IBT1;
(m) Form of Transfer Agency Agreement among the Trust, on behalf of its GMO REIT Fund, GMO Global Core Fund and GMO Global Bond Fund, GMO and IBT2;
(n) Form of Transfer Agency Agreement among the Trust, on behalf of its GMO Foreign Fund, GMO and IBT2;
(o) Form of Transfer Agency Agreement among the Trust, on behalf of its GMO International Equity Allocation Fund, GMO Traditional International Equity Allocation Fund, GMO World Equity Allocation Fund, GMO Traditional World Equity Allocation Fund, GMO Global Equity Allocation Fund, GMO Traditional Global Equity Allocation Fund, GMO Global Balanced Allocation Fund, GMO Traditional Global Balanced Allocation Fund, GMO and IBT-- Exhibit 9.1.
(p) Form of Notification of Fee Waiver and Expense Limitation by GMO to the Trust relating to all Funds of the Trust -- Exhibit 9.2.
(q) Form of Shareholder Service Agreement between the Trust, on behalf of the Funds, and GMO (to be filed prior to effective date pursuant to Rule 485(b) filing);
(r) Form of Shareholder Service Agreement between the Trust, on behalf of the Funds, and GMO Fund Division (to be filed prior to effective date pursuant to Rule 485(b) filing).
10. (a) Opinion and consent of Ropes & Gray with respect to the GMO Core Fund (formerly Domestic Equity Series)1;
(b) Opinion and consent of Ropes & Gray with respect to the GMO Currency Hedged International Bond Fund (formerly Domestic Equity (South Africa Free) Series), and GMO International Core Fund (formerly International Series)1;
1 Previously manually filed with the Securities and Exchange Commission
and incorporated herein by reference.
2 Previously electronically filed with the Securities and Exchange
Commission and incorporated herein by reference.
|
(c) Opinion and consent of Ropes & Gray with respect to the GMO Growth Allocation Fund (formerly Domestic Equity Growth Series)1;
(d) Opinion and Consent of Ropes & Gray with respect to the Pelican Fund1;
(e) Opinion and Consent of Ropes & Gray with respect to the GMO Value Allocation Fund (formerly Blue Chip Series)1;
(f) Opinion and consent of Ropes & Gray with respect to the GMO International Small Companies Fund (formerly International Small Capitalization Series)1;
(g) Opinion and consent of Ropes & Gray with respect to the GMO Conservative Equity Fund (formerly International Large Capitalization Series)1;
(h) Opinion and Consent of Ropes & Gray with respect to the GMO Japan Fund (formerly Japan Series)1;
(i) Opinion and Consent of Ropes & Gray with respect to the GMO International Bond Fund (formerly U.K. Series)1;
(j) Opinion and Consent of Ropes & Gray with respect to the GMO Short-Term Income Fund (formerly Money Market Series)1;
(k) Opinion and Consent of Ropes & Gray with respect to the GMO Core II Secondaries Fund (formerly GMO Second Tier Fund)1;
(l) Opinion and Consent of Ropes & Gray with respect to the GMO Fundamental Value Fund)1;
(m) Opinion and Consent of Ropes & Gray with respect to the GMO Bond Allocation Fund (formerly GMO Global Bond Fund)1;
(n) Opinion and Consent of Ropes & Gray with respect to the GMO Tobacco- Free Core Fund1;
1 Previously manually filed with the Securities and Exchange Commission
and incorporated herein by reference.
2 Previously electronically filed with the Securities and Exchange
Commission and incorporated herein by reference.
|
(o) Opinion and Consent of Ropes & Gray with respect to the GMO U.S. Sector Allocation Fund1;
(p) Opinion and Consent of Ropes & Gray with respect to the GMO Emerging Markets Fund1;
(q) Opinion and Consent of Ropes & Gray with respect to the GMO Emerging Country Debt Fund, GMO Global Hedged Equity Fund (formerly GMO Global T & A Fund), GMO Domestic Bond Fund (formerly GMO Domestic T & A Fund)1;
(r) Opinion and Consent of Ropes & Gray with respect to all Funds of the Trust (except with respect to the GMO REIT Fund, GMO Global Core Fund, GMO Global Bond Fund, GMO International Equity Allocation Fund, GMO Traditional International Equity Allocation Fund, GMO World Equity Allocation Fund, GMO Traditional World Equity Allocation Fund, GMO Global Equity Allocation Fund, GMO Traditional Global Equity Allocation Fund, GMO Global Balanced Allocation Fund and GMO Traditional Global Balanced Allocation Fund)1;
(s) Opinion and Consent of Ropes & Gray with respect to the GMO REIT Fund, GMO Foreign Fund, GMO Global Bond Fund, GMO International Equity Allocation Fund, GMO Traditional International Equity Allocation Fund, GMO World Equity Allocation Fund, GMO Traditional World Equity Allocation Fund, GMO Global Equity Allocation Fund, GMO Traditional Global Equity Allocation Fund, GMO Global Balanced Allocation Fund and GMO Traditional Global Balanced Allocation Fund (to be filed with Rule 24f-2 Notice).
11. Consent of Price Waterhouse LLP -- Exhibit 11.
12. None.
13. None.
14. Prototype Retirement Plans1.
1 Previously manually filed with the Securities and Exchange Commission
and incorporated herein by reference.
2 Previously electronically filed with the Securities and Exchange
Commission and incorporated herein by reference.
|
15. None.
16. Not Applicable.
17. Financial Data Schedule - Exhibit 17.
18. Rule 18f-3 Multiclass Plan (to be filed prior to effective date pursuant to Rule 485(b)).
Item 25. Persons Controlled by or Under Common Control with Registrant
None.
Item 26. Number of Holders of Securities
The following table sets forth the number of record holders of each class of securities of the Trust as of February 29, 1996:
(1) (2)
Number of
Title of Class Record Holders
- -------------- --------------
Shares of Beneficial Interest -
GMO Core Fund 237
Shares of Beneficial Interest -
GMO International Core Fund 556
Shares of Beneficial Interest -
GMO Currency Hedged International Bond Fund 185
Shares of Beneficial Interest -
GMO Growth Allocation Fund 127
Shares of Beneficial Interest -
Pelican Fund (as of 2/28/95) 723
Shares of Beneficial Interest -
GMO Value Allocation Fund 141
Shares of Beneficial Interest -
GMO International Small Companies Fund 229
Shares of Beneficial Interest -
GMO Japan Fund 9
|
(1) (2)
Number of
Title of Class Record Holders
- -------------- --------------
Shares of Beneficial Interest -
GMO Short-Term Income Fund 31
Shares of Beneficial Interest -
GMO Core II Secondaries Fund 40
Shares of Beneficial Interest -
GMO Fundamental Value Fund 13
Shares of Beneficial Interest -
GMO Tobacco-Free Core Fund 3
Shares of Beneficial Interest -
GMO U.S. Sector Allocation Fund 101
Shares of Beneficial Interest -
GMO International Bond Fund 97
Shares of Beneficial Interest -
GMO Emerging Country Debt Fund 304
Shares of Beneficial Interest -
GMO Emerging Markets Fund 327
Shares of Beneficial Interest -
GMO Domestic Bond Fund 136
Shares of Beneficial Interest -
GMO Global Hedged Equity Fund 115
Shares of Beneficial Interest -
GMO Currency Hedged International Core Fund 34
Shares of Beneficial Interest -
GMO Global Bond Fund 8
Item 27. Indemnification
|
See Item 27 of Pre-Effective Amendment No. 1 which is hereby incorporated by reference.
Item 28. Business and Other Connections of Investment Adviser
See Item 28 of Pre-Effective Amendment No. 1 which is hereby incorporated by reference.
Item 29. Principal Underwriters
Not Applicable.
Item 30. Location of Accounts and Records
See Item 30 of Pre-Effective Amendment No. 1 which is hereby incorporated by reference.
Item 31. Management Services
Not Applicable.
Item 32. Undertakings
(a) See Item 33 of Post-Effective Amendment No. 1 which is hereby incorporated by reference.
(b) See Item 33 of Post-Effective Amendment No. 1 which is hereby incorporated by reference.
(c) Registrant hereby undertakes to furnish each person to whom a prospectus is delivered with a copy of the Registrant's latest annual report to shareholders containing the information required by Item 5A of Form N-1A omitted from the Prospectus, upon request and without charge.
SIGNATURES
Pursuant to the requirements of the Securities Act of 1933 and the Investment Company Act of 1940, the Registrant has duly caused this Post-Effective Amendment No. 27 to be signed on its behalf by the undersigned, thereunto duly authorized, in the City of Boston and The Commonwealth of Massachusetts, on the 13th day of March, 1996.
GMO Trust
R. Jeremy Grantham President - Domestic Quantitative; Principal Executive Officer; Trustee
Pursuant to the Securities Act of 1933, this Post-Effective Amendment No. 27 to the Registration Statement has been signed below by the following persons in the capacities and on the dates indicated.
Signatures Title Date - ---------- ----- ---- R. JEREMY GRANTHAM* President - Domestic Quantitative; March 13, 1996 - ------------------- R. Jeremy Grantham Principal Executive Officer; Trustee KINGSLEY DURANT* Treasurer; Principal Financial and March 13, 1996 - ---------------- Kingsley Durant Accounting Officer HARVEY R. MARGOLIS* Trustee March 13, 1996 - ------------------- Harvey R. Margolis EYK H.A. VAN OTTERLOO* President - International; Trustee March 13, 1996 - --------------------- Eyk H.A. Van Otterloo |
* By: /s/ WILLIAM R. ROYER
____________________
William R. Royer
Attorney-in-Fact
|
EXHIBIT INDEX
GMO TRUST
Exhibit No. Title of Exhibit Page No.
----------- ---------------- --------
1 Form of Amendment No. 26 to the Declaration of Trust.
2 By-laws of the Trust, as amended.
5.1 Form of Management Contract between the Trust, on behalf of
the GMO International Equity Allocation Fund, and GMO.
5.2 Form of Management Contract between the Trust, on behalf of
the GMO Traditional International Equity Allocation Fund, and
GMO.
5.3 Form of Management Contract between the Trust, on behalf of
the GMO World Equity Allocation Fund, and GMO.
5.4 Form of Management Contract between the Trust, on behalf of
the GMO Traditional World Equity Allocation Fund, and GMO.
5.5 Form of Management Contract between the Trust, on behalf of
the GMO Global Equity Allocation Fund, and GMO.
5.6 Form of Management Contract between the Trust, on behalf of
the GMO Traditional Global Equity Allocation Fund, and GMO.
5.7 Form of Management Contract between the Trust, on behalf of
the GMO Global Balanced Allocation Fund, and GMO.
5.8 Form of Management Contract between the Trust, on behalf of
the GMO Traditional Global Balanced Allocation Fund, and
GMO.
8 Form of Letter Agreement among the Trust, on behalf of its
GMO International Equity Allocation Fund, GMO Traditional
International Equity Allocation Fund, GMO World Equity
Allocation Fund, GMO Traditional World Equity Allocation
Fund, GMO Global Equity Allocation Fund, GMO Traditional
Global Equity Allocation Fund, GMO Global Balanced Allocation
Fund, GMO Traditional Global Balanced Allocation Fund, GMO
and IBT.
|
9.1 Form of Transfer Agency Agreement among the trust, on behalf
of its GMO International Equity Allocation Fund, GMO
Traditional International Equity Allocation Fund, GMO World
Equity Allocation Fund, GMO Traditional World Equity
Allocation Fund, GMO Global Equity Allocation Fund, GMO
Traditional Global Equity Allocation Fund, GMO Global
Balanced Allocation Fund, GMO Traditional Global Balanced
Allocation Fund, GMO and IBT.
9.2 Form of Notification of Fee Waiver and Expense Limitation by
GMO to the Trust relating to all Funds of the Trust.
11 Consent of Price Waterhouse LLP.
17 Financial Data Schedule.
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EXHIBIT 1
GMO TRUST
AMENDMENT NO. 26
TO
AGREEMENT AND DECLARATION OF TRUST
The undersigned, being a majority of the trustees of the GMO Trust, a Massachusetts business trust created and existing under an Agreement and Declaration of Trust dated June 24, 1985, a copy of which is on file in the Office of the Secretary of The Commonwealth of Massachusetts (the "Trust"), having determined that the creation of a new Series is desirable and appropriate, do hereby direct that this Amendment No. 26 be filed with the Secretary of The Commonwealth of Massachusetts and do hereby amend the Agreement and Declaration of Trust so that the first sentence of Section 6 of Article III of the Agreement and Declaration of Trust is amended and restated as follows:
"Without limiting the authority of the Trustees set forth in Section 5, inter alia, to establish and designate any further Series or classes or to modify the rights and preferences of any Series, the "GMO Core Fund" (formerly the Domestic Equity Series), the "GMO Currency Hedged International Bond Fund" (formerly the Domestic Equity (South Africa Free) Series and the GMO SAF Core Fund), the "GMO Growth Allocation Fund" (formerly the Domestic Equity Growth Series and the GMO Growth Fund), the "GMO International Core Fund" (formerly the International Series), the "GMO Core II Secondaries Fund" (formerly the GMO Second Tier Fund), the "Pelican Fund," the "GMO Value Allocation Fund" (formerly the Blue Chip Series and the U.K. Investors' Diversified Equity Series), the "GMO International Small Companies Fund" (formerly the International Small Capitalization Series and the GMO International Second Tier Fund), the "GMO Conservative Equity Fund" (formerly the International Large Capitalization Series and the GMO International First Tier Fund), the "GMO Japan Fund" (formerly the Japan Series), the "GMO International Bond Fund" (formerly the U.K. Series, the GMO U.K. Fund, the GMO Global Bond Fund and the GMO World Bond Fund), the "GMO Short-Term Income Fund" (formerly the Money Market Series), the "GMO Tobacco-Free Core Fund," the "GMO Core Emerging Country Debt Fund" (formerly the GMO Bond Allocation Fund and the GMO
Global Bond Fund), the "GMO Fundamental Value Fund," the "GMO U.S. Sector Allocation Fund," the "GMO Emerging Markets Fund", the "GMO Emerging Country Debt Fund" (formerly the GMO International SAF Fund and the GMO Emerging Markets Debt Fund), the "GMO Domestic Bond Fund" (formerly the GMO Domestic Hedged Equity Fund and the GMO Domestic T&A Fund), the "GMO Currency Hedged International Core Fund" (formerly the GMO Domestic Long Bond Fund, GMO International Hedged Equity Fund and the GMO International T&A Fund), the "GMO Global Hedged Equity Fund" (formerly the GMO Global T&A Fund), the "GMO REIT Fund", the "GMO Foreign Fund" (formerly the GMO Global Core Fund), the "GMO Global Bond Fund," the "GMO International Equity Allocation Fund," the "GMO Traditional International Equity Fund," the "GMO World Equity Allocation Fund," the "GMO Traditional World Equity Allocation Fund," the "GMO Global Equity Allocation Fund," the "GMO Traditional Global Equity Allocation Fund," the "GMO Global Balanced Allocation Fund" and the "GMO Traditional Global Balanced Allocation Fund" shall be, and are hereby, established and designated."
The foregoing amendment shall become effective as of the time it is filed with the Secretary of State of The Commonwealth of Massachusetts.
IN WITNESS WHEREOF, we have hereunto set our hands for ourselves and for our successors and assigns this ____ day of _______, 1996.
EXHIBIT 2
AMENDED AND RESTATED BY-LAWS
OF
GMO TRUST
ARTICLE 1
Agreement and Declaration
of Trust and Principal Office
1.1 Agreement and Declaration of Trust. These By-Laws shall be subject to the Agreement and Declaration of Trust, as from time to time in effect (the "Declaration of Trust"), of GMO Trust (the "Trust"), the Massachusetts business trust established by the Declaration of Trust.
1.2 Principal Office of the Trust. The principal office of the Trust shall be located in Boston, Massachusetts.
ARTICLE 2
Meetings of Trustees
2.1 Regular Meetings. Regular meetings of the Trustees may be held without call or notice at such places and at such times as the Trustees may from time to time determine, provided that notice of the first regular meeting following any such determination shall be given to absent Trustees.
2.2 Special Meetings. Special meetings of the Trustees may be held, at any time and at any place designated in the call of the meeting, when called by the Chairman of the Board, if any, the President-Domestic or the Treasurer or by two or more Trustees, sufficient notice thereof being given to each Trustee by the Clerk or an Assistant Clerk or by the officer or the Trustees calling the meeting.
2.3 Notice. It shall be sufficient notice to a Trustee of a special meeting to send notice by mail at least forty-eight hours or by telegram at least twenty-four hours before the meeting addressed to the Trustee at his usual or last known business or residence address or to give notice to him in person or by telephone at least twenty-four hours before the meeting. Notice of a meeting need not be given to any Trustee if a written waiver of notice, executed by him before or after the meeting, is filed with the records of the meeting, or to any Trustee who attends the meeting without protesting prior thereto or at its commencement
the lack of notice to him. Neither notice of a meeting nor a waiver of a notice need specifythe purposes of the meeting.
2.4 Quorum. At any meeting of the Trustees a majority of the Trustees then in office shall constitute a quorum. Any meeting may be adjourned from time to time by a majority of the votes cast upon the question, whether or not a quorum is present, and the meeting may be held as adjourned without further notice.
2.5 Action by Vote. When a quorum is present at any meeting, a majority of Trustees present may take any action, except when a larger vote is expressly required by law, by the Declaration of Trust or by these By-Laws.
2.6 Action by Writing. Except as required by law, any action required or permitted to be taken at any meeting of the Trustees may be taken without a meeting if a majority of the Trustees (or such larger proportion thereof as shall be required by any express provision of the Declaration of Trust or these By-Laws) consent to the action in writing and such written consents are filed with the records of the meetings of Trustees. Such consent shall be treated for all purposes as a vote taken at a meeting of Trustees.
2.7 Presence through Communications Equipment. Except as required by law, the Trustees may participate in a meeting of Trustees by means of a conference telephone or similar communications equipment by means of which all persons participating in the meeting can hear each other at the same time and participation by such means shall constitute presence in person at a meeting.
ARTICLE 3
Officers
3.1 Enumeration; Qualification. The officers of the Trust shall be a President-Domestic, a President-International, a Treasurer, a Clerk, and such other officers, if any, as the Trustees from time to time may in their discretion elect. The Trust may also have such agents as the Trustees from time to time may in their discretion appoint. If a Chairman of the Board is elected, he shall be a Trustee and may but need not be a Shareholder; and any other officer may be but none need be a Trustee or Shareholder. Any two or more offices may be held by the same person.
3.2 Election and Tenure. The President-Domestic, the President-International, the Treasurer, the Clerk and such other officers as the Trustees may in their discretion from time to time elect shall each be elected by the Trustees to serve until his successor is elected or qualified, or until he sooner dies, resigns, is removed or becomes disqualified. Each officer shall hold office and each agent shall retain authority at the pleasure of the Trustees.
3.3 Powers. Subject to the other provisions of these By-Laws, in addition to the duties and powers set forth herein and in the Declaration of Trust and in addition to such duties and powers as may be determined by the Trustees, the President-Domestic shall have such duties and powers with respect to the GMO Core Fund, the GMO Growth Allocation Fund, the GMO Value Allocation Fund, the GMO Core II Secondaries Fund, the GMO Fundamental Value Fund, the GMO Tobacco-Free Core Fund, the Pelican Fund, the GMO Short-Term Income Fund, the GMO U.S. Sector Allocation Fund, the GMO Conservative Equity Fund, the GMO REIT Fund and the GMO Domestic Bond Fund of the Trust as are commonly incident to the President of a Massachusetts business corporation as if the GMO Core Fund, the GMO Growth Allocation Fund, the GMO Value Allocation Fund, the GMO Core II Secondaries Fund, the GMO Fundamental Value Fund, the GMO Tobacco-Free Core Fund, the Pelican Fund, the GMO Short-Term Income Fund, the GMO U.S. Sector Allocation Fund, the GMO Conservative Equity Fund, the GMO REIT Fund and the GMO Domestic Bond Fund were each organized as a separate Massachusetts business corporation; the President-International shall have such duties and powers with respect to the GMO International Core Fund, the GMO International Small Companies Fund, the GMO International Bond Fund, the GMO Currency Hedged International Bond Fund, the GMO Global Bond Fund, the GMO Japan Fund, the GMO Emerging Markets Fund, the GMO Currency Hedged International Core Fund, the GMO Foreign Fund, the GMO Emerging Country Debt Fund, the GMO Core Emerging Country Debt Fund, the GMO Global Hedged Equity Fund, the GMO International Equity Allocation Fund, the GMO Traditional International Equity Fund, the GMO World Equity Allocation Fund, the GMO Traditional World Equity Allocation Fund, the GMO Global Equity Allocation Fund, the GMO Traditional Global Equity Allocation Fund, the GMO Global Balanced Allocation Fund and the GMO Traditional Global Balanced Allocation Fund as are commonly incident to the president of a Massachusetts business corporation as if the GMO International Core Fund, the GMO International Small Companies Fund, the GMO International Bond Fund, the GMO Currency Hedged International Bond Fund, the GMO Global Bond Fund, the GMO Japan Fund, the GMO Emerging Markets Fund, the GMO Currency Hedged International Core Fund, the GMO Foreign Fund, the GMO Emerging Country Debt Fund, the GMO Core Emerging Country Debt Fund, the GMO Global Hedged Equity Fund, the GMO International Equity Allocation Fund, the GMO Traditional International Equity Fund, the GMO World Equity Allocation Fund, the GMO Traditional World Equity Allocation Fund, the GMO Global Equity Allocation Fund, the GMO Traditional Global Equity Allocation Fund, the GMO Global Balanced Allocation Fund and the GMO Traditional Global Balanced Allocation Fund were each organized as a separate Massachusetts business corporation; and each other officer shall have such duties and powers as are commonly incident to the office occupied by him or her as if the Trust were organized as a Massachusetts business corporation. Notwithstanding any powers granted to the President-International, to the extent required in the particular circumstances, the President-Domestic shall have such powers with respect to the Trust as a whole as are commonly incident to the president of a Massachusetts business corporation as if the Trust were organized as a Massachusetts business corporation.
3.4 Presidents and Vice Presidents. The President-Domestic and the President- International shall each have the duties and powers specified in these By-Laws and shall have such other duties and powers as may be determined by the Trustees.
Any Vice Presidents shall have such duties and powers as shall be designated from time to time by the Trustees.
3.5 Chief Executive Officer. The Chief Executive Officer of the Trust shall be the Chairman of the Board, if any, the President-Domestic or such other officer as is designated by the Trustees and shall, subject to the control of the Trustees, have general charge and supervision of the business of the Trust and, unless there is a Chairman of the Board, or except as the Trustees (or the Chairman of the Board if the Trustees do not act) shall otherwise determine, preside at all meetings of the stockholders and of the Trustees. If no such designation is made, the President-Domestic shall be the Chief Executive Officer.
3.6 Chairman of the Board. If a Chairman of the Board of Trustees is elected, he shall have the duties and powers specified in these By-Laws and shall have such other duties and powers as may be determined by the Trustees. The Chairman of the Board shall, unless the Trustees (or the Chairman of the Board if the Trustees do not act) shall otherwise determine, preside at all meetings of the stockholders and of the Trustees.
3.7 Treasurer. The Treasurer shall be the chief financial and accounting officer of the Trust, and shall, subject to the provisions of the Declaration of Trust and to any arrangement made by the Trustees with a custodian, investment adviser or manager or transfer, shareholder servicing or similar agent, be in charge of the valuable papers, books of account and accounting records of the Trust, and shall have such other duties and powers as may be designated from time to time by the Trustees or by the Chief Executive Officer.
3.8 Clerk. The Clerk shall record all proceedings of the Shareholders and the Trustees in books to be kept therefor, which books or a copy thereof shall be kept at the principal office of the Trust. In the absence of the Clerk from any meeting of the Shareholders or Trustees, an assistant Clerk, or if there be none or if he is absent, a temporary clerk chosen at such meeting shall record the proceedings thereof in the aforesaid books.
3.9 Resignations and Removals. Any officer may resign at any time by written instrument signed by him and delivered to the President-Domestic or the Clerk or to a meeting of the Trustees. Such resignation shall be effective upon receipt unless specified to be effective at some other time. The Trustees may remove any officer with or without cause. Except to the extent expressly provided in a written agreement with the Trust, no officer resigning and no officer removed shall have any right to any compensation for any period following his resignation or removal, or any right to damages on account of such removal.
ARTICLE 4
Indemnification
4.1 Trustees, Officers, etc. The Trust shall indemnify each of its Trustees and officers (including persons who serve at the Trust's request as directors, officers or trustees of another organization in which the Trust has any interest as a shareholder, creditor or otherwise) (hereinafter referred to as a "Covered Person") against all liabilities and expenses, including but not limited to amounts paid in satisfaction of judgments, in compromise or as fines and penalties, and counsel fees reasonably incurred by any Covered Person in connection with the defense or disposition of any action, suit or other proceedings, whether civil or criminal, before any court or administrative or legislative body, in which such Covered Person may be or may have been involved as a party or otherwise or with which such person may be or may have been threatened, while in office or thereafter, by reason of any alleged act or omission as a Trustee or officer or by reason of his being or having been such a Trustee or officer, except with respect to any matter as to which such Covered Person shall have been finally adjudicated in any such action, suit or other proceeding not to have acted in good faith in the reasonable belief that such Covered Person's action was in the best interest of the Trust and except that no Covered Person shall be indemnified against any liability to the Trust or its Shareholders to which such Covered Person would otherwise be subject by reason of willful misfeasance, bad faith, gross negligence or reckless disregard of the duties involved in the conduct of such Covered Person's office. Expenses, including counsel fees so incurred by any such Covered Person, may be paid from time to time by the Trust in advance of the final disposition of any such action, suit or proceeding on the condition that the amounts so paid shall be repaid to the Trust if it is ultimately determined that indemnification of such expenses is not authorized under this Article.
4.2 Compromise Payment. As to any matter disposed of by a compromise payment by any such Covered Person referred to in Section 4.1 above, pursuant to a consent decree or otherwise, no such indemnification either for said payment or for any other expenses shall be provided unless such compromise shall be approved as in the best interests of the Trust, after notice that it involved such indemnification, (a) by a disinterested majority of the Trustees then in office; or (b) by a majority of the disinterested Trustees then in office; or (c) by any disinterested person or persons to whom the question may be referred by the Trustees, provided that in the case of approval pursuant to clause (b) or (c) there has been obtained an opinion in writing of independent legal counsel to the effect that such Covered Person appears to have acted in good faith in the reasonable belief that his or her action was in the best interests of the Trust and that such indemnification would not protect such person against any liability to the Trust or its Shareholders to which such person would otherwise be subject by reason of willful misfeasance, bad faith, gross negligence or reckless disregard of the duties involved in the conduct of office; or (d) by vote of Shareholders holding a majority of the Shares entitled to vote thereon, exclusive of any
Shares beneficially owned by any interested Covered Person. Approval by the Trustees pursuant to clause (a) or (b) or by any disinterested person or persons pursuant to clause (c) of this Section shall not prevent the recovery from any Covered Person of any amount paid to such Covered Person in accordance with any of such clauses as indemnification if such Covered Person is subsequently adjudicated by a court of competent jurisdiction not to have acted in good faith in the reasonable belief that such Covered Person's action was in the best interests of the Trust or to have been liable to the Trust or its Shareholders by reason of willful misfeasance, bad faith, gross negligence or reckless disregard of the duties involved in the conduct of such Covered Person's office.
4.3 Indemnification Not Exclusive. The right of indemnification hereby provided shall not be exclusive of or affect any other rights to which any such Covered Person may be entitled. As used in this Article 4, the term "Covered Person" shall include such person's heirs, executors and administrators; an "interested Covered Person" is one against whom the action, suit or other proceeding in question or another action, suit or other proceeding on the same or similar grounds is then or has been pending; and a "disinterested Trustee" or "disinterested person" is a Trustee or a person against whom none of such actions, suits or other proceedings or another action, suit or other proceeding on the same or similar grounds is then or has been pending. Nothing contained in this Article shall affect any rights to indemnification to which personnel of the Trust, other than Trustees and officers, and other persons may be entitled by contract or otherwise under law, nor the power of the Trust to purchase and maintain liability insurance on behalf of any such person.
ARTICLE 5
5.1 General. The Trustees and officers shall render reports at the time and in the manner required by the Declaration of Trust or any applicable law. Officers shall render such additional reports as they may deem desirable or as may from time to time be required by the Trustees.
ARTICLE 6
Fiscal Year
6.1 General. Except as from time to time otherwise provided by the Trustees, the initial fiscal year of the Trust shall end on such date as is determined in advance or in arrears.
ARTICLE 7
Seal
7.1 General. The seal of the Trust shall consist of a flat-faced die with the word "Massachusetts", together with the name of the Trust and the year of its organization cut or
engraved thereon, but, unless otherwise required by the Trustees, the seal shall not be necessary to be placed on, and its absence shall not impair the validity of, any document, instrument or other paper executed and delivered by or on behalf of the Trust.
ARTICLE 8
Execution of Papers
8.1 General. Except as the Trustees may generally or in particular cases authorize the execution thereof in some other manner, all checks, notes, drafts and other obligations and all registration statements and amendments thereto and all applications and amendments thereto to the Securities and Exchange Commission shall be signed by the Chairman, if any, the President-Domestic, the President-International, any Vice President or the Treasurer or any of such other officers or agents as shall be designated for that purpose by a vote of the Trustees.
ARTICLE 9
Provisions Relating to the
Conduct of the Trust's Business
9.1 Certain Definitions. When used herein the following words shall have the following meanings: "Distributor" shall mean any one or more partnerships, corporations, firms or associations which have distributor's or principal underwriter's contracts in effect with the Trust providing that redeemable shares of any class or series issued by the Trust shall be offered and sold by such Distributor. "Adviser" shall mean any partnership, corporation, firm or association which may at the time have an advisory or management contract with the Trust.
9.2 Limitation on Dealings with Officers or Trustees. The Trust will not lend any of its assets to the Distributor or Adviser or to any officer or director of the Distributor or Adviser or any officer or Trustee of the Trust and shall not permit any officer or Trustee or any officer or director of the Distributor or Adviser, to deal for or on behalf of the Trust with himself as principal or agent, or with any partnership, association or corporation in which he has a financial interest; provided that the foregoing provisions shall not prevent (a) officers and Trustees of the Trust or officers and directors of the Distributor or Adviser from buying, holding or selling shares in the Trust or from being partners, officers or directors of or otherwise financially interested in the Distributor or the Adviser; (b) a purchase or sale of securities or other property if such transaction is permitted by or is exempt or exempted from the provisions of the Investment Company Act of 1940 and does not involve any commission or profit to any securities dealer who is, or one or more of whose partners, shareholders, officers or directors is, an officer or Trustee of the Trust or an officer or director of the Distributor or Adviser; (c) employment of legal counsel,
registrars, transfer agents, shareholder servicing agents, dividend disbursing agents or custodians who are or any one of which has a partner, shareholder, officer or director who is, an officer or Trustee of the Trust or an officer or director of the Distributor or Adviser if only customary fees are charged for services to the Trust; (d) sharing of statistical, research, legal and management expenses and office hire and expenses with any other investment company in which an officer or Trustee of the Trust or an officer or director of the Distributor or Adviser is an officer or director or otherwise financially interested.
9.3 Limitation on Dealing in Securities of the Trust by Certain Officers, Trustees, Distributor or Adviser. Neither the Distributor nor Adviser, nor any officer or Trustee of the Trust or officer, director or partner of the Distributor or Adviser shall take long or short positions in securities issued by the Trust; provided, however, that:
(a) The Distributor may purchase from the Trust and otherwise deal in shares issued by the Trust pursuant to the terms of its contract with the Trust;
(b) Any officer or Trustee of the Trust or officer or director or partner of the Distributor or Adviser or any trustee or fiduciary for the benefit of any of them may at any time, or from time to time, purchase from the Trust or from the Distributor shares issued by the Trust at the price available to the public or to such officer, Trustee, director, partner or fiduciary, no such purchase to be in contravention of any applicable state or federal requirement; and
(c) The Distributor or the Adviser may at any time, or from time to time, purchase for investment shares issued by the Trust.
9.4 Securities and Cash of the Trust to be Held by Custodian Subject to Certain Terms and Conditions.
(a) All securities and cash owned by the Trust shall, as hereinafter provided, be held by or deposited with one or more banks or trust companies having (according to its last published report) not less than $2,000,000 aggregate capital, surplus and undivided profits (any such bank or trust company being hereby designated as "Custodian"), provided such a Custodian can be found ready and willing to act. The Trust may, or may permit any Custodian to, deposit all or any part of the securities owned by any class or series of shares of the Trust in a system for the central handling of securities established by a national securities exchange or national securities association registered with the Securities and Exchange Commission under the Securities Exchange Act of 1934, or such other person as may be permitted by said Commission, including, without limitation, a clearing agency registered under Section 17A of said Securities Exchange Act of 1934, pursuant to which system all securities of any particular class or series of any issue deposited within the system are treated as fungible and may be transferred or pledged by bookkeeping entry, without physical delivery of such securities.
(b) The Trust shall enter into a written contract with each Custodian regarding the powers, duties and compensation of such Custodian with respect to the cash and securities of the Trust held by such Custodian. Said contract and all amendments thereto shall be approved by the Trustees.
(c) The Trust shall upon the resignation or inability to serve of any Custodian or upon change of any Custodian:
(i) in case of such resignation or inability to serve, use its best efforts to obtain a successor Custodian;
(ii) require that the cash and securities owned by any class or series of shares of the Trust and in the possession of the resigning or disqualified Custodian be delivered directly to the successor Custodian; and
(iii) in the event that no successor Custodian can be found, submit to the shareholders, before permitting delivery of the cash and securities owned by any class or series of shares of the Trust and in the possession of the resigning or disqualified Custodian otherwise than to a successor Custodian, the question whether that class or series shall be liquidated or shall function without a Custodian.
9.5 Limitations on Investment by the Trust in Securities of Any One Issuer. The Trust may not purchase for its portfolio or for the portfolio of any class or series of the Trust's shares the securities of any issuer if immediately after such purchase the Trust or that class or series would thereupon hold securities representing more than 10% of the voting securities of such issuer as disclosed in the last available financial statements of such issuer. This limitation shall not apply to obligations issued or guaranteed by the government of the United States of America or to obligations of any corporation organized under a general Act of Congress if such corporation is an instrumentality of the United States. For purposes of this limitation, each state and each political subdivision, agency, authority or instrumentality thereof and each multistate agency and authority shall be considered a separate issuer.
9.6 Determination of Net Asset Value. The Trustees or any officer or officers or agent or agents of the Trust designated from time to time for this purpose by the Trustees shall determine at least once daily the net income and the value of all the assets attributable to any class or series of shares of the Trust on each day upon which the New York Stock Exchange is open for unrestricted trading or at such other times as the Trustees shall, consistent with the 1940 Act and the rules of the Commission, designate. In determining asset values, all securities for which representative market quotations are readily available shall be valued at market value and other securities and assets shall be valued at fair value, all as determined in good faith by the Trustees or an officer or officers or agent or agents, as aforesaid, in accordance with accounting principles generally accepted at the time.
Notwithstanding the foregoing, the assets belonging to any class or series of shares of the Trust may, if so authorized by the Trustees, be valued in accordance with the amortized cost method, subject to the power of the Trustees to alter the method for determining asset values. The value of such assets so determined, less total liabilities belonging to that class or series of shares (exclusive of capital stock and surplus) shall be the net asset value until a new asset value is determined by the Trustees or such officers or agents. In determining the net asset value the Trustees or such officers or agents may include in liabilities such reserves for taxes, estimated accrued expenses and contingencies in accordance with accounting principles generally accepted at the time as the Trustees or such officers or agents may in their best judgment deem fair and reasonable under the circumstances. The manner of determining net asset value may from time to time be altered as necessary or desirable in the judgment of the Trustees to conform it to any other method prescribed or permitted by applicable law or regulation. Determinations of net asset value made by the Trustees or such officers or agents in good faith shall be binding on all parties concerned. The foregoing sentence shall not be construed to protect any Trustee, officer or agent of the Trust against any liability to the Trust or its security holders to which he would otherwise be subject by reason of willful misfeasance, bad faith, gross negligence or reckless disregard of the duties involved in the conduct of his office.
ARTICLE 10
Amendment to the By-Laws
10.1 General. These By-Laws may be amended or repealed, in whole or in part, by a majority of the Trustees then in office at any meeting of the Trustees.
ARTICLE 11
Meetings of Shareholders
11.1 Presence through Communications Equipment. Except as required by law, the Shareholders of the Trust may participate in a meeting of Shareholders by means of a conference telephone or similar communications equipment by means of which all persons participating in the meeting can hear each other at the same time and participation by such means shall constitute presence in person at a meeting. Participation by such means shall be pursuant to reasonable procedures approved by the officers of the Trust in connection with such meeting.
EXHIBIT 5.1
MANAGEMENT CONTRACT
Management Contract executed as of [May __, 1996] between GMO TRUST, a Massachusetts business trust (the "Trust") on behalf of its GMO International Equity Allocation Fund (the "Fund"), and GRANTHAM, MAYO, VAN OTTERLOO & CO., a Massachusetts general partnership (the "Manager").
W I T N E S S E T H:
That in consideration of the mutual covenants herein contained, it is agreed as follows:
1. SERVICES TO BE RENDERED BY MANAGER TO THE TRUST.
(a) Subject always to the control of the Trustees of the Trust and to
such policies as the Trustees may determine, the Manager will, at its expense,
(i) furnish continuously an asset allocation program for the Fund and will make
investment decisions on behalf of the Fund and place all orders for the purchase
and sale of its portfolio securities and (ii) furnish office space and
equipment, provide bookkeeping and clerical services (excluding determination of
net asset value, shareholder accounting services and the fund accounting
services for the Fund being supplied by Investors Bank & Trust Company) and pay
all salaries, fees and expenses of officers and Trustees of the Trust who are
affiliated with the Manager. In the performance of its duties, the Manager will
comply with the provisions of the Agreement and Declaration of Trust and By-laws
of the Trust and the Fund's stated investment objective, policies and
restrictions.
(b) In placing orders for the portfolio transactions of the Fund, the Manager will seek the best price and execution available, except to the extent it may be permitted to pay higher brokerage commissions for brokerage and research services as described below. In using its best efforts to obtain for the Fund the most favorable price and execution available, the Manager shall consider all factors it deems relevant, including, without limitation, the overall net economic result to the Fund (involving price paid or received and any commissions and other costs paid), the efficiency with which the transaction is effected, the ability to effect the transaction at all where a large block is involved, availability of the broker to stand ready to execute possibly difficult transactions in the future and financial strength and stability of the broker. Subject to such policies as the Trustees may determine, the Manager shall not be deemed to have acted unlawfully or to have breached any duty created by this Contract or otherwise solely by reason of its having caused a Fund to pay a broker or dealer that provides brokerage and research services to the Manager an amount of commission for effecting a portfolio investment transaction in excess of the amount of commission another broker or dealer would have charged for effecting that transaction, if the Manager determines in good faith that such amount of commission was reasonable in relation to the value of the brokerage and research services provided by such broker or dealer, viewed in terms of either that
particular transaction or the Manager's overall responsibilities with respect to the Trust and to other clients of the Manager as to which the Manager exercises investment discretion.
(c) The Manager shall not be obligated under this agreement to pay any expenses of or for the Trust or of or for the Fund not expressly assumed by the Manager pursuant to this Section 1 other than as provided in Section 3.
2. OTHER AGREEMENTS, ETC.
It is understood that any of the shareholders, Trustees, officers and employees of the Trust may be a partner, shareholder, director, officer or employee of, or be otherwise interested in, the Manager, and in any person controlled by or under common control with the Manager, and that the Manager and any person controlled by or under common control with the Manager may have an interest in the Trust. It is also understood that the Manager and persons controlled by or under common control with the Manager have and may have advisory, management service, distribution or other contracts with other organizations and persons, and may have other interests and businesses.
3. COMPENSATION TO BE PAID BY THE TRUST TO THE MANAGER.
The Fund will pay no direct fee to the Manager as compensation for the Manager's services rendered hereunder. Since the Manager intends to invest most or all of the Fund's assets in other Funds of GMO Trust, the Manager will be indirectly compensated for its services rendered hereunder pursuant to the terms of other Management Contracts between the Trust, on behalf of other Funds of GMO Trust, and the Manager.
In the event that expenses of the Fund for any fiscal year should exceed the expense limitation on investment company expenses imposed by any statute or regulatory authority of any jurisdiction in which shares of the Trust are qualified for offer and sale, the compensation due the Manager for such fiscal year shall be reduced by the amount of such excess by a reduction or refund thereof. In the event that the expenses of the Fund exceed any expense limitation which the Manager may, by written notice to the Trust, voluntarily declare to be effective with respect to the Fund, subject to such terms and conditions as the Manager may prescribe in such notice, the compensation due the Manager shall be reduced, and, if necessary, the Manager shall bear the Fund's expenses to the extent required by such expense limitation.
If the Manager shall serve for less than the whole of a month, the foregoing compensation shall be prorated.
4. ASSIGNMENT TERMINATES THIS CONTRACT; AMENDMENTS OF THIS CONTRACT.
This Contract shall automatically terminate, without the payment of any penalty, in the event of its assignment; and this Contract shall not be amended unless such amendment is approved at a meeting by the affirmative vote of a majority of the outstanding shares of the Fund, and by the vote, cast in person at a meeting called for the purpose of voting on such approval, of a majority of the Trustees of the Trust who are not interested persons of the Trust or of the Manager.
5. EFFECTIVE PERIOD AND TERMINATION OF THIS CONTRACT.
This Contract shall become effective upon its execution, and shall remain in full force and effect continuously thereafter (unless terminated automatically as set forth in Section 4) until terminated as follows:
(a) Either party hereto may at any time terminate this Contract by not more than sixty days' written notice delivered or mailed by registered mail, postage prepaid, to the other party, or
(b) If (i) the Trustees of the Trust or the shareholders by the affirmative vote of a majority of the outstanding shares of the Fund, and (ii) a majority of the Trustees of the Trust who are not interested persons of the Trust or of the Manager, by vote cast in person at a meeting called for the purpose of voting on such approval, do not specifically approve at least annually the continuance of this Contract, then this Contract shall automatically terminate at the close of business on the second anniversary of its execution, or upon the expiration of one year from the effective date of the last such continuance, whichever is later; provided, however, that if the continuance of this Contract is submitted to the shareholders of the Fund for their approval and such shareholders fail to approve such continuance of this Contract as provided herein, the Manager may continue to serve hereunder in a manner consistent with the Investment Company Act of 1940 and the rules and regulations thereunder.
Action by the Trust under (a) above may be taken either (i) by vote of a majority of its Trustees, or (ii) by the affirmative vote of a majority of the outstanding shares of the Fund.
Termination of this Contract pursuant to this Section 5 shall be without the payment of any penalty.
6. CERTAIN DEFINITIONS.
For the purposes of this Contract, the "affirmative vote of a majority of the outstanding shares" of the Fund means the affirmative vote, at a duly called and held meeting of
shareholders, (a) of the holders of 67% or more of the shares of the Fund present (in person or by proxy) and entitled to vote at such meeting, if the holders of more than 50% of the outstanding shares of the Fund entitled to vote at such meeting are present in person or by proxy, or (b) of the holders of more than 50% of the outstanding shares of the Fund entitled to vote at such meeting, whichever is less.
For the purposes of this Contract, the terms "affiliated person", "control", "interested person" and "assignment" shall have their respective meanings defined in the Investment Company Act of 1940 and the rules and regulations thereunder, subject, however, to such exemptions as may be granted by the Securities and Exchange Commission under said Act; and the phrase "specifically approve at least annually" shall be construed in a manner consistent with the Investment Company Act of 1940 and the rules and regulations thereunder.
7. NONLIABILITY OF MANAGER.
In the absence of willful misfeasance, bad faith or gross negligence on the part of the Manager, or reckless disregard of its obligations and duties hereunder, the Manager shall not be subject to any liability to the Trust, or to any shareholder of the Trust, for any act or omission in the course of, or connected with, rendering services hereunder.
8. INITIALS "GMO".
The Manager owns the initials "GMO" which may be used by the Trust only with the consent of the Manager. The Manager consents to the use by the Trust of the name "GMO Trust" or any other name embodying the initials "GMO", in such forms as the Manager shall in writing approve, but only on condition and so long as (i) this Contract shall remain in full force and (ii) the Trust shall fully perform, fulfill and comply with all provisions of this Contract expressed herein to be performed, fulfilled or complied with by it. No such name shall be used by the Trust at any time or in any place or for any purposes or under any conditions except as in this section provided. The foregoing authorization by the Manager to the Trust to use said initials as part of a business or name is not exclusive of the right of the Manager itself to use, or to authorize others to use, the same; the Trust acknowledges and agrees that as between the Manager and the Trust, the Manager has the exclusive right so to authorize others to use the same; the Trust acknowledges and agrees that as between the Manager and the Trust, the Manager has the exclusive right so to use, or authorize others to use, said initials and the Trust agrees to take such action as may reasonably be requested by the Manager to give full effect to the provisions of this section (including, without limitation, consenting to such use of said initials). Without limiting the generality of the foregoing, the Trust agrees that, upon any termination of this Contract by either party or upon the violation of any of its provisions by the Trust, the Trust will, at the request of the Manager made within six months after the Manager has knowledge of such termination or violation, use its best efforts to change the name of the Trust so as to eliminate all reference, if any, to the initials "GMO" and will not thereafter transact any business in a name containing the initials "GMO"
in any form or combination whatsoever, or designate itself as the same entity as or successor to an entity of such name, or otherwise use the initials "GMO" or any other reference to the Manager. Such covenants on the part of the Trust shall be binding upon it, its trustees, officers, stockholders, creditors and all other persons claiming under or through it.
9. LIMITATION OF LIABILITY OF THE TRUSTEES AND SHAREHOLDERS.
A copy of the Agreement and Declaration of Trust of the Trust is on file with the Secretary of The Commonwealth of Massachusetts, and notice is hereby given that this instrument is executed on behalf of the Trustees of the Trust as Trustees and not individually and that the obligations of this instrument are not binding upon any of the Trustees or shareholders individually but are binding only upon the assets and property of the Fund.
IN WITNESS WHEREOF, GMO TRUST and GRANTHAM, MAYO, VAN OTTERLOO & CO. have each caused this instrument to be signed in duplicate on its behalf by its duly authorized representative, all as of the day and year first above written.
GMO TRUST
By_______________________________________
Title:
GRANTHAM, MAYO, VAN OTTERLOO & CO.
By_______________________________________
Title:
EXHIBIT 5.2
MANAGEMENT CONTRACT
Management Contract executed as of [May __, 1996] between GMO TRUST, a Massachusetts business trust (the "Trust") on behalf of its GMO Traditional International Equity Allocation Fund (the "Fund"), and GRANTHAM, MAYO, VAN OTTERLOO & CO., a Massachusetts general partnership (the "Manager").
W I T N E S S E T H:
That in consideration of the mutual covenants herein contained, it is agreed as follows:
1. SERVICES TO BE RENDERED BY MANAGER TO THE TRUST.
(a) Subject always to the control of the Trustees of the Trust and to
such policies as the Trustees may determine, the Manager will, at its expense,
(i) furnish continuously an asset allocation program for the Fund and will make
investment decisions on behalf of the Fund and place all orders for the purchase
and sale of its portfolio securities and (ii) furnish office space and
equipment, provide bookkeeping and clerical services (excluding determination of
net asset value, shareholder accounting services and the fund accounting
services for the Fund being supplied by Investors Bank & Trust Company) and pay
all salaries, fees and expenses of officers and Trustees of the Trust who are
affiliated with the Manager. In the performance of its duties, the Manager will
comply with the provisions of the Agreement and Declaration of Trust and By-laws
of the Trust and the Fund's stated investment objective, policies and
restrictions.
(b) In placing orders for the portfolio transactions of the Fund, the Manager will seek the best price and execution available, except to the extent it may be permitted to pay higher brokerage commissions for brokerage and research services as described below. In using its best efforts to obtain for the Fund the most favorable price and execution available, the Manager shall consider all factors it deems relevant, including, without limitation, the overall net economic result to the Fund (involving price paid or received and any commissions and other costs paid), the efficiency with which the transaction is effected, the ability to effect the transaction at all where a large block is involved, availability of the broker to stand ready to execute possibly difficult transactions in the future and financial strength and stability of the broker. Subject to such policies as the Trustees may determine, the Manager shall not be deemed to have acted unlawfully or to have breached any duty created by this Contract or otherwise solely by reason of its having caused a Fund to pay a broker or dealer that provides brokerage and research services to the Manager an amount of commission for effecting a portfolio investment transaction in excess of the amount of commission another broker or dealer would have charged for effecting that transaction, if the Manager determines in good faith that such amount of commission was reasonable in relation to the value of the brokerage and research services provided by such broker or dealer, viewed in terms of either that
particular transaction or the Manager's overall responsibilities with respect to the Trust and to other clients of the Manager as to which the Manager exercises investment discretion.
(c) The Manager shall not be obligated under this agreement to pay any expenses of or for the Trust or of or for the Fund not expressly assumed by the Manager pursuant to this Section 1 other than as provided in Section 3.
2. OTHER AGREEMENTS, ETC.
It is understood that any of the shareholders, Trustees, officers and employees of the Trust may be a partner, shareholder, director, officer or employee of, or be otherwise interested in, the Manager, and in any person controlled by or under common control with the Manager, and that the Manager and any person controlled by or under common control with the Manager may have an interest in the Trust. It is also understood that the Manager and persons controlled by or under common control with the Manager have and may have advisory, management service, distribution or other contracts with other organizations and persons, and may have other interests and businesses.
3. COMPENSATION TO BE PAID BY THE TRUST TO THE MANAGER.
The Fund will pay no direct fee to the Manager as compensation for the Manager's services rendered hereunder. Since the Manager intends to invest most or all of the Fund's assets in other Funds of GMO Trust, the Manager will be indirectly compensated for its services rendered hereunder pursuant to the terms of other Management Contracts between the Trust, on behalf of other Funds of GMO Trust, and the Manager.
In the event that expenses of the Fund for any fiscal year should exceed the expense limitation on investment company expenses imposed by any statute or regulatory authority of any jurisdiction in which shares of the Trust are qualified for offer and sale, the compensation due the Manager for such fiscal year shall be reduced by the amount of such excess by a reduction or refund thereof. In the event that the expenses of the Fund exceed any expense limitation which the Manager may, by written notice to the Trust, voluntarily declare to be effective with respect to the Fund, subject to such terms and conditions as the Manager may prescribe in such notice, the compensation due the Manager shall be reduced, and, if necessary, the Manager shall bear the Fund's expenses to the extent required by such expense limitation.
If the Manager shall serve for less than the whole of a month, the foregoing compensation shall be prorated.
4. ASSIGNMENT TERMINATES THIS CONTRACT; AMENDMENTS OF THIS CONTRACT.
This Contract shall automatically terminate, without the payment of any penalty, in the event of its assignment; and this Contract shall not be amended unless such amendment is approved at a meeting by the affirmative vote of a majority of the outstanding shares of the Fund, and by the vote, cast in person at a meeting called for the purpose of voting on such approval, of a majority of the Trustees of the Trust who are not interested persons of the Trust or of the Manager.
5. EFFECTIVE PERIOD AND TERMINATION OF THIS CONTRACT.
This Contract shall become effective upon its execution, and shall remain in full force and effect continuously thereafter (unless terminated automatically as set forth in Section 4) until terminated as follows:
(a) Either party hereto may at any time terminate this Contract by not more than sixty days' written notice delivered or mailed by registered mail, postage prepaid, to the other party, or
(b) If (i) the Trustees of the Trust or the shareholders by the affirmative vote of a majority of the outstanding shares of the Fund, and (ii) a majority of the Trustees of the Trust who are not interested persons of the Trust or of the Manager, by vote cast in person at a meeting called for the purpose of voting on such approval, do not specifically approve at least annually the continuance of this Contract, then this Contract shall automatically terminate at the close of business on the second anniversary of its execution, or upon the expiration of one year from the effective date of the last such continuance, whichever is later; provided, however, that if the continuance of this Contract is submitted to the shareholders of the Fund for their approval and such shareholders fail to approve such continuance of this Contract as provided herein, the Manager may continue to serve hereunder in a manner consistent with the Investment Company Act of 1940 and the rules and regulations thereunder.
Action by the Trust under (a) above may be taken either (i) by vote of a majority of its Trustees, or (ii) by the affirmative vote of a majority of the outstanding shares of the Fund.
Termination of this Contract pursuant to this Section 5 shall be without the payment of any penalty.
6. CERTAIN DEFINITIONS.
For the purposes of this Contract, the "affirmative vote of a majority of the outstanding shares" of the Fund means the affirmative vote, at a duly called and held meeting of
shareholders, (a) of the holders of 67% or more of the shares of the Fund present (in person or by proxy) and entitled to vote at such meeting, if the holders of more than 50% of the outstanding shares of the Fund entitled to vote at such meeting are present in person or by proxy, or (b) of the holders of more than 50% of the outstanding shares of the Fund entitled to vote at such meeting, whichever is less.
For the purposes of this Contract, the terms "affiliated person", "control", "interested person" and "assignment" shall have their respective meanings defined in the Investment Company Act of 1940 and the rules and regulations thereunder, subject, however, to such exemptions as may be granted by the Securities and Exchange Commission under said Act; and the phrase "specifically approve at least annually" shall be construed in a manner consistent with the Investment Company Act of 1940 and the rules and regulations thereunder.
7. NONLIABILITY OF MANAGER.
In the absence of willful misfeasance, bad faith or gross negligence on the part of the Manager, or reckless disregard of its obligations and duties hereunder, the Manager shall not be subject to any liability to the Trust, or to any shareholder of the Trust, for any act or omission in the course of, or connected with, rendering services hereunder.
8. INITIALS "GMO".
The Manager owns the initials "GMO" which may be used by the Trust only with the consent of the Manager. The Manager consents to the use by the Trust of the name "GMO Trust" or any other name embodying the initials "GMO", in such forms as the Manager shall in writing approve, but only on condition and so long as (i) this Contract shall remain in full force and (ii) the Trust shall fully perform, fulfill and comply with all provisions of this Contract expressed herein to be performed, fulfilled or complied with by it. No such name shall be used by the Trust at any time or in any place or for any purposes or under any conditions except as in this section provided. The foregoing authorization by the Manager to the Trust to use said initials as part of a business or name is not exclusive of the right of the Manager itself to use, or to authorize others to use, the same; the Trust acknowledges and agrees that as between the Manager and the Trust, the Manager has the exclusive right so to authorize others to use the same; the Trust acknowledges and agrees that as between the Manager and the Trust, the Manager has the exclusive right so to use, or authorize others to use, said initials and the Trust agrees to take such action as may reasonably be requested by the Manager to give full effect to the provisions of this section (including, without limitation, consenting to such use of said initials). Without limiting the generality of the foregoing, the Trust agrees that, upon any termination of this Contract by either party or upon the violation of any of its provisions by the Trust, the Trust will, at the request of the Manager made within six months after the Manager has knowledge of such termination or violation, use its best efforts to change the name of the Trust so as to eliminate all reference, if any, to the initials "GMO" and will not thereafter transact any business in a name containing the initials "GMO"
in any form or combination whatsoever, or designate itself as the same entity as or successor to an entity of such name, or otherwise use the initials "GMO" or any other reference to the Manager. Such covenants on the part of the Trust shall be binding upon it, its trustees, officers, stockholders, creditors and all other persons claiming under or through it.
9. LIMITATION OF LIABILITY OF THE TRUSTEES AND SHAREHOLDERS.
A copy of the Agreement and Declaration of Trust of the Trust is on file with the Secretary of The Commonwealth of Massachusetts, and notice is hereby given that this instrument is executed on behalf of the Trustees of the Trust as Trustees and not individually and that the obligations of this instrument are not binding upon any of the Trustees or shareholders individually but are binding only upon the assets and property of the Fund.
IN WITNESS WHEREOF, GMO TRUST and GRANTHAM, MAYO, VAN OTTERLOO & CO. have each caused this instrument to be signed in duplicate on its behalf by its duly authorized representative, all as of the day and year first above written.
GMO TRUST
By_______________________________________
Title:
GRANTHAM, MAYO, VAN OTTERLOO & CO.
By_______________________________________
Title:
EXHIBIT 5.3
MANAGEMENT CONTRACT
Management Contract executed as of [May __, 1996] between GMO TRUST, a Massachusetts business trust (the "Trust") on behalf of its GMO World Equity Allocation Fund (the "Fund"), and GRANTHAM, MAYO, VAN OTTERLOO & CO., a Massachusetts general partnership (the "Manager").
W I T N E S S E T H:
That in consideration of the mutual covenants herein contained, it is agreed as follows:
1. SERVICES TO BE RENDERED BY MANAGER TO THE TRUST.
(a) Subject always to the control of the Trustees of the Trust and to
such policies as the Trustees may determine, the Manager will, at its expense,
(i) furnish continuously an asset allocation program for the Fund and will make
investment decisions on behalf of the Fund and place all orders for the purchase
and sale of its portfolio securities and (ii) furnish office space and
equipment, provide bookkeeping and clerical services (excluding determination of
net asset value, shareholder accounting services and the fund accounting
services for the Fund being supplied by Investors Bank & Trust Company) and pay
all salaries, fees and expenses of officers and Trustees of the Trust who are
affiliated with the Manager. In the performance of its duties, the Manager will
comply with the provisions of the Agreement and Declaration of Trust and By-laws
of the Trust and the Fund's stated investment objective, policies and
restrictions.
(b) In placing orders for the portfolio transactions of the Fund, the Manager will seek the best price and execution available, except to the extent it may be permitted to pay higher brokerage commissions for brokerage and research services as described below. In using its best efforts to obtain for the Fund the most favorable price and execution available, the Manager shall consider all factors it deems relevant, including, without limitation, the overall net economic result to the Fund (involving price paid or received and any commissions and other costs paid), the efficiency with which the transaction is effected, the ability to effect the transaction at all where a large block is involved, availability of the broker to stand ready to execute possibly difficult transactions in the future and financial strength and stability of the broker. Subject to such policies as the Trustees may determine, the Manager shall not be deemed to have acted unlawfully or to have breached any duty created by this Contract or otherwise solely by reason of its having caused a Fund to pay a broker or dealer that provides brokerage and research services to the Manager an amount of commission for effecting a portfolio investment transaction in excess of the amount of commission another broker or dealer would have charged for effecting that transaction, if the Manager determines in good faith that such amount of commission was reasonable in relation to the value of the brokerage and research services provided by such broker or dealer, viewed in terms of either that
particular transaction or the Manager's overall responsibilities with respect to the Trust and to other clients of the Manager as to which the Manager exercises investment discretion.
(c) The Manager shall not be obligated under this agreement to pay any expenses of or for the Trust or of or for the Fund not expressly assumed by the Manager pursuant to this Section 1 other than as provided in Section 3.
2. OTHER AGREEMENTS, ETC.
It is understood that any of the shareholders, Trustees, officers and employees of the Trust may be a partner, shareholder, director, officer or employee of, or be otherwise interested in, the Manager, and in any person controlled by or under common control with the Manager, and that the Manager and any person controlled by or under common control with the Manager may have an interest in the Trust. It is also understood that the Manager and persons controlled by or under common control with the Manager have and may have advisory, management service, distribution or other contracts with other organizations and persons, and may have other interests and businesses.
3. COMPENSATION TO BE PAID BY THE TRUST TO THE MANAGER.
The Fund will pay no direct fee to the Manager as compensation for the Manager's services rendered hereunder. Since the Manager intends to invest most or all of the Fund's assets in other Funds of GMO Trust, the Manager will be indirectly compensated for its services rendered hereunder pursuant to the terms of other Management Contracts between the Trust, on behalf of other Funds of GMO Trust, and the Manager.
In the event that expenses of the Fund for any fiscal year should exceed the expense limitation on investment company expenses imposed by any statute or regulatory authority of any jurisdiction in which shares of the Trust are qualified for offer and sale, the compensation due the Manager for such fiscal year shall be reduced by the amount of such excess by a reduction or refund thereof. In the event that the expenses of the Fund exceed any expense limitation which the Manager may, by written notice to the Trust, voluntarily declare to be effective with respect to the Fund, subject to such terms and conditions as the Manager may prescribe in such notice, the compensation due the Manager shall be reduced, and, if necessary, the Manager shall bear the Fund's expenses to the extent required by such expense limitation.
If the Manager shall serve for less than the whole of a month, the foregoing compensation shall be prorated.
4. ASSIGNMENT TERMINATES THIS CONTRACT; AMENDMENTS OF THIS CONTRACT.
This Contract shall automatically terminate, without the payment of any penalty, in the event of its assignment; and this Contract shall not be amended unless such amendment is approved at a meeting by the affirmative vote of a majority of the outstanding shares of the Fund, and by the vote, cast in person at a meeting called for the purpose of voting on such approval, of a majority of the Trustees of the Trust who are not interested persons of the Trust or of the Manager.
5. EFFECTIVE PERIOD AND TERMINATION OF THIS CONTRACT.
This Contract shall become effective upon its execution, and shall remain in full force and effect continuously thereafter (unless terminated automatically as set forth in Section 4) until terminated as follows:
(a) Either party hereto may at any time terminate this Contract by not more than sixty days' written notice delivered or mailed by registered mail, postage prepaid, to the other party, or
(b) If (i) the Trustees of the Trust or the shareholders by the affirmative vote of a majority of the outstanding shares of the Fund, and (ii) a majority of the Trustees of the Trust who are not interested persons of the Trust or of the Manager, by vote cast in person at a meeting called for the purpose of voting on such approval, do not specifically approve at least annually the continuance of this Contract, then this Contract shall automatically terminate at the close of business on the second anniversary of its execution, or upon the expiration of one year from the effective date of the last such continuance, whichever is later; provided, however, that if the continuance of this Contract is submitted to the shareholders of the Fund for their approval and such shareholders fail to approve such continuance of this Contract as provided herein, the Manager may continue to serve hereunder in a manner consistent with the Investment Company Act of 1940 and the rules and regulations thereunder.
Action by the Trust under (a) above may be taken either (i) by vote of a majority of its Trustees, or (ii) by the affirmative vote of a majority of the outstanding shares of the Fund.
Termination of this Contract pursuant to this Section 5 shall be without the payment of any penalty.
6. CERTAIN DEFINITIONS.
For the purposes of this Contract, the "affirmative vote of a majority of the outstanding shares" of the Fund means the affirmative vote, at a duly called and held meeting of
shareholders, (a) of the holders of 67% or more of the shares of the Fund present (in person or by proxy) and entitled to vote at such meeting, if the holders of more than 50% of the outstanding shares of the Fund entitled to vote at such meeting are present in person or by proxy, or (b) of the holders of more than 50% of the outstanding shares of the Fund entitled to vote at such meeting, whichever is less.
For the purposes of this Contract, the terms "affiliated person", "control", "interested person" and "assignment" shall have their respective meanings defined in the Investment Company Act of 1940 and the rules and regulations thereunder, subject, however, to such exemptions as may be granted by the Securities and Exchange Commission under said Act; and the phrase "specifically approve at least annually" shall be construed in a manner consistent with the Investment Company Act of 1940 and the rules and regulations thereunder.
7. NONLIABILITY OF MANAGER.
In the absence of willful misfeasance, bad faith or gross negligence on the part of the Manager, or reckless disregard of its obligations and duties hereunder, the Manager shall not be subject to any liability to the Trust, or to any shareholder of the Trust, for any act or omission in the course of, or connected with, rendering services hereunder.
8. INITIALS "GMO".
The Manager owns the initials "GMO" which may be used by the Trust only with the consent of the Manager. The Manager consents to the use by the Trust of the name "GMO Trust" or any other name embodying the initials "GMO", in such forms as the Manager shall in writing approve, but only on condition and so long as (i) this Contract shall remain in full force and (ii) the Trust shall fully perform, fulfill and comply with all provisions of this Contract expressed herein to be performed, fulfilled or complied with by it. No such name shall be used by the Trust at any time or in any place or for any purposes or under any conditions except as in this section provided. The foregoing authorization by the Manager to the Trust to use said initials as part of a business or name is not exclusive of the right of the Manager itself to use, or to authorize others to use, the same; the Trust acknowledges and agrees that as between the Manager and the Trust, the Manager has the exclusive right so to authorize others to use the same; the Trust acknowledges and agrees that as between the Manager and the Trust, the Manager has the exclusive right so to use, or authorize others to use, said initials and the Trust agrees to take such action as may reasonably be requested by the Manager to give full effect to the provisions of this section (including, without limitation, consenting to such use of said initials). Without limiting the generality of the foregoing, the Trust agrees that, upon any termination of this Contract by either party or upon the violation of any of its provisions by the Trust, the Trust will, at the request of the Manager made within six months after the Manager has knowledge of such termination or violation, use its best efforts to change the name of the Trust so as to eliminate all reference, if any, to the initials "GMO" and will not thereafter transact any business in a name containing the initials "GMO"
in any form or combination whatsoever, or designate itself as the same entity as or successor to an entity of such name, or otherwise use the initials "GMO" or any other reference to the Manager. Such covenants on the part of the Trust shall be binding upon it, its trustees, officers, stockholders, creditors and all other persons claiming under or through it.
9. LIMITATION OF LIABILITY OF THE TRUSTEES AND SHAREHOLDERS.
A copy of the Agreement and Declaration of Trust of the Trust is on file with the Secretary of The Commonwealth of Massachusetts, and notice is hereby given that this instrument is executed on behalf of the Trustees of the Trust as Trustees and not individually and that the obligations of this instrument are not binding upon any of the Trustees or shareholders individually but are binding only upon the assets and property of the Fund.
IN WITNESS WHEREOF, GMO TRUST and GRANTHAM, MAYO, VAN OTTERLOO & CO. have each caused this instrument to be signed in duplicate on its behalf by its duly authorized representative, all as of the day and year first above written.
GMO TRUST
By_______________________________________
Title:
GRANTHAM, MAYO, VAN OTTERLOO & CO.
By_______________________________________
Title:
EXHIBIT 5.4
MANAGEMENT CONTRACT
Management Contract executed as of [May __, 1996] between GMO TRUST, a Massachusetts business trust (the "Trust") on behalf of its GMO Traditional World Equity Allocation Fund (the "Fund"), and GRANTHAM, MAYO, VAN OTTERLOO & CO., a Massachusetts general partnership (the "Manager").
W I T N E S S E T H:
That in consideration of the mutual covenants herein contained, it is agreed as follows:
1. SERVICES TO BE RENDERED BY MANAGER TO THE TRUST.
(a) Subject always to the control of the Trustees of the Trust and to
such policies as the Trustees may determine, the Manager will, at its expense,
(i) furnish continuously an asset allocation program for the Fund and will make
investment decisions on behalf of the Fund and place all orders for the purchase
and sale of its portfolio securities and (ii) furnish office space and
equipment, provide bookkeeping and clerical services (excluding determination of
net asset value, shareholder accounting services and the fund accounting
services for the Fund being supplied by Investors Bank & Trust Company) and pay
all salaries, fees and expenses of officers and Trustees of the Trust who are
affiliated with the Manager. In the performance of its duties, the Manager will
comply with the provisions of the Agreement and Declaration of Trust and By-laws
of the Trust and the Fund's stated investment objective, policies and
restrictions.
(b) In placing orders for the portfolio transactions of the Fund, the Manager will seek the best price and execution available, except to the extent it may be permitted to pay higher brokerage commissions for brokerage and research services as described below. In using its best efforts to obtain for the Fund the most favorable price and execution available, the Manager shall consider all factors it deems relevant, including, without limitation, the overall net economic result to the Fund (involving price paid or received and any commissions and other costs paid), the efficiency with which the transaction is effected, the ability to effect the transaction at all where a large block is involved, availability of the broker to stand ready to execute possibly difficult transactions in the future and financial strength and stability of the broker. Subject to such policies as the Trustees may determine, the Manager shall not be deemed to have acted unlawfully or to have breached any duty created by this Contract or otherwise solely by reason of its having caused a Fund to pay a broker or dealer that provides brokerage and research services to the Manager an amount of commission for effecting a portfolio investment transaction in excess of the amount of commission another broker or dealer would have charged for effecting that transaction, if the Manager determines in good faith that such amount of commission was reasonable in relation to the value of the brokerage and research services provided by such broker or dealer, viewed in terms of either that
particular transaction or the Manager's overall responsibilities with respect to the Trust and to other clients of the Manager as to which the Manager exercises investment discretion.
(c) The Manager shall not be obligated under this agreement to pay any expenses of or for the Trust or of or for the Fund not expressly assumed by the Manager pursuant to this Section 1 other than as provided in Section 3.
2. OTHER AGREEMENTS, ETC.
It is understood that any of the shareholders, Trustees, officers and employees of the Trust may be a partner, shareholder, director, officer or employee of, or be otherwise interested in, the Manager, and in any person controlled by or under common control with the Manager, and that the Manager and any person controlled by or under common control with the Manager may have an interest in the Trust. It is also understood that the Manager and persons controlled by or under common control with the Manager have and may have advisory, management service, distribution or other contracts with other organizations and persons, and may have other interests and businesses.
3. COMPENSATION TO BE PAID BY THE TRUST TO THE MANAGER.
The Fund will pay no direct fee to the Manager as compensation for the Manager's services rendered hereunder. Since the Manager intends to invest most or all of the Fund's assets in other Funds of GMO Trust, the Manager will be indirectly compensated for its services rendered hereunder pursuant to the terms of other Management Contracts between the Trust, on behalf of other Funds of GMO Trust, and the Manager.
In the event that expenses of the Fund for any fiscal year should exceed the expense limitation on investment company expenses imposed by any statute or regulatory authority of any jurisdiction in which shares of the Trust are qualified for offer and sale, the compensation due the Manager for such fiscal year shall be reduced by the amount of such excess by a reduction or refund thereof. In the event that the expenses of the Fund exceed any expense limitation which the Manager may, by written notice to the Trust, voluntarily declare to be effective with respect to the Fund, subject to such terms and conditions as the Manager may prescribe in such notice, the compensation due the Manager shall be reduced, and, if necessary, the Manager shall bear the Fund's expenses to the extent required by such expense limitation.
If the Manager shall serve for less than the whole of a month, the foregoing compensation shall be prorated.
4. ASSIGNMENT TERMINATES THIS CONTRACT; AMENDMENTS OF THIS CONTRACT.
This Contract shall automatically terminate, without the payment of any penalty, in the event of its assignment; and this Contract shall not be amended unless such amendment is approved at a meeting by the affirmative vote of a majority of the outstanding shares of the Fund, and by the vote, cast in person at a meeting called for the purpose of voting on such approval, of a majority of the Trustees of the Trust who are not interested persons of the Trust or of the Manager.
5. EFFECTIVE PERIOD AND TERMINATION OF THIS CONTRACT.
This Contract shall become effective upon its execution, and shall remain in full force and effect continuously thereafter (unless terminated automatically as set forth in Section 4) until terminated as follows:
(a) Either party hereto may at any time terminate this Contract by not more than sixty days' written notice delivered or mailed by registered mail, postage prepaid, to the other party, or
(b) If (i) the Trustees of the Trust or the shareholders by the affirmative vote of a majority of the outstanding shares of the Fund, and (ii) a majority of the Trustees of the Trust who are not interested persons of the Trust or of the Manager, by vote cast in person at a meeting called for the purpose of voting on such approval, do not specifically approve at least annually the continuance of this Contract, then this Contract shall automatically terminate at the close of business on the second anniversary of its execution, or upon the expiration of one year from the effective date of the last such continuance, whichever is later; provided, however, that if the continuance of this Contract is submitted to the shareholders of the Fund for their approval and such shareholders fail to approve such continuance of this Contract as provided herein, the Manager may continue to serve hereunder in a manner consistent with the Investment Company Act of 1940 and the rules and regulations thereunder.
Action by the Trust under (a) above may be taken either (i) by vote of a majority of its Trustees, or (ii) by the affirmative vote of a majority of the outstanding shares of the Fund.
Termination of this Contract pursuant to this Section 5 shall be without the payment of any penalty.
6. CERTAIN DEFINITIONS.
For the purposes of this Contract, the "affirmative vote of a majority of the outstanding shares" of the Fund means the affirmative vote, at a duly called and held meeting of
shareholders, (a) of the holders of 67% or more of the shares of the Fund present (in person or by proxy) and entitled to vote at such meeting, if the holders of more than 50% of the outstanding shares of the Fund entitled to vote at such meeting are present in person or by proxy, or (b) of the holders of more than 50% of the outstanding shares of the Fund entitled to vote at such meeting, whichever is less.
For the purposes of this Contract, the terms "affiliated person", "control", "interested person" and "assignment" shall have their respective meanings defined in the Investment Company Act of 1940 and the rules and regulations thereunder, subject, however, to such exemptions as may be granted by the Securities and Exchange Commission under said Act; and the phrase "specifically approve at least annually" shall be construed in a manner consistent with the Investment Company Act of 1940 and the rules and regulations thereunder.
7. NONLIABILITY OF MANAGER.
In the absence of willful misfeasance, bad faith or gross negligence on the part of the Manager, or reckless disregard of its obligations and duties hereunder, the Manager shall not be subject to any liability to the Trust, or to any shareholder of the Trust, for any act or omission in the course of, or connected with, rendering services hereunder.
8. INITIALS "GMO".
The Manager owns the initials "GMO" which may be used by the Trust only with the consent of the Manager. The Manager consents to the use by the Trust of the name "GMO Trust" or any other name embodying the initials "GMO", in such forms as the Manager shall in writing approve, but only on condition and so long as (i) this Contract shall remain in full force and (ii) the Trust shall fully perform, fulfill and comply with all provisions of this Contract expressed herein to be performed, fulfilled or complied with by it. No such name shall be used by the Trust at any time or in any place or for any purposes or under any conditions except as in this section provided. The foregoing authorization by the Manager to the Trust to use said initials as part of a business or name is not exclusive of the right of the Manager itself to use, or to authorize others to use, the same; the Trust acknowledges and agrees that as between the Manager and the Trust, the Manager has the exclusive right so to authorize others to use the same; the Trust acknowledges and agrees that as between the Manager and the Trust, the Manager has the exclusive right so to use, or authorize others to use, said initials and the Trust agrees to take such action as may reasonably be requested by the Manager to give full effect to the provisions of this section (including, without limitation, consenting to such use of said initials). Without limiting the generality of the foregoing, the Trust agrees that, upon any termination of this Contract by either party or upon the violation of any of its provisions by the Trust, the Trust will, at the request of the Manager made within six months after the Manager has knowledge of such termination or violation, use its best efforts to change the name of the Trust so as to eliminate all reference, if any, to the initials "GMO" and will not thereafter transact any business in a name containing the initials "GMO"
in any form or combination whatsoever, or designate itself as the same entity as or successor to an entity of such name, or otherwise use the initials "GMO" or any other reference to the Manager. Such covenants on the part of the Trust shall be binding upon it, its trustees, officers, stockholders, creditors and all other persons claiming under or through it.
9. LIMITATION OF LIABILITY OF THE TRUSTEES AND SHAREHOLDERS.
A copy of the Agreement and Declaration of Trust of the Trust is on file with the Secretary of The Commonwealth of Massachusetts, and notice is hereby given that this instrument is executed on behalf of the Trustees of the Trust as Trustees and not individually and that the obligations of this instrument are not binding upon any of the Trustees or shareholders individually but are binding only upon the assets and property of the Fund.
IN WITNESS WHEREOF, GMO TRUST and GRANTHAM, MAYO, VAN OTTERLOO & CO. have each caused this instrument to be signed in duplicate on its behalf by its duly authorized representative, all as of the day and year first above written.
GMO TRUST
By_______________________________________
Title:
GRANTHAM, MAYO, VAN OTTERLOO & CO.
By_______________________________________
Title:
EXHIBIT 5.5
MANAGEMENT CONTRACT
Management Contract executed as of [May __, 1996] between GMO TRUST, a Massachusetts business trust (the "Trust") on behalf of its GMO Global Equity Allocation Fund (the "Fund"), and GRANTHAM, MAYO, VAN OTTERLOO & CO., a Massachusetts general partnership (the "Manager").
W I T N E S S E T H:
That in consideration of the mutual covenants herein contained, it is agreed as follows:
1. SERVICES TO BE RENDERED BY MANAGER TO THE TRUST.
(a) Subject always to the control of the Trustees of the Trust and to
such policies as the Trustees may determine, the Manager will, at its expense,
(i) furnish continuously an asset allocation program for the Fund and will make
investment decisions on behalf of the Fund and place all orders for the purchase
and sale of its portfolio securities and (ii) furnish office space and
equipment, provide bookkeeping and clerical services (excluding determination of
net asset value, shareholder accounting services and the fund accounting
services for the Fund being supplied by Investors Bank & Trust Company) and pay
all salaries, fees and expenses of officers and Trustees of the Trust who are
affiliated with the Manager. In the performance of its duties, the Manager will
comply with the provisions of the Agreement and Declaration of Trust and By-laws
of the Trust and the Fund's stated investment objective, policies and
restrictions.
(b) In placing orders for the portfolio transactions of the Fund, the Manager will seek the best price and execution available, except to the extent it may be permitted to pay higher brokerage commissions for brokerage and research services as described below. In using its best efforts to obtain for the Fund the most favorable price and execution available, the Manager shall consider all factors it deems relevant, including, without limitation, the overall net economic result to the Fund (involving price paid or received and any commissions and other costs paid), the efficiency with which the transaction is effected, the ability to effect the transaction at all where a large block is involved, availability of the broker to stand ready to execute possibly difficult transactions in the future and financial strength and stability of the broker. Subject to such policies as the Trustees may determine, the Manager shall not be deemed to have acted unlawfully or to have breached any duty created by this Contract or otherwise solely by reason of its having caused a Fund to pay a broker or dealer that provides brokerage and research services to the Manager an amount of commission for effecting a portfolio investment transaction in excess of the amount of commission another broker or dealer would have charged for effecting that transaction, if the Manager determines in good faith that such amount of commission was reasonable in relation to the value of the brokerage and research services provided by such broker or dealer, viewed in terms of either that
particular transaction or the Manager's overall responsibilities with respect to the Trust and to other clients of the Manager as to which the Manager exercises investment discretion.
(c) The Manager shall not be obligated under this agreement to pay any expenses of or for the Trust or of or for the Fund not expressly assumed by the Manager pursuant to this Section 1 other than as provided in Section 3.
2. OTHER AGREEMENTS, ETC.
It is understood that any of the shareholders, Trustees, officers and employees of the Trust may be a partner, shareholder, director, officer or employee of, or be otherwise interested in, the Manager, and in any person controlled by or under common control with the Manager, and that the Manager and any person controlled by or under common control with the Manager may have an interest in the Trust. It is also understood that the Manager and persons controlled by or under common control with the Manager have and may have advisory, management service, distribution or other contracts with other organizations and persons, and may have other interests and businesses.
3. COMPENSATION TO BE PAID BY THE TRUST TO THE MANAGER.
The Fund will pay no direct fee to the Manager as compensation for the Manager's services rendered hereunder. Since the Manager intends to invest most or all of the Fund's assets in other Funds of GMO Trust, the Manager will be indirectly compensated for its services rendered hereunder pursuant to the terms of other Management Contracts between the Trust, on behalf of other Funds of GMO Trust, and the Manager.
In the event that expenses of the Fund for any fiscal year should exceed the expense limitation on investment company expenses imposed by any statute or regulatory authority of any jurisdiction in which shares of the Trust are qualified for offer and sale, the compensation due the Manager for such fiscal year shall be reduced by the amount of such excess by a reduction or refund thereof. In the event that the expenses of the Fund exceed any expense limitation which the Manager may, by written notice to the Trust, voluntarily declare to be effective with respect to the Fund, subject to such terms and conditions as the Manager may prescribe in such notice, the compensation due the Manager shall be reduced, and, if necessary, the Manager shall bear the Fund's expenses to the extent required by such expense limitation.
If the Manager shall serve for less than the whole of a month, the foregoing compensation shall be prorated.
4. ASSIGNMENT TERMINATES THIS CONTRACT; AMENDMENTS OF THIS CONTRACT.
This Contract shall automatically terminate, without the payment of any penalty, in the event of its assignment; and this Contract shall not be amended unless such amendment is approved at a meeting by the affirmative vote of a majority of the outstanding shares of the Fund, and by the vote, cast in person at a meeting called for the purpose of voting on such approval, of a majority of the Trustees of the Trust who are not interested persons of the Trust or of the Manager.
5. EFFECTIVE PERIOD AND TERMINATION OF THIS CONTRACT.
This Contract shall become effective upon its execution, and shall remain in full force and effect continuously thereafter (unless terminated automatically as set forth in Section 4) until terminated as follows:
(a) Either party hereto may at any time terminate this Contract by not more than sixty days' written notice delivered or mailed by registered mail, postage prepaid, to the other party, or
(b) If (i) the Trustees of the Trust or the shareholders by the affirmative vote of a majority of the outstanding shares of the Fund, and (ii) a majority of the Trustees of the Trust who are not interested persons of the Trust or of the Manager, by vote cast in person at a meeting called for the purpose of voting on such approval, do not specifically approve at least annually the continuance of this Contract, then this Contract shall automatically terminate at the close of business on the second anniversary of its execution, or upon the expiration of one year from the effective date of the last such continuance, whichever is later; provided, however, that if the continuance of this Contract is submitted to the shareholders of the Fund for their approval and such shareholders fail to approve such continuance of this Contract as provided herein, the Manager may continue to serve hereunder in a manner consistent with the Investment Company Act of 1940 and the rules and regulations thereunder.
Action by the Trust under (a) above may be taken either (i) by vote of a majority of its Trustees, or (ii) by the affirmative vote of a majority of the outstanding shares of the Fund.
Termination of this Contract pursuant to this Section 5 shall be without the payment of any penalty.
6. CERTAIN DEFINITIONS.
For the purposes of this Contract, the "affirmative vote of a majority of the outstanding shares" of the Fund means the affirmative vote, at a duly called and held meeting of
shareholders, (a) of the holders of 67% or more of the shares of the Fund present (in person or by proxy) and entitled to vote at such meeting, if the holders of more than 50% of the outstanding shares of the Fund entitled to vote at such meeting are present in person or by proxy, or (b) of the holders of more than 50% of the outstanding shares of the Fund entitled to vote at such meeting, whichever is less.
For the purposes of this Contract, the terms "affiliated person", "control", "interested person" and "assignment" shall have their respective meanings defined in the Investment Company Act of 1940 and the rules and regulations thereunder, subject, however, to such exemptions as may be granted by the Securities and Exchange Commission under said Act; and the phrase "specifically approve at least annually" shall be construed in a manner consistent with the Investment Company Act of 1940 and the rules and regulations thereunder.
7. NONLIABILITY OF MANAGER.
In the absence of willful misfeasance, bad faith or gross negligence on the part of the Manager, or reckless disregard of its obligations and duties hereunder, the Manager shall not be subject to any liability to the Trust, or to any shareholder of the Trust, for any act or omission in the course of, or connected with, rendering services hereunder.
8. INITIALS "GMO".
The Manager owns the initials "GMO" which may be used by the Trust only with the consent of the Manager. The Manager consents to the use by the Trust of the name "GMO Trust" or any other name embodying the initials "GMO", in such forms as the Manager shall in writing approve, but only on condition and so long as (i) this Contract shall remain in full force and (ii) the Trust shall fully perform, fulfill and comply with all provisions of this Contract expressed herein to be performed, fulfilled or complied with by it. No such name shall be used by the Trust at any time or in any place or for any purposes or under any conditions except as in this section provided. The foregoing authorization by the Manager to the Trust to use said initials as part of a business or name is not exclusive of the right of the Manager itself to use, or to authorize others to use, the same; the Trust acknowledges and agrees that as between the Manager and the Trust, the Manager has the exclusive right so to authorize others to use the same; the Trust acknowledges and agrees that as between the Manager and the Trust, the Manager has the exclusive right so to use, or authorize others to use, said initials and the Trust agrees to take such action as may reasonably be requested by the Manager to give full effect to the provisions of this section (including, without limitation, consenting to such use of said initials). Without limiting the generality of the foregoing, the Trust agrees that, upon any termination of this Contract by either party or upon the violation of any of its provisions by the Trust, the Trust will, at the request of the Manager made within six months after the Manager has knowledge of such termination or violation, use its best efforts to change the name of the Trust so as to eliminate all reference, if any, to the initials "GMO" and will not thereafter transact any business in a name containing the initials "GMO"
in any form or combination whatsoever, or designate itself as the same entity as or successor to an entity of such name, or otherwise use the initials "GMO" or any other reference to the Manager. Such covenants on the part of the Trust shall be binding upon it, its trustees, officers, stockholders, creditors and all other persons claiming under or through it.
9. LIMITATION OF LIABILITY OF THE TRUSTEES AND SHAREHOLDERS.
A copy of the Agreement and Declaration of Trust of the Trust is on file with the Secretary of The Commonwealth of Massachusetts, and notice is hereby given that this instrument is executed on behalf of the Trustees of the Trust as Trustees and not individually and that the obligations of this instrument are not binding upon any of the Trustees or shareholders individually but are binding only upon the assets and property of the Fund.
IN WITNESS WHEREOF, GMO TRUST and GRANTHAM, MAYO, VAN OTTERLOO & CO. have each caused this instrument to be signed in duplicate on its behalf by its duly authorized representative, all as of the day and year first above written.
GMO TRUST
By_______________________________________
Title:
GRANTHAM, MAYO, VAN OTTERLOO & CO.
By_______________________________________
Title:
EXHIBIT 5.6
MANAGEMENT CONTRACT
Management Contract executed as of [May __, 1996] between GMO TRUST, a Massachusetts business trust (the "Trust") on behalf of its GMO Traditional Global Equity Allocation Fund (the "Fund"), and GRANTHAM, MAYO, VAN OTTERLOO & CO., a Massachusetts general partnership (the "Manager").
W I T N E S S E T H:
That in consideration of the mutual covenants herein contained, it is agreed as follows:
1. SERVICES TO BE RENDERED BY MANAGER TO THE TRUST.
(a) Subject always to the control of the Trustees of the Trust and to
such policies as the Trustees may determine, the Manager will, at its expense,
(i) furnish continuously an asset allocation program for the Fund and will make
investment decisions on behalf of the Fund and place all orders for the purchase
and sale of its portfolio securities and (ii) furnish office space and
equipment, provide bookkeeping and clerical services (excluding determination of
net asset value, shareholder accounting services and the fund accounting
services for the Fund being supplied by Investors Bank & Trust Company) and pay
all salaries, fees and expenses of officers and Trustees of the Trust who are
affiliated with the Manager. In the performance of its duties, the Manager will
comply with the provisions of the Agreement and Declaration of Trust and By-laws
of the Trust and the Fund's stated investment objective, policies and
restrictions.
(b) In placing orders for the portfolio transactions of the Fund, the Manager will seek the best price and execution available, except to the extent it may be permitted to pay higher brokerage commissions for brokerage and research services as described below. In using its best efforts to obtain for the Fund the most favorable price and execution available, the Manager shall consider all factors it deems relevant, including, without limitation, the overall net economic result to the Fund (involving price paid or received and any commissions and other costs paid), the efficiency with which the transaction is effected, the ability to effect the transaction at all where a large block is involved, availability of the broker to stand ready to execute possibly difficult transactions in the future and financial strength and stability of the broker. Subject to such policies as the Trustees may determine, the Manager shall not be deemed to have acted unlawfully or to have breached any duty created by this Contract or otherwise solely by reason of its having caused a Fund to pay a broker or dealer that provides brokerage and research services to the Manager an amount of commission for effecting a portfolio investment transaction in excess of the amount of commission another broker or dealer would have charged for effecting that transaction, if the Manager determines in good faith that such amount of commission was reasonable in relation to the value of the brokerage and research services provided by such broker or dealer, viewed in terms of either that
particular transaction or the Manager's overall responsibilities with respect to the Trust and to other clients of the Manager as to which the Manager exercises investment discretion.
(c) The Manager shall not be obligated under this agreement to pay any expenses of or for the Trust or of or for the Fund not expressly assumed by the Manager pursuant to this Section 1 other than as provided in Section 3.
2. OTHER AGREEMENTS, ETC.
It is understood that any of the shareholders, Trustees, officers and employees of the Trust may be a partner, shareholder, director, officer or employee of, or be otherwise interested in, the Manager, and in any person controlled by or under common control with the Manager, and that the Manager and any person controlled by or under common control with the Manager may have an interest in the Trust. It is also understood that the Manager and persons controlled by or under common control with the Manager have and may have advisory, management service, distribution or other contracts with other organizations and persons, and may have other interests and businesses.
3. COMPENSATION TO BE PAID BY THE TRUST TO THE MANAGER.
The Fund will pay no direct fee to the Manager as compensation for the Manager's services rendered hereunder. Since the Manager intends to invest most or all of the Fund's assets in other Funds of GMO Trust, the Manager will be indirectly compensated for its services rendered hereunder pursuant to the terms of other Management Contracts between the Trust, on behalf of other Funds of GMO Trust, and the Manager.
In the event that expenses of the Fund for any fiscal year should exceed the expense limitation on investment company expenses imposed by any statute or regulatory authority of any jurisdiction in which shares of the Trust are qualified for offer and sale, the compensation due the Manager for such fiscal year shall be reduced by the amount of such excess by a reduction or refund thereof. In the event that the expenses of the Fund exceed any expense limitation which the Manager may, by written notice to the Trust, voluntarily declare to be effective with respect to the Fund, subject to such terms and conditions as the Manager may prescribe in such notice, the compensation due the Manager shall be reduced, and, if necessary, the Manager shall bear the Fund's expenses to the extent required by such expense limitation.
If the Manager shall serve for less than the whole of a month, the foregoing compensation shall be prorated.
4. ASSIGNMENT TERMINATES THIS CONTRACT; AMENDMENTS OF THIS CONTRACT.
This Contract shall automatically terminate, without the payment of any penalty, in the event of its assignment; and this Contract shall not be amended unless such amendment is approved at a meeting by the affirmative vote of a majority of the outstanding shares of the Fund, and by the vote, cast in person at a meeting called for the purpose of voting on such approval, of a majority of the Trustees of the Trust who are not interested persons of the Trust or of the Manager.
5. EFFECTIVE PERIOD AND TERMINATION OF THIS CONTRACT.
This Contract shall become effective upon its execution, and shall remain in full force and effect continuously thereafter (unless terminated automatically as set forth in Section 4) until terminated as follows:
(a) Either party hereto may at any time terminate this Contract by not more than sixty days' written notice delivered or mailed by registered mail, postage prepaid, to the other party, or
(b) If (i) the Trustees of the Trust or the shareholders by the affirmative vote of a majority of the outstanding shares of the Fund, and (ii) a majority of the Trustees of the Trust who are not interested persons of the Trust or of the Manager, by vote cast in person at a meeting called for the purpose of voting on such approval, do not specifically approve at least annually the continuance of this Contract, then this Contract shall automatically terminate at the close of business on the second anniversary of its execution, or upon the expiration of one year from the effective date of the last such continuance, whichever is later; provided, however, that if the continuance of this Contract is submitted to the shareholders of the Fund for their approval and such shareholders fail to approve such continuance of this Contract as provided herein, the Manager may continue to serve hereunder in a manner consistent with the Investment Company Act of 1940 and the rules and regulations thereunder.
Action by the Trust under (a) above may be taken either (i) by vote of a majority of its Trustees, or (ii) by the affirmative vote of a majority of the outstanding shares of the Fund.
Termination of this Contract pursuant to this Section 5 shall be without the payment of any penalty.
6. CERTAIN DEFINITIONS.
For the purposes of this Contract, the "affirmative vote of a majority of the outstanding shares" of the Fund means the affirmative vote, at a duly called and held meeting of
shareholders, (a) of the holders of 67% or more of the shares of the Fund present (in person or by proxy) and entitled to vote at such meeting, if the holders of more than 50% of the outstanding shares of the Fund entitled to vote at such meeting are present in person or by proxy, or (b) of the holders of more than 50% of the outstanding shares of the Fund entitled to vote at such meeting, whichever is less.
For the purposes of this Contract, the terms "affiliated person", "control", "interested person" and "assignment" shall have their respective meanings defined in the Investment Company Act of 1940 and the rules and regulations thereunder, subject, however, to such exemptions as may be granted by the Securities and Exchange Commission under said Act; and the phrase "specifically approve at least annually" shall be construed in a manner consistent with the Investment Company Act of 1940 and the rules and regulations thereunder.
7. NONLIABILITY OF MANAGER.
In the absence of willful misfeasance, bad faith or gross negligence on the part of the Manager, or reckless disregard of its obligations and duties hereunder, the Manager shall not be subject to any liability to the Trust, or to any shareholder of the Trust, for any act or omission in the course of, or connected with, rendering services hereunder.
8. INITIALS "GMO".
The Manager owns the initials "GMO" which may be used by the Trust only with the consent of the Manager. The Manager consents to the use by the Trust of the name "GMO Trust" or any other name embodying the initials "GMO", in such forms as the Manager shall in writing approve, but only on condition and so long as (i) this Contract shall remain in full force and (ii) the Trust shall fully perform, fulfill and comply with all provisions of this Contract expressed herein to be performed, fulfilled or complied with by it. No such name shall be used by the Trust at any time or in any place or for any purposes or under any conditions except as in this section provided. The foregoing authorization by the Manager to the Trust to use said initials as part of a business or name is not exclusive of the right of the Manager itself to use, or to authorize others to use, the same; the Trust acknowledges and agrees that as between the Manager and the Trust, the Manager has the exclusive right so to authorize others to use the same; the Trust acknowledges and agrees that as between the Manager and the Trust, the Manager has the exclusive right so to use, or authorize others to use, said initials and the Trust agrees to take such action as may reasonably be requested by the Manager to give full effect to the provisions of this section (including, without limitation, consenting to such use of said initials). Without limiting the generality of the foregoing, the Trust agrees that, upon any termination of this Contract by either party or upon the violation of any of its provisions by the Trust, the Trust will, at the request of the Manager made within six months after the Manager has knowledge of such termination or violation, use its best efforts to change the name of the Trust so as to eliminate all reference, if any, to the initials "GMO" and will not thereafter transact any business in a name containing the initials "GMO"
in any form or combination whatsoever, or designate itself as the same entity as or successor to an entity of such name, or otherwise use the initials "GMO" or any other reference to the Manager. Such covenants on the part of the Trust shall be binding upon it, its trustees, officers, stockholders, creditors and all other persons claiming under or through it.
9. LIMITATION OF LIABILITY OF THE TRUSTEES AND SHAREHOLDERS.
A copy of the Agreement and Declaration of Trust of the Trust is on file with the Secretary of The Commonwealth of Massachusetts, and notice is hereby given that this instrument is executed on behalf of the Trustees of the Trust as Trustees and not individually and that the obligations of this instrument are not binding upon any of the Trustees or shareholders individually but are binding only upon the assets and property of the Fund.
IN WITNESS WHEREOF, GMO TRUST and GRANTHAM, MAYO, VAN OTTERLOO & CO. have each caused this instrument to be signed in duplicate on its behalf by its duly authorized representative, all as of the day and year first above written.
GMO TRUST
By_______________________________________
Title:
GRANTHAM, MAYO, VAN OTTERLOO & CO.
By_______________________________________
Title:
EXHIBIT 5.7
MANAGEMENT CONTRACT
Management Contract executed as of [May __, 1996] between GMO TRUST, a Massachusetts business trust (the "Trust") on behalf of its GMO Global Balanced Allocation Fund (the "Fund"), and GRANTHAM, MAYO, VAN OTTERLOO & CO., a Massachusetts general partnership (the "Manager").
W I T N E S S E T H:
That in consideration of the mutual covenants herein contained, it is agreed as follows:
1. SERVICES TO BE RENDERED BY MANAGER TO THE TRUST.
(a) Subject always to the control of the Trustees of the Trust and to
such policies as the Trustees may determine, the Manager will, at its expense,
(i) furnish continuously an asset allocation program for the Fund and will make
investment decisions on behalf of the Fund and place all orders for the purchase
and sale of its portfolio securities and (ii) furnish office space and
equipment, provide bookkeeping and clerical services (excluding determination of
net asset value, shareholder accounting services and the fund accounting
services for the Fund being supplied by Investors Bank & Trust Company) and pay
all salaries, fees and expenses of officers and Trustees of the Trust who are
affiliated with the Manager. In the performance of its duties, the Manager will
comply with the provisions of the Agreement and Declaration of Trust and By-laws
of the Trust and the Fund's stated investment objective, policies and
restrictions.
(b) In placing orders for the portfolio transactions of the Fund, the Manager will seek the best price and execution available, except to the extent it may be permitted to pay higher brokerage commissions for brokerage and research services as described below. In using its best efforts to obtain for the Fund the most favorable price and execution available, the Manager shall consider all factors it deems relevant, including, without limitation, the overall net economic result to the Fund (involving price paid or received and any commissions and other costs paid), the efficiency with which the transaction is effected, the ability to effect the transaction at all where a large block is involved, availability of the broker to stand ready to execute possibly difficult transactions in the future and financial strength and stability of the broker. Subject to such policies as the Trustees may determine, the Manager shall not be deemed to have acted unlawfully or to have breached any duty created by this Contract or otherwise solely by reason of its having caused a Fund to pay a broker or dealer that provides brokerage and research services to the Manager an amount of commission for effecting a portfolio investment transaction in excess of the amount of commission another broker or dealer would have charged for effecting that transaction, if the Manager determines in good faith that such amount of commission was reasonable in relation to the value of the brokerage and research services provided by such broker or dealer, viewed in terms of either that
particular transaction or the Manager's overall responsibilities with respect to the Trust and to other clients of the Manager as to which the Manager exercises investment discretion.
(c) The Manager shall not be obligated under this agreement to pay any expenses of or for the Trust or of or for the Fund not expressly assumed by the Manager pursuant to this Section 1 other than as provided in Section 3.
2. OTHER AGREEMENTS, ETC.
It is understood that any of the shareholders, Trustees, officers and employees of the Trust may be a partner, shareholder, director, officer or employee of, or be otherwise interested in, the Manager, and in any person controlled by or under common control with the Manager, and that the Manager and any person controlled by or under common control with the Manager may have an interest in the Trust. It is also understood that the Manager and persons controlled by or under common control with the Manager have and may have advisory, management service, distribution or other contracts with other organizations and persons, and may have other interests and businesses.
3. COMPENSATION TO BE PAID BY THE TRUST TO THE MANAGER.
The Fund will pay no direct fee to the Manager as compensation for the Manager's services rendered hereunder. Since the Manager intends to invest most or all of the Fund's assets in other Funds of GMO Trust, the Manager will be indirectly compensated for its services rendered hereunder pursuant to the terms of other Management Contracts between the Trust, on behalf of other Funds of GMO Trust, and the Manager.
In the event that expenses of the Fund for any fiscal year should exceed the expense limitation on investment company expenses imposed by any statute or regulatory authority of any jurisdiction in which shares of the Trust are qualified for offer and sale, the compensation due the Manager for such fiscal year shall be reduced by the amount of such excess by a reduction or refund thereof. In the event that the expenses of the Fund exceed any expense limitation which the Manager may, by written notice to the Trust, voluntarily declare to be effective with respect to the Fund, subject to such terms and conditions as the Manager may prescribe in such notice, the compensation due the Manager shall be reduced, and, if necessary, the Manager shall bear the Fund's expenses to the extent required by such expense limitation.
If the Manager shall serve for less than the whole of a month, the foregoing compensation shall be prorated.
4. ASSIGNMENT TERMINATES THIS CONTRACT; AMENDMENTS OF THIS CONTRACT.
This Contract shall automatically terminate, without the payment of any penalty, in the event of its assignment; and this Contract shall not be amended unless such amendment is approved at a meeting by the affirmative vote of a majority of the outstanding shares of the Fund, and by the vote, cast in person at a meeting called for the purpose of voting on such approval, of a majority of the Trustees of the Trust who are not interested persons of the Trust or of the Manager.
5. EFFECTIVE PERIOD AND TERMINATION OF THIS CONTRACT.
This Contract shall become effective upon its execution, and shall remain in full force and effect continuously thereafter (unless terminated automatically as set forth in Section 4) until terminated as follows:
(a) Either party hereto may at any time terminate this Contract by not more than sixty days' written notice delivered or mailed by registered mail, postage prepaid, to the other party, or
(b) If (i) the Trustees of the Trust or the shareholders by the affirmative vote of a majority of the outstanding shares of the Fund, and (ii) a majority of the Trustees of the Trust who are not interested persons of the Trust or of the Manager, by vote cast in person at a meeting called for the purpose of voting on such approval, do not specifically approve at least annually the continuance of this Contract, then this Contract shall automatically terminate at the close of business on the second anniversary of its execution, or upon the expiration of one year from the effective date of the last such continuance, whichever is later; provided, however, that if the continuance of this Contract is submitted to the shareholders of the Fund for their approval and such shareholders fail to approve such continuance of this Contract as provided herein, the Manager may continue to serve hereunder in a manner consistent with the Investment Company Act of 1940 and the rules and regulations thereunder.
Action by the Trust under (a) above may be taken either (i) by vote of a majority of its Trustees, or (ii) by the affirmative vote of a majority of the outstanding shares of the Fund.
Termination of this Contract pursuant to this Section 5 shall be without the payment of any penalty.
6. CERTAIN DEFINITIONS.
For the purposes of this Contract, the "affirmative vote of a majority of the outstanding shares" of the Fund means the affirmative vote, at a duly called and held meeting of
shareholders, (a) of the holders of 67% or more of the shares of the Fund present (in person or by proxy) and entitled to vote at such meeting, if the holders of more than 50% of the outstanding shares of the Fund entitled to vote at such meeting are present in person or by proxy, or (b) of the holders of more than 50% of the outstanding shares of the Fund entitled to vote at such meeting, whichever is less.
For the purposes of this Contract, the terms "affiliated person", "control", "interested person" and "assignment" shall have their respective meanings defined in the Investment Company Act of 1940 and the rules and regulations thereunder, subject, however, to such exemptions as may be granted by the Securities and Exchange Commission under said Act; and the phrase "specifically approve at least annually" shall be construed in a manner consistent with the Investment Company Act of 1940 and the rules and regulations thereunder.
7. NONLIABILITY OF MANAGER.
In the absence of willful misfeasance, bad faith or gross negligence on the part of the Manager, or reckless disregard of its obligations and duties hereunder, the Manager shall not be subject to any liability to the Trust, or to any shareholder of the Trust, for any act or omission in the course of, or connected with, rendering services hereunder.
8. INITIALS "GMO".
The Manager owns the initials "GMO" which may be used by the Trust only with the consent of the Manager. The Manager consents to the use by the Trust of the name "GMO Trust" or any other name embodying the initials "GMO", in such forms as the Manager shall in writing approve, but only on condition and so long as (i) this Contract shall remain in full force and (ii) the Trust shall fully perform, fulfill and comply with all provisions of this Contract expressed herein to be performed, fulfilled or complied with by it. No such name shall be used by the Trust at any time or in any place or for any purposes or under any conditions except as in this section provided. The foregoing authorization by the Manager to the Trust to use said initials as part of a business or name is not exclusive of the right of the Manager itself to use, or to authorize others to use, the same; the Trust acknowledges and agrees that as between the Manager and the Trust, the Manager has the exclusive right so to authorize others to use the same; the Trust acknowledges and agrees that as between the Manager and the Trust, the Manager has the exclusive right so to use, or authorize others to use, said initials and the Trust agrees to take such action as may reasonably be requested by the Manager to give full effect to the provisions of this section (including, without limitation, consenting to such use of said initials). Without limiting the generality of the foregoing, the Trust agrees that, upon any termination of this Contract by either party or upon the violation of any of its provisions by the Trust, the Trust will, at the request of the Manager made within six months after the Manager has knowledge of such termination or violation, use its best efforts to change the name of the Trust so as to eliminate all reference, if any, to the initials "GMO" and will not thereafter transact any business in a name containing the initials "GMO"
in any form or combination whatsoever, or designate itself as the same entity as or successor to an entity of such name, or otherwise use the initials "GMO" or any other reference to the Manager. Such covenants on the part of the Trust shall be binding upon it, its trustees, officers, stockholders, creditors and all other persons claiming under or through it.
9. LIMITATION OF LIABILITY OF THE TRUSTEES AND SHAREHOLDERS.
A copy of the Agreement and Declaration of Trust of the Trust is on file with the Secretary of The Commonwealth of Massachusetts, and notice is hereby given that this instrument is executed on behalf of the Trustees of the Trust as Trustees and not individually and that the obligations of this instrument are not binding upon any of the Trustees or shareholders individually but are binding only upon the assets and property of the Fund.
IN WITNESS WHEREOF, GMO TRUST and GRANTHAM, MAYO, VAN OTTERLOO & CO. have each caused this instrument to be signed in duplicate on its behalf by its duly authorized representative, all as of the day and year first above written.
GMO TRUST
By_______________________________________
Title:
GRANTHAM, MAYO, VAN OTTERLOO & CO.
By_______________________________________
Title:
EXHIBIT 5.8
MANAGEMENT CONTRACT
Management Contract executed as of [May __, 1996] between GMO TRUST, a Massachusetts business trust (the "Trust") on behalf of its GMO Traditional Global Balanced Allocation Fund (the "Fund"), and GRANTHAM, MAYO, VAN OTTERLOO & CO., a Massachusetts general partnership (the "Manager").
W I T N E S S E T H:
That in consideration of the mutual covenants herein contained, it is agreed as follows:
1. SERVICES TO BE RENDERED BY MANAGER TO THE TRUST.
(a) Subject always to the control of the Trustees of the Trust and to
such policies as the Trustees may determine, the Manager will, at its expense,
(i) furnish continuously an asset allocation program for the Fund and will make
investment decisions on behalf of the Fund and place all orders for the purchase
and sale of its portfolio securities and (ii) furnish office space and
equipment, provide bookkeeping and clerical services (excluding determination of
net asset value, shareholder accounting services and the fund accounting
services for the Fund being supplied by Investors Bank & Trust Company) and pay
all salaries, fees and expenses of officers and Trustees of the Trust who are
affiliated with the Manager. In the performance of its duties, the Manager will
comply with the provisions of the Agreement and Declaration of Trust and By-laws
of the Trust and the Fund's stated investment objective, policies and
restrictions.
(b) In placing orders for the portfolio transactions of the Fund, the Manager will seek the best price and execution available, except to the extent it may be permitted to pay higher brokerage commissions for brokerage and research services as described below. In using its best efforts to obtain for the Fund the most favorable price and execution available, the Manager shall consider all factors it deems relevant, including, without limitation, the overall net economic result to the Fund (involving price paid or received and any commissions and other costs paid), the efficiency with which the transaction is effected, the ability to effect the transaction at all where a large block is involved, availability of the broker to stand ready to execute possibly difficult transactions in the future and financial strength and stability of the broker. Subject to such policies as the Trustees may determine, the Manager shall not be deemed to have acted unlawfully or to have breached any duty created by this Contract or otherwise solely by reason of its having caused a Fund to pay a broker or dealer that provides brokerage and research services to the Manager an amount of commission for effecting a portfolio investment transaction in excess of the amount of commission another broker or dealer would have charged for effecting that transaction, if the Manager determines in good faith that such amount of commission was reasonable in relation to the value of the brokerage and research services provided by such broker or dealer, viewed in terms of either that
particular transaction or the Manager's overall responsibilities with respect to the Trust and to other clients of the Manager as to which the Manager exercises investment discretion.
(c) The Manager shall not be obligated under this agreement to pay any expenses of or for the Trust or of or for the Fund not expressly assumed by the Manager pursuant to this Section 1 other than as provided in Section 3.
2. OTHER AGREEMENTS, ETC.
It is understood that any of the shareholders, Trustees, officers and employees of the Trust may be a partner, shareholder, director, officer or employee of, or be otherwise interested in, the Manager, and in any person controlled by or under common control with the Manager, and that the Manager and any person controlled by or under common control with the Manager may have an interest in the Trust. It is also understood that the Manager and persons controlled by or under common control with the Manager have and may have advisory, management service, distribution or other contracts with other organizations and persons, and may have other interests and businesses.
3. COMPENSATION TO BE PAID BY THE TRUST TO THE MANAGER.
The Fund will pay no direct fee to the Manager as compensation for the Manager's services rendered hereunder. Since the Manager intends to invest most or all of the Fund's assets in other Funds of GMO Trust, the Manager will be indirectly compensated for its services rendered hereunder pursuant to the terms of other Management Contracts between the Trust, on behalf of other Funds of GMO Trust, and the Manager.
In the event that expenses of the Fund for any fiscal year should exceed the expense limitation on investment company expenses imposed by any statute or regulatory authority of any jurisdiction in which shares of the Trust are qualified for offer and sale, the compensation due the Manager for such fiscal year shall be reduced by the amount of such excess by a reduction or refund thereof. In the event that the expenses of the Fund exceed any expense limitation which the Manager may, by written notice to the Trust, voluntarily declare to be effective with respect to the Fund, subject to such terms and conditions as the Manager may prescribe in such notice, the compensation due the Manager shall be reduced, and, if necessary, the Manager shall bear the Fund's expenses to the extent required by such expense limitation.
If the Manager shall serve for less than the whole of a month, the foregoing compensation shall be prorated.
4. ASSIGNMENT TERMINATES THIS CONTRACT; AMENDMENTS OF THIS CONTRACT.
This Contract shall automatically terminate, without the payment of any penalty, in the event of its assignment; and this Contract shall not be amended unless such amendment is approved at a meeting by the affirmative vote of a majority of the outstanding shares of the Fund, and by the vote, cast in person at a meeting called for the purpose of voting on such approval, of a majority of the Trustees of the Trust who are not interested persons of the Trust or of the Manager.
5. EFFECTIVE PERIOD AND TERMINATION OF THIS CONTRACT.
This Contract shall become effective upon its execution, and shall remain in full force and effect continuously thereafter (unless terminated automatically as set forth in Section 4) until terminated as follows:
(a) Either party hereto may at any time terminate this Contract by not more than sixty days' written notice delivered or mailed by registered mail, postage prepaid, to the other party, or
(b) If (i) the Trustees of the Trust or the shareholders by the affirmative vote of a majority of the outstanding shares of the Fund, and (ii) a majority of the Trustees of the Trust who are not interested persons of the Trust or of the Manager, by vote cast in person at a meeting called for the purpose of voting on such approval, do not specifically approve at least annually the continuance of this Contract, then this Contract shall automatically terminate at the close of business on the second anniversary of its execution, or upon the expiration of one year from the effective date of the last such continuance, whichever is later; provided, however, that if the continuance of this Contract is submitted to the shareholders of the Fund for their approval and such shareholders fail to approve such continuance of this Contract as provided herein, the Manager may continue to serve hereunder in a manner consistent with the Investment Company Act of 1940 and the rules and regulations thereunder.
Action by the Trust under (a) above may be taken either (i) by vote of a majority of its Trustees, or (ii) by the affirmative vote of a majority of the outstanding shares of the Fund.
Termination of this Contract pursuant to this Section 5 shall be without the payment of any penalty.
6. CERTAIN DEFINITIONS.
For the purposes of this Contract, the "affirmative vote of a majority of the outstanding shares" of the Fund means the affirmative vote, at a duly called and held meeting of
shareholders, (a) of the holders of 67% or more of the shares of the Fund present (in person or by proxy) and entitled to vote at such meeting, if the holders of more than 50% of the outstanding shares of the Fund entitled to vote at such meeting are present in person or by proxy, or (b) of the holders of more than 50% of the outstanding shares of the Fund entitled to vote at such meeting, whichever is less.
For the purposes of this Contract, the terms "affiliated person", "control", "interested person" and "assignment" shall have their respective meanings defined in the Investment Company Act of 1940 and the rules and regulations thereunder, subject, however, to such exemptions as may be granted by the Securities and Exchange Commission under said Act; and the phrase "specifically approve at least annually" shall be construed in a manner consistent with the Investment Company Act of 1940 and the rules and regulations thereunder.
7. NONLIABILITY OF MANAGER.
In the absence of willful misfeasance, bad faith or gross negligence on the part of the Manager, or reckless disregard of its obligations and duties hereunder, the Manager shall not be subject to any liability to the Trust, or to any shareholder of the Trust, for any act or omission in the course of, or connected with, rendering services hereunder.
8. INITIALS "GMO".
The Manager owns the initials "GMO" which may be used by the Trust only with the consent of the Manager. The Manager consents to the use by the Trust of the name "GMO Trust" or any other name embodying the initials "GMO", in such forms as the Manager shall in writing approve, but only on condition and so long as (i) this Contract shall remain in full force and (ii) the Trust shall fully perform, fulfill and comply with all provisions of this Contract expressed herein to be performed, fulfilled or complied with by it. No such name shall be used by the Trust at any time or in any place or for any purposes or under any conditions except as in this section provided. The foregoing authorization by the Manager to the Trust to use said initials as part of a business or name is not exclusive of the right of the Manager itself to use, or to authorize others to use, the same; the Trust acknowledges and agrees that as between the Manager and the Trust, the Manager has the exclusive right so to authorize others to use the same; the Trust acknowledges and agrees that as between the Manager and the Trust, the Manager has the exclusive right so to use, or authorize others to use, said initials and the Trust agrees to take such action as may reasonably be requested by the Manager to give full effect to the provisions of this section (including, without limitation, consenting to such use of said initials). Without limiting the generality of the foregoing, the Trust agrees that, upon any termination of this Contract by either party or upon the violation of any of its provisions by the Trust, the Trust will, at the request of the Manager made within six months after the Manager has knowledge of such termination or violation, use its best efforts to change the name of the Trust so as to eliminate all reference, if any, to the initials "GMO" and will not thereafter transact any business in a name containing the initials "GMO"
in any form or combination whatsoever, or designate itself as the same entity as or successor to an entity of such name, or otherwise use the initials "GMO" or any other reference to the Manager. Such covenants on the part of the Trust shall be binding upon it, its trustees, officers, stockholders, creditors and all other persons claiming under or through it.
9. LIMITATION OF LIABILITY OF THE TRUSTEES AND SHAREHOLDERS.
A copy of the Agreement and Declaration of Trust of the Trust is on file with the Secretary of The Commonwealth of Massachusetts, and notice is hereby given that this instrument is executed on behalf of the Trustees of the Trust as Trustees and not individually and that the obligations of this instrument are not binding upon any of the Trustees or shareholders individually but are binding only upon the assets and property of the Fund.
IN WITNESS WHEREOF, GMO TRUST and GRANTHAM, MAYO, VAN OTTERLOO & CO. have each caused this instrument to be signed in duplicate on its behalf by its duly authorized representative, all as of the day and year first above written.
GMO TRUST
By_______________________________________
Title:
GRANTHAM, MAYO, VAN OTTERLOO & CO.
By_______________________________________
Title:
EXHIBIT 8
______________, 1996
Investors Bank & Trust Company
Financial Product Services
One Lincoln Plaza
Boston, MA 02205-1537
Re: Custodian Agreement dated August 1, 1991 by and among GMO Trust, Grantham, Mayo, Van Otterloo & Co. and Investors Bank & Trust Company
Ladies and Gentlemen:
GMO Trust (the "Trust") hereby notifies you that it has established eight additional series of shares, namely, the "GMO International Equity Allocation Fund," the "GMO Traditional International Equity Fund," the "GMO World Equity Allocation Fund," the "GMO Traditional World Equity Allocation Fund," the "GMO Global Equity Allocation Fund," the "GMO Traditional Global Equity Allocation Fund," the "GMO Global Balanced Allocation Fund" and the "GMO Traditional Global Balanced Allocation Fund" (the "New Funds"). The Trust and the Manager (as defined in the Agreement) desire that you serve as custodian of the assets of the New Funds under the terms of the Agreement.
If you agree to so serve as custodian for the New Funds, kindly sign and return to the Trust the enclosed counterpart hereof, whereupon the each New Fund shall be deemed a "Fund" under the Agreement. This letter agreement shall constitute an amendment to the Agreement and, as such, a binding agreement among the Trust, the Manager and you in accordance with its terms.
Very truly yours,
GMO TRUST
By__________________________________
Name:
Title:
GRANTHAM, MAYO, VAN OTTERLOO & CO.
By__________________________________
Name:
Title:
The foregoing is hereby accepted and agreed.
INVESTORS BANK & TRUST COMPANY
By__________________________________
Name:
Title:
EXHIBIT 9.1
_______________, 1996
Investors Bank & Trust Company
Financial Product Services
One Lincoln Plaza
Boston, MA 02205-1537
Re: Transfer Agency and Service Agreement dated August 1, 1991 by and among GMO Trust, Grantham, Mayo, Van Otterloo & Co. and Investors Bank & Trust Co. (the "Agreement")
Ladies and Gentlemen:
Pursuant to Article 17 of the Agreement, GMO Trust (the "Company") hereby notifies you that it has established eight additional series of shares, namely, the "GMO International Equity Allocation Fund," the "GMO Traditional International Equity Fund," the "GMO World Equity Allocation Fund," the "GMO Traditional World Equity Allocation Fund," the "GMO Global Equity Allocation Fund," the "GMO Traditional Global Equity Allocation Fund," the "GMO Global Balanced Allocation Fund" and the "GMO Traditional Global Balanced Allocation Fund" (the "New Funds") with respect to which the Company and the manager (as defined in the Agreement) desire that you serve as transfer agent under the terms of the Agreement.
If you agree to so serve as transfer agent for the New Funds, kindly sign and return to the Company the enclosed counterpart hereof, whereupon each of the New Funds shall be deemed a "Fund" under the Agreement. This letter agreement shall constitute an amendment to the Agreement and, as such, a binding agreement among the Trust, the Manager and you in accordance with its terms.
Very truly yours,
GMO TRUST
By__________________________________
Name:
Title:
GRANTHAM, MAYO, VAN OTTERLOO & CO.
By__________________________________
Name:
Title:
The foregoing is hereby accepted and agreed.
INVESTORS BANK & TRUST COMPANY
By__________________________________
Name:
Title:
EXHIBIT 9.2
GRANTHAM, MAYO, VAN OTTERLOO & CO.
Notification of Fee Waiver and
Expense Limitation
NOTIFICATION made May __, 1996 by GRANTHAM, MAYO, VAN OTTERLOO & CO., a Massachusetts general partnership (the "Advisor"), to GMO TRUST, a Massachusetts business trust (the "Trust").
WITNESSETH:
WHEREAS, the Advisor has organized the Trust to serve primarily as an investment vehicle for certain large institutional accounts; and
WHEREAS, the Advisor believes it would benefit from a high sales volume of shares of the Trust in that such a volume would maximize the Advisor's fee as investment advisor to each series of the Trust constituting a separate investment portfolio set forth below (each a "Fund" and, collectively, the "Funds"); and
WHEREAS, the Advisor has agreed to furnish certain services or to bear the costs thereof so as to enable the Funds to offer competitive returns with respect to investments in the Funds.
NOW, THEREFORE, pursuant to Section 3 of each Management Contract (each a "Management Contract") currently in effect between the Advisor and the Trust, on behalf of each Fund, the Advisor hereby notifies the Trust that the Advisor shall voluntarily, until further notice, reduce its compensation due under each Management Contract, and, if necessary, bear the expenses of each Fund (excluding Shareholder Service Fees, brokerage commissions, extraordinary expenses (including taxes), securities lending fees and expenses and transfer taxes and, in the case of the GMO Emerging Markets, GMO Emerging Country Debt Fund and GMO Global Hedged Equity Fund, excluding custodial fees and, in the case of GMO Global Hedged Equity Fund only, also excluding hedging transaction fees) to the extent required to limit the expense of the relevant Fund to the following annual rate of such Fund's average daily net asset value:
GMO Core Fund .33% GMO Japan Fund .54%
GMO Tobacco-Free Core Fund .33% GMO Emerging Markets Fund 1.05%%
GMO Value Allocation Fund .46% GMO Global Hedged Equity Fund .50%
GMO Growth Allocation Fund .33% GMO Domestic Bond Fund .10%
GMO U.S. Sector Allocation Fund .33% GMO Short-Term Income Fund .05%
GMO Core II Secondaries Fund .33% GMO International Bond Fund .25%
GMO Fundamental Value Fund .60% GMO Currency Hedged International Bond .25%
Fund
GMO Conservative Equity Fund .33% GMO Global Bond Fund .19%
GMO International Core Fund .54% GMO Emerging Country Debt Fund .35%
GMO Currency Hedged International Core Fund .54% GMO Core Emerging Country Debt Fund .30%
GMO Foreign Fund .60% GMO REIT Fund 1.25%%
GMO International Small Companies Fund .60% Pelican Fund .80%
|
The Advisor hereby further notifies the Trust that the Advisor shall voluntarily, until further notice, reduce its compensation under the Management Contract relating to the GMO Emerging Markets Fund to an annual rate of .83% of that Fund's average daily net asset value, regardless of the level of the Fund's other expenses.
Please be advised that all previous notifications by the Advisor with respect to expense limitations regarding any of the Funds shall hereafter be null and void and of no further force and effect.
IN WITNESS WHEREOF, the Advisor has executed this Notification of Expense Limitation on the day and year first above written.
GRANTHAM, MAYO, VAN OTTERLOO & CO.
By:
Title: Partner
The foregoing is hereby accepted:
GMO TRUST
on behalf of each
Fund named above
By:
Title: President-Quantitative
EXHIBIT 11
[LETTERHEAD OF PRICE WATERHOUSE LLP]
CONSENT OF INDEPENDENT ACCOUNTANTS
We hereby consent to the use in the Statement of Additional Information constituting part of this Post-Effective Amendment No. 27 to the registration statement on Form N-1A of our reports dated April 10, 1995, April 14, 1995 and April 20, 1995, relating to the financial statements and financial highlights of each series of GMO Trust which appear in such Statement of Additional Information. We also consent to the references to us under the headings "Independent Accountants" and "Financial Statements" in such Statement of Additional Information and to the reference to us under the heading "Financial Highlights" in such Prospectus.
PRICE WATERHOUSE LLP
Boston, Massachusetts
March 13, 1996
Exhibit 17
DOCUMENT>
TYPE> EX-27.Ser09
TEXT>
ARTICLE> 6
LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 28, 1995
and is qualified in its entirety by reference
to such financial statements.
LEGEND> SERIES> NUMBER> 1 NAME> Core Fund TABLE> S> C> PERIOD-TYPE> YEAR FISCAL-YEAR-END> FEB-28-1995 PERIOD-END> FEB-28-1995 INVESTMENTS-AT-COST> 2,180,715,968 INVESTMENTS-AT-VALUE> 2,397,224,698 RECEIVABLES> 40,270,822 ASSETS-OTHER> 0 OTHER-ITEMS-ASSETS> 0 TOTAL-ASSETS> 2,437,495,520 PAYABLE-FOR-SECURITIES> 38,429,058 SENIOR-LONG-TERM-DEBT> 0 OTHER-ITEMS-LIABILITIES> 89,818,524 TOTAL-LIABILITIES> 128,247,582 SENIOR-EQUITY> 0 PAID-IN-CAPITAL-COMMON> 2,084,137,288 SHARES-COMMON-STOCK> 149,509,336 SHARES-COMMON-PRIOR> 123,081,167 ACCUMULATED-NII-CURRENT> 9,992,385 OVERDISTRIBUTION-NII> 0 ACCUMULATED-NET-GAINS> (1,721,805) OVERDISTRIBUTION-GAINS> 0 ACCUM-APPREC-OR-DEPREC> 216,840,070 NET-ASSETS> 2,309,247,938 DIVIDEND-INCOME> 59,069,213 INTEREST-INCOME> 4,376,365 OTHER-INCOME> 0 EXPENSES-NET> 9,786,281 NET-INVESTMENT-INCOME> 53,659,297 REALIZED-GAINS-CURRENT> 120,519,094 APPREC-INCREASE-CURRENT> (23,956,664) NET-CHANGE-FROM-OPS> 150,221,727 EQUALIZATION> 0 DISTRIBUTIONS-OF-INCOME> (50,303,126) DISTRIBUTIONS-OF-GAINS> (137,451,908) DISTRIBUTIONS-OTHER> 0 NUMBER-OF-SHARES-SOLD> 41,333,390 NUMBER-OF-SHARES-REDEEMED> (26,231,509) SHARES-REINVESTED> 11,326,288 NET-CHANGE-IN-ASSETS> 367,242,525 ACCUMULATED-NII-PRIOR> 5,928,323 ACCUMULATED-GAINS-PRIOR> 15,853,828 OVERDISTRIB-NII-PRIOR> 0 OVERDIST-NET-GAINS-PRIOR> 0 GROSS-ADVISORY-FEES> 10,703,745 INTEREST-EXPENSE> 0 GROSS-EXPENSE> 11,278,757 AVERAGE-NET-ASSETS> 2,038,808,514 PER-SHARE-NAV-BEGIN> 15.78 PER-SHARE-NII> 0.41 PER-SHARE-GAIN-APPREC> 0.66 PER-SHARE-DIVIDEND> 0.00 PER-SHARE-DISTRIBUTIONS> (1.40) RETURNS-OF-CAPITAL> 0.00 PER-SHARE-NAV-END> 15.45 EXPENSE-RATIO> 0.48 AVG-DEBT-OUTSTANDING> 0 AVG-DEBT-PER-SHARE> 0.00 /TABLE> /TEXT> TEXT> /DOCUMENT> DOCUMENT> |
TYPE> EX-27.Ser04
TEXT>
ARTICLE> 6
LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 28, 1995
and is qualified in its entirety by reference
to such financial statements.
/LEGEND> SERIES> NUMBER> 4 NAME> Growth Allocation Fund TABLE> S> C> PERIOD-TYPE> YEAR FISCAL-YEAR-END> FEB-28-1995 PERIOD-END> FEB-28-1995 INVESTMENTS-AT-COST> 230,998,001 INVESTMENTS-AT-VALUE> 245,396,867 RECEIVABLES> 2,613,442 ASSETS-OTHER> 0 OTHER-ITEMS-ASSETS> 0 TOTAL-ASSETS> 248,010,309 PAYABLE-FOR-SECURITIES> 994,601 SENIOR-LONG-TERM-DEBT> 0 OTHER-ITEMS-LIABILITIES> 8,009,391 TOTAL-LIABILITIES> 9,003,992 SENIOR-EQUITY> 0 PAID-IN-CAPITAL-COMMON> 214,269,890 SHARES-COMMON-STOCK> 53,657,221 SHARES-COMMON-PRIOR> 55,675,281 ACCUMULATED-NII-CURRENT> 558,495 OVERDISTRIBUTION-NII> 0 ACCUMULATED-NET-GAINS> 9,725,239 OVERDISTRIBUTION-GAINS> 0 ACCUM-APPREC-OR-DEPREC> 14,452,693 NET-ASSETS> 239,006,317 DIVIDEND-INCOME> 3,771,365 INTEREST-INCOME> 438,583 OTHER-INCOME> 0 EXPENSES-NET> 1,020,578 NET-INVESTMENT-INCOME> 3,189,370 REALIZED-GAINS-CURRENT> 12,677,026 APPREC-INCREASE-CURRENT> 7,126,286 NET-CHANGE-FROM-OPS> 22,992,682 EQUALIZATION> 0 DISTRIBUTIONS-OF-INCOME> (2,852,156) DISTRIBUTIONS-OF-GAINS> (3,416,541) DISTRIBUTIONS-OTHER> 0 NUMBER-OF-SHARES-SOLD> 8,350,129 NUMBER-OF-SHARES-REDEEMED> (11,444,911) SHARES-REINVESTED> 1,076,722 NET-CHANGE-IN-ASSETS> 8,308,335 ACCUMULATED-NII-PRIOR> 206,752 ACCUMULATED-GAINS-PRIOR> 404,062 OVERDISTRIB-NII-PRIOR> 0 OVERDIST-NET-GAINS-PRIOR> 0 GROSS-ADVISORY-FEES> 1,063,102 INTEREST-EXPENSE> 0 GROSS-EXPENSE> 1,183,057 AVERAGE-NET-ASSETS> 212,620,360 PER-SHARE-NAV-BEGIN> 4.14 PER-SHARE-NII> 0.06 PER-SHARE-GAIN-APPREC> 0.38 PER-SHARE-DIVIDEND> 0.00 PER-SHARE-DISTRIBUTIONS> (0.13) RETURNS-OF-CAPITAL> 0.00 PER-SHARE-NAV-END> 4.45 EXPENSE-RATIO> 0.48 AVG-DEBT-OUTSTANDING> 0 AVG-DEBT-PER-SHARE> 0.00 /TABLE> /TEXT> DOCUMENT> /DOCUMENT> TYPE> TEXT> ARTICLE> 6 LEGEND> |
This schedule contains summary financial information extracted from GMO Trust, form N-SAR for the period ended February 28, 1995 and is qualified in its entirety by reference to such financial statements.
/LEGEND> SERIES> NUMBER> 8 NAME> Value Allocation Fund TABLE> S> C> PERIOD-TYPE> YEAR FISCAL-YEAR-END> FEB-28-1995 PERIOD-END> FEB-28-1995 INVESTMENTS-AT-COST> 327,078,362 INVESTMENTS-AT-VALUE> 353,688,916 RECEIVABLES> 13,226,489 ASSETS-OTHER> 0 OTHER-ITEMS-ASSETS> 0 TOTAL-ASSETS> 366,915,405 PAYABLE-FOR-SECURITIES> 3,770,601 SENIOR-LONG-TERM-DEBT> 0 OTHER-ITEMS-LIABILITIES> 12,450,343 TOTAL-LIABILITIES> 16,220,944 SENIOR-EQUITY> 0 PAID-IN-CAPITAL-COMMON> 326,243,082 SHARES-COMMON-STOCK> 29,095,761 SHARES-COMMON-PRIOR> 50,419,311 ACCUMULATED-NII-CURRENT> 1,914,719 OVERDISTRIBUTION-NII> 0 ACCUMULATED-NET-GAINS> (4,119,787) OVERDISTRIBUTION-GAINS> 0 ACCUM-APPREC-OR-DEPREC> 26,656,447 NET-ASSETS> 350,694,461 DIVIDEND-INCOME> 14,887,482 INTEREST-INCOME> 687,766 OTHER-INCOME> 0 EXPENSES-NET> 2,740,474 NET-INVESTMENT-INCOME> 12,834,774 REALIZED-GAINS-CURRENT> 45,814,165 APPREC-INCREASE-CURRENT> (41,548,844) NET-CHANGE-FROM-OPS> 17,100,095 EQUALIZATION> 0 DISTRIBUTIONS-OF-INCOME> (16,241,648) DISTRIBUTIONS-OF-GAINS> (53,036,477) DISTRIBUTIONS-OTHER> 0 NUMBER-OF-SHARES-SOLD> 3,061,654 NUMBER-OF-SHARES-REDEEMED> (29,453,951) SHARES-REINVESTED> 5,068,747 NET-CHANGE-IN-ASSETS> (328,837,069) ACCUMULATED-NII-PRIOR> 5,309,936 ACCUMULATED-GAINS-PRIOR> 4,879,562 OVERDISTRIB-NII-PRIOR> 0 OVERDIST-NET-GAINS-PRIOR> 0 GROSS-ADVISORY-FEES> 3,144,806 INTEREST-EXPENSE> 0 GROSS-EXPENSE> 3,353,253 AVERAGE-NET-ASSETS> 449,258,050 PER-SHARE-NAV-BEGIN> 13.48 PER-SHARE-NII> 0.41 PER-SHARE-GAIN-APPREC> 0.32 PER-SHARE-DIVIDEND> 0.00 PER-SHARE-DISTRIBUTIONS> (2.16) RETURNS-OF-CAPITAL> 0.00 PER-SHARE-NAV-END> 12.05 EXPENSE-RATIO> 0.61 AVG-DEBT-OUTSTANDING> 0 AVG-DEBT-PER-SHARE> 0.00 /TABLE> /TEXT> /DOCUMENT> DOCUMENT> TYPE TEXT> ARTICLE> 6 LEGEND> |
This schedule contains summary financial information extracted from GMO Trust, form N-SAR for the period ended February 28, 1995 and is qualified in its entirety by reference to such financial statements.
/LEGEND> SERIES> NUMBER> 6 NAME> Short Term Income Fund TABLE> S> C> PERIOD-TYPE> YEAR FISCAL-YEAR-END> FEB-28-1995 PERIOD-END> FEB-28-1995 INVESTMENTS-AT-COST> 9,124,546 INVESTMENTS-AT-VALUE> 9,115,371 RECEIVABLES> 80,713 ASSETS-OTHER> 0 OTHER-ITEMS-ASSETS> 0 TOTAL-ASSETS> 9,196,084 PAYABLE-FOR-SECURITIES> 0 SENIOR-LONG-TERM-DEBT> 0 OTHER-ITEMS-LIABILITIES> 1,002,588 TOTAL-LIABILITIES> 1,002,588 SENIOR-EQUITY> 0 PAID-IN-CAPITAL-COMMON> 8,271,506 SHARES-COMMON-STOCK> 856,832 SHARES-COMMON-PRIOR> 826,909 ACCUMULATED-NII-CURRENT> 99,101 OVERDISTRIBUTION-NII> 0 ACCUMULATED-NET-GAINS> (167,936) OVERDISTRIBUTION-GAINS> 0 ACCUM-APPREC-OR-DEPREC> (9,175) NET-ASSETS> 8,193,496 DIVIDEND-INCOME> 0 INTEREST-INCOME> 687,713 OTHER-INCOME> 0 EXPENSES-NET> 32,631 NET-INVESTMENT-INCOME> 655,082 REALIZED-GAINS-CURRENT> (168,682) APPREC-INCREASE-CURRENT> (44,099) NET-CHANGE-FROM-OPS> 442,301 EQUALIZATION> 0 DISTRIBUTIONS-OF-INCOME> (612,710) DISTRIBUTIONS-OF-GAINS> 0 DISTRIBUTIONS-OTHER> 0 NUMBER-OF-SHARES-SOLD> 3,299,162 NUMBER-OF-SHARES-REDEEMED> (3,322,035) SHARES-REINVESTED> 52,796 NET-CHANGE-IN-ASSETS> 98,476 ACCUMULATED-NII-PRIOR> 56,729 ACCUMULATED-GAINS-PRIOR> 746 OVERDISTRIB-NII-PRIOR> 0 OVERDIST-NET-GAINS-PRIOR> 0 GROSS-ADVISORY-FEES> 32,631 INTEREST-EXPENSE> 0 GROSS-EXPENSE> 57,324 AVERAGE-NET-ASSETS> 13,052,313 PER-SHARE-NAV-BEGIN> 9.79 PER-SHARE-NII> 0.63 PER-SHARE-GAIN-APPREC> (0.28) PER-SHARE-DIVIDEND> 0.00 PER-SHARE-DISTRIBUTIONS> (0.58) RETURNS-OF-CAPITAL> 0.00 PER-SHARE-NAV-END> 9.56 EXPENSE-RATIO> 0.25 AVG-DEBT-OUTSTANDING> 0 AVG-DEBT-PER-SHARE> 0.00 /TABLE> /TEXT> /DOCUMENT> DOCUMENT> TYPE> TEXT> ARTICLE> 6 LEGEND> |
This schedule contains summary financial information extracted from GMO Trust, form N-SAR for the period ended February 28, 1995 and is qualified in its entirety by reference to such financial statements.
/LEGEND> SERIES> NUMBER> 3 NAME> International Core Fund TABLE> S> C> PERIOD-TYPE> YEAR FISCAL-YEAR-END> FEB-28-1995 PERIOD-END> FEB-28-1995 INVESTMENTS-AT-COST> 2,511,522,707 INVESTMENTS-AT-VALUE> 2,560,854,217 RECEIVABLES> 170,951,561 ASSETS-OTHER> 46,902,909 OTHER-ITEMS-ASSETS> 0 TOTAL-ASSETS> 2,778,708,687 PAYABLE-FOR-SECURITIES> 160,772,812 SENIOR-LONG-TERM-DEBT> 0 OTHER-ITEMS-LIABILITIES> 26,290,023 TOTAL-LIABILITIES> 187,062,835 SENIOR-EQUITY> 0 PAID-IN-CAPITAL-COMMON> 2,453,213,046 SHARES-COMMON-STOCK> 116,104,099 SHARES-COMMON-PRIOR> 89,436,247 ACCUMULATED-NII-CURRENT> 0 OVERDISTRIBUTION-NII> 0 ACCUMULATED-NET-GAINS> 100,721,946 OVERDISTRIBUTION-GAINS> 0 ACCUM-APPREC-OR-DEPREC> 37,710,860 NET-ASSETS> 2,591,645,852 DIVIDEND-INCOME> 55,664,794 INTEREST-INCOME> 2,602,161 OTHER-INCOME> 0 EXPENSES-NET> 18,749,844 NET-INVESTMENT-INCOME> 39,517,111 REALIZED-GAINS-CURRENT> 238,738,544 APPREC-INCREASE-CURRENT> (424,074,855) NET-CHANGE-FROM-OPS> (145,819,200) EQUALIZATION> 0 DISTRIBUTIONS-OF-INCOME> (38,432,195) DISTRIBUTIONS-OF-GAINS> (172,566,881) DISTRIBUTIONS-OTHER> 0 NUMBER-OF-SHARES-SOLD> 47,709,816 NUMBER-OF-SHARES-REDEEMED> (29,287,818) SHARES-REINVESTED> 8,245,854 NET-CHANGE-IN-ASSETS> 305,215,162 ACCUMULATED-NII-PRIOR> 7,595,549 ACCUMULATED-GAINS-PRIOR> 27,197,340 OVERDISTRIB-NII-PRIOR> 0 OVERDIST-NET-GAINS-PRIOR> 0 GROSS-ADVISORY-FEES> 19,964,039 INTEREST-EXPENSE> 0 GROSS-EXPENSE> 22,599,689 AVERAGE-NET-ASSETS> 2,661,871,820 PER-SHARE-NAV-BEGIN> 25.56 PER-SHARE-NII> 0.27 PER-SHARE-GAIN-APPREC> (1.57) PER-SHARE-DIVIDEND> 0.00 PER-SHARE-DISTRIBUTIONS> (1.94) RETURNS-OF-CAPITAL> 0.00 PER-SHARE-NAV-END> 22.32 EXPENSE-RATIO> 0.70 AVG-DEBT-OUTSTANDING> 0 AVG-DEBT-PER-SHARE> 0.00 /TABLE> /TEXT> /DOCUMENT> DOCUMENT> TYPE> TEXT> ARTICLE> 6 LEGEND> |
This schedule contains summary financial information extracted from GMO Trust, form N-SAR for the period ended February 28, 1995 and is qualified in its entirety by reference to such financial statements.
/LEGEND> SERIES> NUMBER> 7 NAME> Japan Fund TABLE> S> C> PERIOD-TYPE> YEAR FISCAL-YEAR-END> FEB-28-1995 PERIOD-END> FEB-28-1995 INVESTMENTS-AT-COST> 55,482,140 INVESTMENTS-AT-VALUE> 52,862,704 RECEIVABLES> 6,143,040 ASSETS-OTHER> 1,254,049 OTHER-ITEMS-ASSETS> 0 TOTAL-ASSETS> 60,259,793 PAYABLE-FOR-SECURITIES> 0 SENIOR-LONG-TERM-DEBT> 0 OTHER-ITEMS-LIABILITIES> 136,630 TOTAL-LIABILITIES> 136,630 SENIOR-EQUITY> 0 PAID-IN-CAPITAL-COMMON> 51,478,963 SHARES-COMMON-STOCK> 6,591,242 SHARES-COMMON-PRIOR> 40,446,319 ACCUMULATED-NII-CURRENT> 0 OVERDISTRIBUTION-NII> (401,346) ACCUMULATED-NET-GAINS> 11,647,848 OVERDISTRIBUTION-GAINS> 0 ACCUM-APPREC-OR-DEPREC> (2,602,302) NET-ASSETS> 60,123,163 DIVIDEND-INCOME> 3,606,109 INTEREST-INCOME> 80,066 OTHER-INCOME> 0 EXPENSES-NET> 3,779,161 NET-INVESTMENT-INCOME> (92,986) REALIZED-GAINS-CURRENT> 151,486,989 APPREC-INCREASE-CURRENT> (156,391,026) NET-CHANGE-FROM-OPS> (4,997,023) EQUALIZATION> 0 DISTRIBUTIONS-OF-INCOME> 0 DISTRIBUTIONS-OF-GAINS> (42,616,601) DISTRIBUTIONS-OTHER> 0 NUMBER-OF-SHARES-SOLD> 8,607,105 NUMBER-OF-SHARES-REDEEMED> (46,537,969) SHARES-REINVESTED> 4,075,787 NET-CHANGE-IN-ASSETS> (390,228,033) ACCUMULATED-NII-PRIOR> 0 ACCUMULATED-GAINS-PRIOR> (2,185,923) OVERDISTRIB-NII-PRIOR> (370,352) OVERDIST-NET-GAINS-PRIOR> 0 GROSS-ADVISORY-FEES> 3,394,922 INTEREST-EXPENSE> 0 GROSS-EXPENSE> 3,892,603 AVERAGE-NET-ASSETS> 452,656,310 PER-SHARE-NAV-BEGIN> 11.13 PER-SHARE-NII> 0.00 PER-SHARE-GAIN-APPREC> (1.08) PER-SHARE-DIVIDEND> 0.00 PER-SHARE-DISTRIBUTIONS> (0.93) RETURNS-OF-CAPITAL> 0.00 PER-SHARE-NAV-END> 9.12 EXPENSE-RATIO> 0.83 AVG-DEBT-OUTSTANDING> 0 AVG-DEBT-PER-SHARE> 0.00 /TABLE> /TEXT> /DOCUMENT> DOCUMENT> TYPE> TEXT> ARTICLE> 6 LEGEND> |
This schedule contains summary financial information extracted from GMO Trust, form N-SAR for the period ended February 28, 1995 and is qualified in its entirety by reference to such financial statements.
/LEGEND> SERIES> NUMBER> 9 NAME> Tobacco Free Core Fund TABLE> S> C> PERIOD-TYPE> YEAR FISCAL-YEAR-END> FEB-28-1995 PERIOD-END> FEB-28-1995 INVESTMENTS-AT-COST> 45,768,820 INVESTMENTS-AT-VALUE> 50,206,469 RECEIVABLES> 777,020 ASSETS-OTHER> 0 OTHER-ITEMS-ASSETS> 0 TOTAL-ASSETS> 50,983,489 PAYABLE-FOR-SECURITIES> 498,656 SENIOR-LONG-TERM-DEBT> 0 OTHER-ITEMS-LIABILITIES> 2,516,102 TOTAL-LIABILITIES> 3,014,758 SENIOR-EQUITY> 0 PAID-IN-CAPITAL-COMMON> 43,015,553 SHARES-COMMON-STOCK> 4,502,238 SHARES-COMMON-PRIOR> 5,046,476 ACCUMULATED-NII-CURRENT> 0 OVERDISTRIBUTION-NII> 0 ACCUMULATED-NET-GAINS> 515,529 OVERDISTRIBUTION-GAINS> 0 ACCUM-APPREC-OR-DEPREC> 4,437,649 NET-ASSETS> 47,968,731 DIVIDEND-INCOME> 1,465,067 INTEREST-INCOME> 95,182 OTHER-INCOME> 0 EXPENSES-NET> 249,801 NET-INVESTMENT-INCOME> 1,310,448 REALIZED-GAINS-CURRENT> 4,347,228 APPREC-INCREASE-CURRENT> (2,293,926) NET-CHANGE-FROM-OPS> 3,363,750 EQUALIZATION> 0 DISTRIBUTIONS-OF-INCOME> (1,340,450) DISTRIBUTIONS-OF-GAINS> (4,364,391) DISTRIBUTIONS-OTHER> 0 NUMBER-OF-SHARES-SOLD> 226,368 NUMBER-OF-SHARES-REDEEMED> (1,331,510) SHARES-REINVESTED> 560,904 NET-CHANGE-IN-ASSETS> (7,875,841) ACCUMULATED-NII-PRIOR> 254,797 ACCUMULATED-GAINS-PRIOR> 308,833 OVERDISTRIB-NII-PRIOR> 0 OVERDIST-NET-GAINS-PRIOR> 0 GROSS-ADVISORY-FEES> 260,209 INTEREST-EXPENSE> 0 GROSS-EXPENSE> 390,223 AVERAGE-NET-ASSETS> 52,041,906 PER-SHARE-NAV-BEGIN> 11.07 PER-SHARE-NII> 0.23 PER-SHARE-GAIN-APPREC> 0.50 PER-SHARE-DIVIDEND> 0.00 PER-SHARE-DISTRIBUTIONS> (1.15) RETURNS-OF-CAPITAL> 0.00 PER-SHARE-NAV-END> 10.65 EXPENSE-RATIO> 0.48 AVG-DEBT-OUTSTANDING> 0 AVG-DEBT-PER-SHARE> 0.00 /TABLE> /TEXT> /DOCUMENT> DOCUMENT> TYPE> TEXT> ARTICLE> 6 LEGEND> |
This schedule contains summary financial information extracted from GMO Trust, form N-SAR for the period ended February 28, 1995 and is qualified in its entirety by reference to such financial statements.
/LEGEND> SERIES> NUMBER> 10 NAME> Fundamental Value Fund TABLE> S> C> PERIOD-TYPE> YEAR FISCAL-YEAR-END> FEB-28-1995 PERIOD-END> FEB-28-1995 INVESTMENTS-AT-COST> 179,481,079 INVESTMENTS-AT-VALUE> 191,080,644 RECEIVABLES> 1,617,315 ASSETS-OTHER> 0 OTHER-ITEMS-ASSETS> 0 TOTAL-ASSETS> 192,697,959 PAYABLE-FOR-SECURITIES> 3,710,185 SENIOR-LONG-TERM-DEBT> 0 OTHER-ITEMS-LIABILITIES> 6,116,867 TOTAL-LIABILITIES> 9,827,052 SENIOR-EQUITY> 0 PAID-IN-CAPITAL-COMMON> 167,992,729 SHARES-COMMON-STOCK> 14,581,927 SHARES-COMMON-PRIOR> 11,831,453 ACCUMULATED-NII-CURRENT> 890,128 OVERDISTRIBUTION-NII> 0 ACCUMULATED-NET-GAINS> 2,388,485 OVERDISTRIBUTION-GAINS> 0 ACCUM-APPREC-OR-DEPREC> 11,599,565 NET-ASSETS> 182,870,907 DIVIDEND-INCOME> 5,822,051 INTEREST-INCOME> 392,038 OTHER-INCOME> 0 EXPENSES-NET> 1,297,348 NET-INVESTMENT-INCOME> 4,916,741 REALIZED-GAINS-CURRENT> 7,371,472 APPREC-INCREASE-CURRENT> 1,387,837 NET-CHANGE-FROM-OPS> 13,676,050 EQUALIZATION> 0 DISTRIBUTIONS-OF-INCOME> (4,583,693) DISTRIBUTIONS-OF-GAINS> (7,395,946) DISTRIBUTIONS-OTHER> 0 NUMBER-OF-SHARES-SOLD> 3,213,626 NUMBER-OF-SHARES-REDEEMED> (1,169,385) SHARES-REINVESTED> 706,233 NET-CHANGE-IN-ASSETS> 35,104,260 ACCUMULATED-NII-PRIOR> 528,164 ACCUMULATED-GAINS-PRIOR> 2,445,700 OVERDISTRIB-NII-PRIOR> 0 OVERDIST-NET-GAINS-PRIOR> 0 GROSS-ADVISORY-FEES> 1,297,348 INTEREST-EXPENSE> 0 GROSS-EXPENSE> 1,415,598 AVERAGE-NET-ASSETS> 172,979,785 PER-SHARE-NAV-BEGIN> 12.49 PER-SHARE-NII> 0.34 PER-SHARE-GAIN-APPREC> 0.55 PER-SHARE-DIVIDEND> 0.00 PER-SHARE-DISTRIBUTIONS> (0.84) RETURNS-OF-CAPITAL> 0.00 PER-SHARE-NAV-END> 12.54 EXPENSE-RATIO> 0.75 AVG-DEBT-OUTSTANDING> 0 AVG-DEBT-PER-SHARE> 0.00 /TABLE> /TEXT> /DOCUMENT> DOCUMENT> TYPE> TEXT> ARTICLE> 6 LEGEND> |
This schedule contains summary financial information extracted from GMO Trust, form N-SAR for the period ended February 28, 1995 and is qualified in its entirety by reference to such financial statements.
/LEGEND> SERIES> NUMBER> 13 NAME> International Small Companies Fund TABLE> S> C> PERIOD-TYPE> YEAR FISCAL-YEAR-END> FEB-28-1995 PERIOD-END> FEB-28-1995 INVESTMENTS-AT-COST> 193,584,532 INVESTMENTS-AT-VALUE> 184,804,822 RECEIVABLES> 3,174,400 ASSETS-OTHER> 4,060,852 OTHER-ITEMS-ASSETS> 0 TOTAL-ASSETS> 192,040,074 PAYABLE-FOR-SECURITIES> 3,724,728 SENIOR-LONG-TERM-DEBT> 0 OTHER-ITEMS-LIABILITIES> 2,130,146 TOTAL-LIABILITIES> 5,854,874 SENIOR-EQUITY> 0 PAID-IN-CAPITAL-COMMON> 194,013,481 SHARES-COMMON-STOCK> 15,585,433 SHARES-COMMON-PRIOR> 9,179,140 ACCUMULATED-NII-CURRENT> 706,457 OVERDISTRIBUTION-NII> 0 ACCUMULATED-NET-GAINS> 981,267 OVERDISTRIBUTION-GAINS> 0 ACCUM-APPREC-OR-DEPREC> (9,516,005) NET-ASSETS> 186,185,200 DIVIDEND-INCOME> 3,626,690 INTEREST-INCOME> 234,023 OTHER-INCOME> 0 EXPENSES-NET> 1,324,199 NET-INVESTMENT-INCOME> 2,536,514 REALIZED-GAINS-CURRENT> 9,647,409 APPREC-INCREASE-CURRENT> (31,826,852) NET-CHANGE-FROM-OPS> (19,642,929) EQUALIZATION> 0 DISTRIBUTIONS-OF-INCOME> (2,988,635) DISTRIBUTIONS-OF-GAINS> (13,044,663) DISTRIBUTIONS-OTHER> 0 NUMBER-OF-SHARES-SOLD> 7,848,879 NUMBER-OF-SHARES-REDEEMED> (2,560,141) SHARES-REINVESTED> 1,117,555 NET-CHANGE-IN-ASSETS> 53,540,478 ACCUMULATED-NII-PRIOR> 599,953 ACCUMULATED-GAINS-PRIOR> 4,937,146 OVERDISTRIB-NII-PRIOR> 0 OVERDIST-NET-GAINS-PRIOR> 0 GROSS-ADVISORY-FEES> 2,184,055 INTEREST-EXPENSE> 0 GROSS-EXPENSE> 2,692,279 AVERAGE-NET-ASSETS> 174,724,377 PER-SHARE-NAV-BEGIN> 14.45 PER-SHARE-NII> 0.18 PER-SHARE-GAIN-APPREC> (1.52) PER-SHARE-DIVIDEND> 0.00 PER-SHARE-DISTRIBUTIONS> (1.16) RETURNS-OF-CAPITAL> 0.00 PER-SHARE-NAV-END> 11.95 EXPENSE-RATIO> 0.76 AVG-DEBT-OUTSTANDING> 0 AVG-DEBT-PER-SHARE> 0.00 /TABLE> /TEXT> /DOCUMENT> DOCUMENT> TYPE> TEXT> ARTICLE> 6 LEGEND> |
his schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 28, 1995
and is qualified in its entirety by reference
to such financial statements.
/LEGEND> SERIES> NUMBER> 11 NAME> Core II Secondaries Fund TABLE> S> C> PERIOD-TYPE> YEAR FISCAL-YEAR-END> FEB-28-1995 PERIOD-END> FEB-28-1995 INVESTMENTS-AT-COST> 237,608,026 INVESTMENTS-AT-VALUE> 254,570,729 RECEIVABLES> 24,040,369 ASSETS-OTHER> 0 OTHER-ITEMS-ASSETS> 0 TOTAL-ASSETS> 278,611,098 PAYABLE-FOR-SECURITIES> 19,513,375 SENIOR-LONG-TERM-DEBT> 0 OTHER-ITEMS-LIABILITIES> 23,317,076 TOTAL-LIABILITIES> 42,830,451 SENIOR-EQUITY> 0 PAID-IN-CAPITAL-COMMON> 210,300,226 SHARES-COMMON-STOCK> 17,325,736 SHARES-COMMON-PRIOR> 10,575,509 ACCUMULATED-NII-CURRENT> 707,076 OVERDISTRIBUTION-NII> 0 ACCUMULATED-NET-GAINS> 7,270,940 OVERDISTRIBUTION-GAINS> 0 ACCUM-APPREC-OR-DEPREC> 17,502,405 NET-ASSETS> 235,780,647 DIVIDEND-INCOME> 2,998,140 INTEREST-INCOME> 520,458 OTHER-INCOME> 0 EXPENSES-NET> 831,218 NET-INVESTMENT-INCOME> 2,687,380 REALIZED-GAINS-CURRENT> 14,687,241 APPREC-INCREASE-CURRENT> (8,564,992) NET-CHANGE-FROM-OPS> 8,809,629 EQUALIZATION> 0 DISTRIBUTIONS-OF-INCOME> (2,478,510) DISTRIBUTIONS-OF-GAINS> (13,249,265) DISTRIBUTIONS-OTHER> 0 NUMBER-OF-SHARES-SOLD> 7,782,253 NUMBER-OF-SHARES-REDEEMED> (2,079,900) SHARES-REINVESTED> 1,047,874 NET-CHANGE-IN-ASSETS> 84,494,722 ACCUMULATED-NII-PRIOR> 460,639 ACCUMULATED-GAINS-PRIOR> 5,870,531 OVERDISTRIB-NII-PRIOR> 0 OVERDIST-NET-GAINS-PRIOR> 0 GROSS-ADVISORY-FEES> 865,852 INTEREST-EXPENSE> 0 GROSS-EXPENSE> 1,018,764 AVERAGE-NET-ASSETS> 173,170,406 PER-SHARE-NAV-BEGIN> 14.31 PER-SHARE-NII> 0.20 PER-SHARE-GAIN-APPREC> 0.34 PER-SHARE-DIVIDEND> 0.00 PER-SHARE-DISTRIBUTIONS> (1.24) RETURNS-OF-CAPITAL> 0.00 PER-SHARE-NAV-END> 13.61 EXPENSE-RATIO> 0.48 AVG-DEBT-OUTSTANDING> 0 AVG-DEBT-PER-SHARE> 0.00 /TABLE> /TEXT> /DOCUMENT> DOCUMENT> TYPE> TEXT> ARTICLE> 6 LEGEND> |
This schedule contains summary financial information extracted from GMO Trust, form N-SAR for the period ended February 28, 1995 and is qualified in its entirety by reference to such financial statements.
/LEGEND> SERIES> NUMBER> 5 NAME> Pelican Fund TABLE> S> C> PERIOD-TYPE> YEAR FISCAL-YEAR-END> FEB-28-1995 PERIOD-END> FEB-28-1995 INVESTMENTS-AT-COST> 102,649,364 INVESTMENTS-AT-VALUE> 117,316,317 RECEIVABLES> 1,564,842 ASSETS-OTHER> 0 OTHER-ITEMS-ASSETS> 0 TOTAL-ASSETS> 118,881,159 PAYABLE-FOR-SECURITIES> 841,554 SENIOR-LONG-TERM-DEBT> 0 OTHER-ITEMS-LIABILITIES> 119,834 TOTAL-LIABILITIES> 961,388 SENIOR-EQUITY> 0 PAID-IN-CAPITAL-COMMON> 103,268,890 SHARES-COMMON-STOCK> 9,831,023 SHARES-COMMON-PRIOR> 8,337,230 ACCUMULATED-NII-CURRENT> 280,272 OVERDISTRIBUTION-NII> 0 ACCUMULATED-NET-GAINS> (296,344) OVERDISTRIBUTION-GAINS> 0 ACCUM-APPREC-OR-DEPREC> 14,666,953 NET-ASSETS> 117,919,771 DIVIDEND-INCOME> 2,653,788 INTEREST-INCOME> 1,125,229 OTHER-INCOME> 0 EXPENSES-NET> 1,152,254 NET-INVESTMENT-INCOME> 2,626,763 REALIZED-GAINS-CURRENT> 5,174,436 APPREC-INCREASE-CURRENT> 224,762 NET-CHANGE-FROM-OPS> 8,025,961 EQUALIZATION> 0 DISTRIBUTIONS-OF-INCOME> (2,546,856) DISTRIBUTIONS-OF-GAINS> (5,635,884) DISTRIBUTIONS-OTHER> 0 NUMBER-OF-SHARES-SOLD> 1,641,663 NUMBER-OF-SHARES-REDEEMED> (860,814) SHARES-REINVESTED> 672,854 NET-CHANGE-IN-ASSETS> 16,755,103 ACCUMULATED-NII-PRIOR> 224,348 ACCUMULATED-GAINS-PRIOR> 153,158 OVERDISTRIB-NII-PRIOR> 0 OVERDIST-NET-GAINS-PRIOR> 0 GROSS-ADVISORY-FEES> 942,753 INTEREST-EXPENSE> 0 GROSS-EXPENSE> 1,152,254 AVERAGE-NET-ASSETS> 104,750,330 PER-SHARE-NAV-BEGIN> 12.08 PER-SHARE-NII> 0.37 PER-SHARE-GAIN-APPREC> 0.46 PER-SHARE-DIVIDEND> 0.00 PER-SHARE-DISTRIBUTIONS> (0.92) RETURNS-OF-CAPITAL> 0.00 PER-SHARE-NAV-END> 11.99 EXPENSE-RATIO> 1.10 AVG-DEBT-OUTSTANDING> 0 AVG-DEBT-PER-SHARE> 0.00 /TABLE> /TEXT> /DOCUMENT> DOCUMENT> TYPE> TEXT> ARTICLE> 6 LEGEND> |
This schedule contains summary financial information extracted from GMO Trust, form N-SAR for the period ended February 28, 1995 and is qualified in its entirety by reference to such financial statements.
/LEGEND> SERIES> NUMBER> 14 NAME> U.S. Sector Allocation Fund TABLE> S> C> PERIOD-TYPE> YEAR FISCAL-YEAR-END> FEB-28-1995 PERIOD-END> FEB-28-1995 INVESTMENTS-AT-COST> 198,321,025 INVESTMENTS-AT-VALUE> 216,440,663 RECEIVABLES> 1,619,521 ASSETS-OTHER> 0 OTHER-ITEMS-ASSETS> 0 TOTAL-ASSETS> 218,060,184 PAYABLE-FOR-SECURITIES> 1,216,498 SENIOR-LONG-TERM-DEBT> 0 OTHER-ITEMS-LIABILITIES> 9,552,588 TOTAL-LIABILITIES> 10,769,086 SENIOR-EQUITY> 0 PAID-IN-CAPITAL-COMMON> 188,342,765 SHARES-COMMON-STOCK> 18,734,305 SHARES-COMMON-PRIOR> 14,829,935 ACCUMULATED-NII-CURRENT> 918,110 OVERDISTRIBUTION-NII> 0 ACCUMULATED-NET-GAINS> (96,031) OVERDISTRIBUTION-GAINS> 0 ACCUM-APPREC-OR-DEPREC> 18,126,254 NET-ASSETS> 207,291,098 DIVIDEND-INCOME> 5,491,421 INTEREST-INCOME> 399,386 OTHER-INCOME> 0 EXPENSES-NET> 915,044 NET-INVESTMENT-INCOME> 4,975,763 REALIZED-GAINS-CURRENT> 8,878,913 APPREC-INCREASE-CURRENT> 925,826 NET-CHANGE-FROM-OPS> 14,780,502 EQUALIZATION> 0 DISTRIBUTIONS-OF-INCOME> (4,670,650) DISTRIBUTIONS-OF-GAINS> (12,614,921) DISTRIBUTIONS-OTHER> 0 NUMBER-OF-SHARES-SOLD> 4,299,814 NUMBER-OF-SHARES-REDEEMED> (957,241) SHARES-REINVESTED> 561,797 NET-CHANGE-IN-ASSETS> 40,263,328 ACCUMULATED-NII-PRIOR> 615,928 ACCUMULATED-GAINS-PRIOR> 3,637,046 OVERDISTRIB-NII-PRIOR> 0 OVERDIST-NET-GAINS-PRIOR> 0 GROSS-ADVISORY-FEES> 934,108 INTEREST-EXPENSE> 0 GROSS-EXPENSE> 1,095,030 AVERAGE-NET-ASSETS> 190,634,206 PER-SHARE-NAV-BEGIN> 11.26 PER-SHARE-NII> 0.28 PER-SHARE-GAIN-APPREC> 0.49 PER-SHARE-DIVIDEND> 0.00 PER-SHARE-DISTRIBUTIONS> (0.97) RETURNS-OF-CAPITAL> 0.00 PER-SHARE-NAV-END> 11.06 EXPENSE-RATIO> 0.48 AVG-DEBT-OUTSTANDING> 0 AVG-DEBT-PER-SHARE> 0.00 /TABLE> /TEXT> /DOCUMENT> DOCUMENT> TYPE> TEXT> ARTICLE> 6 LEGEND> |
This schedule contains summary financial information extracted from GMO Trust, form N-SAR for the period ended February 28, 1995 and is qualified in its entirety by reference to such financial statements.
/LEGEND> SERIES> NUMBER> 16 NAME> International Bond Fund TABLE> S> C> PERIOD-TYPE> YEAR FISCAL-YEAR-END> FEB-28-1995 PERIOD-END> FEB-28-1995 INVESTMENTS-AT-COST> 152,349,100 INVESTMENTS-AT-VALUE> 149,909,660 RECEIVABLES> 6,416,741 ASSETS-OTHER> 482,818 OTHER-ITEMS-ASSETS> 0 TOTAL-ASSETS> 156,809,219 PAYABLE-FOR-SECURITIES> 4,181,496 SENIOR-LONG-TERM-DEBT> 0 OTHER-ITEMS-LIABILITIES> 1,438,352 TOTAL-LIABILITIES> 5,619,848 SENIOR-EQUITY> 0 PAID-IN-CAPITAL-COMMON> 152,319,198 SHARES-COMMON-STOCK> 15,687,479 SHARES-COMMON-PRIOR> 3,959,975 ACCUMULATED-NII-CURRENT> 3,765,102 OVERDISTRIBUTION-NII> 0 ACCUMULATED-NET-GAINS> (3,341,397) OVERDISTRIBUTION-GAINS> 0 ACCUM-APPREC-OR-DEPREC> (1,553,532) NET-ASSETS> 151,189,371 DIVIDEND-INCOME> 0 INTEREST-INCOME> 6,831,915 OTHER-INCOME> 0 EXPENSES-NET> 345,558 NET-INVESTMENT-INCOME> 6,486,357 REALIZED-GAINS-CURRENT> 3,431,159 APPREC-INCREASE-CURRENT> (1,159,762) NET-CHANGE-FROM-OPS> 8,757,754 EQUALIZATION> 0 DISTRIBUTIONS-OF-INCOME> (6,618,737) DISTRIBUTIONS-OF-GAINS> (3,028,602) DISTRIBUTIONS-OTHER> 0 NUMBER-OF-SHARES-SOLD> 14,201,980 NUMBER-OF-SHARES-REDEEMED> (3,171,314) SHARES-REINVESTED> 696,838 NET-CHANGE-IN-ASSETS> 111,739,527 ACCUMULATED-NII-PRIOR> 41,678 ACCUMULATED-GAINS-PRIOR> 111,850 OVERDISTRIB-NII-PRIOR> 0 OVERDIST-NET-GAINS-PRIOR> 0 GROSS-ADVISORY-FEES> 345,558 INTEREST-EXPENSE> 0 GROSS-EXPENSE> 526,801 AVERAGE-NET-ASSETS> 86,389,519 PER-SHARE-NAV-BEGIN> 9.96 PER-SHARE-NII> 0.98 PER-SHARE-GAIN-APPREC> (0.21) PER-SHARE-DIVIDEND> 0.00 PER-SHARE-DISTRIBUTIONS> (1.09) RETURNS-OF-CAPITAL> 0.00 PER-SHARE-NAV-END> 9.64 EXPENSE-RATIO> 0.40 AVG-DEBT-OUTSTANDING> 0 AVG-DEBT-PER-SHARE> 0.00 /TABLE> /TEXT> /DOCUMENT> DOCUMENT> TYPE> TEXT> ARTICLE> 6 LEGEND> |
This schedule contains summary financial information extracted from GMO Trust, form N-SAR for the period ended February 28, 1995 and is qualified in its entirety by reference to such financial statements.
/LEGEND> SERIES> NUMBER> 15 NAME> Emerging Markets Fund TABLE> S> C> PERIOD-TYPE> YEAR FISCAL-YEAR-END> FEB-28-1995 PERIOD-END> FEB-28-1995 INVESTMENTS-AT-COST> 467,119,064 INVESTMENTS-AT-VALUE> 373,434,865 RECEIVABLES> 14,697,367 ASSETS-OTHER> 4,565,158 OTHER-ITEMS-ASSETS> 0 TOTAL-ASSETS> 392,697,390 PAYABLE-FOR-SECURITIES> 5,191,939 SENIOR-LONG-TERM-DEBT> 0 OTHER-ITEMS-LIABILITIES> 3,246,689 TOTAL-LIABILITIES> 8,438,628 SENIOR-EQUITY> 0 PAID-IN-CAPITAL-COMMON> 473,471,619 SHARES-COMMON-STOCK> 40,355,453 SHARES-COMMON-PRIOR> 9,429,468 ACCUMULATED-NII-CURRENT> 0 OVERDISTRIBUTION-NII> 0 ACCUMULATED-NET-GAINS> 4,506,417 OVERDISTRIBUTION-GAINS> 0 ACCUM-APPREC-OR-DEPREC> (93,719,274) NET-ASSETS> 384,258,762 DIVIDEND-INCOME> 5,708,825 INTEREST-INCOME> 1,613,039 OTHER-INCOME> 0 EXPENSES-NET> 4,754,505 NET-INVESTMENT-INCOME> 2,567,359 REALIZED-GAINS-CURRENT> 10,748,639 APPREC-INCREASE-CURRENT> (99,215,818) NET-CHANGE-FROM-OPS> (85,899,820) EQUALIZATION> 0 DISTRIBUTIONS-OF-INCOME> (2,332,870) DISTRIBUTIONS-OF-GAINS> (7,201,224) DISTRIBUTIONS-OTHER> 0 NUMBER-OF-SHARES-SOLD> 31,656,227 NUMBER-OF-SHARES-REDEEMED> (1,438,354) SHARES-REINVESTED> 708,112 NET-CHANGE-IN-ASSETS> 269,850,189 ACCUMULATED-NII-PRIOR> 235,005 ACCUMULATED-GAINS-PRIOR> 489,508 OVERDISTRIB-NII-PRIOR> 0 OVERDIST-NET-GAINS-PRIOR> 0 GROSS-ADVISORY-FEES> 3,004,553 INTEREST-EXPENSE> 0 GROSS-EXPENSE> 4,754,505 AVERAGE-NET-ASSETS> 300,455,317 PER-SHARE-NAV-BEGIN> 12.13 PER-SHARE-NII> 0.05 PER-SHARE-GAIN-APPREC> (2.37) PER-SHARE-DIVIDEND> 0.00 PER-SHARE-DISTRIBUTIONS> (0.29) RETURNS-OF-CAPITAL> 0.00 PER-SHARE-NAV-END> 9.52 EXPENSE-RATIO> 1.58 AVG-DEBT-OUTSTANDING> 0 AVG-DEBT-PER-SHARE> 0.00 /TABLE> /TEXT> /DOCUMENT> DOCUMENT> TYPE> TEXT> ARTICLE> 6 LEGEND> |
This schedule contains summary financial information extracted from GMO Trust, form N-SAR for the period ended February 28, 1995 and is qualified in its entirety by reference to such financial statements.
/LEGEND> SERIES> NUMBER> 17 NAME> Emerging Country Debt Fund TABLE> S> C> PERIOD-TYPE> YEAR FISCAL-YEAR-END> FEB-28-1995 PERIOD-END> FEB-28-1995 INVESTMENTS-AT-COST> 300,169,870 INVESTMENTS-AT-VALUE> 270,384,993 RECEIVABLES> 11,573,023 ASSETS-OTHER> 438,317 OTHER-ITEMS-ASSETS> 0 TOTAL-ASSETS> 282,396,333 PAYABLE-FOR-SECURITIES> 35,475,790 SENIOR-LONG-TERM-DEBT> 0 OTHER-ITEMS-LIABILITIES> 3,469,199 TOTAL-LIABILITIES> 38,944,989 SENIOR-EQUITY> 0 PAID-IN-CAPITAL-COMMON> 280,701,575 SHARES-COMMON-STOCK> 29,024,789 SHARES-COMMON-PRIOR> 0 ACCUMULATED-NII-CURRENT> 2,358,106 OVERDISTRIBUTION-NII> 0 ACCUMULATED-NET-GAINS> (7,744,126) OVERDISTRIBUTION-GAINS> 0 ACCUM-APPREC-OR-DEPREC> (31,864,211) NET-ASSETS> 243,451,344 DIVIDEND-INCOME> 0 INTEREST-INCOME> 9,250,552 OTHER-INCOME> 0 EXPENSES-NET> 417,918 NET-INVESTMENT-INCOME> 8,832,634 REALIZED-GAINS-CURRENT> (6,189,201) APPREC-INCREASE-CURRENT> (31,864,211) NET-CHANGE-FROM-OPS> (29,220,778) EQUALIZATION> 0 DISTRIBUTIONS-OF-INCOME> (6,479,050) DISTRIBUTIONS-OF-GAINS> (1,550,403) DISTRIBUTIONS-OTHER> 0 NUMBER-OF-SHARES-SOLD> 28,628,219 NUMBER-OF-SHARES-REDEEMED> (152,494) SHARES-REINVESTED> 549,064 NET-CHANGE-IN-ASSETS> 243,451,344 ACCUMULATED-NII-PRIOR> 0 ACCUMULATED-GAINS-PRIOR> 0 OVERDISTRIB-NII-PRIOR> 0 OVERDIST-NET-GAINS-PRIOR> 0 GROSS-ADVISORY-FEES> 417,918 INTEREST-EXPENSE> 0 GROSS-EXPENSE> 592,738 AVERAGE-NET-ASSETS> 97,159,330 PER-SHARE-NAV-BEGIN> 10.00 PER-SHARE-NII> 0.48 PER-SHARE-GAIN-APPREC> 1.59 PER-SHARE-DIVIDEND> 0.00 PER-SHARE-DISTRIBUTIONS> (0.50) RETURNS-OF-CAPITAL> 0.00 PER-SHARE-NAV-END> 8.39 EXPENSE-RATIO> 0.50 AVG-DEBT-OUTSTANDING> 0 AVG-DEBT-PER-SHARE> 0.00 /TABLE> /TEXT> /DOCUMENT> DOCUMENT> TYPE> TEXT> ARTICLE> 6 LEGEND> |
This schedule contains summary financial information extracted from GMO Trust, form N-SAR for the period ended February 28, 1995 and is qualified in its entirety by reference to such financial statements.
/LEGEND> SERIES> NUMBER> 18 NAME> Global Hedged Equity Fund TABLE> S> C> PERIOD-TYPE> YEAR FISCAL-YEAR-END> FEB-28-1995 PERIOD-END> FEB-28-1995 INVESTMENTS-AT-COST> 239,390,386 INVESTMENTS-AT-VALUE> 241,970,158 RECEIVABLES> 5,871,808 ASSETS-OTHER> 153,549 OTHER-ITEMS-ASSETS> 0 TOTAL-ASSETS> 247,995,515 PAYABLE-FOR-SECURITIES> 32,541,224 SENIOR-LONG-TERM-DEBT> 0 OTHER-ITEMS-LIABILITIES> 816,170 TOTAL-LIABILITIES> 33,357,394 SENIOR-EQUITY> 0 PAID-IN-CAPITAL-COMMON> 213,478,584 SHARES-COMMON-STOCK> 21,216,892 SHARES-COMMON-PRIOR> 0 ACCUMULATED-NII-CURRENT> 745,109 OVERDISTRIBUTION-NII> 0 ACCUMULATED-NET-GAINS> 110,686 OVERDISTRIBUTION-GAINS> 0 ACCUM-APPREC-OR-DEPREC> 303,742 NET-ASSETS> 214,638,121 DIVIDEND-INCOME> 1,088,179 INTEREST-INCOME> 791,851 OTHER-INCOME> 0 EXPENSES-NET> 459,477 NET-INVESTMENT-INCOME> 1,420,553 REALIZED-GAINS-CURRENT> 130,219 APPREC-INCREASE-CURRENT> 303,742 NET-CHANGE-FROM-OPS> 1,854,514 EQUALIZATION> 0 DISTRIBUTIONS-OF-INCOME> (694,977) DISTRIBUTIONS-OF-GAINS> 0 DISTRIBUTIONS-OTHER> 0 NUMBER-OF-SHARES-SOLD> 21,270,733 NUMBER-OF-SHARES-REDEEMED> (69,242) SHARES-REINVESTED> 15,401 NET-CHANGE-IN-ASSETS> 214,638,121 ACCUMULATED-NII-PRIOR> 0 ACCUMULATED-GAINS-PRIOR> 0 OVERDISTRIB-NII-PRIOR> 0 OVERDIST-NET-GAINS-PRIOR> 0 GROSS-ADVISORY-FEES> 324,126 INTEREST-EXPENSE> 0 GROSS-EXPENSE> 539,886 AVERAGE-NET-ASSETS> 86,198,709 PER-SHARE-NAV-BEGIN> 10.00 PER-SHARE-NII> 0.11 PER-SHARE-GAIN-APPREC> 0.08 PER-SHARE-DIVIDEND> 0.00 PER-SHARE-DISTRIBUTIONS> (0.07) RETURNS-OF-CAPITAL> 0.00 PER-SHARE-NAV-END> 10.12 EXPENSE-RATIO> 0.92 AVG-DEBT-OUTSTANDING> 0 AVG-DEBT-PER-SHARE> 0.00 /TABLE> /TEXT> /DOCUMENT> DOCUMENT> TYPE> TEXT> ARTICLE> 6 LEGEND> |
This schedule contains summary financial information extracted from GMO Trust, form N-SAR for the period ended February 28, 1995 and is qualified in its entirety by reference to such financial statements.
/LEGEND> SERIES> NUMBER> 19 NAME> Domestic Bond Fund TABLE> S> C> PERIOD-TYPE> YEAR FISCAL-YEAR-END> FEB-28-1995 PERIOD-END> FEB-28-1995 INVESTMENTS-AT-COST> 186,976,307 INVESTMENTS-AT-VALUE> 188,233,664 RECEIVABLES> 31,626,812 ASSETS-OTHER> 0 OTHER-ITEMS-ASSETS> 0 TOTAL-ASSETS> 219,860,476 PAYABLE-FOR-SECURITIES> 0 SENIOR-LONG-TERM-DEBT> 0 OTHER-ITEMS-LIABILITIES> 10,483,228 TOTAL-LIABILITIES> 10,483,228 SENIOR-EQUITY> 0 PAID-IN-CAPITAL-COMMON> 205,605,620 SHARES-COMMON-STOCK> 20,670,984 SHARES-COMMON-PRIOR> 0 ACCUMULATED-NII-CURRENT> 1,322,007 OVERDISTRIBUTION-NII> 0 ACCUMULATED-NET-GAINS> (103,743) OVERDISTRIBUTION-GAINS> 0 ACCUM-APPREC-OR-DEPREC> 2,553,364 NET-ASSETS> 209,377,248 DIVIDEND-INCOME> 0 INTEREST-INCOME> 2,759,584 OTHER-INCOME> 0 EXPENSES-NET> 95,643 NET-INVESTMENT-INCOME> 2,663,941 REALIZED-GAINS-CURRENT> (103,743) APPREC-INCREASE-CURRENT> 2,553,364 NET-CHANGE-FROM-OPS> 5,113,562 EQUALIZATION> 0 DISTRIBUTIONS-OF-INCOME> (1,341,934) DISTRIBUTIONS-OF-GAINS> 0 DISTRIBUTIONS-OTHER> 0 NUMBER-OF-SHARES-SOLD> 21,191,425 NUMBER-OF-SHARES-REDEEMED> (618,786) SHARES-REINVESTED> 98,345 NET-CHANGE-IN-ASSETS> 209,377,248 ACCUMULATED-NII-PRIOR> 0 ACCUMULATED-GAINS-PRIOR> 0 OVERDISTRIB-NII-PRIOR> 0 OVERDIST-NET-GAINS-PRIOR> 0 GROSS-ADVISORY-FEES> 95,643 INTEREST-EXPENSE> 0 GROSS-EXPENSE> 164,375 AVERAGE-NET-ASSETS> 72,351,525 PER-SHARE-NAV-BEGIN> 10.00 PER-SHARE-NII> 0.24 PER-SHARE-GAIN-APPREC> 0.07 PER-SHARE-DIVIDEND> 0.00 PER-SHARE-DISTRIBUTIONS> (0.18) RETURNS-OF-CAPITAL> 0.00 PER-SHARE-NAV-END> 10.13 EXPENSE-RATIO> 0.25 AVG-DEBT-OUTSTANDING> 0 AVG-DEBT-PER-SHARE> 0.00 /TABLE> /TEXT> /DOCUMENT> DOCUMENT> TYPE> TEXT> ARTICLE> 6 LEGEND> |
This schedule contains summary financial information extracted from GMO Trust, form N-SAR for the period ended February 28, 1995 and is qualified in its entirety by reference to such financial statements.
/LEGEND> SERIES> NUMBER> 20 NAME> Currency Hedged International Bond Fund TABLE> S> C> PERIOD-TYPE> YEAR FISCAL-YEAR-END> FEB-28-1995 PERIOD-END> FEB-28-1995 INVESTMENTS-AT-COST> 242,611,131 INVESTMENTS-AT-VALUE> 241,381,780 RECEIVABLES> 12,649,130 ASSETS-OTHER> 657,668 OTHER-ITEMS-ASSETS> 0 TOTAL-ASSETS> 254,688,578 PAYABLE-FOR-SECURITIES> 11,725,916 SENIOR-LONG-TERM-DEBT> 0 OTHER-ITEMS-LIABILITIES> 4,298,224 TOTAL-LIABILITIES> 16,024,140 SENIOR-EQUITY> 0 PAID-IN-CAPITAL-COMMON> 237,927,839 SHARES-COMMON-STOCK> 23,885,450 SHARES-COMMON-PRIOR> 0 ACCUMULATED-NII-CURRENT> 2,072,925 OVERDISTRIBUTION-NII> 0 ACCUMULATED-NET-GAINS> 37,085 OVERDISTRIBUTION-GAINS> 0 ACCUM-APPREC-OR-DEPREC> (1,373,411) NET-ASSETS> 238,664,438 DIVIDEND-INCOME> 0 INTEREST-INCOME> 5,420,167 OTHER-INCOME> 0 EXPENSES-NET> 244,825 NET-INVESTMENT-INCOME> 5,175,342 REALIZED-GAINS-CURRENT> (998,046) APPREC-INCREASE-CURRENT> (1,373,411) NET-CHANGE-FROM-OPS> 2,803,885 EQUALIZATION> 0 DISTRIBUTIONS-OF-INCOME> (2,089,096) DISTRIBUTIONS-OF-GAINS> 0 DISTRIBUTIONS-OTHER> 0 NUMBER-OF-SHARES-SOLD> 25,227,397 NUMBER-OF-SHARES-REDEEMED> (1,442,999) SHARES-REINVESTED> 101,052 NET-CHANGE-IN-ASSETS> 238,664,438 ACCUMULATED-NII-PRIOR> 0 ACCUMULATED-GAINS-PRIOR> 0 OVERDISTRIB-NII-PRIOR> 0 OVERDIST-NET-GAINS-PRIOR> 0 GROSS-ADVISORY-FEES> 306,031 INTEREST-EXPENSE> 0 GROSS-EXPENSE> 418,127 AVERAGE-NET-ASSETS> 150,947,835 PER-SHARE-NAV-BEGIN> 10.00 PER-SHARE-NII> 0.24 PER-SHARE-GAIN-APPREC> (0.09) PER-SHARE-DIVIDEND> 0.00 PER-SHARE-DISTRIBUTIONS> (0.16) RETURNS-OF-CAPITAL> 0.00 PER-SHARE-NAV-END> 9.99 EXPENSE-RATIO> 0.40 AVG-DEBT-OUTSTANDING> 0 AVG-DEBT-PER-SHARE> 0.00 /TABLE> /TEXT> /DOCUMENT> |
EXHIBIT 17
TYPE> EX-27.Ser01
TEXT>
ARTICLE> 6
LEGEND>
This schedule contains summary financial information
extracted from GMO Trust, form N-SAR for the period
ended August 31, 1995 and is qualified in its
entirety by reference to such financial statements.
/LEGEND> SERIES> NUMBER> 1 NAME> Core Fund TABLE> S> C> PERIOD-TYPE> 6-MOS FISCAL-YEAR-END> FEB-29-1996 PERIOD-END> AUG-31-1995 INVESTMENTS-AT-COST> 2,537,544,341 INVESTMENTS-AT-VALUE> 3,061,413,430 RECEIVABLES> 22,710,477 ASSETS-OTHER> 0 OTHER-ITEMS-ASSETS> 0 TOTAL-ASSETS> 3,084,123,907 PAYABLE-FOR-SECURITIES> 26,861,443 SENIOR-LONG-TERM-DEBT> 0 OTHER-ITEMS-LIABILITIES> 162,138,786 TOTAL-LIABILITIES> 189,000,229 SENIOR-EQUITY> 0 PAID-IN-CAPITAL-COMMON> 2,238,124,306 SHARES-COMMON-STOCK> 158,659,078 SHARES-COMMON-PRIOR> 149,509,336 ACCUMULATED-NII-CURRENT> 14,661,757 OVERDISTRIBUTION-NII> 0 ACCUMULATED-NET-GAINS> 118,288,630 OVERDISTRIBUTION-GAINS> 0 ACCUM-APPREC-OR-DEPREC> 524,048,985 NET-ASSETS> 2,895,123,678 DIVIDEND-INCOME> 35,184,953 INTEREST-INCOME> 3,118,522 OTHER-INCOME> 0 EXPENSES-NET> 6,294,511 NET-INVESTMENT-INCOME> 32,008,964 REALIZED-GAINS-CURRENT> 127,372,303 APPREC-INCREASE-CURRENT> 434,581,218 NET-CHANGE-FROM-OPS> 466,590,182 EQUALIZATION> 0 DISTRIBUTIONS-OF-INCOME> (27,339,592) DISTRIBUTIONS-OF-GAINS> (7,361,868) DISTRIBUTIONS-OTHER> 0 NUMBER-OF-SHARES-SOLD> 15,074,172 NUMBER-OF-SHARES-REDEEMED> (7,360,742) SHARES-REINVESTED> 1,436,312 NET-CHANGE-IN-ASSETS> 585,875,740 ACCUMULATED-NII-PRIOR> 9,992,385 ACCUMULATED-GAINS-PRIOR> (1,721,805) OVERDISTRIB-NII-PRIOR> 0 OVERDIST-NET-GAINS-PRIOR> 0 GROSS-ADVISORY-FEES> 6,884,621 INTEREST-EXPENSE> 0 GROSS-EXPENSE> 7,201,830 AVERAGE-NET-ASSETS> 2,608,485,944 PER-SHARE-NAV-BEGIN> 15.45 PER-SHARE-NII> 0.21 PER-SHARE-GAIN-APPREC> 2.82 PER-SHARE-DIVIDEND> 0.00 PER-SHARE-DISTRIBUTIONS> (0.23) RETURNS-OF-CAPITAL> 0.00 PER-SHARE-NAV-END> 18.25 EXPENSE-RATIO> 0.48 AVG-DEBT-OUTSTANDING> 0 AVG-DEBT-PER-SHARE> 0.00 /TABLE> /TEXT> /DOCUMENT> DOCUMENT> |
TYPE> EX-27.Ser04
TEXT>
ARTICLE> 6
LEGEND>
This schedule contains summary financial information
extracted from GMO Trust, form N-SAR for the period
ended August 31, 1995 and is qualified in its
entirety by reference to such financial statements.
/LEGEND> SERIES> NUMBER> 4 NAME> Growth Allocation Fund TABLE> S> C> PERIOD-TYPE> 6-MOS FISCAL-YEAR-END> FEB-29-1996 PERIOD-END> AUG-31-1995 INVESTMENTS-AT-COST> 300,687,670 INVESTMENTS-AT-VALUE> 357,214,573 RECEIVABLES> 1,280,652 ASSETS-OTHER> 0 OTHER-ITEMS-ASSETS> 0 TOTAL-ASSETS> 358,495,225 PAYABLE-FOR-SECURITIES> 315,092 SENIOR-LONG-TERM-DEBT> 0 OTHER-ITEMS-LIABILITIES> 18,995,827 TOTAL-LIABILITIES> 19,310,919 SENIOR-EQUITY> 0 PAID-IN-CAPITAL-COMMON> 277,827,521 SHARES-COMMON-STOCK> 67,350,475 SHARES-COMMON-PRIOR> 53,657,221 ACCUMULATED-NII-CURRENT> 1,105,348 OVERDISTRIBUTION-NII> 0 ACCUMULATED-NET-GAINS> 3,710,155 OVERDISTRIBUTION-GAINS> 0 ACCUM-APPREC-OR-DEPREC> 56,541,282 NET-ASSETS> 339,184,306 DIVIDEND-INCOME> 2,781,264 INTEREST-INCOME> 496,506 OTHER-INCOME> 0 EXPENSES-NET> 740,316 NET-INVESTMENT-INCOME> 2,537,454 REALIZED-GAINS-CURRENT> 4,187,624 APPREC-INCREASE-CURRENT> 42,088,589 NET-CHANGE-FROM-OPS> 48,813,667 EQUALIZATION> 0 DISTRIBUTIONS-OF-INCOME> (1,990,601) DISTRIBUTIONS-OF-GAINS> (10,202,708) DISTRIBUTIONS-OTHER> 0 NUMBER-OF-SHARES-SOLD> 21,976,921 NUMBER-OF-SHARES-REDEEMED> (10,445,188) SHARES-REINVESTED> 2,161,521 NET-CHANGE-IN-ASSETS> 100,177,989 ACCUMULATED-NII-PRIOR> 558,495 ACCUMULATED-GAINS-PRIOR> 9,725,239 OVERDISTRIB-NII-PRIOR> 0 OVERDIST-NET-GAINS-PRIOR> 0 GROSS-ADVISORY-FEES> 771,163 INTEREST-EXPENSE> 0 GROSS-EXPENSE> 852,014 AVERAGE-NET-ASSETS> 306,754,612 PER-SHARE-NAV-BEGIN> 4.45 PER-SHARE-NII> 0.04 PER-SHARE-GAIN-APPREC> 0.74 PER-SHARE-DIVIDEND> 0.00 PER-SHARE-DISTRIBUTIONS> (0.19) RETURNS-OF-CAPITAL> 0.00 PER-SHARE-NAV-END> 5.04 EXPENSE-RATIO> 0.48 AVG-DEBT-OUTSTANDING> 0 AVG-DEBT-PER-SHARE> 0.00 /TABLE> /TEXT> /DOCUMENT> DOCUMENT> |
TYPE> EX-27.Ser08
TEXT>
ARTICLE> 6
LEGEND>
This schedule contains summary financial information
extracted from GMO Trust, form N-SAR for the period
ended August 31, 1995 and is qualified in its
entirety by reference to such financial statements.
/LEGEND> SERIES> NUMBER> 8 NAME> Value Allocation Fund TABLE> S> C> PERIOD-TYPE> 6-MOS FISCAL-YEAR-END> FEB-29-1996 PERIOD-END> AUG-31-1995 INVESTMENTS-AT-COST> 287,736,889 INVESTMENTS-AT-VALUE> 336,985,441 RECEIVABLES> 3,668,234 ASSETS-OTHER> 0 OTHER-ITEMS-ASSETS> 0 TOTAL-ASSETS> 340,653,675 PAYABLE-FOR-SECURITIES> 3,359,296 SENIOR-LONG-TERM-DEBT> 0 OTHER-ITEMS-LIABILITIES> 25,299,416 TOTAL-LIABILITIES> 28,658,712 SENIOR-EQUITY> 0 PAID-IN-CAPITAL-COMMON> 244,872,047 SHARES-COMMON-STOCK> 22,864,103 SHARES-COMMON-PRIOR> 29,095,761 ACCUMULATED-NII-CURRENT> 2,094,911 OVERDISTRIBUTION-NII> 0 ACCUMULATED-NET-GAINS> 18,237,048 OVERDISTRIBUTION-GAINS> 0 ACCUM-APPREC-OR-DEPREC> 46,790,957 NET-ASSETS> 311,994,963 DIVIDEND-INCOME> 5,288,058 INTEREST-INCOME> 492,545 OTHER-INCOME> 0 EXPENSES-NET> 1,018,551 NET-INVESTMENT-INCOME> 4,762,052 REALIZED-GAINS-CURRENT> 26,930,966 APPREC-INCREASE-CURRENT> 20,134,510 NET-CHANGE-FROM-OPS> 51,827,528 EQUALIZATION> 0 DISTRIBUTIONS-OF-INCOME> (4,581,860) DISTRIBUTIONS-OF-GAINS> (4,574,131) DISTRIBUTIONS-OTHER> 0 NUMBER-OF-SHARES-SOLD> 955,616 NUMBER-OF-SHARES-REDEEMED> (7,711,166) SHARES-REINVESTED> 523,892 NET-CHANGE-IN-ASSETS> (38,699,498) ACCUMULATED-NII-PRIOR> 1,914,719 ACCUMULATED-GAINS-PRIOR> (4,119,787) OVERDISTRIB-NII-PRIOR> 0 OVERDIST-NET-GAINS-PRIOR> 0 GROSS-ADVISORY-FEES> 1,168,831 INTEREST-EXPENSE> 0 GROSS-EXPENSE> 1,277,177 AVERAGE-NET-ASSETS> 332,137,225 PER-SHARE-NAV-BEGIN> 12.05 PER-SHARE-NII> 0.21 PER-SHARE-GAIN-APPREC> 0.77 PER-SHARE-DIVIDEND> 0.00 PER-SHARE-DISTRIBUTIONS> (0.38) RETURNS-OF-CAPITAL> 0.00 PER-SHARE-NAV-END> 13.65 EXPENSE-RATIO> 0.61 AVG-DEBT-OUTSTANDING> 0 AVG-DEBT-PER-SHARE> 0.00 /TABLE> /TEXT> /DOCUMENT> DOCUMENT> |
TYPE> EX-27.Ser06
TEXT>
ARTICLE> 6
LEGEND>
This schedule contains summary financial information
extracted from GMO Trust, form N-SAR for the period
ended August 31, 1995 and is qualified in its
entirety by reference to such financial statements.
/LEGEND> SERIES> NUMBER> 6 NAME> Short Term Income Fund TABLE> S> C> PERIOD-TYPE> 6-MOS FISCAL-YEAR-END> FEB-29-1996 PERIOD-END> AUG-31-1995 INVESTMENTS-AT-COST> 6,625,993 INVESTMENTS-AT-VALUE> 6,682,089 RECEIVABLES> 62,328 ASSETS-OTHER> 0 OTHER-ITEMS-ASSETS> 0 TOTAL-ASSETS> 6,744,417 PAYABLE-FOR-SECURITIES> 0 SENIOR-LONG-TERM-DEBT> 0 OTHER-ITEMS-LIABILITIES> 11,808 TOTAL-LIABILITIES> 11,808 SENIOR-EQUITY> 0 PAID-IN-CAPITAL-COMMON> 6,750,598 SHARES-COMMON-STOCK> 697,949 SHARES-COMMON-PRIOR> 856,832 ACCUMULATED-NII-CURRENT> 72,013 OVERDISTRIBUTION-NII> 0 ACCUMULATED-NET-GAINS> (146,098) OVERDISTRIBUTION-GAINS> 0 ACCUM-APPREC-OR-DEPREC> 56,096 NET-ASSETS> 6,732,609 DIVIDEND-INCOME> 0 INTEREST-INCOME> 256,222 OTHER-INCOME> 0 EXPENSES-NET> 9,475 NET-INVESTMENT-INCOME> 246,747 REALIZED-GAINS-CURRENT> 21,838 APPREC-INCREASE-CURRENT> 65,271 NET-CHANGE-FROM-OPS> 333,856 EQUALIZATION> 0 DISTRIBUTIONS-OF-INCOME> (273,835) DISTRIBUTIONS-OF-GAINS> 0 DISTRIBUTIONS-OTHER> 0 NUMBER-OF-SHARES-SOLD> 547,622 NUMBER-OF-SHARES-REDEEMED> (733,107) SHARES-REINVESTED> 26,602 NET-CHANGE-IN-ASSETS> (1,460,887) ACCUMULATED-NII-PRIOR> 99,101 ACCUMULATED-GAINS-PRIOR> (167,936) OVERDISTRIB-NII-PRIOR> 0 OVERDIST-NET-GAINS-PRIOR> 0 GROSS-ADVISORY-FEES> 9,475 INTEREST-EXPENSE> 0 GROSS-EXPENSE> 22,909 AVERAGE-NET-ASSETS> 7,535,622 PER-SHARE-NAV-BEGIN> 9.56 PER-SHARE-NII> 0.33 PER-SHARE-GAIN-APPREC> 0.10 PER-SHARE-DIVIDEND> 0.00 PER-SHARE-DISTRIBUTIONS> (0.34) RETURNS-OF-CAPITAL> 0.00 PER-SHARE-NAV-END> 9.65 EXPENSE-RATIO> 0.25 AVG-DEBT-OUTSTANDING> 0 AVG-DEBT-PER-SHARE> 0.00 /TABLE> /TEXT> /DOCUMENT> DOCUMENT> |
TYPE> EX-27.Ser03
TEXT>
ARTICLE> 6
LEGEND>
This schedule contains summary financial information
extracted from GMO Trust, form N-SAR for the period
ended August 31, 1995 and is qualified in its
entirety by reference to such financial statements.
/LEGEND> SERIES> NUMBER> 3 NAME> International Core Fund TABLE> S> C> PERIOD-TYPE> 6-MOS FISCAL-YEAR-END> FEB-29-1996 PERIOD-END> AUG-31-1995 INVESTMENTS-AT-COST> 2,967,722,389 INVESTMENTS-AT-VALUE> 3,178,028,624 RECEIVABLES> 133,266,889 ASSETS-OTHER> 275,056,491 OTHER-ITEMS-ASSETS> 0 TOTAL-ASSETS> 3,586,352,004 PAYABLE-FOR-SECURITIES> 106,205,654 SENIOR-LONG-TERM-DEBT> 0 OTHER-ITEMS-LIABILITIES> 154,121,237 TOTAL-LIABILITIES> 260,326,891 SENIOR-EQUITY> 0 PAID-IN-CAPITAL-COMMON> 3,040,520,339 SHARES-COMMON-STOCK> 140,653,201 SHARES-COMMON-PRIOR> 116,104,099 ACCUMULATED-NII-CURRENT> 38,912,911 OVERDISTRIBUTION-NII> 0 ACCUMULATED-NET-GAINS> 43,084,700 OVERDISTRIBUTION-GAINS> 0 ACCUM-APPREC-OR-DEPREC> 203,507,163 NET-ASSETS> 3,326,025,113 DIVIDEND-INCOME> 48,619,227 INTEREST-INCOME> 4,003,560 OTHER-INCOME> 0 EXPENSES-NET> 10,466,466 NET-INVESTMENT-INCOME> 42,156,321 REALIZED-GAINS-CURRENT> 27,859,033 APPREC-INCREASE-CURRENT> 165,796,303 NET-CHANGE-FROM-OPS> 235,811,657 EQUALIZATION> 0 DISTRIBUTIONS-OF-INCOME> (3,243,410) DISTRIBUTIONS-OF-GAINS> (85,496,279) DISTRIBUTIONS-OTHER> 0 NUMBER-OF-SHARES-SOLD> 30,026,350 NUMBER-OF-SHARES-REDEEMED> (9,080,579) SHARES-REINVESTED> 3,603,331 NET-CHANGE-IN-ASSETS> 734,379,261 ACCUMULATED-NII-PRIOR> 0 ACCUMULATED-GAINS-PRIOR> 100,721,946 OVERDISTRIB-NII-PRIOR> 0 OVERDIST-NET-GAINS-PRIOR> 0 GROSS-ADVISORY-FEES> 11,237,128 INTEREST-EXPENSE> 0 GROSS-EXPENSE> 12,586,122 AVERAGE-NET-ASSETS> 2,980,281,699 PER-SHARE-NAV-BEGIN> 22.32 PER-SHARE-NII> 0.30 PER-SHARE-GAIN-APPREC> 1.72 PER-SHARE-DIVIDEND> 0.00 PER-SHARE-DISTRIBUTIONS> (0.69) RETURNS-OF-CAPITAL> 0.00 PER-SHARE-NAV-END> 23.65 EXPENSE-RATIO> 0.70 AVG-DEBT-OUTSTANDING> 0 AVG-DEBT-PER-SHARE> 0.00 /TABLE> /TEXT> /DOCUMENT> DOCUMENT> |
TYPE> EX-27.Ser07
TEXT>
ARTICLE> 6
LEGEND>
This schedule contains summary financial information
extracted from GMO Trust, form N-SAR for the period
ended August 31, 1995 and is qualified in its
entirety by reference to such financial statements.
/LEGEND> SERIES> NUMBER> 7 NAME> Japan Fund TABLE> S> C> PERIOD-TYPE> 6-MOS FISCAL-YEAR-END> FEB-29-1996 PERIOD-END> AUG-31-1995 INVESTMENTS-AT-COST> 102,072,196 INVESTMENTS-AT-VALUE> 103,434,850 RECEIVABLES> 223,321 ASSETS-OTHER> 2,549,152 OTHER-ITEMS-ASSETS> 0 TOTAL-ASSETS> 106,207,323 PAYABLE-FOR-SECURITIES> 675,984 SENIOR-LONG-TERM-DEBT> 0 OTHER-ITEMS-LIABILITIES> 5,397,020 TOTAL-LIABILITIES> 6,073,004 SENIOR-EQUITY> 0 PAID-IN-CAPITAL-COMMON> 87,478,963 SHARES-COMMON-STOCK> 10,333,221 SHARES-COMMON-PRIOR> 6,591,242 ACCUMULATED-NII-CURRENT> 0 OVERDISTRIBUTION-NII> (411,556) ACCUMULATED-NET-GAINS> 11,742,908 OVERDISTRIBUTION-GAINS> 0 ACCUM-APPREC-OR-DEPREC> 1,324,004 NET-ASSETS> 100,134,319 DIVIDEND-INCOME> 293,006 INTEREST-INCOME> 52,715 OTHER-INCOME> 0 EXPENSES-NET> 355,931 NET-INVESTMENT-INCOME> (10,210) REALIZED-GAINS-CURRENT> 95,060 APPREC-INCREASE-CURRENT> 3,926,306 NET-CHANGE-FROM-OPS> 4,011,156 EQUALIZATION> 0 DISTRIBUTIONS-OF-INCOME> 0 DISTRIBUTIONS-OF-GAINS> 0 DISTRIBUTIONS-OTHER> 0 NUMBER-OF-SHARES-SOLD> 3,741,979 NUMBER-OF-SHARES-REDEEMED> 0 SHARES-REINVESTED> 0 NET-CHANGE-IN-ASSETS> 40,011,156 ACCUMULATED-NII-PRIOR> 0 ACCUMULATED-GAINS-PRIOR> 11,647,848 OVERDISTRIB-NII-PRIOR> (401,346) OVERDIST-NET-GAINS-PRIOR> 0 GROSS-ADVISORY-FEES> 270,489 INTEREST-EXPENSE> 0 GROSS-EXPENSE> 396,785 AVERAGE-NET-ASSETS> 70,880,558 PER-SHARE-NAV-BEGIN> 9.12 PER-SHARE-NII> 0.00 PER-SHARE-GAIN-APPREC> 0.57 PER-SHARE-DIVIDEND> 0.00 PER-SHARE-DISTRIBUTIONS> 0.00 RETURNS-OF-CAPITAL> 0.00 PER-SHARE-NAV-END> 9.69 EXPENSE-RATIO> 1.00 AVG-DEBT-OUTSTANDING> 0 AVG-DEBT-PER-SHARE> 0.00 /TABLE> /TEXT> /DOCUMENT> DOCUMENT> |
TYPE> EX-27.Ser09
TEXT>
ARTICLE> 6
LEGEND>
This schedule contains summary financial information
extracted from GMO Trust, form N-SAR for the period
ended August 31, 1995 and is qualified in its
entirety by reference to such financial statements.
/LEGEND> SERIES> NUMBER> 9 NAME> Tobacco Free Core Fund TABLE> S> C> PERIOD-TYPE> 6-MOS FISCAL-YEAR-END> FEB-29-1996 PERIOD-END> AUG-31-1995 INVESTMENTS-AT-COST> 47,622,387 INVESTMENTS-AT-VALUE> 57,444,325 RECEIVABLES> 478,271 ASSETS-OTHER> 0 OTHER-ITEMS-ASSETS> 0 TOTAL-ASSETS> 57,922,596 PAYABLE-FOR-SECURITIES> 194,387 SENIOR-LONG-TERM-DEBT> 0 OTHER-ITEMS-LIABILITIES> 2,353,970 TOTAL-LIABILITIES> 2,548,357 SENIOR-EQUITY> 0 PAID-IN-CAPITAL-COMMON> 41,904,629 SHARES-COMMON-STOCK> 4,451,076 SHARES-COMMON-PRIOR> 4,502,238 ACCUMULATED-NII-CURRENT> 280,261 OVERDISTRIBUTION-NII> 0 ACCUMULATED-NET-GAINS> 3,370,573 OVERDISTRIBUTION-GAINS> 0 ACCUM-APPREC-OR-DEPREC> 9,818,776 NET-ASSETS> 55,374,239 DIVIDEND-INCOME> 714,953 INTEREST-INCOME> 95,004 OTHER-INCOME> 0 EXPENSES-NET> 131,617 NET-INVESTMENT-INCOME> 678,340 REALIZED-GAINS-CURRENT> 3,757,733 APPREC-INCREASE-CURRENT> 5,381,127 NET-CHANGE-FROM-OPS> 9,817,200 EQUALIZATION> 0 DISTRIBUTIONS-OF-INCOME> (398,079) DISTRIBUTIONS-OF-GAINS> (902,689) DISTRIBUTIONS-OTHER> 0 NUMBER-OF-SHARES-SOLD> 629,346 NUMBER-OF-SHARES-REDEEMED> (792,160) SHARES-REINVESTED> 111,652 NET-CHANGE-IN-ASSETS> 7,405,508 ACCUMULATED-NII-PRIOR> 0 ACCUMULATED-GAINS-PRIOR> 515,529 OVERDISTRIB-NII-PRIOR> 0 OVERDIST-NET-GAINS-PRIOR> 0 GROSS-ADVISORY-FEES> 137,101 INTEREST-EXPENSE> 0 GROSS-EXPENSE> 207,337 AVERAGE-NET-ASSETS> 54,543,133 PER-SHARE-NAV-BEGIN> 10.65 PER-SHARE-NII> 0.15 PER-SHARE-GAIN-APPREC> 1.92 PER-SHARE-DIVIDEND> 0.00 PER-SHARE-DISTRIBUTIONS> (0.28) RETURNS-OF-CAPITAL> 0.00 PER-SHARE-NAV-END> 12.44 EXPENSE-RATIO> 0.48 AVG-DEBT-OUTSTANDING> 0 AVG-DEBT-PER-SHARE> 0.00 /TABLE> /TEXT> /DOCUMENT> DOCUMENT> |
TYPE> EX-27.Ser10
TEXT>
ARTICLE> 6
LEGEND>
This schedule contains summary financial information
extracted from GMO Trust, form N-SAR for the period
ended August 31, 1995 and is qualified in its
entirety by reference to such financial statements.
/LEGEND> SERIES> NUMBER> 10 NAME> Fundamental Value Fund TABLE> S> C> PERIOD-TYPE> 6-MOS FISCAL-YEAR-END> FEB-29-1996 PERIOD-END> AUG-31-1995 INVESTMENTS-AT-COST> 182,679,126 INVESTMENTS-AT-VALUE> 212,188,505 RECEIVABLES> 1,487,127 ASSETS-OTHER> 0 OTHER-ITEMS-ASSETS> 0 TOTAL-ASSETS> 213,675,632 PAYABLE-FOR-SECURITIES> 376,255 SENIOR-LONG-TERM-DEBT> 0 OTHER-ITEMS-LIABILITIES> 15,729,498 TOTAL-LIABILITIES> 16,105,753 SENIOR-EQUITY> 0 PAID-IN-CAPITAL-COMMON> 161,648,644 SHARES-COMMON-STOCK> 14,091,776 SHARES-COMMON-PRIOR> 14,581,927 ACCUMULATED-NII-CURRENT> 1,197,547 OVERDISTRIBUTION-NII> 0 ACCUMULATED-NET-GAINS> 5,214,309 OVERDISTRIBUTION-GAINS> 0 ACCUM-APPREC-OR-DEPREC> 29,509,379 NET-ASSETS> 197,569,879 DIVIDEND-INCOME> 3,266,380 INTEREST-INCOME> 143,737 OTHER-INCOME> 0 EXPENSES-NET> 718,819 NET-INVESTMENT-INCOME> 2,691,298 REALIZED-GAINS-CURRENT> 6,036,757 APPREC-INCREASE-CURRENT> 17,909,814 NET-CHANGE-FROM-OPS> 26,637,869 EQUALIZATION> 0 DISTRIBUTIONS-OF-INCOME> (2,383,879) DISTRIBUTIONS-OF-GAINS> (3,210,933) DISTRIBUTIONS-OTHER> 0 NUMBER-OF-SHARES-SOLD> 0 NUMBER-OF-SHARES-REDEEMED> (759,934) SHARES-REINVESTED> 269,783 NET-CHANGE-IN-ASSETS> 14,698,972 ACCUMULATED-NII-PRIOR> 890,128 ACCUMULATED-GAINS-PRIOR> 2,388,485 OVERDISTRIB-NII-PRIOR> 0 OVERDIST-NET-GAINS-PRIOR> 0 GROSS-ADVISORY-FEES> 718,819 INTEREST-EXPENSE> 0 GROSS-EXPENSE> 776,524 AVERAGE-NET-ASSETS> 190,645,326 PER-SHARE-NAV-BEGIN> 12.54 PER-SHARE-NII> 0.19 PER-SHARE-GAIN-APPREC> 1.69 PER-SHARE-DIVIDEND> 0.00 PER-SHARE-DISTRIBUTIONS> (0.40) RETURNS-OF-CAPITAL> 0.00 PER-SHARE-NAV-END> 14.02 EXPENSE-RATIO> 0.75 AVG-DEBT-OUTSTANDING> 0 AVG-DEBT-PER-SHARE> 0.00 /TABLE> /TEXT> /DOCUMENT> DOCUMENT> |
TYPE> EX-27.Ser13
TEXT>
ARTICLE> 6
LEGEND>
This schedule contains summary financial information
extracted from GMO Trust, form N-SAR for the period
ended August 31, 1995 and is qualified in its
entirety by reference to such financial statements.
/LEGEND> SERIES> NUMBER> 13 NAME> International Small Companies Fund TABLE> S> C> PERIOD-TYPE> 6-MOS FISCAL-YEAR-END> FEB-29-1996 PERIOD-END> AUG-31-1995 INVESTMENTS-AT-COST> 195,304,026 INVESTMENTS-AT-VALUE> 195,408,640 RECEIVABLES> 3,407,551 ASSETS-OTHER> 1,724,624 OTHER-ITEMS-ASSETS> 0 TOTAL-ASSETS> 200,540,815 PAYABLE-FOR-SECURITIES> 57,389 SENIOR-LONG-TERM-DEBT> 0 OTHER-ITEMS-LIABILITIES> 1,459,413 TOTAL-LIABILITIES> 1,516,802 SENIOR-EQUITY> 0 PAID-IN-CAPITAL-COMMON> 195,623,335 SHARES-COMMON-STOCK> 15,691,530 SHARES-COMMON-PRIOR> 15,585,433 ACCUMULATED-NII-CURRENT> 3,137,700 OVERDISTRIBUTION-NII> 0 ACCUMULATED-NET-GAINS> 86,339 OVERDISTRIBUTION-GAINS> 0 ACCUM-APPREC-OR-DEPREC> 176,639 NET-ASSETS> 199,024,013 DIVIDEND-INCOME> 2,990,500 INTEREST-INCOME> 167,555 OTHER-INCOME> 0 EXPENSES-NET> 726,812 NET-INVESTMENT-INCOME> 2,431,243 REALIZED-GAINS-CURRENT> 109,079 APPREC-INCREASE-CURRENT> 9,692,644 NET-CHANGE-FROM-OPS> 12,232,966 EQUALIZATION> 0 DISTRIBUTIONS-OF-INCOME> 0 DISTRIBUTIONS-OF-GAINS> (1,004,007) DISTRIBUTIONS-OTHER> 0 NUMBER-OF-SHARES-SOLD> 2,011,931 NUMBER-OF-SHARES-REDEEMED> (1,985,467) SHARES-REINVESTED> 79,633 NET-CHANGE-IN-ASSETS> 12,838,813 ACCUMULATED-NII-PRIOR> 706,457 ACCUMULATED-GAINS-PRIOR> 981,267 OVERDISTRIB-NII-PRIOR> 0 OVERDIST-NET-GAINS-PRIOR> 0 GROSS-ADVISORY-FEES> 1,203,901 INTEREST-EXPENSE> 0 GROSS-EXPENSE> 1,467,743 AVERAGE-NET-ASSETS> 191,545,369 PER-SHARE-NAV-BEGIN> 11.95 PER-SHARE-NII> 0.15 PER-SHARE-GAIN-APPREC> 0.65 PER-SHARE-DIVIDEND> 0.00 PER-SHARE-DISTRIBUTIONS> (0.07) RETURNS-OF-CAPITAL> 0.00 PER-SHARE-NAV-END> 12.68 EXPENSE-RATIO> 0.75 AVG-DEBT-OUTSTANDING> 0 AVG-DEBT-PER-SHARE> 0.00 /TABLE> /TEXT> /DOCUMENT> DOCUMENT> |
TYPE> EX-27.Ser11
TEXT>
ARTICLE> 6
LEGEND>
This schedule contains summary financial information
extracted from GMO Trust, form N-SAR for the period
ended August 31, 1995 and is qualified in its
entirety by reference to such financial statements.
/LEGEND> SERIES> NUMBER> 11 NAME> Core II Secondaries Fund TABLE> S> C> PERIOD-TYPE> 6-MOS FISCAL-YEAR-END> FEB-29-1996 PERIOD-END> AUG-31-1995 INVESTMENTS-AT-COST> 154,489,444 INVESTMENTS-AT-VALUE> 172,748,198 RECEIVABLES> 2,972,603 ASSETS-OTHER> 0 OTHER-ITEMS-ASSETS> 0 TOTAL-ASSETS> 175,720,801 PAYABLE-FOR-SECURITIES> 1,704,601 SENIOR-LONG-TERM-DEBT> 0 OTHER-ITEMS-LIABILITIES> 22,263,636 TOTAL-LIABILITIES> 23,968,237 SENIOR-EQUITY> 0 PAID-IN-CAPITAL-COMMON> 111,866,948 SHARES-COMMON-STOCK> 10,171,408 SHARES-COMMON-PRIOR> 17,325,736 ACCUMULATED-NII-CURRENT> 672,908 OVERDISTRIBUTION-NII> 0 ACCUMULATED-NET-GAINS> 20,882,092 OVERDISTRIBUTION-GAINS> 0 ACCUM-APPREC-OR-DEPREC> 18,330,616 NET-ASSETS> 151,752,564 DIVIDEND-INCOME> 1,373,929 INTEREST-INCOME> 279,414 OTHER-INCOME> 0 EXPENSES-NET> 395,009 NET-INVESTMENT-INCOME> 1,258,334 REALIZED-GAINS-CURRENT> 21,590,046 APPREC-INCREASE-CURRENT> 828,211 NET-CHANGE-FROM-OPS> 23,676,591 EQUALIZATION> 0 DISTRIBUTIONS-OF-INCOME> (1,292,502) DISTRIBUTIONS-OF-GAINS> (7,978,894) DISTRIBUTIONS-OTHER> 0 NUMBER-OF-SHARES-SOLD> 702,032 NUMBER-OF-SHARES-REDEEMED> (8,418,103) SHARES-REINVESTED> 561,743 NET-CHANGE-IN-ASSETS> (84,028,083) ACCUMULATED-NII-PRIOR> 707,076 ACCUMULATED-GAINS-PRIOR> 7,270,940 OVERDISTRIB-NII-PRIOR> 0 OVERDIST-NET-GAINS-PRIOR> 0 GROSS-ADVISORY-FEES> 411,465 INTEREST-EXPENSE> 0 GROSS-EXPENSE> 496,377 AVERAGE-NET-ASSETS> 163,627,876 PER-SHARE-NAV-BEGIN> 13.61 PER-SHARE-NII> 0.14 PER-SHARE-GAIN-APPREC> 2.11 PER-SHARE-DIVIDEND> 0.00 PER-SHARE-DISTRIBUTIONS> (0.93) RETURNS-OF-CAPITAL> 0.00 PER-SHARE-NAV-END> 14.92 EXPENSE-RATIO> 0.48 AVG-DEBT-OUTSTANDING> 0 AVG-DEBT-PER-SHARE> 0.00 /TABLE> /TEXT> /DOCUMENT> DOCUMENT> |
TYPE> EX-27.Ser14
TEXT>
ARTICLE> 6
LEGEND>
This schedule contains summary financial information
extracted from GMO Trust, form N-SAR for the period
ended August 31, 1995 and is qualified in its
entirety by reference to such financial statements.
/LEGEND> SERIES> NUMBER> 14 NAME> U.S. Sector Allocation Fund TABLE> S> C> PERIOD-TYPE> 6-MOS FISCAL-YEAR-END> FEB-29-1996 PERIOD-END> AUG-31-1995 INVESTMENTS-AT-COST> 198,885,106 INVESTMENTS-AT-VALUE> 242,774,490 RECEIVABLES> 1,951,067 ASSETS-OTHER> 0 OTHER-ITEMS-ASSETS> 0 TOTAL-ASSETS> 244,725,557 PAYABLE-FOR-SECURITIES> 992,871 SENIOR-LONG-TERM-DEBT> 0 OTHER-ITEMS-LIABILITIES> 7,940,799 TOTAL-LIABILITIES> 8,933,670 SENIOR-EQUITY> 0 PAID-IN-CAPITAL-COMMON> 179,513,557 SHARES-COMMON-STOCK> 18,053,484 SHARES-COMMON-PRIOR> 18,734,305 ACCUMULATED-NII-CURRENT> 1,536,450 OVERDISTRIBUTION-NII> 0 ACCUMULATED-NET-GAINS> 10,868,869 OVERDISTRIBUTION-GAINS> 0 ACCUM-APPREC-OR-DEPREC> 43,873,011 NET-ASSETS> 235,791,887 DIVIDEND-INCOME> 3,050,053 INTEREST-INCOME> 244,449 OTHER-INCOME> 0 EXPENSES-NET> 543,701 NET-INVESTMENT-INCOME> 2,750,801 REALIZED-GAINS-CURRENT> 12,051,152 APPREC-INCREASE-CURRENT> 25,746,757 NET-CHANGE-FROM-OPS> 40,548,710 EQUALIZATION> 0 DISTRIBUTIONS-OF-INCOME> (2,132,461) DISTRIBUTIONS-OF-GAINS> (1,086,252) DISTRIBUTIONS-OTHER> 0 NUMBER-OF-SHARES-SOLD> 194,243 NUMBER-OF-SHARES-REDEEMED> (943,623) SHARES-REINVESTED> 68,559 NET-CHANGE-IN-ASSETS> 28,500,789 ACCUMULATED-NII-PRIOR> 918,110 ACCUMULATED-GAINS-PRIOR> (96,031) OVERDISTRIB-NII-PRIOR> 0 OVERDIST-NET-GAINS-PRIOR> 0 GROSS-ADVISORY-FEES> 555,028 INTEREST-EXPENSE> 0 GROSS-EXPENSE> 640,340 AVERAGE-NET-ASSETS> 225,312,501 PER-SHARE-NAV-BEGIN> 11.06 PER-SHARE-NII> 0.16 PER-SHARE-GAIN-APPREC> 2.02 PER-SHARE-DIVIDEND> 0.00 PER-SHARE-DISTRIBUTIONS> (0.18) RETURNS-OF-CAPITAL> 0.00 PER-SHARE-NAV-END> 13.06 EXPENSE-RATIO> 0.48 AVG-DEBT-OUTSTANDING> 0 AVG-DEBT-PER-SHARE> 0.00 /TABLE> /TEXT> /DOCUMENT> DOCUMENT> |
TYPE> EX-27.Ser16
TEXT>
ARTICLE> 6
LEGEND>
This schedule contains summary financial information
extracted from GMO Trust, form N-SAR for the period
ended August 31, 1995 and is qualified in its
entirety by reference to such financial statements.
/LEGEND> SERIES> NUMBER> 16 NAME> International Bond Fund TABLE> S> C> PERIOD-TYPE> 6-MOS FISCAL-YEAR-END> FEB-29-1996 PERIOD-END> AUG-31-1995 INVESTMENTS-AT-COST> 185,147,389 INVESTMENTS-AT-VALUE> 197,354,531 RECEIVABLES> 23,579,065 ASSETS-OTHER> 575,483 OTHER-ITEMS-ASSETS> 0 TOTAL-ASSETS> 221,509,079 PAYABLE-FOR-SECURITIES> 1,311,302 SENIOR-LONG-TERM-DEBT> 0 OTHER-ITEMS-LIABILITIES> 29,513,653 TOTAL-LIABILITIES> 30,824,955 SENIOR-EQUITY> 0 PAID-IN-CAPITAL-COMMON> 174,855,008 SHARES-COMMON-STOCK> 17,840,505 SHARES-COMMON-PRIOR> 15,687,479 ACCUMULATED-NII-CURRENT> 11,494,360 OVERDISTRIBUTION-NII> 0 ACCUMULATED-NET-GAINS> 3,697,739 OVERDISTRIBUTION-GAINS> 0 ACCUM-APPREC-OR-DEPREC> 637,017 NET-ASSETS> 190,684,124 DIVIDEND-INCOME> 0 INTEREST-INCOME> 8,173,247 OTHER-INCOME> 0 EXPENSES-NET> 389,741 NET-INVESTMENT-INCOME> 7,783,506 REALIZED-GAINS-CURRENT> 11,739,543 APPREC-INCREASE-CURRENT> 2,190,549 NET-CHANGE-FROM-OPS> 21,713,598 EQUALIZATION> 0 DISTRIBUTIONS-OF-INCOME> (54,248) DISTRIBUTIONS-OF-GAINS> (4,700,407) DISTRIBUTIONS-OTHER> 0 NUMBER-OF-SHARES-SOLD> 6,922,449 NUMBER-OF-SHARES-REDEEMED> (5,196,111) SHARES-REINVESTED> 426,688 NET-CHANGE-IN-ASSETS> 39,494,753 ACCUMULATED-NII-PRIOR> 3,765,102 ACCUMULATED-GAINS-PRIOR> (3,341,397) OVERDISTRIB-NII-PRIOR> 0 OVERDIST-NET-GAINS-PRIOR> 0 GROSS-ADVISORY-FEES> 389,741 INTEREST-EXPENSE> 0 GROSS-EXPENSE> 498,550 AVERAGE-NET-ASSETS> 193,817,701 PER-SHARE-NAV-BEGIN> 9.64 PER-SHARE-NII> 0.41 PER-SHARE-GAIN-APPREC> 0.90 PER-SHARE-DIVIDEND> 0.00 PER-SHARE-DISTRIBUTIONS> (0.26) RETURNS-OF-CAPITAL> 0.00 PER-SHARE-NAV-END> 10.69 EXPENSE-RATIO> 0.40 AVG-DEBT-OUTSTANDING> 0 AVG-DEBT-PER-SHARE> 0.00 /TABLE> /TEXT> /DOCUMENT> |
DOCUMENT>
TYPE> EX-27.Ser15
TEXT>
ARTICLE> 6
LEGEND>
This schedule contains summary financial information
extracted from GMO Trust, form N-SAR for the period
ended August 31, 1995 and is qualified in its
entirety by reference to such financial statements.
/LEGEND> SERIES> NUMBER> 15 NAME> Emerging Markets Fund TABLE> S> C> PERIOD-TYPE> 6-MOS FISCAL-YEAR-END> FEB-29-1996 PERIOD-END> AUG-31-1995 INVESTMENTS-AT-COST> 593,641,840 INVESTMENTS-AT-VALUE> 561,834,243 RECEIVABLES> 41,612,967 ASSETS-OTHER> 22,360,226 OTHER-ITEMS-ASSETS> 0 TOTAL-ASSETS> 625,807,436 PAYABLE-FOR-SECURITIES> 15,073,192 SENIOR-LONG-TERM-DEBT> 0 OTHER-ITEMS-LIABILITIES> 1,104,651 TOTAL-LIABILITIES> 16,177,843 SENIOR-EQUITY> 0 PAID-IN-CAPITAL-COMMON> 659,958,844 SHARES-COMMON-STOCK> 57,879,323 SHARES-COMMON-PRIOR> 40,355,453 ACCUMULATED-NII-CURRENT> 6,289,965 OVERDISTRIBUTION-NII> 0 ACCUMULATED-NET-GAINS> (26,585,344) OVERDISTRIBUTION-GAINS> 0 ACCUM-APPREC-OR-DEPREC> (30,033,872) NET-ASSETS> 609,629,593 DIVIDEND-INCOME> 8,819,966 INTEREST-INCOME> 884,849 OTHER-INCOME> 0 EXPENSES-NET> 3,414,850 NET-INVESTMENT-INCOME> 6,289,965 REALIZED-GAINS-CURRENT> (24,010,305) APPREC-INCREASE-CURRENT> 63,685,402 NET-CHANGE-FROM-OPS> 45,965,062 EQUALIZATION> 0 DISTRIBUTIONS-OF-INCOME> 0 DISTRIBUTIONS-OF-GAINS> (7,081,456) DISTRIBUTIONS-OTHER> 0 NUMBER-OF-SHARES-SOLD> 16,922,728 NUMBER-OF-SHARES-REDEEMED> (52,350) SHARES-REINVESTED> 653,492 NET-CHANGE-IN-ASSETS> 225,370,831 ACCUMULATED-NII-PRIOR> 0 ACCUMULATED-GAINS-PRIOR> 4,506,417 OVERDISTRIB-NII-PRIOR> 0 OVERDIST-NET-GAINS-PRIOR> 0 GROSS-ADVISORY-FEES> 2,504,377 INTEREST-EXPENSE> 0 GROSS-EXPENSE> 3,436,117 AVERAGE-NET-ASSETS> 477,712,330 PER-SHARE-NAV-BEGIN> 9.52 PER-SHARE-NII> 0.11 PER-SHARE-GAIN-APPREC> 1.03 PER-SHARE-DIVIDEND> 0.00 PER-SHARE-DISTRIBUTIONS> (0.13) RETURNS-OF-CAPITAL> 0.00 PER-SHARE-NAV-END> 10.53 EXPENSE-RATIO> 1.42 AVG-DEBT-OUTSTANDING> 0 AVG-DEBT-PER-SHARE> 0.00 /TABLE> /TEXT> /DOCUMENT> DOCUMENT> |
TYPE> EX-27.Ser17
TEXT>
ARTICLE> 6
LEGEND>
This schedule contains summary financial information
extracted from GMO Trust, form N-SAR for the period
ended August 31, 1995 and is qualified in its
entirety by reference to such financial statements.
/LEGEND> SERIES> NUMBER> 17 NAME> Emerging Country Debt Fund TABLE> S> C> PERIOD-TYPE> 6-MOS FISCAL-YEAR-END> FEB-29-1996 PERIOD-END> AUG-31-1995 INVESTMENTS-AT-COST> 485,058,505 INVESTMENTS-AT-VALUE> 532,925,779 RECEIVABLES> 20,675,540 ASSETS-OTHER> 264,450 OTHER-ITEMS-ASSETS> 0 TOTAL-ASSETS> 553,865,769 PAYABLE-FOR-SECURITIES> 36,525,178 SENIOR-LONG-TERM-DEBT> 0 OTHER-ITEMS-LIABILITIES> 9,536,365 TOTAL-LIABILITIES> 46,061,543 SENIOR-EQUITY> 0 PAID-IN-CAPITAL-COMMON> 431,280,634 SHARES-COMMON-STOCK> 46,553,536 SHARES-COMMON-PRIOR> 29,024,789 ACCUMULATED-NII-CURRENT> 29,886,155 OVERDISTRIBUTION-NII> 0 ACCUMULATED-NET-GAINS> (5,746,027) OVERDISTRIBUTION-GAINS> 0 ACCUM-APPREC-OR-DEPREC> 52,383,464 NET-ASSETS> 507,804,226 DIVIDEND-INCOME> 0 INTEREST-INCOME> 31,969,973 OTHER-INCOME> 0 EXPENSES-NET> 1,046,340 NET-INVESTMENT-INCOME> 30,923,633 REALIZED-GAINS-CURRENT> 1,998,099 APPREC-INCREASE-CURRENT> 84,247,675 NET-CHANGE-FROM-OPS> 117,169,407 EQUALIZATION> 0 DISTRIBUTIONS-OF-INCOME> (3,395,584) DISTRIBUTIONS-OF-GAINS> 0 DISTRIBUTIONS-OTHER> 0 NUMBER-OF-SHARES-SOLD> 26,445,537 NUMBER-OF-SHARES-REDEEMED> (9,117,813) SHARES-REINVESTED> 201,023 NET-CHANGE-IN-ASSETS> 264,352,882 ACCUMULATED-NII-PRIOR> 2,358,106 ACCUMULATED-GAINS-PRIOR> (7,744,126) OVERDISTRIB-NII-PRIOR> 0 OVERDIST-NET-GAINS-PRIOR> 0 GROSS-ADVISORY-FEES> 1,046,340 INTEREST-EXPENSE> 0 GROSS-EXPENSE> 1,336,577 AVERAGE-NET-ASSETS> 416,339,726 PER-SHARE-NAV-BEGIN> 8.39 PER-SHARE-NII> 0.64 PER-SHARE-GAIN-APPREC> 1.96 PER-SHARE-DIVIDEND> 0.00 PER-SHARE-DISTRIBUTIONS> (0.08) RETURNS-OF-CAPITAL> 0.00 PER-SHARE-NAV-END> 10.91 EXPENSE-RATIO> 0.50 AVG-DEBT-OUTSTANDING> 0 AVG-DEBT-PER-SHARE> 0.00 /TABLE> /TEXT> /DOCUMENT> DOCUMENT> |
TYPE> EX-27.Ser18
TEXT>
ARTICLE> 6
LEGEND>
This schedule contains summary financial information
extracted from GMO Trust, form N-SAR for the period
ended August 31, 1995 and is qualified in its
entirety by reference to such financial statements.
/LEGEND> SERIES> NUMBER> 18 NAME> Global Hedged Equity Fund TABLE> S> C> PERIOD-TYPE> 6-MOS FISCAL-YEAR-END> FEB-29-1996 PERIOD-END> AUG-31-1995 INVESTMENTS-AT-COST> 317,440,305 INVESTMENTS-AT-VALUE> 342,184,451 RECEIVABLES> 800,911 ASSETS-OTHER> 244,083 OTHER-ITEMS-ASSETS> 0 TOTAL-ASSETS> 343,229,445 PAYABLE-FOR-SECURITIES> 18,331 SENIOR-LONG-TERM-DEBT> 0 OTHER-ITEMS-LIABILITIES> 2,513,797 TOTAL-LIABILITIES> 2,532,128 SENIOR-EQUITY> 0 PAID-IN-CAPITAL-COMMON> 328,881,940 SHARES-COMMON-STOCK> 32,443,087 SHARES-COMMON-PRIOR> 21,216,892 ACCUMULATED-NII-CURRENT> 4,329,441 OVERDISTRIBUTION-NII> 0 ACCUMULATED-NET-GAINS> (9,937,977) OVERDISTRIBUTION-GAINS> 0 ACCUM-APPREC-OR-DEPREC> 17,423,913 NET-ASSETS> 340,697,317 DIVIDEND-INCOME> 3,668,784 INTEREST-INCOME> 1,765,857 OTHER-INCOME> 0 EXPENSES-NET> 1,088,702 NET-INVESTMENT-INCOME> 4,345,939 REALIZED-GAINS-CURRENT> (10,048,663) APPREC-INCREASE-CURRENT> 17,120,171 NET-CHANGE-FROM-OPS> 11,417,447 EQUALIZATION> 0 DISTRIBUTIONS-OF-INCOME> (761,607) DISTRIBUTIONS-OF-GAINS> 0 DISTRIBUTIONS-OTHER> 0 NUMBER-OF-SHARES-SOLD> 12,127,111 NUMBER-OF-SHARES-REDEEMED> (944,829) SHARES-REINVESTED> 43,913 NET-CHANGE-IN-ASSETS> 126,059,196 ACCUMULATED-NII-PRIOR> 745,109 ACCUMULATED-GAINS-PRIOR> 110,686 OVERDISTRIB-NII-PRIOR> 0 OVERDIST-NET-GAINS-PRIOR> 0 GROSS-ADVISORY-FEES> 918,184 INTEREST-EXPENSE> 0 GROSS-EXPENSE> 1,161,272 AVERAGE-NET-ASSETS> 280,975,811 PER-SHARE-NAV-BEGIN> 10.12 PER-SHARE-NII> 0.12 PER-SHARE-GAIN-APPREC> 0.29 PER-SHARE-DIVIDEND> 0.00 PER-SHARE-DISTRIBUTIONS> (0.03) RETURNS-OF-CAPITAL> 0.00 PER-SHARE-NAV-END> 10.50 EXPENSE-RATIO> 0.77 AVG-DEBT-OUTSTANDING> 0 AVG-DEBT-PER-SHARE> 0.00 /TABLE> /TEXT> /DOCUMENT> DOCUMENT> |
TYPE> EX-27.Ser19
TEXT>
ARTICLE> 6
LEGEND>
This schedule contains summary financial information
extracted from GMO Trust, form N-SAR for the period
ended August 31, 1995 and is qualified in its
entirety by reference to such financial statements.
/LEGEND> SERIES> NUMBER> 19 NAME> Domestic Bond Fund TABLE> S> C> PERIOD-TYPE> 6-MOS FISCAL-YEAR-END> FEB-29-1996 PERIOD-END> AUG-31-1995 INVESTMENTS-AT-COST> 340,163,566 INVESTMENTS-AT-VALUE> 345,231,001 RECEIVABLES> 2,044,384 ASSETS-OTHER> 0 OTHER-ITEMS-ASSETS> 0 TOTAL-ASSETS> 347,275,385 PAYABLE-FOR-SECURITIES> 2,424,169 SENIOR-LONG-TERM-DEBT> 0 OTHER-ITEMS-LIABILITIES> 51,424,802 TOTAL-LIABILITIES> 53,848,971 SENIOR-EQUITY> 0 PAID-IN-CAPITAL-COMMON> 278,270,504 SHARES-COMMON-STOCK> 27,611,985 SHARES-COMMON-PRIOR> 20,670,984 ACCUMULATED-NII-CURRENT> 3,284,083 OVERDISTRIBUTION-NII> 0 ACCUMULATED-NET-GAINS> 6,034,745 OVERDISTRIBUTION-GAINS> 0 ACCUM-APPREC-OR-DEPREC> 5,837,082 NET-ASSETS> 293,426,414 DIVIDEND-INCOME> 0 INTEREST-INCOME> 8,795,627 OTHER-INCOME> 0 EXPENSES-NET> 318,583 NET-INVESTMENT-INCOME> 8,477,044 REALIZED-GAINS-CURRENT> 7,326,425 APPREC-INCREASE-CURRENT> 3,283,718 NET-CHANGE-FROM-OPS> 19,087,187 EQUALIZATION> 0 DISTRIBUTIONS-OF-INCOME> (6,514,968) DISTRIBUTIONS-OF-GAINS> (1,187,937) DISTRIBUTIONS-OTHER> 0 NUMBER-OF-SHARES-SOLD> 6,894,982 NUMBER-OF-SHARES-REDEEMED> (597,034) SHARES-REINVESTED> 643,053 NET-CHANGE-IN-ASSETS> 84,049,166 ACCUMULATED-NII-PRIOR> 1,322,007 ACCUMULATED-GAINS-PRIOR> (103,743) OVERDISTRIB-NII-PRIOR> 0 OVERDIST-NET-GAINS-PRIOR> 0 GROSS-ADVISORY-FEES> 318,583 INTEREST-EXPENSE> 0 GROSS-EXPENSE> 390,491 AVERAGE-NET-ASSETS> 253,478,349 PER-SHARE-NAV-BEGIN> 10.13 PER-SHARE-NII> 0.33 PER-SHARE-GAIN-APPREC> 0.49 PER-SHARE-DIVIDEND> 0.00 PER-SHARE-DISTRIBUTIONS> (0.32) RETURNS-OF-CAPITAL> 0.00 PER-SHARE-NAV-END> 10.63 EXPENSE-RATIO> 0.25 AVG-DEBT-OUTSTANDING> 0 AVG-DEBT-PER-SHARE> 0.00 /TABLE> /TEXT> /DOCUMENT> DOCUMENT> |
TYPE> EX-27.Ser20
TEXT>
ARTICLE> 6
LEGEND>
This schedule contains summary financial information
extracted from GMO Trust, form N-SAR for the period
ended August 31, 1995 and is qualified in its
entirety by reference to such financial statements.
/LEGEND> SERIES> NUMBER> 20 NAME> Currency Hedged International Bond Fund TABLE> S> C> PERIOD-TYPE> 6-MOS FISCAL-YEAR-END> FEB-29-1996 PERIOD-END> AUG-31-1995 INVESTMENTS-AT-COST> 204,411,312 INVESTMENTS-AT-VALUE> 219,732,287 RECEIVABLES> 25,197,236 ASSETS-OTHER> 421,302 OTHER-ITEMS-ASSETS> 0 TOTAL-ASSETS> 245,350,825 PAYABLE-FOR-SECURITIES> 15,479,828 SENIOR-LONG-TERM-DEBT> 0 OTHER-ITEMS-LIABILITIES> 5,944,922 TOTAL-LIABILITIES> 21,424,750 SENIOR-EQUITY> 0 PAID-IN-CAPITAL-COMMON> 189,819,428 SHARES-COMMON-STOCK> 19,619,510 SHARES-COMMON-PRIOR> 23,885,450 ACCUMULATED-NII-CURRENT> 9,330,112 OVERDISTRIBUTION-NII> 0 ACCUMULATED-NET-GAINS> 4,507,319 OVERDISTRIBUTION-GAINS> 0 ACCUM-APPREC-OR-DEPREC> 20,269,216 NET-ASSETS> 223,926,075 DIVIDEND-INCOME> 0 INTEREST-INCOME> 10,697,697 OTHER-INCOME> 0 EXPENSES-NET> 464,895 NET-INVESTMENT-INCOME> 10,232,802 REALIZED-GAINS-CURRENT> 4,505,254 APPREC-INCREASE-CURRENT> 21,642,627 NET-CHANGE-FROM-OPS> 36,380,683 EQUALIZATION> 0 DISTRIBUTIONS-OF-INCOME> (2,975,615) DISTRIBUTIONS-OF-GAINS> (35,020) DISTRIBUTIONS-OTHER> 0 NUMBER-OF-SHARES-SOLD> 6,414,653 NUMBER-OF-SHARES-REDEEMED> (10,878,710) SHARES-REINVESTED> 198,117 NET-CHANGE-IN-ASSETS> (14,738,363) ACCUMULATED-NII-PRIOR> 2,072,925 ACCUMULATED-GAINS-PRIOR> 37,085 OVERDISTRIB-NII-PRIOR> 0 OVERDIST-NET-GAINS-PRIOR> 0 GROSS-ADVISORY-FEES> 581,119 INTEREST-EXPENSE> 0 GROSS-EXPENSE> 744,258 AVERAGE-NET-ASSETS> 231,100,233 PER-SHARE-NAV-BEGIN> 9.99 PER-SHARE-NII> 0.56 PER-SHARE-GAIN-APPREC> 1.03 PER-SHARE-DIVIDEND> 0.00 PER-SHARE-DISTRIBUTIONS> (0.17) RETURNS-OF-CAPITAL> 0.00 PER-SHARE-NAV-END> 11.41 EXPENSE-RATIO> 0.40 AVG-DEBT-OUTSTANDING> 0 AVG-DEBT-PER-SHARE> 0.00 /TABLE> DOCUMENT> |
TYPE> EX-27.Ser21
TEXT>
ARTICLE> 6
LEGEND>
This schedule contains summary financial information
extracted from GMO Trust, form N-SAR for the period
ended August 31, 1995 and is qualified in its
entirety by reference to such financial statements.
/LEGEND> SERIES> NUMBER> 21 NAME> Currency Hedged International Core Fund TABLE> S> C> PERIOD-TYPE> 6-MOS FISCAL-YEAR-END> FEB-29-1996 PERIOD-END> AUG-31-1995 INVESTMENTS-AT-COST> 104,023,787 INVESTMENTS-AT-VALUE> 103,210,183 RECEIVABLES> 92,187,718 ASSETS-OTHER> 93,941 OTHER-ITEMS-ASSETS> 0 TOTAL-ASSETS> 195,491,842 PAYABLE-FOR-SECURITIES> 5,412,610 SENIOR-LONG-TERM-DEBT> 0 OTHER-ITEMS-LIABILITIES> 230,800 TOTAL-LIABILITIES> 5,643,410 SENIOR-EQUITY> 0 PAID-IN-CAPITAL-COMMON> 187,273,305 SHARES-COMMON-STOCK> 17,583,602 SHARES-COMMON-PRIOR> 0 ACCUMULATED-NII-CURRENT> 77,402 OVERDISTRIBUTION-NII> 0 ACCUMULATED-NET-GAINS> 339,950 OVERDISTRIBUTION-GAINS> 0 ACCUM-APPREC-OR-DEPREC> 2,157,775 NET-ASSETS> 189,848,432 DIVIDEND-INCOME> 104,997 INTEREST-INCOME> 31,665 OTHER-INCOME> 0 EXPENSES-NET> 59,260 NET-INVESTMENT-INCOME> 77,402 REALIZED-GAINS-CURRENT> 339,950 APPREC-INCREASE-CURRENT> 2,157,775 NET-CHANGE-FROM-OPS> 2,575,127 EQUALIZATION> 0 DISTRIBUTIONS-OF-INCOME> 0 DISTRIBUTIONS-OF-GAINS> 0 DISTRIBUTIONS-OTHER> 0 NUMBER-OF-SHARES-SOLD> 17,583,602 NUMBER-OF-SHARES-REDEEMED> 0 SHARES-REINVESTED> 0 NET-CHANGE-IN-ASSETS> 189,848,432 ACCUMULATED-NII-PRIOR> 0 ACCUMULATED-GAINS-PRIOR> 0 OVERDISTRIB-NII-PRIOR> 0 OVERDIST-NET-GAINS-PRIOR> 0 GROSS-ADVISORY-FEES> 63,323 INTEREST-EXPENSE> 0 GROSS-EXPENSE> 110,582 AVERAGE-NET-ASSETS> 52,409,403 PER-SHARE-NAV-BEGIN> 10.00 PER-SHARE-NII> 0.00 PER-SHARE-GAIN-APPREC> 0.80 PER-SHARE-DIVIDEND> 0.00 PER-SHARE-DISTRIBUTIONS> 0.00 RETURNS-OF-CAPITAL> 0.00 PER-SHARE-NAV-END> 10.80 EXPENSE-RATIO> 0.70 AVG-DEBT-OUTSTANDING> 0 AVG-DEBT-PER-SHARE> 0.00 /TABLE> /LEGEND> |
DOCUMENT>
TYPE> EX-27.Ser05
TEXT>
ARTICLE> 6
LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 1995
and is qualified in its entirety by reference
to such financial statements.
/LEGEND> SERIES> NUMBER> 5 NAME> Pelican Fund TABLE> S> C> PERIOD-TYPE> 6-MOS FISCAL-YEAR-END> FEB-29-1996 PERIOD-END> AUG-31-1995 INVESTMENTS-AT-COST> 128,801,037 INVESTMENTS-AT-VALUE> 157,377,489 RECEIVABLES> 1,863,819 ASSETS-OTHER> 3,358 OTHER-ITEMS-ASSETS> 0 TOTAL-ASSETS> 159,244,666 PAYABLE-FOR-SECURITIES> 607,478 SENIOR-LONG-TERM-DEBT> 0 OTHER-ITEMS-LIABILITIES> 145,297 TOTAL-LIABILITIES> 752,775 SENIOR-EQUITY> 0 PAID-IN-CAPITAL-COMMON> 126,633,371 SHARES-COMMON-STOCK> 11,671,816 SHARES-COMMON-PRIOR> 9,831,023 ACCUMULATED-NII-CURRENT> 658,871 OVERDISTRIBUTION-NII> 0 ACCUMULATED-NET-GAINS> 2,623,197 OVERDISTRIBUTION-GAINS> 0 ACCUM-APPREC-OR-DEPREC> 28,576,452 NET-ASSETS> 158,491,891 DIVIDEND-INCOME> 1,762,410 INTEREST-INCOME> 835,313 OTHER-INCOME> 0 EXPENSES-NET> 783,599 NET-INVESTMENT-INCOME> 1,814,124 REALIZED-GAINS-CURRENT> 4,390,880 APPREC-INCREASE-CURRENT> 13,909,499 NET-CHANGE-FROM-OPS> 20,114,503 EQUALIZATION> 0 DISTRIBUTIONS-OF-INCOME> (1,435,525) DISTRIBUTIONS-OF-GAINS> (1,471,339) DISTRIBUTIONS-OTHER> 0 NUMBER-OF-SHARES-SOLD> 2,119,430 NUMBER-OF-SHARES-REDEEMED> (480,570) SHARES-REINVESTED> 201,933 NET-CHANGE-IN-ASSETS> 40,572,120 ACCUMULATED-NII-PRIOR> 280,272 ACCUMULATED-GAINS-PRIOR> (296,344) OVERDISTRIB-NII-PRIOR> 0 OVERDIST-NET-GAINS-PRIOR> 0 GROSS-ADVISORY-FEES> 641,789 INTEREST-EXPENSE> 0 GROSS-EXPENSE> 783,599 AVERAGE-NET-ASSETS> 141,844,805 PER-SHARE-NAV-BEGIN> 11.99 PER-SHARE-NII> 0.16 PER-SHARE-GAIN-APPREC> 1.69 PER-SHARE-DIVIDEND> 0.00 PER-SHARE-DISTRIBUTIONS> (0.26) RETURNS-OF-CAPITAL> 0.00 PER-SHARE-NAV-END> 13.58 EXPENSE-RATIO> 1.10 AVG-DEBT-OUTSTANDING> 0 AVG-DEBT-PER-SHARE> 0.00 /TABLE> /TEXT> /DOCUMENT> |