Consolidated ssr-output-EDGAR XBRL File

GMO Ultra-Short Income ETF

Ticker: GMOC; Exchange: NYSE Arca, Inc.

Semi-Annual Shareholder Report - December 31, 2025

This semi-annual shareholder report contains important information about GMO Ultra-Short Income ETF for the period of October 28, 2025 to December 31, 2025. You can find additional information about the Fund at https://www.gmo.com/americas/etf-documents/. You can also request this information by contacting us at (844) 761-1102 (toll-free).

What were the Fund costs for the last six months?

(based on a hypothetical $10,000 investment)

Fund Name	Costs of a $10,000 investment^{Footnote Reference*}	Costs paid as a percentage of a $10,000 investment
GMO Ultra-Short Income ETF	$4	0.20%^{Footnote Reference1}

Footnote	Description
Footnote^*	For the period October 28, 2025 (commencement of operations) through December 31, 2025. The costs would have been higher had the Fund operated the full six-month period.
Footnote¹	Annualized.

Key Fund Statistics

Total Net Assets	$7,494,035
Number of Portfolio Holdings	45
Portfolio Turnover Rate	2%

What does the Fund invest in?

Asset Class Summary

% of Total Net Assets

Debt Obligations	95.5
Short-Term Investments	3.5
Other	1.0

Additional Information

An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/solutions/etf-investing-at-gmo/

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/etf-documents/ or scan the QR code.

Phone: (844) 761-1102 (toll-free)

GMO Beyond China ETF

Ticker: BCHI; Exchange: NYSE Arca, Inc.

Semi-Annual Shareholder Report - December 31, 2025

This semi-annual shareholder report contains important information about GMO Beyond China ETF for the period of July 1, 2025 to December 31, 2025. You can find additional information about the Fund at https://www.gmo.com/americas/etf-documents/. You can also request this information by contacting us at (844) 761-1102 (toll-free).

What were the Fund costs for the last six months?

(based on a hypothetical $10,000 investment)

Fund Name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
GMO Beyond China ETF	$35	0.65%^{Footnote Reference1}

Footnote	Description
Footnote¹	Annualized.

Key Fund Statistics

Total Net Assets	$12,211,031
Number of Portfolio Holdings	94
Portfolio Turnover Rate	16%

What does the Fund invest in?

The Fund invested primarily in equity securities at period end.

Industry Group Summary^{Footnote
Reference*}

% of Investments

Semiconductors & Semiconductor Equipment	17.1
Banks	17.1
Capital Goods	13.1
Technology Hardware & Equipment	11.7
Materials	8.5
Automobiles & Components	7.2
Real Estate Management & Development	5.7
Financial Services	5.7
Consumer Discretionary Distribution & Retail	4.1
Transportation	3.0
Food, Beverage & Tobacco	2.2
Consumer Durables & Apparel	1.8
Insurance	1.3
Other (each less than 1%)	1.5

Footnote	Description
Footnote^*	Excludes short-term investments and derivative financial instruments, if any.

Country/Region Summary^{Footnote
Reference**}

% of Investments

India	26.4
Taiwan	25.7
South Korea	10.1
Thailand	7.7
Indonesia	6.8
Vietnam	6.3
Mexico	5.6
United Arab Emirates	3.4
Poland	2.6
Turkey	1.7
Brazil	1.5
Malaysia	1.1
Other (each less than 1%)	1.1

Footnote	Description
Footnote^**	Excludes short-term investments and derivative financial instruments, if any.

Additional Information

Phone: (844) 761-1102 (toll-free)

GMO Domestic Resilience ETF

Ticker: DRES; Exchange: NYSE Arca, Inc.

Semi-Annual Shareholder Report - December 31, 2025

This semi-annual shareholder report contains important information about GMO Domestic Resilience ETF for the period of October 1, 2025 to December 31, 2025. You can find additional information about the Fund at https://www.gmo.com/americas/etf-documents/. You can also request this information by contacting us at (844) 761-1102 (toll-free).

What were the Fund costs for the last six months?

(based on a hypothetical $10,000 investment)

Fund Name	Costs of a $10,000 investment^{Footnote Reference*}	Costs paid as a percentage of a $10,000 investment
GMO Domestic Resilience ETF	$13	0.50%^{Footnote Reference1}

Footnote	Description
Footnote^*	For the period October 1, 2025 (commencement of operations) through December 31, 2025. The costs would have been higher had the Fund operated the full six-month period.
Footnote¹	Annualized.

Key Fund Statistics

Total Net Assets	$29,394,414
Number of Portfolio Holdings	38
Portfolio Turnover Rate	0%

What does the Fund invest in?

The Fund invested primarily in equity securities at period end.

Industry Group Summary^{Footnote
Reference*}

% of Investments

Capital Goods	50.7
Transportation	21.4
Materials	16.0
Energy	7.9
Commercial & Professional Services	4.0

Footnote	Description
Footnote^*	Excludes short-term investments and derivative financial instruments, if any.

Additional Information

Phone: (844) 761-1102 (toll-free)

GMO Dynamic Allocation ETF

Ticker: GMOD; Exchange: NYSE Arca, Inc.

Semi-Annual Shareholder Report - December 31, 2025

This semi-annual shareholder report contains important information about GMO Dynamic Allocation ETF for the period of October 14, 2025 to December 31, 2025. You can find additional information about the Fund at https://www.gmo.com/americas/etf-documents/. You can also request this information by contacting us at (844) 761-1102 (toll-free).

What were the Fund costs for the last six months?

(based on a hypothetical $10,000 investment)

Fund Name	Costs of a $10,000 investment^{Footnote Reference*}	Costs paid as a percentage of a $10,000 investment
GMO Dynamic Allocation ETF	$5^{Footnote Reference1}	0.23%^{Footnote Reference1,}^{Footnote Reference2}

Footnote	Description
Footnote^*	For the period October 14, 2025 (commencement of operations) through December 31, 2025. The costs would have been higher had the Fund operated the full six-month period.
Footnote¹	The costs do not reflect fees and expenses of underlying funds. Those fees and expenses are material and, if reflected, the costs in the table would be higher. Please refer to the prospectus for more information about the fees and expenses of an investment in the Fund, including fees and expenses of underlying funds in which the Fund invests.
Footnote²	Annualized.

Key Fund Statistics

Total Net Assets	$18,957,212
Number of Portfolio Holdings	17
Portfolio Turnover Rate	9%

What does the Fund invest in?

Asset Class Summary

% of Total Net Assets

Fixed Income Funds	39.3
International Equity Funds	27.1
U.S. Equity Funds	22.9
Emerging Equity Funds	10.3
Short-Term Investments	0.4

Top Ten Holdings^{Footnote
Reference*}

% of Investments

GMO U.S. Quality ETF	10.1
GMO International Value ETF	10.0
GMO U.S. Value ETF	9.9
iShares 3-7 Year Treasury Bond ETF	9.0
Vanguard Intermediate-Term Treasury ETF	7.9
Invesco National AMT-Free Municipal Bond ETF	7.6
iShares Core MSCI Emerging Markets ETF	6.2
iShares Core MSCI International Developed Markets ETF	6.1
Schwab Intermediate-Term U.S. Treasury ETF	6.0
State Street SPDR Portfolio Intermediate Term Treasury ETF	6.0

Footnote	Description
Footnote^*	Excludes Short-Term Investments.

Additional Information

Phone: (844) 761-1102 (toll-free)

GMO International Quality ETF

Ticker: QLTI; Exchange: NYSE Arca, Inc.

Semi-Annual Shareholder Report - December 31, 2025

This semi-annual shareholder report contains important information about GMO International Quality ETF for the period of July 1, 2025 to December 31, 2025. You can find additional information about the Fund at https://www.gmo.com/americas/etf-documents/. You can also request this information by contacting us at (844) 761-1102 (toll-free).

What were the Fund costs for the last six months?

(based on a hypothetical $10,000 investment)

Fund Name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
GMO International Quality ETF	$31	0.60%^{Footnote Reference1}

Footnote	Description
Footnote¹	Annualized.

Key Fund Statistics

Total Net Assets	$252,431,203
Number of Portfolio Holdings	34
Portfolio Turnover Rate	5%

What does the Fund invest in?

The Fund invested primarily in equity securities at period end.

Industry Group Summary^{Footnote
Reference*}

% of Investments

Pharmaceuticals, Biotechnology & Life Sciences	15.5
Food, Beverage & Tobacco	13.7
Capital Goods	13.2
Semiconductors & Semiconductor Equipment	11.0
Consumer Services	7.8
Household & Personal Products	7.4
Software & Services	7.2
Consumer Discretionary Distribution & Retail	5.4
Consumer Durables & Apparel	5.3
Materials	5.0
Health Care Equipment & Services	3.7
Transportation	2.5
Commercial & Professional Services	2.3

Footnote	Description
Footnote^*	Excludes short-term investments and derivative financial instruments, if any.

Country/Region Summary^{Footnote
Reference**}

% of Investments

France	23.4
United Kingdom	13.6
Switzerland	10.9
Spain	9.7
Germany	7.1
Japan	6.2
Ireland	6.1
Taiwan	5.3
Netherlands	4.3
Denmark	2.7
Sweden	2.5
Australia	2.3
Finland	2.1
Italy	1.9
Mexico	1.9

Footnote	Description
Footnote^**	Excludes short-term investments and derivative financial instruments, if any.

Additional Information

Phone: (844) 761-1102 (toll-free)

GMO International Value ETF

Ticker: GMOI; Exchange: NYSE Arca, Inc.

Semi-Annual Shareholder Report - December 31, 2025

This semi-annual shareholder report contains important information about GMO International Value ETF for the period of July 1, 2025 to December 31, 2025. You can find additional information about the Fund at https://www.gmo.com/americas/etf-documents/. You can also request this information by contacting us at (844) 761-1102 (toll-free).

What were the Fund costs for the last six months?

(based on a hypothetical $10,000 investment)

Fund Name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
GMO International Value ETF	$33	0.60%^{Footnote Reference1}

Footnote	Description
Footnote¹	Annualized.

Key Fund Statistics

Total Net Assets	$231,324,025
Number of Portfolio Holdings	164
Portfolio Turnover Rate	4%

What does the Fund invest in?

The Fund invested primarily in equity securities at period end.

Industry Group Summary^{Footnote
Reference*}

% of Investments

Banks	22.2
Pharmaceuticals, Biotechnology & Life Sciences	11.1
Energy	9.6
Materials	8.9
Capital Goods	8.6
Automobiles & Components	8.4
Insurance	7.0
Telecommunication Services	3.9
Food, Beverage & Tobacco	3.6
Transportation	3.6
Financial Services	3.2
Real Estate Management & Development	2.0
Consumer Durables & Apparel	1.8
Consumer Staples Distribution & Retail	1.6
Technology Hardware & Equipment	1.3
Household & Personal Products	1.1
Other (each less than 1%)	2.1

Footnote	Description
Footnote^*	Excludes short-term investments and derivative financial instruments, if any.

Country/Region Summary^{Footnote
Reference**}

% of Investments

Japan	20.5
Canada	15.0
United Kingdom	10.0
France	9.7
Germany	9.0
Switzerland	7.3
Spain	5.6
Australia	5.5
Sweden	3.4
Netherlands	2.4
Norway	2.3
Hong Kong	2.2
Italy	2.0
Israel	1.4
Austria	1.1
Other (each less than 1%)	2.6

Footnote	Description
Footnote^**	Excludes short-term investments and derivative financial instruments, if any.

Additional Information

Phone: (844) 761-1102 (toll-free)

GMO Systematic Investment Grade Credit ETF

Ticker: INVG; Exchange: NYSE Arca, Inc.

Semi-Annual Shareholder Report - December 31, 2025

This semi-annual shareholder report contains important information about GMO Systematic Investment Grade Credit ETF for the period of July 1, 2025 to December 31, 2025. You can find additional information about the Fund at https://www.gmo.com/americas/etf-documents/. You can also request this information by contacting us at (844) 761-1102 (toll-free).

What were the Fund costs for the last six months?

(based on a hypothetical $10,000 investment)

Fund Name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
GMO Systematic Investment Grade Credit ETF	$13	0.25%^{Footnote Reference1}

Footnote	Description
Footnote¹	Annualized.

Key Fund Statistics

Total Net Assets	$19,242,467
Number of Portfolio Holdings	131
Portfolio Turnover Rate	50%

What does the Fund invest in?

The Fund invested primarily in debt securities at period end.

Industry Group Summary^{Footnote
Reference*}

% of Investments

Capital Goods	11.6
Financial Services	10.9
Banks	8.7
Health Care Equipment & Services	6.0
Energy	5.8
Consumer Durables & Apparel	5.7
Equity Real Estate Investment Trusts (REITs)	5.7
Software & Services	5.6
Semiconductors & Semiconductor Equipment	4.8
Technology Hardware & Equipment	4.6
Pharmaceuticals, Biotechnology & Life Sciences	4.0
Automobiles & Components	4.0
Utilities	3.9
Media & Entertainment	3.6
Food, Beverage & Tobacco	3.4
Consumer Services	2.0
Commercial & Professional Services	1.9
Household & Personal Products	1.9
Telecommunication Services	1.9
Materials	1.9
Consumer Discretionary Distribution & Retail	1.1
Other (each less than 1%)	1.0

Footnote	Description
Footnote^*	Excludes short-term investments and derivative financial instruments, if any.

Country/Region Summary^{Footnote
Reference**}

% of Investments

United States	85.6
Canada	8.8
United Kingdom	4.4
Other (each less than 1%)	1.2

Footnote	Description
Footnote^**	Excludes short-term investments and derivative financial instruments, if any.

Additional Information

Phone: (844) 761-1102 (toll-free)

GMO U.S. Value ETF

Ticker: GMOV; Exchange: NYSE Arca, Inc.

Semi-Annual Shareholder Report - December 31, 2025

This semi-annual shareholder report contains important information about GMO U.S. Value ETF for the period of July 1, 2025 to December 31, 2025. You can find additional information about the Fund at https://www.gmo.com/americas/etf-documents/. You can also request this information by contacting us at (844) 761-1102 (toll-free).

What were the Fund costs for the last six months?

(based on a hypothetical $10,000 investment)

Fund Name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
GMO U.S. Value ETF	$27	0.50%^{Footnote Reference1}

Footnote	Description
Footnote¹	Annualized.

Key Fund Statistics

Total Net Assets	$67,035,118
Number of Portfolio Holdings	167
Portfolio Turnover Rate	22%

What does the Fund invest in?

The Fund invested primarily in equity securities at period end.

Industry Group Summary^{Footnote
Reference*}

% of Investments

Pharmaceuticals, Biotechnology & Life Sciences	13.1
Financial Services	9.8
Banks	9.7
Media & Entertainment	8.8
Energy	8.7
Insurance	6.9
Health Care Equipment & Services	5.3
Technology Hardware & Equipment	4.2
Capital Goods	3.8
Telecommunication Services	3.5
Consumer Durables & Apparel	3.3
Food, Beverage & Tobacco	3.1
Semiconductors & Semiconductor Equipment	3.1
Consumer Discretionary Distribution & Retail	2.7
Automobiles & Components	2.7
Consumer Staples Distribution & Retail	2.3
Transportation	2.1
Household & Personal Products	2.1
Materials	1.5
Software & Services	1.5
Other (each less than 1%)	1.8

Footnote	Description
Footnote^*	Excludes short-term investments and derivative financial instruments, if any.

Additional Information

Phone: (844) 761-1102 (toll-free)

GMO U.S. Quality ETF

Ticker: QLTY; Exchange: NYSE Arca, Inc.

Semi-Annual Shareholder Report - December 31, 2025

This semi-annual shareholder report contains important information about GMO U.S. Quality ETF for the period of July 1, 2025 to December 31, 2025. You can find additional information about the Fund at https://www.gmo.com/americas/etf-documents/. You can also request this information by contacting us at (844) 761-1102 (toll-free).

What were the Fund costs for the last six months?

(based on a hypothetical $10,000 investment)

Fund Name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
GMO U.S. Quality ETF	$27	0.50%^{Footnote Reference1}

Footnote	Description
Footnote¹	Annualized.

Key Fund Statistics

Total Net Assets	$3,032,829,364
Number of Portfolio Holdings	37
Portfolio Turnover Rate	4%

What does the Fund invest in?

The Fund invested primarily in equity securities at period end.

Industry Group Summary^{Footnote
Reference*}

% of Investments

Semiconductors & Semiconductor Equipment	16.9
Software & Services	15.4
Pharmaceuticals, Biotechnology & Life Sciences	13.3
Health Care Equipment & Services	12.0
Media & Entertainment	10.2
Food, Beverage & Tobacco	5.2
Consumer Discretionary Distribution & Retail	5.0
Technology Hardware & Equipment	4.7
Consumer Services	4.7
Banks	4.2
Financial Services	3.3
Household & Personal Products	2.3
Capital Goods	1.6
Transportation	1.2

Footnote	Description
Footnote^*	Excludes short-term investments and derivative financial instruments, if any.

Additional Information

Phone: (844) 761-1102 (toll-free)

(b)

Not applicable.

Item 2. Code of Ethics.

Not applicable for semi-annual reports.

Item 3. Audit Committee Financial Expert.

Not applicable for semi-annual reports.

Item 4. Principal Accountant Fees and Services.

Not applicable for semi-annual reports.

Item 5. Audit Committee of Listed Registrants.

Not applicable for semi-annual reports.

Item 6. Investments.

(a)

The Schedule of Investments is included as part of the Report to Shareholders filed under Item 7(a) of this Form.

(b)

Not applicable.

Item 7. Financial Statements and Financial Highlights for Open-End Management Investment Companies.

(a)

The registrant’s Financial Statements are attached herewith.

(b)

The registrant’s Financial Highlights are included as part of the Financial Statements filed under Item 7(a) of this Form.

Semi-Annual Financial Statements and Other Information

(Unaudited)

December 31, 2025

GMO Beyond China ETF

GMO Domestic Resilience ETF

GMO Dynamic Allocation ETF

GMO International Quality ETF

GMO International Value ETF

GMO Systematic Investment Grade Credit ETF

GMO Ultra-Short Income ETF

GMO U.S. Quality ETF

GMO U.S. Value ETF

For a free copy of the Funds’ proxy voting guidelines, shareholders may call 1-844 761-1102 (toll-free), visit GMO's website at www.gmo.com, or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 will be available without charge on GMO’s website at www.gmo.com and on the Securities and Exchange Commission’s website at www.sec.gov no later than August 31 of each year.

The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-PORT, which is available on the Commission’s website at www.sec.gov or at www.gmo.com.

Information regarding how often shares of the Funds are traded on the New York Stock Exchange at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Funds can be found at www.gmo.com.

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for GMO ETF Trust (formerly known as The 2023 ETF Series Trust II), which contains a complete discussion of the risks associated with an investment in these Funds and other important information. GMO ETF Trust prospectus can be obtained at www.gmo.com or by calling toll-free 1-844 761-1102 (toll-free). GMO ETF Trust Statement of Additional Information includes additional information about the Trustees of GMO ETF Trust and is available without charge, upon request, by calling 1-844 761-1102 (toll-free).

An investment in the Funds is subject to risk, including the possible loss of principal amount invested. There can be no assurance that the Funds will achieve their stated investment objectives. Please see the Funds’ prospectus regarding specific principal risks for each Fund. General risks may include: market risk-equities, management and operational risk, focused investment risk, ETF risks, limited authorized participants, market makers and liquidity providers risk, new/smaller funds risk and market disruption.

Table of Contents

	Page
GMO Beyond China ETF
Schedule of Investments	1
GMO Domestic Resilience ETF
Schedule of Investments	3
GMO Dynamic Allocation ETF
Schedule of Investments	4
GMO International Quality ETF
Schedule of Investments	5
GMO International Value ETF
Schedule of Investments	6
GMO Systematic Investment Grade Credit ETF
Schedule of Investments	9
GMO Ultra-Short Income ETF
Schedule of Investments	12
GMO U.S. Quality ETF
Schedule of Investments	14
GMO U.S. Value ETF
Schedule of Investments	16
Portfolio Abbreviations	19
Fund Financial Statements:
Statements of Assets and Liabilities	20
Statements of Operations	23
Statements of Changes in Net Assets	26
Financial Highlights	31
Notes to Financial Statements	40
Board Review of Investment Management Agreements	55

GMO Beyond China ETF

Schedule of Investments

(showing percentage of total net assets)

December 31, 2025 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 100.2%
		Brazil — 1.5%
	20,660	WEG SA		182,895

		Czeck Republic — 0.5%
	6,450	Moneta Money Bank AS		60,680

		Greece — 0.5%
	2,040	Jumbo SA		66,888

		India — 26.5%
	1,133	ABB India Ltd.		65,140
	1,809	Amara Raja Energy & Mobility Ltd.		18,313
	7,257	Asian Paints Ltd.		223,670
	8,597	AU Small Finance Bank Ltd.		95,306
	31,847	Bajaj Finance Ltd.		349,547
	1,890	Balkrishna Industries Ltd.		48,497
	21,711	Castrol India Ltd.		46,524
	2,021	Ceat Ltd.		85,448
	10,242	Chambal Fertilisers & Chemicals Ltd.		54,982
	2,490	Coromandel International Ltd.		62,832
	3,181	Cummins India Ltd.		156,687
	3,780	Deepak Fertilisers & Petrochemicals Corp. Ltd.		54,253
	479	Dixon Technologies India Ltd.		64,277
	4,271	Eicher Motors Ltd.		347,556
	1,790	Finolex Cables Ltd.		14,957
	19,400	Firstsource Solutions Ltd.		72,416
	8,214	HBL Engineering Ltd.		84,535
	5,722	Hero MotoCorp Ltd.		366,827
	21,259	Hindalco Industries Ltd.		209,564
	9,608	ICICI Bank Ltd. –ADR		286,318
	17,371	IRCON International Ltd.		34,315
	10,059	JM Financial Ltd.		16,842
	653	KEI Industries Ltd.		32,343
	1,089	Kirloskar Brothers Ltd.		19,519
	14,393	Manappuram Finance Ltd.		49,474
	194	Maruti Suzuki India Ltd.		36,020
	1,043	Navin Fluorine International Ltd.		68,646
	6,953	Nippon Life India Asset Management Ltd.		68,231
	9,377	Paradeep Phosphates Ltd.		17,225
	7,763	PCBL Chemical Ltd.		26,080
	8,427	Shriram Finance Ltd.		93,459
	1,770	SRF Ltd.		60,412
		Total India		3,230,215

		Indonesia — 6.9%
	600,900	Aneka Tambang Tbk. PT		113,513
	197,700	Astra International Tbk. PT		79,436
	801,000	Bank Central Asia Tbk. PT		387,891
	469,000	Bank Mandiri Persero Tbk. PT		143,442
	427,000	Bank Negara Indonesia Persero Tbk. PT		111,903
		Total Indonesia		836,185

Shares		Description	Value ($)
		Malaysia — 1.1%
	56,600	Gamuda Bhd.		69,460
	47,468	Westports Holdings Bhd.		66,324
		Total Malaysia		135,784

		Mexico — 5.6%
	9,650	Arca Continental SAB de CV		104,230
	13,900	Banco del Bajio SA		35,168
	8,430	Cemex SAB de CV –ADR		96,861
	17,582	Corp. Inmobiliaria Vesta SAB de CV		53,778
	608	Fomento Economico Mexicano SAB de CV –ADR		61,450
	45,747	Gentera SAB de CV		116,759
	2,340	Gruma SAB de CV –Class B		40,223
	2,682	Grupo Financiero Banorte SAB de CV –ADR		124,502
	18,008	Wal-Mart de Mexico SAB de CV		56,012
		Total Mexico		688,983

		Poland — 2.6%
	2,740	Bank Polska Kasa Opieki SA		156,539
	8,647	Powszechny Zaklad Ubezpieczen SA		160,752
		Total Poland		317,291

		South Korea — 10.1%
	946	DB HiTek Co. Ltd.		44,392
	5,045	HMM Co. Ltd.		71,794
	2,757	Hyundai Engineering & Construction Co. Ltd.		134,161
	1,299	Hyundai Glovis Co. Ltd.		162,854
	743	LS Electric Co. Ltd.		237,257
	7,053	Samsung Electronics Co. Ltd.		587,036
		Total South Korea		1,237,494

		Taiwan — 25.8%
	6,210	Advantech Co. Ltd.		56,921
	7,145	Bizlink Holding, Inc.		345,647
	3,296	Chroma ATE, Inc.		81,297
	15,415	Delta Electronics, Inc.		472,451
	17,417	Lite-On Technology Corp.		90,631
	8,130	MediaTek, Inc.		370,010
	3,111	Parade Technologies Ltd.		57,823
	3,513	Phison Electronics Corp.		162,119
	30,529	Radiant Opto-Electronics Corp.		120,482
	8,808	Realtek Semiconductor Corp.		137,080
	7,913	Sinbon Electronics Co. Ltd.		48,479
	3,961	Taiwan Semiconductor Manufacturing Co.
		Ltd. –ADR		1,203,708
		Total Taiwan		3,146,648

		Thailand — 7.7%
	58,600	Amata Corp. PCL –NVDR		30,876
	264,000	AP Thailand PCL –NVDR		72,065
	5,500	Bangkok Bank PCL –NVDR		29,591

The accompanying notes are an integral part of the financial statements.

GMO Beyond China ETF

Schedule of Investments — (Continued)

(showing percentage of total net assets)

December 31, 2025 (Unaudited)

Shares		Description	Value ($)
		Thailand — continued
	18,300	Delta Electronics Thailand PCL –NVDR		100,489
	29,900	Kasikornbank PCL –NVDR		184,591
	431,600	Krung Thai Bank PCL –NVDR		387,008
	15,000	SCB X PCL –NVDR		66,180
	79,000	Supalai PCL –NVDR		42,628
	262,400	WHA Corp. PCL –NVDR		27,319
		Total Thailand		940,747

		Turkey — 1.7%
	17,027	Arcelik AS *		40,066
	12,259	Dogus Otomotiv Servis ve Ticaret AS		53,724
	115,340	Mavi Giyim Sanayi Ve Ticaret
		AS –Class B		116,947
		Total Turkey		210,737

		United Arab Emirates — 3.4%
	51,943	Aldar Properties PJSC		123,043
	15,397	Emaar Development PJSC		63,512
	58,602	Emaar Properties PJSC		224,180
		Total United Arab Emirates		410,735

		Vietnam — 6.3%
	76,615	Gelex Group JSC		127,012
	27,600	Gemadept Corp.		64,015
	48,600	Kinh Bac City Development Holding Corp. *		65,324
	114,700	Mobile World Investment Corp.		385,532
	14,214	PetroVietnam Gas JSC		39,129
	29,500	Vietnam Dairy Products JSC		68,646
	19,900	Vietnam Prosperity JSC Bank		21,678
		Total Vietnam		771,336

		TOTAL COMMON STOCKS
		(COST $10,116,567)		12,236,618

		SHORT-TERM INVESTMENTS — 0.4%
		Money Market Funds — 0.4%
	50,869	State Street Institutional Treasury Money
		Market Fund – Premier Class, 3.70% ^(a)		50,869

		TOTAL SHORT-TERM INVESTMENTS
		(COST $50,869)		50,869

		TOTAL INVESTMENTS — 100.6%
		(Cost $10,167,436)		12,287,487
		Other Assets and Liabilities (net) — (0.6)%		(76,456	)
		TOTAL NET ASSETS — 100.0%	$	12,211,031

Notes to Schedule of Investments:

Non-income producing security.

^(a)

The rate disclosed is the 7 day net yield as of December 31, 2025.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 19.

The accompanying notes are an integral part of the financial statements.

GMO Domestic Resilience ETF

Schedule of Investments

(showing percentage of total net assets)

December 31, 2025 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.4%
		Capital Goods — 49.8%
	1,725	Acuity, Inc.		621,069
	3,062	AECOM		291,900
	2,415	Allegion PLC		384,516
	3,335	Applied Industrial Technologies, Inc.		856,328
	7,705	Arcosa, Inc.		819,196
	3,450	Carlisle Cos., Inc.		1,103,517
	7,203	Fastenal Co.		289,056
	2,530	Ferguson Enterprises, Inc.		563,254
	20,240	Fluor Corp. *		802,111
	1,380	Hubbell, Inc.		612,872
	1,610	Huntington Ingalls Industries, Inc.		547,513
	6,758	Jacobs Solutions, Inc.		895,165
	1,955	L3Harris Technologies, Inc.		573,929
	1,495	Lockheed Martin Corp.		723,087
	3,680	MYR Group, Inc. *		804,080
	1,955	Northrop Grumman Corp.		1,114,760
	4,025	Regal Rexnord Corp.		564,788
	2,070	Rockwell Automation, Inc.		805,375
	722	United Rentals, Inc.		584,329
	2,863	WESCO International, Inc.		700,404
	52,637	WillScot Holdings Corp.		991,155
		Total Capital Goods		14,648,404

		Commercial & Professional Services — 4.0%
	4,945	Clean Harbors, Inc. *		1,159,504

		Energy — 7.8%
	8,740	ConocoPhillips		818,151
	7,245	EOG Resources, Inc.		760,798
	13,110	EQT Corp.		702,696
		Total Energy		2,281,645

		Materials — 15.7%
	3,680	Eagle Materials, Inc.		760,582
	1,840	Martin Marietta Materials, Inc.		1,145,694
	5,413	Nucor Corp.		882,915
	4,452	Steel Dynamics, Inc.		754,391
	3,795	Vulcan Materials Co.		1,082,410
		Total Materials		4,625,992

		Transportation — 21.1%
	2,185	CH Robinson Worldwide, Inc.		351,261
	34,617	CSX Corp.		1,254,866
	16,889	Knight-Swift Transportation Holdings, Inc.		882,957
	4,140	Old Dominion Freight Line, Inc.		649,152
	1,955	Saia, Inc. *		638,347
	8,050	TFI International, Inc.		831,967

Shares		Description	Value ($)
		Transportation — continued
	6,899	Union Pacific Corp.		1,595,877
		Total Transportation		6,204,427

		TOTAL COMMON STOCKS
		(COST $28,619,084)		28,919,972

		SHORT-TERM INVESTMENTS — 1.6%
		Money Market Funds — 1.6%
	473,777	State Street Institutional Treasury Money Market Fund – Premier Class, 3.70% ^(a)		473,777

		TOTAL SHORT-TERM INVESTMENTS
		(COST $473,777)		473,777

		TOTAL INVESTMENTS — 100.0%
		(Cost $29,092,861)		29,393,749
		Other Assets and Liabilities (net) — 0.0%		665
		TOTAL NET ASSETS — 100.0%	$	29,394,414

Notes to Schedule of Investments:

Non-income producing security.

^(a)

The rate disclosed is the 7 day net yield as of December 31, 2025.

The accompanying notes are an integral part of the financial statements.

GMO Dynamic Allocation ETF

Schedule of Investments

(showing percentage of total net assets)

December 31, 2025 (Unaudited)

Shares		Description	Value ($)
		INVESTMENT FUNDS — 99.6%
		United States — 99.6%
	21,830	GMO Domestic Resilience ETF ^(a)		558,165
	36,055	GMO International Quality ETF ^(a)		959,063
	56,070	GMO International Value ETF ^(a)		1,882,831
	49,728	GMO U.S. Quality ETF ^(a)		1,912,539
	68,184	GMO U.S. Value ETF ^(a)		1,874,378
	61,796	Invesco National AMT-Free Municipal Bond ETF		1,433,049
	14,302	iShares 3-7 Year Treasury Bond ETF		1,706,944
	17,424	iShares Core MSCI Emerging Markets ETF		1,171,241
	13,959	iShares Core MSCI International Developed Markets ETF		1,151,338
	4,810	iShares MSCI EAFE Small-Cap ETF		372,919
	10,656	iShares MSCI Emerging Markets ex China ETF		774,478
	19,314	iShares MSCI Japan Value ETF		767,195
	44,874	Schwab Intermediate-Term U.S. Treasury ETF		1,125,440
	39,004	State Street SPDR Portfolio Intermediate Term Treasury ETF		1,124,875
	25,037	Vanguard Intermediate-Term Treasury ETF		1,500,467
	9,592	Vanguard Short-Term Treasury ETF		563,338
		TOTAL INVESTMENT FUNDS (COST $18,628,687)		18,878,260

		SHORT-TERM INVESTMENTS — 0.4%
		Money Market Funds — 0.4%
	80,550	State Street Institutional Treasury Money Market Fund – Premier Class, 3.70% ^(b)		80,550

		TOTAL SHORT-TERM INVESTMENTS
		(COST $80,550)		80,550

		TOTAL INVESTMENTS — 100.0% (Cost $18,709,237)		18,958,810
		Other Assets and Liabilities (net) — (0.0%)		(1,598	)
		TOTAL NET ASSETS — 100.0%	$	18,957,212

Notes to Schedule of Investments:

^(a)

Affiliated company (Note 8).

^(b)

The rate disclosed is the 7 day net yield as of December 31, 2025.

The accompanying notes are an integral part of the financial statements.

GMO International Quality ETF

Schedule of Investments

(showing percentage of total net assets)

December 31, 2025 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 99.3%
		Capital Goods — 13.1%
	163,400	Assa Abloy AB – Class B		6,369,876
	58,896	Knorr-Bremse AG		6,585,767
	73,921	Kone OYJ – Class B		5,260,966
	102,955	Safran SA – ADR		8,962,233
	105,841	Schneider Electric SE – ADR		5,814,322
		Total Capital Goods		32,993,164

		Commercial & Professional Services — 2.2%
	370,500	Brambles Ltd.		5,676,933

		Consumer Discretionary Distribution & Retail — 5.4%
	206,348	Industria de Diseno Textil SA		13,662,459

		Consumer Durables & Apparel — 5.3%
	88,564	LVMH Moet Hennessy Louis Vuitton SE – ADR		13,356,337

		Consumer Services — 7.7%
	143,663	Amadeus IT Group SA		10,609,450
	277,232	Compass Group PLC – ADR		8,868,652
		Total Consumer Services		19,478,102

		Food, Beverage & Tobacco — 13.6%
	730,795	Davide Campari-Milano NV		4,756,202
	75,606	Diageo PLC – ADR		6,522,530
	46,930	Fomento Economico Mexicano SAB de CV – ADR		4,743,215
	97,845	Kerry Group PLC – Class A		8,969,021
	31,858	Magnum Ice Cream Co. NV *		504,949
	88,530	Nestle SA –ADR		8,744,993
		Total Food, Beverage & Tobacco		34,240,910

		Health Care Equipment & Services — 3.7%
	28,119	BioMerieux		3,644,913
	38,000	Hoya Corp.		5,745,850
		Total Health Care Equipment & Services		9,390,763

		Household & Personal Products — 7.4%
	111,726	L'Oreal SA –ADR		9,569,332
	137,780	Unilever PLC – ADR		9,010,812
		Total Household & Personal Products		18,580,144

		Materials — 5.0%
	183,911	Air Liquide SA –ADR		6,907,697
	370,512	Shin-Etsu Chemical Co. Ltd. – ADR		5,742,936
		Total Materials		12,650,633

		Pharmaceuticals, Biotechnology & Life Sciences — 15.4%
	963,099	Haleon PLC – ADR		9,736,931

Shares		Description	Value ($)
		Pharmaceuticals, Biotechnology & Life Sciences — continued
	67,280	Novartis AG – ADR		9,275,894
	133,170	Novo Nordisk AS – ADR		6,775,690
	182,387	Roche Holding AG – ADR		9,405,697
	15,009	Sartorius Stedim Biotech		3,704,101
		Total Pharmaceuticals, Biotechnology & Life Sciences		38,898,313

		Semiconductors & Semiconductor Equipment — 10.9%
	9,506	ASML Holding NV – NY Reg Shares		10,170,089
	43,689	Taiwan Semiconductor Manufacturing Co. Ltd. – ADR		13,276,650
	19,000	Tokyo Electron Ltd.		4,162,922
		Total Semiconductors & Semiconductor Equipment		27,609,661

		Software & Services — 7.1%
	239,583	Dassault Systemes SE		6,712,341
	46,360	SAP SE – ADR		11,261,308
		Total Software & Services		17,973,649

		Transportation — 2.5%
	87,398	Ryanair Holdings PLC – ADR		6,309,262

		TOTAL COMMON STOCKS
		(COST $242,504,359)		250,820,330

		SHORT-TERM INVESTMENTS — 0.7%
		Money Market Funds — 0.7%
	1,676,352	State Street Institutional Treasury Money Market Fund – Premier Class, 3.70% ^(a)		1,676,352

		TOTAL SHORT-TERM INVESTMENTS
		(COST $1,676,352)		1,676,352

		TOTAL INVESTMENTS — 100.0%
		(Cost $244,180,711)		252,496,682
		Other Assets and Liabilities (net) — (0.0)%		(65,479	)
		TOTAL NET ASSETS — 100.0%	$	252,431,203

Notes to Schedule of Investments:

Non-income producing security.

^(a)

The rate disclosed is the 7 day net yield as of December 31, 2025.

The accompanying notes are an integral part of the financial statements.

GMO International Value ETF

Schedule of Investments

(showing percentage of total net assets)

December 31, 2025 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.8%

		Australia — 5.4%
	87,131	Aurizon Holdings Ltd.		212,236
	130,841	BHP Group Ltd. –ADR		7,898,871
	4,608	BlueScope Steel Ltd.		74,019
	215,478	Fortescue Ltd.		3,165,021
	4,093	Rio Tinto Ltd.		401,034
	52,057	Woodside Energy Group Ltd. –ADR		811,569
		Total Australia		12,562,750

		Austria — 1.1%
	27,995	OMV AG		1,563,395
	23,178	Raiffeisen Bank International AG		1,043,245
		Total Austria		2,606,640

		Belgium — 0.3%
	10,074	Ageas SA		707,970

		Canada — 14.9%
	3,454	Alimentation Couche-Tard, Inc.		188,636
	18,425	Bank of Montreal		2,392,814
	107,246	Bank of Nova Scotia		7,902,958
	7,561	Canadian Imperial Bank of Commerce		685,102
	8,598	Empire Co. Ltd. –Class A		298,930
	290	Fairfax Financial Holdings Ltd.		553,325
	6,194	IGM Financial, Inc.		278,934
	2,069	Imperial Oil Ltd.		178,749
	21,208	Magna International, Inc.		1,130,386
	139,310	Manulife Financial Corp.		5,054,167
	31,723	Parex Resources, Inc.		426,425
	31,773	Power Corp. of Canada		1,688,711
	4,058	Russel Metals, Inc.		129,497
	74,101	Sun Life Financial, Inc.		4,623,902
	3,954	Suncor Energy, Inc.		175,399
	92,502	Toronto-Dominion Bank		8,718,122
		Total Canada		34,426,057

		Denmark — 0.9%
	247	AP Moller - Maersk AS –Class A		568,955
	568	AP Moller - Maersk AS –Class B		1,308,367
	21,300	H Lundbeck AS		144,644
		Total Denmark		2,021,966

		Finland — 0.3%
	19,465	Valmet OYJ		648,056

		France — 9.6%
	929	Arkema SA		56,935
	12,875	AXA SA		619,753
	65,170	BNP Paribas SA		6,187,527
	1,337	Capgemini SE		223,509
	38,382	Carrefour SA		641,866
	15,541	Credit Agricole SA		320,529

Shares		Description	Value ($)
		France — continued
	98,171	Sanofi SA –ADR		4,757,367
	8,772	Societe Generale SA		708,424
	4,021	Teleperformance SE		292,224
	115,775	TotalEnergies SE		7,574,001
	66,046	Valeo SE		903,077
		Total France		22,285,212

		Germany — 7.5%
	25,309	Bayerische Motoren Werke AG		2,770,276
	28,188	Daimler Truck Holding AG		1,236,282
	49,281	Deutsche Bank AG		1,917,567
	59,046	Deutsche Post AG		3,242,635
	91,825	Deutsche Telekom AG –ADR		3,002,677
	3,877	DWS Group GmbH & Co. KGaA		257,428
	8,363	Evonik Industries AG		131,305
	27,754	Fresenius Medical Care AG		1,329,448
	6,748	Henkel AG & Co. KGaA		515,466
	40,934	Mercedes-Benz Group AG		2,889,706
		Total Germany		17,292,790

		Hong Kong — 2.1%
	143,000	CK Asset Holdings Ltd.		722,469
	232,000	CK Hutchison Holdings Ltd.		1,578,424
	34,000	Kerry Properties Ltd.		88,597
	128,500	Sun Hung Kai Properties Ltd.		1,563,590
	892,500	WH Group Ltd.		994,253
		Total Hong Kong		4,947,333

		Ireland — 0.4%
	47,996	AIB Group PLC		518,925
	15,234	Bank of Ireland Group PLC		293,162
		Total Ireland		812,087

		Israel — 1.4%
	48,850	Bank Hapoalim BM		1,105,224
	28,435	Bank Leumi Le-Israel BM		626,819
	42,988	ICL Group Ltd.		247,030
	65,647	Israel Discount Bank Ltd. –Class A		697,173
	4,455	Mizrahi Tefahot Bank Ltd.		311,125
	15,030	ZIM Integrated Shipping Services Ltd.		319,087
		Total Israel		3,306,458

		Italy — 2.0%
	23,756	Banco BPM SpA		363,493
	12,043	BPER Banca SpA		164,174
	2,406	Buzzi SpA		147,032
	46,280	Intesa Sanpaolo SpA		322,033
	133,732	Stellantis NV		1,486,908
	249,429	Telecom Italia SpA *		150,610
	24,439	Tenaris SA –ADR		939,679
	40,434	Unipol Assicurazioni SpA		977,446
		Total Italy		4,551,375

The accompanying notes are an integral part of the financial statements.

GMO International Value ETF

Schedule of Investments — (Continued)

(showing percentage of total net assets)

December 31, 2025 (Unaudited)

Shares		Description	Value ($)
		Japan — 20.3%
	51,000	Asahi Group Holdings Ltd.		533,800
	56,800	Asahi Kasei Corp.		503,672
	34,100	Brother Industries Ltd.		679,649
	1,700	Credit Saison Co. Ltd.		45,669
	8,300	Dai Nippon Printing Co. Ltd.		142,749
	14,400	Daito Trust Construction Co. Ltd.		274,505
	58,400	Daiwa House Industry Co. Ltd.		1,937,967
	49,400	Denso Corp.		680,575
	18,200	Hitachi Construction Machinery Co. Ltd.		537,960
	134,603	Honda Motor Co. Ltd. –ADR		3,968,097
	166,600	Inpex Corp.		3,325,831
	40,900	Isuzu Motors Ltd.		636,974
	131,200	Japan Post Holdings Co. Ltd.		1,382,441
	12,800	Kawasaki Kisen Kaisha Ltd.		178,223
	73,000	Kirin Holdings Co. Ltd.		1,094,254
	71,900	Komatsu Ltd.		2,295,072
	97,453	Kubota Corp.		1,378,987
	14,700	Mazda Motor Corp.		114,398
	152,400	Mitsui & Co. Ltd.		4,517,321
	13,200	Mitsui OSK Lines Ltd.		396,910
	8,000	MS&AD Insurance Group Holdings, Inc.		188,100
	61,700	Nippon Yusen KK		2,000,208
	8,000	Niterra Co. Ltd.		351,941
	9,500	Nitto Denko Corp.		225,310
	4,050,300	NTT, Inc.		4,077,709
	49,700	Ono Pharmaceutical Co. Ltd.		689,308
	70,600	ORIX Corp.		2,052,556
	2,900	Otsuka Holdings Co. Ltd.		164,273
	227,600	Panasonic Holdings Corp.		2,940,172
	16,900	Renesas Electronics Corp. *		230,886
	8,000	Seiko Epson Corp.		101,277
	32,000	Sekisui Chemical Co. Ltd.		538,304
	31,900	Sekisui House Ltd.		712,374
	56,600	Shionogi & Co. Ltd.		1,026,562
	16,100	Sojitz Corp.		500,247
	23,600	Subaru Corp.		511,504
	50,600	Sumitomo Corp.		1,748,258
	29,500	Sumitomo Forestry Co. Ltd.		302,175
	11,900	Suntory Beverage & Food Ltd.		359,112
	36,400	Suzuki Motor Corp.		542,491
	19,400	Tosoh Corp.		291,297
	17,900	Toyo Tire Corp.		495,381
	50,400	Toyota Tsusho Corp.		1,696,946
	90,000	Yamaha Motor Co. Ltd.		666,209
		Total Japan		47,037,654

		Netherlands — 2.4%
	24,113	ABN AMRO Bank NV		844,177
	5,436	EXOR NV		462,839
	86,660	ING Groep NV –ADR		2,426,480
	7,978	JDE Peet's NV		298,711
	12,093	Koninklijke Ahold Delhaize NV		495,562
	3,611	NN Group NV		278,977

Shares		Description	Value ($)
		Netherlands — continued
	31,152	Signify NV		767,342
		Total Netherlands		5,574,088

		Norway — 2.2%
	194,425	Equinor ASA –ADR		4,594,263
	52,252	Orkla ASA		583,170
		Total Norway		5,177,433

		Singapore — 0.8%
	63,100	Oversea-Chinese Banking Corp. Ltd.		970,014
	33,300	United Overseas Bank Ltd.		908,276
		Total Singapore		1,878,290

		Spain — 5.6%
	16,467	Acerinox SA		244,997
	340,125	Banco Bilbao Vizcaya Argentaria
		SA –ADR		7,928,314
	191,586	Banco Santander SA		2,267,279
	128,475	Repsol SA		2,404,417
		Total Spain		12,845,007

		Sweden — 3.4%
	23,927	Essity AB –Class B		689,235
	27,247	Husqvarna AB –Class B		137,648
	6,033	Investor AB –Class B		216,510
	75,057	SSAB AB –Class B		567,911
	28,439	Swedbank AB –Class A		991,882
	235,334	Telefonaktiebolaget LM Ericsson –ADR		2,270,973
	90,059	Volvo AB –Class B		2,894,527
		Total Sweden		7,768,686

		Switzerland — 7.2%
	25,788	Adecco Group AG		752,706
	36,043	Nestle SA –ADR		3,560,328
	40,712	Novartis AG –ADR		5,612,963
	1,446	Roche Holding AG ^(a)		611,917
	12,626	Roche Holding AG ^(a)		5,231,477
	8,549	Sandoz Group AG –ADR		622,154
	470	Swisscom AG		341,478
		Total Switzerland		16,733,023

		United Kingdom — 10.0%
	17,622	3i Group PLC		775,080
	123,556	Aberdeen Group PLC		342,421
	20,033	Associated British Foods PLC		574,364
	4,691	Berkeley Group Holdings PLC		246,859
	565,536	BT Group PLC		1,403,040
	7,439	Coca-Cola HBC AG		385,253
	10,673	DCC PLC		666,103
	16,567	Drax Group PLC		186,915
	136,220	GSK PLC –ADR		6,680,229
	28,018	HSBC Holdings PLC –ADR		2,204,176

The accompanying notes are an integral part of the financial statements.

GMO International Value ETF

Schedule of Investments — (Continued)

(showing percentage of total net assets)

December 31, 2025 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	22,819	IG Group Holdings PLC		404,479
	419,542	ITV PLC		465,707
	89,128	J Sainsbury PLC		390,455
	296,510	Kingfisher PLC		1,249,802
	80,627	Rio Tinto PLC –ADR		6,452,579
	113,322	Schroders PLC		621,703
		Total United Kingdom		23,049,165

		TOTAL COMMON STOCKS
		(COST $192,792,044)		226,232,040

		PREFERRED STOCKS ^(b) — 1.5%

		Germany — 1.5%
	1,995	Bayerische Motoren Werke AG		214,524
	15,341	Volkswagen AG		1,866,876
	16,769	Henkel AG & Co. KGaA		1,371,208
		Total Germany		3,452,608

		TOTAL PREFERRED STOCKS
		(COST $3,123,241)		3,452,608

		SHORT-TERM INVESTMENTS — 0.6%
		Money Market Funds — 0.6%
	1,440,316	State Street Institutional Treasury Money Market Fund – Premier Class, 3.70% ^(c)		1,440,316

		TOTAL SHORT-TERM INVESTMENTS
		(COST $1,440,316)		1,440,316

		TOTAL INVESTMENTS — 99.9%
		(Cost $197,355,601)		231,124,964
		Other Assets and Liabilities (net) — 0.1%		199,061
		TOTAL NET ASSETS — 100.0%	$	231,324,025

Notes to Schedule of Investments:

Non-income producing security.

^(a)

Securities are traded on separate exchanges for the same entity.

^(b)

Preferred dividend rates are disclosed to the extent that a stated rate exists.

^(c)

The rate disclosed is the 7 day net yield as of December 31, 2025.

The accompanying notes are an integral part of the financial statements.

GMO Systematic Investment Grade Credit ETF

Schedule of Investments

(showing percentage of total net assets)

December 31, 2025 (Unaudited)

Par Value+		Description	Value ($)
		DEBT OBLIGATIONS — 98.1%
		Australia — 0.3%
		Corporate Debt — 0.3%
	30,000	Westpac Banking Corp., 5.46%, due 11/18/27		30,924
	30,000	Westpac Banking Corp., 3.40%, due 01/25/28		29,761
		Total Australia		60,685

		Canada — 8.6%
		Corporate Debt — 8.6%
	56,000	Bank of Nova Scotia, Variable Rate, 1 day USD SOFR + 0.89%, 4.93%, due 02/14/29		57,076
	156,000	Bank of Nova Scotia, Variable Rate, 1 day USD SOFR + 1.07%, 5.13%, due 02/14/31		160,723
	195,000	Brookfield Finance, Inc., 5.33%, due 01/15/36		195,278
	180,000	Brookfield Finance, Inc., 4.70%, due 09/20/47		155,753
	107,000	Canadian Imperial Bank of Commerce, Variable Rate, 1 day USD SOFR + 1.34%, 4.63%, due 09/11/30		108,465
	176,000	Canadian Imperial Bank of Commerce, Variable Rate, 1 day USD SOFR Index + 1.17%, 4.58%, due 09/08/31		177,341
	206,000	Cenovus Energy, Inc., 5.40%, due 06/15/47		187,752
	185,000	Rogers Communications, Inc., 5.30%, due 02/15/34		186,406
	199,000	Rogers Communications, Inc., 4.50%, due 03/15/42		170,091
	25,000	South Bow USA Infrastructure Holdings LLC, 6.18%, due 10/01/54		24,016
	52,000	Toronto-Dominion Bank, 5.30%, due 01/30/32		54,307
	191,000	Toronto-Dominion Bank, 3.20%, due 03/10/32		178,013
		Total Canada		1,655,221

		Germany — 0.9%
		Corporate Debt — 0.9%
	175,000	Deutsche Bank AG, Variable Rate, 1 day
		USD SOFR + 3.043%, 3.55%, due 09/18/31		167,008

		United Kingdom — 4.4%
		Corporate Debt — 4.4%
	154,000	BAT Capital Corp., 7.08%, due 08/02/43		172,975
	152,000	BAT Capital Corp., 4.54%, due 08/15/47		126,088
	180,000	nVent Finance SARL, 5.65%, due 05/15/33		187,713
	216,000	Smith & Nephew PLC, 2.03%, due 10/14/30		194,226
	156,000	Smith & Nephew PLC, 5.40%, due 03/20/34		161,108
		Total United Kingdom		842,110

Par Value+		Description	Value ($)
		United States — 83.9%
		Corporate Debt — 83.9%
	52,000	3M Co., 3.38%, due 03/01/29		50,959
	77,000	Advanced Micro Devices, Inc., 4.32%, due 03/24/28		77,813
	186,000	AEP Texas, Inc., 5.70%, due 05/15/34		193,877
	95,000	AES Corp., 5.80%, due 03/15/32		97,421
	167,000	AGCO Corp., 5.80%, due 03/21/34		174,811
	175,000	Albemarle Corp., 4.65%, due 06/01/27		176,071
	175,000	Albemarle Corp., 5.05%, due 06/01/32		176,180
	125,000	Ally Financial, Inc., Variable Rate, 1 day USD SOFR + 1.78%, 5.55%, due 07/31/33		125,915
	126,000	Ally Financial, Inc., Variable Rate, 1 day USD SOFR + 2.29%, 6.18%, due 07/26/35		130,586
	136,000	Alphabet, Inc., 5.30%, due 05/15/65		127,906
	203,000	Altria Group, Inc., 3.40%, due 02/04/41		156,968
	248,000	Altria Group, Inc., 3.88%, due 09/16/46		186,386
	52,000	American Express Co., Variable Rate, 1 day USD SOFR + 1.42%, 5.28%, due 07/26/35		53,585
	52,000	American Express Co., Variable Rate, 1 day USD SOFR + 1.79%, 5.67%, due 04/25/36		54,905
	60,000	Amphenol Corp., 2.20%, due 09/15/31		53,591
	152,000	Apple, Inc., 4.25%, due 02/09/47		130,390
	170,000	AppLovin Corp., 5.38%, due 12/01/31		176,285
	185,000	AppLovin Corp., 5.95%, due 12/01/54		183,224
	111,000	Aptiv Swiss Holdings Ltd., 4.15%, due 05/01/52		85,359
	52,000	Bank of New York Mellon Corp., Variable Rate, 1 day USD SOFR Index + 2.07%, 5.83%, due 10/25/33		56,068
	127,000	Bank of New York Mellon Corp., Variable Rate, 1 day USD SOFR + 1.85%, 6.47%, due 10/25/34		142,076
	200,000	Bio-Rad Laboratories, Inc., 3.70%, due 03/15/32		188,821
	125,000	BorgWarner, Inc., 4.95%, due 08/15/29		127,897
	155,000	BorgWarner, Inc., 5.40%, due 08/15/34		159,834
	180,000	Boston Properties LP, 6.50%, due 01/15/34		193,760
	185,000	Boston Properties LP, 5.75%, due 01/15/35		190,255
	23,000	Capital One Financial Corp., Variable Rate, 1 day USD SOFR Index + 3.37%, 7.96%, due 11/02/34		27,117
	185,000	CH Robinson Worldwide, Inc., 4.20%, due 04/15/28		185,420
	52,000	Charles Schwab Corp., Variable Rate, 1 day USD SOFR + 2.50%, 5.85%, due 05/19/34		55,702
	52,000	Charles Schwab Corp., Variable Rate, 1 day USD SOFR + 2.01%, 6.14%, due 08/24/34		56,679
	26,000	Citigroup, Inc., Variable Rate, 3 mo. USD Term SOFR + 1.65%, 3.67%, due 07/24/28		25,835
	181,000	Citizens Financial Group, Inc., Variable Rate, 1 day USD SOFR + 1.91%, 5.72%, due 07/23/32		189,762

The accompanying notes are an integral part of the financial statements.

GMO Systematic Investment Grade Credit ETF

Schedule of Investments — (Continued)

(showing percentage of total net assets)

December 31, 2025 (Unaudited)

Par Value+		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	156,000	Citizens Financial Group, Inc., Variable Rate, 1 day USD SOFR + 2.33%, 6.65%, due 04/25/35		171,533
	69,000	Comerica, Inc., Variable Rate, 1 day USD SOFR + 2.16%, 5.98%, due 01/30/30		71,982
	177,000	Corning, Inc., 5.35%, due 11/15/48		171,442
	239,000	Corning, Inc., 4.38%, due 11/15/57		192,797
	186,000	Cummins, Inc., 4.70%, due 02/15/31		189,905
	180,000	Cummins, Inc., 5.30%, due 05/09/35		186,655
	91,000	CVS Health Corp., 5.13%, due 07/20/45		82,155
	167,000	CVS Health Corp., 5.05%, due 03/25/48		147,219
	220,000	eBay, Inc., 2.70%, due 03/11/30		206,732
	42,000	Edison International, 6.95%, due 11/15/29		44,727
	174,000	Estee Lauder Cos., Inc., 4.38%, due 05/15/28		175,684
	193,000	Estee Lauder Cos., Inc., 2.60%, due 04/15/30		181,207
	145,000	Flex Ltd., 4.88%, due 06/15/29		146,989
	130,000	General Electric Co., 4.30%, due 07/29/30		131,105
	169,000	General Electric Co., 4.90%, due 01/29/36		171,581
	180,000	General Motors Co., 6.25%, due 04/15/35		190,871
	175,000	General Motors Co., 6.75%, due 04/01/46		187,460
	52,000	Goldman Sachs Group, Inc., Variable Rate, 3 mo. USD Term SOFR + 1.77%, 3.69%, due 06/05/28		51,723
	77,000	Goldman Sachs Group, Inc., Variable Rate, 3 mo. USD Term SOFR + 1.69%, 4.41%, due 04/23/39		71,139
	179,000	Hasbro, Inc., 3.90%, due 11/19/29		176,039
	168,000	Hasbro, Inc., 6.05%, due 05/14/34		178,214
	191,000	HCA, Inc., 5.25%, due 06/15/49		172,621
	189,000	HCA, Inc., 6.10%, due 04/01/64		187,225
	197,000	Howmet Aerospace, Inc., 3.00%, due 01/15/29		191,085
	52,000	Howmet Aerospace, Inc., 4.85%, due 10/15/31		53,355
	77,000	Huntington Ingalls Industries, Inc., 5.75%, due 01/15/35		81,421
	182,000	Illumina, Inc., 5.75%, due 12/13/27		187,453
	328,000	Intel Corp., 3.10%, due 02/15/60		183,250
	195,000	Intel Corp., 5.90%, due 02/10/63		182,345
	50,000	Interstate Power & Light Co., 5.60%, due 06/29/35		52,036
	185,000	IQVIA, Inc., 6.25%, due 02/01/29		195,012
	182,000	Jacobs Engineering Group, Inc., 6.35%, due 08/18/28		191,457
	169,000	Jacobs Engineering Group, Inc., 5.90%, due 03/01/33		178,019
	169,000	Johnson Controls International PLC/Tyco Fire & Security Finance SCA, 5.50%, due 04/19/29		175,757
	166,000	Johnson Controls International PLC/Tyco Fire & Security Finance SCA, 4.90%, due 12/01/32		168,767
	120,000	L3Harris Technologies, Inc., 5.35%, due 06/01/34		124,220

Par Value+		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	182,000	Las Vegas Sands Corp., 6.00%, due 08/15/29		189,965
	182,000	Las Vegas Sands Corp., 6.20%, due 08/15/34		191,284
	170,000	Marathon Petroleum Corp., 5.70%, due 03/01/35		174,936
	169,000	MasTec, Inc., 5.90%, due 06/15/29		176,070
	125,000	Micron Technology, Inc., 5.88%, due 02/09/33		132,955
	185,000	Micron Technology, Inc., 5.80%, due 01/15/35		194,959
	160,000	Morgan Stanley, Variable Rate, 1 day USD SOFR + 1.58%, 5.83%, due 04/19/35		170,025
	167,000	Morgan Stanley, Variable Rate, 1 day USD SOFR + 1.56%, 5.32%, due 07/19/35		171,910
	77,000	MPLX LP, 4.70%, due 04/15/48		63,996
	52,000	MPLX LP, 5.50%, due 02/15/49		47,752
	235,000	Mylan, Inc., 5.20%, due 04/15/48		190,950
	170,000	NetApp, Inc., 5.50%, due 03/17/32		176,834
	195,000	Oncor Electric Delivery Co. LLC, 4.65%, due 11/01/29		198,182
	155,000	Oracle Corp., 6.90%, due 11/09/52		153,159
	219,000	Oracle Corp., 5.50%, due 09/27/64		174,774
	207,000	Paramount Global, 4.20%, due 05/19/32		187,026
	242,000	Paramount Global, 4.95%, due 05/19/50		169,468
	70,000	Phillips 66 Co., 4.90%, due 10/01/46		61,009
	206,000	Phillips 66 Co., 5.50%, due 03/15/55		189,749
	169,000	Polaris, Inc., 6.95%, due 03/15/29		179,188
	192,000	Polaris, Inc., 5.60%, due 03/01/31		194,005
	130,000	Qorvo, Inc., 4.38%, due 10/15/29		128,103
	77,000	RTX Corp., 3.50%, due 03/15/27		76,628
	52,000	RTX Corp., 6.10%, due 03/15/34		56,893
	180,000	Santander Holdings USA, Inc., Variable Rate, 1 day USD SOFR + 1.88%, 5.74%, due 03/20/31		186,261
	180,000	Santander Holdings USA, Inc., Variable Rate, 1 day USD SOFR + 2.14%, 6.34%, due 05/31/35		193,013
	171,000	Simon Property Group LP, 5.85%, due 03/08/53		173,643
	170,000	Simon Property Group LP, 6.65%, due 01/15/54		189,933
	147,000	Sun Communities Operating LP, 4.20%, due 04/15/32		142,690
	171,000	Synchrony Financial, Variable Rate, 1 day USD SOFR Index + 2.13%, 5.94%, due 08/02/30		178,212
	185,000	Synchrony Financial, Variable Rate, 1 day USD SOFR + 2.07%, 6.00%, due 07/29/36		189,892
	141,000	System Energy Resources, Inc., 5.30%, due 12/15/34		142,519
	147,000	Take-Two Interactive Software, Inc., 3.70%, due 04/14/27		146,404
	52,000	Take-Two Interactive Software, Inc., 4.95%, due 03/28/28		53,007
	174,000	Tapestry, Inc., 5.10%, due 03/11/30		178,629

The accompanying notes are an integral part of the financial statements.

GMO Systematic Investment Grade Credit ETF

Schedule of Investments — (Continued)

(showing percentage of total net assets)

December 31, 2025 (Unaudited)

Par Value+ /
Shares		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	174,000	Tapestry, Inc., 5.50%, due 03/11/35		177,893
	229,000	Utah Acquisition Sub, Inc., 5.25%, due 06/15/46		188,087
	201,000	Valero Energy Corp., 2.15%, due 09/15/27		194,650
	183,000	Ventas Realty LP, 5.63%, due 07/01/34		191,213
	207,000	VMware LLC, 1.80%, due 08/15/28		195,745
	173,000	VMware LLC, 4.70%, due 05/15/30		175,749
	168,000	Western Midstream Operating LP, 5.30%, due 03/01/48		144,855
		Total United States		16,154,855

		TOTAL DEBT OBLIGATIONS
		(COST $18,952,551)		18,879,879

		SHORT-TERM INVESTMENTS — 0.6%
		Money Market Funds — 0.6%
	105,374	State Street Institutional Treasury Money Market Fund – Premier Class, 3.70% ^(a)		105,374

		TOTAL SHORT-TERM INVESTMENTS
		(COST $105,374)		105,374

		TOTAL INVESTMENTS — 98.7%
		(Cost $19,057,925)		18,985,253
		Other Assets and Liabilities (net) — 1.3%		257,214
		TOTAL NET ASSETS — 100.0%	$	19,242,467

Notes to Schedule of Investments:

⁺

Denominated in U.S. Dollar, unless otherwise indicated.

^(a)

The rate disclosed is the 7 day net yield as of December 31, 2025.

The accompanying notes are an integral part of the financial statements.

GMO Ultra-Short Income ETF

Schedule of Investments

(showing percentage of total net assets)

December 31, 2025 (Unaudited)

Par Value+		Description	Value ($)
		DEBT OBLIGATIONS — 95.5%
		Asset-Backed Securities — 78.0%
		Collateralized Loan Obligations — 78.0%
	124,412	Apidos CLO XXX, Series XXXA, A1AR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.08%, 4.96%, due 10/18/31		124,428
	244,624	ARES LII CLO Ltd., Series 2019-52A, A1RR, 144A, Variable Rate, 3 mo. USD Term SOFR + 0.88%, 4.74%, due 04/22/31		244,444
	232,838	Bain Capital Credit CLO Ltd., Series 2019-2A, AR3, 144A, Variable Rate, 3 mo. USD Term SOFR + 0.92%, 4.80%, due 10/17/32		232,886
	245,924	Battalion CLO XV Ltd., Series 2020-15A, A1RR, 144A, Variable Rate, 3 mo. USD Term SOFR + 0.98%, 4.86%, due 01/17/33		245,763
	241,922	Black Diamond CLO Ltd., Series 2016-1A, A1AR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.29%, 5.15%, due 04/26/31		242,084
	61,828	BlueMountain CLO XXII Ltd., Series 2018-22A, A1, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.34%, 5.25%, due 07/15/31		61,855
	245,072	Buttermilk Park CLO Ltd., Series 2018-1A, A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.08%, 4.99%, due 10/15/31		245,071
	140,057	California Street CLO IX LP, Series 2012-9A, AR3, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.36%, 5.26%, due 07/16/32		140,170
	232,157	CarVal CLO III Ltd., Series 2019-2A, AR2, 144A, Variable Rate, 3 mo. USD Term SOFR + 0.99%, 4.87%, due 07/20/32		232,177
	158,051	Dryden 40 Senior Loan Fund, Series 2015-40A, AR2, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.15%, 5.00%, due 08/15/31		158,115
	292,315	Dryden 45 Senior Loan Fund, Series 2016-45A, A1RR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.08%, 4.99%, due 10/15/30		292,369
	241,420	Dryden 54 Senior Loan Fund, Series 2017-54A, AR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.15%, 5.03%, due 10/19/29		241,434
	288,400	Dryden 55 CLO Ltd., Series 2018-55A, A1, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.28%, 5.19%, due 04/15/31		288,607
	100,000	Fortress Credit BSL X Ltd., Series 2021-1A, AR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.10%, 5.01%, due 04/20/33		99,920
	117,938	ICG U.S. CLO Ltd., Series 2015-2RA, A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 0.99%, 4.88%, due 01/16/33		117,896
	199,970	Jefferson Mill CLO Ltd., Series 2015-1A, ARR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.23%, 5.11%, due 10/20/31		200,017
	150,000	LCM 31 Ltd., Series 31A, AR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.28%, 5.16%, due 07/20/34		150,042

Par Value+		Description	Value ($)
		Asset-Backed Securities — continued
		Collateralized Loan Obligations — continued
	387,298	Madison Park Funding XIV Ltd., Series 2014-14A, AR4, 144A, Variable Rate, 3 mo. USD Term SOFR + 0.96%, 4.82%, due 10/22/30		387,427
	214,862	Mountain View CLO LLC, Series 2016-1A, AR2, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.26%, 5.17%, due 04/14/33		214,864
	195,379	OZLM XV Ltd., Series 2016-15A, A1R3, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.05%, 4.93%, due 04/20/33		195,378
	65,365	OZLM XXIV Ltd., Series 2019-24A, A1AR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.42%, 5.31%, due 07/20/32		65,365
	432,857	Regatta XX Funding Ltd., Series 2021-2A, X, 144A, Variable Rate, 3 mo. USD Term SOFR + 0.97%, 4.88%, due 01/15/38		432,859
	108,824	Romark CLO II Ltd., Series 2018-2A, A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.14%, 5.00%, due 07/25/31		108,778
	142,471	Sound Point CLO II Ltd., Series 2013-1A, A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.33%, 5.19%, due 01/26/31		142,503
	239,383	Symphony CLO XV Ltd., Series 2014-15A, AR3, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.34%, 5.22%, due 01/17/32		239,450
	34,809	TCI-Symphony CLO Ltd., Series 2016-1A, AR2, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.28%, 5.19%, due 10/13/32		34,829
	214,154	Trinitas CLO XII Ltd., Series 2020-12A, A1R2, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.05%, 4.91%, due 04/25/33		214,331
	125,814	Venture 32 CLO Ltd., Series 2018-32A, A1, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.36%, 5.25%, due 07/18/31		125,984
	28,516	Venture XXVII CLO Ltd., Series 2017-27A, AR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.31%, 5.20%, due 07/20/30		28,519
	106,328	Voya CLO Ltd., Series 2016-1A, A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.33%, 5.22%, due 01/20/31		106,336
	229,167	Voya CLO Ltd., Series 2025-1A, X, 144A, Variable Rate, 3 mo. USD Term SOFR + 0.90%, 4.78%, due 04/20/38		229,166
		Total Collateralized Loan Obligations		5,843,067

		U.S. Government — 17.5%
	149,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.19%, 3.79%, due 10/31/27		149,104
	17,657	U.S. Treasury Inflation-Indexed Notes, 0.13%, due 07/15/26		17,554
	17,872	U.S. Treasury Inflation-Indexed Notes, 0.13%, due 10/15/26		17,706
	17,522	U.S. Treasury Inflation-Indexed Notes, 0.38%, due 01/15/27		17,305
	56,000	U.S. Treasury Notes, 4.62%, due 06/30/26		56,291

The accompanying notes are an integral part of the financial statements.

GMO Ultra-Short Income ETF

Schedule of Investments — (Continued)

(showing percentage of total net assets)

December 31, 2025 (Unaudited)

Par Value+ /
Shares		Description	Value ($)
	139,000	U.S. Treasury Notes, 4.37%, due 07/31/26		139,648
	169,000	U.S. Treasury Notes, 3.50%, due 09/30/26		168,876
	249,000	U.S. Treasury Notes, 4.12%, due 10/31/26		250,064
	246,000	U.S. Treasury Notes, 4.12%, due 01/31/27		247,528
	255,000	U.S. Treasury Notes, 1.88%, due 02/28/27		250,288
		Total U.S. Government		1,314,364

		TOTAL DEBT OBLIGATIONS
		(COST $7,158,961)		7,157,431

		SHORT-TERM INVESTMENTS — 3.5%
		Money Market Funds — 0.1%
	9,710	State Street Institutional Treasury Money Market Fund – Premier Class, 3.70% ^(a)		9,710

		U.S. Government — 3.4%
	55,000	U.S. Treasury Bills, 3 mo. USD Term SOFR + 1.31%, 0.00%, due 01/29/26		54,855
	101,000	U.S. Treasury Bills, 3 mo. USD Term SOFR + 0.90%, 0.00%, due 02/10/26		100,613
	101,000	U.S. Treasury Bills, 3 mo. USD Term SOFR + 1.33%, 0.00%, due 03/26/26		100,181
		Total U.S. Government		255,649

		TOTAL SHORT-TERM INVESTMENTS
		(COST $265,322)		265,359

		TOTAL INVESTMENTS— 99.0%
		(Cost $7,424,283)		7,422,790
		Other Assets and Liabilities (net) — 1.0%		71,245
		TOTAL NET ASSETS — 100.0%		7,494,035

Notes to Schedule of Investments:

⁺

Denominated in U.S. Dollar, unless otherwise indicated.

^(a)

The rate disclosed is the 7 day net yield as of December 31, 2025.

The accompanying notes are an integral part of the financial statements.

GMO U.S. Quality ETF

Schedule of Investments

(showing percentage of total net assets)

December 31, 2025 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 99.5%
		Banks — 4.1%
	1,466,055	U.S. Bancorp		78,228,695
	504,902	Wells Fargo & Co.		47,056,866
		Total Banks		125,285,561

		Capital Goods — 1.6%
	151,287	General Electric Co.		46,600,935

		Consumer Discretionary Distribution & Retail — 5.0%
	438,311	Amazon.com, Inc. *		101,170,945
	326,604	TJX Cos., Inc.		50,169,640
		Total Consumer Discretionary Distribution & Retail		151,340,585

		Consumer Services — 4.6%
	1,524,352	Aramark		56,187,615
	293,310	Hilton Worldwide Holdings, Inc.		84,253,297
		Total Consumer Services		140,440,912

		Financial Services — 3.3%
	235,384	Tradeweb Markets, Inc. – Class A		25,313,195
	213,149	Visa, Inc. – Class A		74,753,486
		Total Financial Services		100,066,681

		Food, Beverage & Tobacco — 5.2%
	1,013,145	Brown-Forman Corp. – Class B		26,402,559
	638,108	Coca-Cola Co.		44,610,130
	361,775	Constellation Brands, Inc. – Class A		49,910,479
	688,873	Mondelez International, Inc. – Class A		37,082,034
		Total Food, Beverage & Tobacco		158,005,202

		Health Care Equipment & Services — 12.0%
	813,048	Abbott Laboratories		101,866,784
	146,314	Cigna Group		40,270,002
	197,663	Elevance Health, Inc.		69,290,765
	96,017	Intuitive Surgical, Inc. *		54,380,188
	142,766	Quest Diagnostics, Inc.		24,774,184
	217,555	UnitedHealth Group, Inc.		71,817,081
		Total Health Care Equipment & Services		362,399,004

		Household & Personal Products — 2.3%
	490,606	Procter & Gamble Co.		70,308,746

		Media & Entertainment — 10.2%
	526,363	Alphabet, Inc. – Class A		164,751,619
	218,017	Meta Platforms, Inc. – Class A		143,910,841
		Total Media & Entertainment		308,662,460

		Pharmaceuticals, Biotechnology & Life Sciences — 13.2%
	93,217	Eli Lilly & Co.		100,178,446

Shares		Description	Value ($)
		Pharmaceuticals, Biotechnology & Life Sciences — continued
	645,510	Johnson & Johnson		133,588,294
	504,638	Merck & Co., Inc.		53,118,196
	195,113	Thermo Fisher Scientific, Inc.		113,058,228
		Total Pharmaceuticals, Biotechnology & Life Sciences		399,943,164

		Semiconductors & Semiconductor Equipment — 16.8%
	402,733	Broadcom, Inc.		139,385,891
	97,362	KLA Corp.		118,302,619
	979,864	Lam Research Corp.		167,733,119
	489,885	Texas Instruments, Inc.		84,990,149
		Total Semiconductors & Semiconductor Equipment		510,411,778

		Software & Services — 15.3%
	423,351	Accenture PLC – Class A		113,585,073
	419,790	Microsoft Corp.		203,018,840
	151,457	PTC, Inc. *		26,385,324
	457,756	Salesforce, Inc.		121,264,142
		Total Software & Services		464,253,379

		Technology Hardware & Equipment — 4.7%
	525,441	Apple, Inc.		142,846,390

		Transportation — 1.2%
	458,760	Uber Technologies, Inc. *		37,485,280

		TOTAL COMMON STOCKS
		(COST $2,649,545,732)		3,018,050,077

		SHORT-TERM INVESTMENTS — 0.5%
		Money Market Funds — 0.5%
	13,645,727	State Street Institutional Treasury Money Market Fund – Premier Class, 3.70% ^(a)		13,645,727

		TOTAL SHORT-TERM INVESTMENTS
		(COST $13,645,727)		13,645,727

		TOTAL INVESTMENTS — 100.0%
		(Cost $2,663,191,459)		3,031,695,804
		Other Assets and Liabilities (net) — 0.0%		1,133,560
		TOTAL NET ASSETS — 100.0%	$	3,032,829,364

Notes to Schedule of Investments:

Non-income producing security.

^(a)

The rate disclosed is the 7 day net yield as of December 31, 2025.

The accompanying notes are an integral part of the financial statements.

GMO U.S. Quality ETF

Schedule of Investments — (Continued)

(showing percentage of total net assets)

December 31, 2025 (Unaudited)

The accompanying notes are an integral part of the financial statements.

GMO U.S. Value ETF

Schedule of Investments

(showing percentage of total net assets)

December 31, 2025 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 99.3%
		Automobiles & Components — 2.7%
	1,397	Aptiv PLC *		106,298
	2,745	BorgWarner, Inc.		123,690
	32,432	Ford Motor Co.		425,508
	9,994	General Motors Co.		812,712
	2,941	Lear Corp.		337,038
		Total Automobiles & Components		1,805,246

		Banks — 9.6%
	24,411	Bank of America Corp.		1,342,605
	8,785	Citigroup, Inc.		1,025,122
	1,332	Fifth Third Bancorp		62,351
	7,762	Huntington Bancshares, Inc.		134,671
	3,921	JPMorgan Chase & Co.		1,263,425
	1,403	M&T Bank Corp.		282,676
	3,380	PNC Financial Services Group, Inc.		705,507
	3,349	Regions Financial Corp.		90,758
	6,807	Truist Financial Corp.		334,972
	15,720	U.S. Bancorp		838,819
	3,920	Wells Fargo & Co.		365,344
		Total Banks		6,446,250

		Capital Goods — 3.8%
	2,222	A.O. Smith Corp.		148,607
	2,518	Carrier Global Corp.		133,051
	686	Cummins, Inc.		350,169
	473	EnerSys		69,413
	1,874	Honeywell International, Inc.		365,598
	797	Mueller Industries, Inc.		91,495
	1,051	Northrop Grumman Corp.		599,291
	2,076	Oshkosh Corp.		260,808
	448	Owens Corning		50,136
	2,682	PACCAR, Inc.		293,706
	793	Textron, Inc.		69,126
	655	Timken Co.		55,105
	710	Toro Co.		55,891
		Total Capital Goods		2,542,396

		Commercial & Professional Services — 0.3%
	1,701	Concentrix Corp.		70,728
	2,266	Genpact Ltd.		106,003
	318	Leidos Holdings, Inc.		57,367
		Total Commercial & Professional Services		234,098

		Consumer Discretionary Distribution & Retail — 2.7%
	3,927	Academy Sports & Outdoors, Inc.		196,193
	1,157	AutoNation, Inc. *		238,897
	3,421	Bath & Body Works, Inc.		68,694
	1,055	Best Buy Co., Inc.		70,611
	6,306	eBay, Inc.		549,253
	613	Group 1 Automotive, Inc.		241,093

Shares		Description	Value ($)
		Consumer Discretionary Distribution & Retail — continued
	3,034	LKQ Corp.		91,627
	10,986	Macy's, Inc.		242,241
	1,549	Signet Jewelers Ltd.		128,381
		Total Consumer Discretionary Distribution & Retail		1,826,990

		Consumer Durables & Apparel — 3.2%
	3,348	Crocs, Inc. *		286,321
	2,548	DR Horton, Inc.		366,989
	4,554	KB Home		256,891
	2,203	Lennar Corp. – Class A		226,468
	291	M/I Homes, Inc. *		37,234
	2,791	Mattel, Inc. *		55,373
	2,392	Meritage Homes Corp.		157,394
	375	Mohawk Industries, Inc. *		40,988
	1,596	NIKE, Inc. – Class B		101,681
	1,840	PulteGroup, Inc.		215,758
	2,429	PVH Corp.		162,792
	984	Steven Madden Ltd.		40,974
	282	Toll Brothers, Inc.		38,132
	3,039	Tri Pointe Homes, Inc. *		95,637
	1,890	YETI Holdings, Inc. *		83,481
		Total Consumer Durables & Apparel		2,166,113

		Consumer Services — 0.9%
	11,969	H&R Block, Inc.		521,609
	3,159	Perdoceo Education Corp.		92,654
		Total Consumer Services		614,263

		Consumer Staples Distribution & Retail — 2.3%
	5,729	Albertsons Cos., Inc. – Class A		98,367
	1,097	Dollar General Corp.		145,649
	8,644	Kroger Co.		540,077
	564	Sysco Corp.		41,561
	6,990	Target Corp.		683,272
		Total Consumer Staples Distribution & Retail		1,508,926

		Energy — 8.6%
	5,536	APA Corp.		135,411
	9,417	Chevron Corp.		1,435,245
	5,756	ConocoPhillips		538,819
	8,539	EOG Resources, Inc.		896,680
	20,215	Exxon Mobil Corp.		2,432,673
	1,533	Halliburton Co.		43,323
	9,290	Kinder Morgan, Inc.		255,382
	319	Marathon Petroleum Corp.		51,879
		Total Energy		5,789,412

		Equity Real Estate Investment Trusts (REITs) — 0.5%
	12,514	VICI Properties, Inc.		351,894

The accompanying notes are an integral part of the financial statements.

GMO U.S. Value ETF

Schedule of Investments — (Continued)

(showing percentage of total net assets)

December 31, 2025 (Unaudited)

Shares		Description	Value ($)
		Financial Services — 9.8%
	613	Affiliated Managers Group, Inc.		176,716
	742	American Express Co.		274,503
	150	Ameriprise Financial, Inc.		73,551
	1,457	Bank of New York Mellon Corp.		169,143
	3,861	Blue Owl Capital Corp.		47,992
	2,790	Bread Financial Holdings, Inc.		206,544
	3,476	Capital One Financial Corp.		842,443
	1,476	Enova International, Inc. *		232,027
	1,811	Federated Hermes, Inc.		94,299
	8,087	Franklin Resources, Inc.		193,199
	768	Goldman Sachs Group, Inc.		675,072
	11,674	Invesco Ltd.		306,676
	4,161	Janus Henderson Group PLC		197,939
	14,410	MGIC Investment Corp.		421,060
	746	Morgan Stanley		132,437
	11,850	PayPal Holdings, Inc.		691,803
	11,606	Radian Group, Inc.		417,700
	2,869	Sixth Street Specialty Lending, Inc.		62,315
	5,393	SLM Corp.		145,935
	3,808	State Street Corp.		491,270
	3,273	Synchrony Financial		273,066
	2,545	T. Rowe Price Group, Inc.		260,557
	16,143	Western Union Co.		150,291
		Total Financial Services		6,536,538

		Food, Beverage & Tobacco — 3.1%
	3,291	Altria Group, Inc.		189,759
	3,222	Archer-Daniels-Midland Co.		185,233
	990	Bunge Global SA		88,189
	7,266	General Mills, Inc.		337,869
	6,688	Keurig Dr. Pepper, Inc.		187,331
	6,261	Mondelez International, Inc. – Class A		337,030
	4,889	PepsiCo, Inc.		701,669
	797	Tyson Foods, Inc. – Class A		46,720
		Total Food, Beverage & Tobacco		2,073,800

		Health Care Equipment & Services — 5.3%
	3,690	Cigna Group		1,015,599
	11,724	CVS Health Corp.		930,417
	1,383	Edwards Lifesciences Corp. *		117,901
	1,948	Elevance Health, Inc.		682,871
	1,824	GE HealthCare Technologies, Inc.		149,604
	1,900	Humana, Inc.		486,647
	1,689	Medtronic PLC		162,245
		Total Health Care Equipment & Services		3,545,284

		Household & Personal Products — 2.0%
	1,075	Colgate-Palmolive Co.		84,947
	16,086	Kenvue, Inc.		277,483
	2,922	Kimberly-Clark Corp.		294,801
	4,919	Procter & Gamble Co.		704,942
		Total Household & Personal Products		1,362,173

Shares		Description	Value ($)
		Insurance — 6.9%
	4,703	Aflac, Inc.		518,600
	2,646	Allstate Corp.		550,765
	2,186	American International Group, Inc.		187,012
	4,008	Arch Capital Group Ltd. *		384,447
	2,293	Chubb Ltd.		715,691
	4,658	Hartford Insurance Group, Inc.		641,873
	3,121	MetLife, Inc.		246,372
	535	Principal Financial Group, Inc.		47,192
	3,866	Progressive Corp.		880,366
	1,540	Travelers Cos., Inc.		446,692
		Total Insurance		4,619,010

		Materials — 1.5%
	545	CF Industries Holdings, Inc.		42,150
	2,002	Commercial Metals Co.		138,578
	412	CRH PLC		51,418
	3,654	Mosaic Co.		88,025
	86	NewMarket Corp.		59,104
	2,274	Nucor Corp.		370,912
	1,137	PPG Industries, Inc.		116,497
	3,492	Sealed Air Corp.		144,674
		Total Materials		1,011,358

		Media & Entertainment — 8.7%
	5,617	Alphabet, Inc. – Class A		1,758,121
	1,054	Alphabet, Inc. – Class C		330,745
	45,063	Comcast Corp. – Class A		1,346,933
	2,945	Fox Corp. – Class A		215,191
	2,263	Fox Corp. – Class B		146,937
	8,663	Match Group, Inc.		279,728
	2,551	Meta Platforms, Inc. – Class A		1,683,890
	1,164	Omnicom Group, Inc.		93,993
		Total Media & Entertainment		5,855,538

		Pharmaceuticals, Biotechnology & Life Sciences — 13.0%
	25,821	Bristol-Myers Squibb Co.		1,392,785
	5,111	Gilead Sciences, Inc.		627,324
	11,334	Johnson & Johnson		2,345,571
	18,503	Merck & Co., Inc.		1,947,626
	22,131	Organon & Co.		158,679
	59,110	Pfizer, Inc.		1,471,839
	992	Regeneron Pharmaceuticals, Inc.		765,695
		Total Pharmaceuticals, Biotechnology & Life Sciences		8,709,519

		Semiconductors & Semiconductor Equipment — 3.1%
	713	Applied Materials, Inc.		183,234
	1,086	NXP Semiconductors NV		235,727
	9,254	QUALCOMM, Inc.		1,582,897

The accompanying notes are an integral part of the financial statements.

GMO U.S. Value ETF

Schedule of Investments — (Continued)

(showing percentage of total net assets)

December 31, 2025 (Unaudited)

Shares		Description	Value ($)
		Semiconductors & Semiconductor Equipment — continued
	787	Skyworks Solutions, Inc.		49,903
		Total Semiconductors & Semiconductor Equipment		2,051,761

		Software & Services — 1.5%
	679	Akamai Technologies, Inc. *		59,243
	8,708	Cognizant Technology Solutions Corp. – Class A		722,764
	2,360	Zoom Communications, Inc. *		203,644
		Total Software & Services		985,651

		Technology Hardware & Equipment — 4.2%
	1,452	Arrow Electronics, Inc. *		159,981
	6,996	Avnet, Inc.		336,368
	21,826	Cisco Systems, Inc.		1,681,257
	14,704	Hewlett Packard Enterprise Co.		353,190
	9,863	HP, Inc.		219,748
	1,408	Vontier Corp.		52,349
		Total Technology Hardware & Equipment		2,802,893

		Telecommunication Services — 3.5%
	31,816	AT&T, Inc.		790,309
	38,213	Verizon Communications, Inc.		1,556,416
		Total Telecommunication Services		2,346,725

		Transportation — 2.1%
	1,749	CSX Corp.		63,401
	2,383	Delta Air Lines, Inc.		165,380
	2,138	FedEx Corp.		617,583
	5,502	United Parcel Service, Inc. – Class B		545,744
		Total Transportation		1,392,108

		TOTAL COMMON STOCKS
		(COST $63,099,468)		66,577,946

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.6%
		Money Market Funds — 0.6%
	397,490	State Street Institutional Treasury Money Market Fund – Premier Class, 3.70% ^(a)		397,490

		TOTAL SHORT-TERM INVESTMENTS
		(COST $397,490)		397,490

		TOTAL INVESTMENTS — 99.9%
		(Cost $63,496,958)		66,975,436
		Other Assets and Liabilities (net) — 0.1%		59,682
		TOTAL NET ASSETS — 100.0%	$	67,035,118

Notes to Schedule of Investments:

Non-income producing security.

^(a)

The rate disclosed is the 7 day net yield as of December 31, 2025.

The accompanying notes are an integral part of the financial statements.

GMO ETF Trust

December 31, 2025 (Unaudited)

Portfolio Abbreviations:

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 investors.

ADR – American Depositary Receipt

JSC – Joint-Stock Company

NVDR – Non-Voting Depositary Receipt

PJSC – Private Joint-Stock Company

SOFR – Secured Overnight Financing Rate

USD – United States Dollar

The rates shown on variable rate notes are the current interest rates at December 31, 2025, which are subject to change based on the terms of the security.

The accompanying notes are an integral part of the financial statements.

GMO ETF Trust

Statements of Assets and Liabilities — December 31, 2025 (Unaudited)

	GMO Beyond China ETF		GMO Domestic Resilience ETF		GMO Dynamic Allocation ETF
Assets
Investments in affiliated issuers, at value (Note 8) ^(a)	$	—	$	—	$	7,186,976
Investments in unaffiliated issuers, at value (Note 8)^(b)		12,287,487		29,393,749		11,771,834
Foreign currency, at value^(c)		10,806		—		—
Receivable for Fund shares sold		—		—		256,179
Dividends and interest receivable		8,090		13,040		354
Receivable for expenses reimbursed and/or waived by GMO (Note 3)		—		—		3,851
Total assets		12,306,383		29,406,789		19,219,194

Liabilities
Payable for investments purchased		—		—		255,043
Accrued foreign capital gains tax payable		76,111		—		—
Accrued advisory fee (Note 3)		6,726		12,375		6,939
Accrued expenses		12,515		—		—
Total liabilities		95,352		12,375		261,982
Net assets	$	12,211,031	$	29,394,414	$	18,957,212

Net assets consist of:
Paid in capital	$	10,183,052	$	29,105,776	$	18,731,745
Distributable earnings (accumulated loss)		2,027,979		288,638		225,467
Net assets	$	12,211,031	$	29,394,414	$	18,957,212
Net asset value, offering and redemption price per share	$	30.53	$	25.56	$	25.62
Shares outstanding (unlimited authorized - no par value)		400,000		1,150,000		740,000
^(a) Cost of investments – affiliated issuers:	$	—	$	—	$	6,963,687
^(b) Cost of investments – unaffiliated issuers:	$	10,167,436	$	29,092,861	$	11,745,550
^(c) Cost of foreign currency:	$	10,820	$	—	$	—

The accompanying notes are an integral part of the financial statements.

GMO ETF Trust

Statements of Assets and Liabilities — December 31, 2025 (Unaudited) — (Continued)

	GMO International Quality ETF		GMO International Value ETF		GMO Systematic Investment Grade Credit ETF
Assets
Investments in unaffiliated issuers, at value (Note 8)^(a)	$	252,496,682	$	231,124,964	$	18,985,253
Foreign currency, at value^(b)		3,362		8,291		—
Cash		—		36,906		214
Dividends and interest receivable		28,314		231,889		261,301
Dividend withholding tax receivable		5,165		37,020		—
Total assets		252,533,523		231,439,070		19,246,768

Liabilities
Accrued advisory fee (Note 3)		102,320		115,045		4,301
Total liabilities		102,320		115,045		4,301
Net assets	$	252,431,203	$	231,324,025	$	19,242,467

Net assets consist of:
Paid in capital	$	244,693,960	$	199,058,036	$	19,280,158
Distributable earnings (accumulated loss)		7,737,243		32,265,989		(37,691	)
Net assets	$	252,431,203	$	231,324,025	$	19,242,467
Net asset value, offering and redemption price per share	$	26.57	$	33.53	$	25.66
Shares outstanding (unlimited authorized - no par value)		9,500,000		6,900,000		750,000
^(a) Cost of investments – unaffiliated issuers:	$	244,180,711	$	197,355,601	$	19,057,925
^(b) Cost of foreign currency:	$	3,337	$	8,196	$	—

The accompanying notes are an integral part of the financial statements.

GMO ETF Trust

Statements of Assets and Liabilities — December 31, 2025 (Unaudited) — (Continued)

	GMO Ultra-Short Income ETF			GMO U.S. Quality ETF		GMO U.S. Value ETF
Assets
Investments in unaffiliated issuers, at value (Note 8)^(a)	$	7,422,790		$	3,031,695,804	$	66,975,436
Receivable for Fund shares sold		—			3,459,330		—
Dividends and interest receivable		72,377			2,387,944		86,936
Total assets		7,495,167			3,037,543,078		67,062,372

Liabilities
Payable for investments purchased		—			3,445,953		—
Accrued advisory fee (Note 3)		1,132			1,267,761		27,254
Total liabilities		1,132			4,713,714		27,254
Net assets	$	7,494,035		$	3,032,829,364	$	67,035,118

Net assets consist of:
Paid in capital	$	7,504,903		$	2,681,049,837	$	65,149,910
Distributable earnings (accumulated loss)		(10,868	)		351,779,527		1,885,208
Net assets	$	7,494,035		$	3,032,829,364	$	67,035,118
Net asset value, offering and redemption price per share	$	49.96		$	38.44	$	27.47
Shares outstanding (unlimited authorized - no par value)		150,000			78,904,000		2,440,000
^(a) Cost of investments – unaffiliated issuers:	$	7,424,283		$	2,663,191,459	$	63,496,958

The accompanying notes are an integral part of the financial statements.

GMO ETF Trust

Statements of Operations — For the Period Ended December 31, 2025 (Unaudited)

	GMO Beyond China ETF			GMO Domestic Resilience ETF*			GMO Dynamic Allocation ETF**
Investment income:
Dividends from affiliated issuers (Note 8)	$	—		$	—		$	35,275
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)^(a)		113,017			83,006			125,793
Interest		11			—			—
Other income		1			—			—
Total investment income		113,029			83,006			161,068

Expenses:
Advisory fee (Note 3)		38,262			30,054			11,284
Miscellaneous		3			—			211
Total expenses		38,265			30,054			11,495
Indirectly incurred management fees waived or borne by GMO (Note 3)		—			—			(6,246	)
Net expenses		38,265			30,054			5,249
Net investment income (loss)		74,764			52,952			155,819

Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)^(b)		166,865			(112	)		(7,917	)
In-kind redemptions		—			240,059			—
Foreign currency and foreign currency related transactions		(3,153	)		—			—
Net realized gain (loss)		163,712			239,947			(7,917	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)^(c)		1,518,305			300,888			26,284
Investments in affiliated issuers		—			—			223,289
Foreign currency and foreign currency related transactions		(838	)		—			—
Net change in unrealized appreciation (depreciation)		1,517,467			300,888			249,573
Net realized and unrealized gain (loss)		1,681,179			540,835			241,656
Net increase (decrease) in net assets resulting from operations	$	1,755,943		$	593,787		$	397,475
^(a) Withholding tax:	$	18,226		$	568		$	—
^(b) Foreign capital gains tax (benefit) on net realized gain (loss):	$	213		$	—		$	—
^(c) Foreign capital gains tax (benefit) on change in net unrealized appreciation (depreciation):	$	46,566		$	—		$	—

The Fund commenced operations on October 1, 2025.

The Fund commenced operations on October 14, 2025.

The accompanying notes are an integral part of the financial statements.

GMO ETF Trust

Statements of Operations — For the Period Ended December 31, 2025 (Unaudited) — (Continued)

	GMO International Quality ETF			GMO International Value ETF			GMO Systematic Investment Grade Credit ETF
Investment income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)^(a)	$	513,110		$	2,609,715		$	1,900
Interest		—			—			308,271
Other income		84			535			839
Total investment income		513,194			2,610,250			311,010

Expenses:
Advisory fee (Note 3)		291,975			571,358			15,526
Miscellaneous		43			—			—
Total expenses		292,018			571,358			15,526
Net investment income (loss)		221,176			2,038,892			295,484

Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)		(313,240	)		10,235			83,976
In-kind redemptions		782,195			9,808,543			73,548
Foreign currency and foreign currency related transactions		(2,426	)		2,456			—
Net realized gain (loss)		466,529			9,821,234			157,524
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)		5,823,773			20,866,500			(179,950	)
Foreign currency and foreign currency related transactions		(236	)		(1,991	)		—
Net change in unrealized appreciation (depreciation)		5,823,537			20,864,509			(179,950	)
Net realized and unrealized gain (loss)		6,290,066			30,685,743			(22,426	)
Net increase (decrease) in net assets resulting from operations	$	6,511,242		$	32,724,635		$	273,058
^(a) Withholding tax:	$	54,729		$	278,641		$	—

The accompanying notes are an integral part of the financial statements.

GMO ETF Trust

Statements of Operations — For the Period Ended December 31, 2025 (Unaudited) — (Continued)

	GMO Ultra-Short Income ETF*			GMO U.S. Quality ETF			GMO U.S. Value ETF
Investment income:
Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)^(a)	$	146		$	17,622,729		$	760,412
Interest		45,608			—			—
Other income		3,127			—			—
Total investment income		48,881			17,622,729			760,412

Expenses:
Advisory fee (Note 3)		1,908			6,484,568			141,066
Total expenses		1,908			6,484,568			141,066
Net investment income (loss)		46,973			11,138,161			619,346

Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)		(83	)		(2,701,959	)		(518,154	)
In-kind redemptions		—			111,655,928			2,371,289
Net realized gain (loss)		(83	)		108,953,969			1,853,135
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)		(1,493	)		194,784,050			3,168,069
Net realized and unrealized gain (loss)		(1,576	)		303,738,019			5,021,204
Net increase (decrease) in net assets resulting from operations	$	45,397		$	314,876,180		$	5,640,550
^(a) Withholding tax:	$	—		$	—		$	228

The Fund commenced operations on October 28, 2025.

The accompanying notes are an integral part of the financial statements.

GMO ETF Trust

Statements of Changes in Net Assets (Unaudited)

	GMO Beyond China ETF					GMO Domestic Resilience ETF
	Six Months Ended December 31, 2025 (Unaudited)			Period Ended June 30, 2025*		Period Ended December 31, 2025** (Unaudited)
Increase (decrease) in net assets: Operations:
Net investment income (loss)	$	74,764		$	117,396	$	52,952
Net realized gain (loss)		163,712			76,152		239,947
Change in net unrealized appreciation (depreciation)		1,517,467			526,528		300,888
Net increase (decrease) in net assets from operations		1,755,943			720,076		593,787
Distributions to shareholders		(448,040	)		—		(65,090	)
Capital share transactions:
Subscriptions		—			10,183,052		30,152,177
Redemptions		—			—		(1,286,460	)
Increase (decrease) in net assets from capital transactions		—			10,183,052		28,865,717
Total increase (decrease) in net assets		1,307,903			10,903,128		29,394,414

Net assets:
Beginning of period		10,903,128			—		—
End of period	$	12,211,031		$	10,903,128	$	29,394,414

The Fund commenced operations on February 13, 2025.

The Fund commenced operations on October 1, 2025.

The accompanying notes are an integral part of the financial statements.

GMO ETF Trust

Statements of Changes in Net Assets (Unaudited) — (Continued)

	GMO Dynamic Allocation ETF			GMO International Quality ETF
	Period Ended December 31, 2025* (Unaudited)			Six Months Ended December 31, 2025 (Unaudited)			Period Ended June 30, 2025**
Increase (decrease) in net assets: Operations:
Net investment income (loss)	$	155,819		$	221,176		$	312,172
Net realized gain (loss)		(7,917	)		466,529			(157,885	)
Change in net unrealized appreciation (depreciation)		249,573			5,823,537			2,492,459
Net increase (decrease) in net assets from operations		397,475			6,511,242			2,646,746
Distributions to shareholders		(172,008	)		(629,950	)		(8,600	)
Capital share transactions:
Subscriptions		18,731,745			192,660,035			53,808,320
Redemptions		—			(2,556,590	)		—
Increase (decrease) in net assets from capital transactions		18,731,745			190,103,445			53,808,320
Total increase (decrease) in net assets		18,957,212			195,984,737			56,446,466

Net assets:
Beginning of period		—			56,446,466			—
End of period	$	18,957,212		$	252,431,203		$	56,446,466

The Fund commenced operations on October 14, 2025.

The Fund commenced operations on October 29, 2024.

The accompanying notes are an integral part of the financial statements.

GMO ETF Trust

Statements of Changes in Net Assets (Unaudited) — (Continued)

	GMO International Value ETF						GMO Systematic Investment Grade Credit ETF
	Six Months Ended December 31, 2025 (Unaudited)			Period Ended June 30, 2025*			Six Months Ended December 31, 2025 (Unaudited)			Period Ended June 30, 2025**
Increase (decrease) in net assets: Operations:
Net investment income (loss)	$	2,038,892		$	3,087,975		$	295,484		$	23,676
Net realized gain (loss)		9,821,234			2,907,763			157,524			—
Change in net unrealized appreciation (depreciation)		20,864,509			12,905,682			(179,950	)		107,278
Net increase (decrease) in net assets from operations		32,724,635			18,901,420			273,058			130,954
Distributions to shareholders		(5,768,340	)		(216,070	)		(368,155	)		—
Capital share transactions:
Subscriptions		82,196,620			161,307,200			16,826,085			6,249,850
Redemptions		(40,882,760	)		(16,938,680	)		(3,869,325	)		—
Increase (decrease) in net assets from capital transactions		41,313,860			144,368,520			12,956,760			6,249,850
Total increase (decrease) in net assets		68,270,155			163,053,870			12,861,663			6,380,804

Net assets:
Beginning of period		163,053,870			—			6,380,804			—
End of period	$	231,324,025		$	163,053,870		$	19,242,467		$	6,380,804

The Fund commenced operations on October 29, 2024.

The Fund commenced operations on June 4, 2025.

The accompanying notes are an integral part of the financial statements.

GMO ETF Trust

Statements of Changes in Net Assets (Unaudited) — (Continued)

	GMO Ultra-Short Income ETF			GMO U.S. Quality ETF
	Period Ended December 31, 2025* (Unaudited)			Six Months Ended December 31, 2025 (Unaudited)			Year Ended June 30, 2025
Increase (decrease) in net assets: Operations:
Net investment income (loss)	$	46,973		$	11,138,161		$	13,249,067
Net realized gain (loss)		(83	)		108,953,969			41,289,206
Change in net unrealized appreciation (depreciation)		(1,493	)		194,784,050			114,330,870
Net increase (decrease) in net assets from operations		45,397			314,876,180			168,869,143
Distributions to shareholders		(56,265	)		(16,215,144	)		(8,909,490	)
Capital share transactions:
Subscriptions		7,504,903			1,017,655,542			1,280,273,679
Redemptions		—			(293,761,519	)		(260,762,382	)
Increase (decrease) in net assets from capital transactions		7,504,903			723,894,023			1,019,511,297
Total increase (decrease) in net assets		7,494,035			1,022,555,059			1,179,470,950

Net assets:
Beginning of period		—			2,010,274,305			830,803,355
End of period	$	7,494,035		$	3,032,829,364		$	2,010,274,305

The Fund commenced operations on October 28, 2025.

The accompanying notes are an integral part of the financial statements.

GMO ETF Trust

Statements of Changes in Net Assets (Unaudited) — (Continued)

	GMO U.S. Value ETF
	Six Months Ended December 31, 2025 (Unaudited)			Period Ended June 30, 2025*
Increase (decrease) in net assets: Operations:
Net investment income (loss)	$	619,346		$	624,638
Net realized gain (loss)		1,853,135			(766,763	)
Change in net unrealized appreciation (depreciation)		3,168,069			310,409
Net increase (decrease) in net assets from operations		5,640,550			168,284
Distributions to shareholders		(960,252	)		(299,112	)
Capital share transactions:
Subscriptions		24,468,320			61,325,856
Redemptions		(14,660,564	)		(8,647,964	)
Increase (decrease) in net assets from capital transactions		9,807,756			52,677,892
Total increase (decrease) in net assets		14,488,054			52,547,064

Net assets:
Beginning of period		52,547,064			—
End of period	$	67,035,118		$	52,547,064

The Fund commenced operations on October 29, 2024.

The accompanying notes are an integral part of the financial statements.

GMO ETF Trust

Financial Highlights

(For a share outstanding throughout each period)

GMO BEYOND CHINA ETF

	Six Months Ended December 31, 2025 (Unaudited)			Period from February 13, 2025 (commencement of operations) through June 30, 2025
Net asset value, beginning of period	$	27.26		$	25.00
Income (loss) from investment operations:
Net investment income (loss)^(a)		0.19			0.37
Net realized & unrealized gain (loss)		4.20			1.89
Total from investment operations		4.39			2.26

Less distributions to shareholders:
From net investment income		(0.54	)		—
From net realized gains		(0.58	)		—
Total distributions		(1.12	)		—
Net asset value, end of period	$	30.53		$	27.26
Total return on net asset value^(b) **		16.32	%		9.03	%

Ratios/Supplemental Data:
Net assets, end of period (000's)	$	12,211		$	10,903
Net operating expenses to average daily net assets^(c) *		0.65	%		0.65	%
Net investment income (loss) to average daily net assets*		1.27	%		3.90	%
Portfolio turnover rate^(d) **		16	%		13	%

^(a)

Calculated based on average shares outstanding during the period.

^(b)

Total return on net asset value is based on the change in net asset value (“NAV”) of a share during the period and assumes reinvestment of dividends and distributions at NAV. The return shown does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. The NAV return is based on the start of day values on February 13, 2025.

^(c)

Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any.

^(d)

Portfolio turnover rate excludes in-kind transactions, if any.

Annualized.

Not annualized.

The accompanying notes are an integral part of the financial statements.

GMO ETF Trust

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

GMO DOMESTIC RESILIENCE ETF

	Period from October 1, 2025 (commencement of operations) through December 31, 2025 (Unaudited)
Net asset value, beginning of period	$	25.00
Income (loss) from investment operations:
Net investment income (loss)^(a)		0.05
Net realized & unrealized gain (loss)		0.57
Total from investment operations		0.62

Less distributions to shareholders:
From net investment income		(0.06	)
Total distributions		(0.06	)
Net asset value, end of period	$	25.56
Total return on net asset value^(b) **		2.47	%

Ratios/Supplemental Data:
Net assets, end of period (000's)	$	29,394
Net operating expenses to average daily net assets^(c) *		0.50	%
Net investment income (loss) to average daily net assets*		0.88	%
Portfolio turnover rate^(d) **		0	%

^(a)

Calculated based on average shares outstanding during the period.

^(b)

^(c)

Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any.

^(d)

Portfolio turnover rate excludes in-kind transactions, if any.

Annualized.

Not annualized.

The accompanying notes are an integral part of the financial statements.

GMO ETF Trust

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

GMO DYNAMIC ALLOCATION ETF

	Period from October 14, 2025 (commencement of operations) through December 31, 2025 (Unaudited)
Net asset value, beginning of period	$	25.00
Income (loss) from investment operations:
Net investment income (loss)^(a)		0.37
Net realized & unrealized gain (loss)		0.49
Total from investment operations		0.86

Less distributions to shareholders:
From net investment income		(0.24	)
Total distributions		(0.24	)
Net asset value, end of period	$	25.62
Total return on net asset value^(b) **		4.08	%

Ratios/Supplemental Data:
Net assets, end of period (000's)	$	18,957
Net operating expenses to average daily net assets^(c) *		0.23	%
Net investment income (loss) to average daily net assets*		6.90	%
Portfolio turnover rate^(d) **		9	%
Fees and expenses reimbursed and/or waived by GMO to average daily net assets:^(e)		0.28	%

^(a)

Calculated based on average shares outstanding during the period.

^(b)

^(c)

Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any.

^(d)

Portfolio turnover rate excludes in-kind transactions, if any.

^(e)

Ratio includes indirect fees waived or borne by GMO.

Annualized.

Not annualized.

The accompanying notes are an integral part of the financial statements.

GMO ETF Trust

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

GMO INTERNATIONAL QUALITY ETF

	Six Months Ended December 31, 2025 (Unaudited)			Period from October 29, 2024 (commencement of operations) through June 30, 2025
Net asset value, beginning of period	$	25.66		$	25.00
Income (loss) from investment operations:
Net investment income (loss)^(a)		0.06			0.34
Net realized & unrealized gain (loss)		0.99			0.36
Total from investment operations		1.05			0.70

Less distributions to shareholders:
From net investment income		(0.14	)		(0.04	)
Total distributions		(0.14	)		(0.04	)
Net asset value, end of period	$	26.57		$	25.66
Total return on net asset value^(b) **		4.12	%		2.82	%

Ratios/Supplemental Data:
Net assets, end of period (000's)	$	252,431		$	56,446
Net operating expenses to average daily net assets^(c) *		0.60	%		0.60	%
Net investment income (loss) to average daily net assets*		0.45	%		2.08	%
Portfolio turnover rate^(d) **		5	%		9	%

^(a)

Calculated based on average shares outstanding during the period.

^(b)

^(c)

Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any.

^(d)

Portfolio turnover rate excludes in-kind transactions, if any.

Annualized.

Not annualized.

The accompanying notes are an integral part of the financial statements.

GMO ETF Trust

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

GMO INTERNATIONAL VALUE ETF

	Six Months Ended December 31, 2025 (Unaudited)			Period from October 29, 2024 (commencement of operations) through June 30, 2025
Net asset value, beginning of period	$	29.12		$	25.00
Income (loss) from investment operations:
Net investment income (loss)^(a)		0.34			1.00
Net realized & unrealized gain (loss)		4.99			3.25
Total from investment operations		5.33			4.25

Less distributions to shareholders:
From net investment income		(0.92	)		(0.13	)
Total distributions		(0.92	)		(0.13	)
Net asset value, end of period	$	33.53		$	29.12
Total return on net asset value^(b) **		18.48	%		17.09	%

Ratios/Supplemental Data:
Net assets, end of period (000's)	$	231,324		$	163,054
Net operating expenses to average daily net assets^(c) *		0.60	%		0.60	%
Net investment income (loss) to average daily net assets*		2.14	%		5.66	%
Portfolio turnover rate^(d) **		4	%		25	%

^(a)

Calculated based on average shares outstanding during the period.

^(b)

^(c)

Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any.

^(d)

Portfolio turnover rate excludes in-kind transactions, if any.

Annualized.

Not annualized.

The accompanying notes are an integral part of the financial statements.

GMO ETF Trust

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

GMO SYSTEMATIC INVESTMENT GRADE CREDIT ETF

	Six Months Ended December 31, 2025 (Unaudited)			Period from June 4, 2025 (commencement of operations) through June 30, 2025
Net asset value, beginning of period	$	25.52		$	25.00
Income (loss) from investment operations:
Net investment income (loss)^(a)		0.61			0.10
Net realized & unrealized gain (loss)^(b)		0.26			0.42
Total from investment operations		0.87			0.52

Less distributions to shareholders:
From net investment income		(0.66	)		—
From net realized gains		(0.07	)		—
Total distributions		(0.73	)		—
Net asset value, end of period	$	25.66		$	25.52
Total return on net asset value^(c) **		3.38	%		2.09	%

Ratios/Supplemental Data:
Net assets, end of period (000's)	$	19,242		$	6,381
Net operating expenses to average daily net assets^(d) *		0.25	%		0.25	%
Net investment income (loss) to average daily net assets*		4.76	%		5.31	%
Portfolio turnover rate^(e) **		50	%		—%

^(a)

Calculated based on average shares outstanding during the period.

^(b)

The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of the Fund shares in relation to fluctuating market values of the investments of the Fund.

^(c)

^(d)

Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any.

^(e)

Portfolio turnover rate excludes in-kind transactions, if any.

Annualized.

Not annualized.

The accompanying notes are an integral part of the financial statements.

GMO ETF Trust

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

GMO ULTRA-SHORT INCOME ETF

	Period from October 28, 2025 (commencement of operations) through December 31, 2025 (Unaudited)
Net asset value, beginning of period	$	50.00
Income (loss) from investment operations:
Net investment income (loss)^(a)		0.43
Net realized & unrealized gain (loss)		(0.05	)
Total from investment operations		0.38

Less distributions to shareholders:
From net investment income		(0.42	)
Total distributions		(0.42	)
Net asset value, end of period	$	49.96
Total return on net asset value^(b) **		0.77	%

Ratios/Supplemental Data:
Net assets, end of period (000's)	$	7,494
Net operating expenses to average daily net assets^(c) *		0.20	%
Net investment income (loss) to average daily net assets*		4.92	%
Portfolio turnover rate^(d) **		2	%

^(a)

Calculated based on average shares outstanding during the period.

^(b)

^(c)

Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any.

^(d)

Portfolio turnover rate excludes in-kind transactions, if any.

Annualized.

Not annualized.

The accompanying notes are an integral part of the financial statements.

GMO ETF Trust

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

GMO U.S. QUALITY ETF

	Six Months Ended December 31, 2025 (Unaudited)			Year Ended June 30, 2025			Period from November 14, 2023 (commencement of operations) through June 30, 2024
Net asset value, beginning of period	$	34.25		$	31.01		$	25.00
Income (loss) from investment operations:
Net investment income (loss)^(a)		0.16			0.30			0.19
Net realized & unrealized gain (loss)		4.26			3.14			5.96
Total from investment operations		4.42			3.44			6.15

Less distributions to shareholders:
From net investment income		(0.23	)		(0.20	)		(0.14	)
Total distributions		(0.23	)		(0.20	)		(0.14	)
Net asset value, end of period	$	38.44		$	34.25		$	31.01
Total return on net asset value^(b)		12.94	%**		11.16	%		24.62	%**

Ratios/Supplemental Data:
Net assets, end of period (000's)	$	3,032,829		$	2,010,274		$	830,803
Net operating expenses to average daily net assets^(c)		0.50	%*		0.50	%		0.50	%*
Net investment income (loss) to average daily net assets		0.86	%*		0.93	%		1.01	%*
Portfolio turnover rate^(d)		4	%**		15	%		7	%**

^(a)

Calculated based on average shares outstanding during the period.

^(b)

^(c)

Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any.

^(d)

Portfolio turnover rate excludes in-kind transactions, if any.

Annualized.

Not annualized.

The accompanying notes are an integral part of the financial statements.

GMO ETF Trust

Financial Highlights — (Continued)

(For a share outstanding throughout each period)

GMO U.S. VALUE ETF

	Six Months Ended December 31, 2025 (Unaudited)			Period from October 29, 2024 (commencement of operations) through June 30, 2025
Net asset value, beginning of period	$	25.26		$	25.00
Income (loss) from investment operations:
Net investment income (loss)^(a)		0.29			0.40
Net realized & unrealized gain (loss)		2.36			0.04
Total from investment operations		2.65			0.44

Less distributions to shareholders:
From net investment income		(0.44	)		(0.18	)
Total distributions		(0.44	)		(0.18	)
Net asset value, end of period	$	27.47		$	25.26
Total return on net asset value^(b) **		10.56	%		1.78	%

Ratios/Supplemental Data:
Net assets, end of period (000's)	$	67,035		$	52,547
Net operating expenses to average daily net assets^(c) *		0.50	%		0.50	%
Net investment income (loss) to average daily net assets*		2.20	%		2.48	%
Portfolio turnover rate^(d) **		22	%		53	%

^(a)

Calculated based on average shares outstanding during the period.

^(b)

^(c)

Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any.

^(d)

Portfolio turnover rate excludes in-kind transactions, if any.

Annualized.

Not annualized.

The accompanying notes are an integral part of the financial statements.

GMO ETF Trust

Notes to Financial Statements
December 31, 2025 (Unaudited)

Organization

Each of GMO Beyond China ETF, GMO Domestic Resilience ETF (commenced operations on October 1, 2025), GMO Dynamic Allocation ETF (commenced operations on October 14, 2025), GMO International Quality ETF, GMO International Value ETF, GMO Systematic Investment Grade Credit ETF, GMO Ultra-Short Income ETF (commenced operations on October 28, 2025), GMO U.S. Quality ETF and GMO U.S. Value ETF (each a “Fund” and collectively the “Funds”) is an exchange-traded fund (“ETF”) and a separate operating series of GMO ETF Trust (the “Trust”) (formerly known as The 2023 ETF Series Trust II), a Delaware statutory trust since June 13, 2023 that is registered with the Securities and Exchange Commission as an open-end management investment company. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) an investment adviser registered under the Investment Advisers Act of 1940, as amended, and serves as the Funds’ investment adviser (the “Adviser”).

The following table provides information about the Funds' principal investment objectives and benchmark (if any):

Fund Name	Benchmark	Investment Objective
GMO Beyond China ETF	Not Applicable	Total return
GMO Domestic Resilience ETF	Not Applicable	Total return
GMO Dynamic Allocation ETF	Not Applicable	Positive total return
GMO International Quality ETF	Not Applicable	Total return
GMO International Value ETF	Not Applicable	Total return
GMO Systematic Investment Grade Credit ETF	Bloomberg U.S. Corporate Index	Total return in excess of its benchmark
GMO Ultra-Short Income ETF	Not Applicable	Current income consistent with preservation of capital
GMO U.S. Quality ETF	Not Applicable	Total return
GMO U.S. Value ETF	Not Applicable	Total return

Summary of Significant Accounting Policies

Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 “Financial Services – Investment Companies.”

The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates.

The Funds’ policies are in conformity with U.S. GAAP and have been consistently followed by the Funds in preparing the financial statements. The accompanying financial statements have been prepared in accordance with U.S. GAAP on the accrual basis of accounting.

Security Valuation

In accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP, the Funds disclose fair value of its investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. The objective of a fair value measurement is to determine the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (an exit price). Accordingly, the fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The three levels of the fair value hierarchy are described below:

Level 1: Valuations based on quoted prices for identical securities in active markets.

Level 2: Valuations determined using other significant direct or indirect observable inputs.

Level 3: Valuations based primarily on inputs that are unobservable and significant.

GMO ETF Trust

Notes to Financial Statements — (Continued)
December 31, 2025 (Unaudited)

The valuation techniques used by the Funds to measure fair value during the period ended December 31, 2025 maximized the use of observable inputs and minimized the use of unobservable inputs.

Exchange-traded securities for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Shares of underlying funds and open-end registered investment companies are valued at their most recent net asset value.

Typically, the Funds value fixed income securities at the most recent price supplied by a pricing source determined by GMO (if a

reliable updated price for a fixed income security is not available when a Fund calculates its NAV, the Fund will generally use the most recent reliable price to value that security).

The Funds’ Board of Trustees (the “Board”) has designated the Adviser as the valuation designee for the Funds under Rule 2a-5 of the Investment Company Act of 1940 (the “1940 Act”), subject to its oversight. The Adviser has adopted procedures and methodologies to fair value each Funds' investments whose market prices are not readily available or are deemed to be unreliable. Fair value determinations are made in good faith and in accordance with the fair value methodologies included in the Adviser-adopted valuation procedures. Due to the subjective and variable nature of fair value pricing, there can be no assurance that the Adviser will be able to obtain the fair value assigned to the investment upon the sale of such investment.

The following is a summary of the respective levels assigned to the Funds' securities and derivatives, if any, as of December 31, 2025:

Description	Level 1		Level 2		Level 3		Total
GMO Beyond China ETF
Asset Valuation Inputs
Common Stocks	$	12,236,618	$	—	$	—	$	12,236,618
Short-Term Investments		50,869		—		—		50,869
Total Investments		12,287,487		—		—		12,287,487
Total	$	12,287,487	$	—	$	—	$	12,287,487

GMO Domestic Resilience ETF
Asset Valuation Inputs
Common Stocks	$	28,919,972	$	—	$	—	$	28,919,972
Short-Term Investments		473,777		—		—		473,777
Total Investments		29,393,749		—		—		29,393,749
Total	$	29,393,749	$	—	$	—	$	29,393,749

GMO Dynamic Allocation ETF
Asset Valuation Inputs
Investment Funds	$	18,878,260	$	—	$	—	$	18,878,260
Short-Term Investments		80,550		—		—		80,550
Total Investments		18,958,810		—		—		18,958,810
Total	$	18,958,810	$	—	$	—	$	18,958,810

GMO International Quality ETF
Asset Valuation Inputs
Common Stocks	$	250,820,330	$	—	$	—	$	250,820,330
Short-Term Investments		1,676,352		—		—		1,676,352
Total Investments		252,496,682		—		—		252,496,682
Total	$	252,496,682	$	—	$	—	$	252,496,682

GMO ETF Trust

Notes to Financial Statements — (Continued)
December 31, 2025 (Unaudited)

Description	Level 1		Level 2		Level 3		Total
GMO International Value ETF
Asset Valuation Inputs
Common Stocks	$	226,232,040	$	—	$	—	$	226,232,040
Preferred Stocks		3,452,608		—		—		3,452,608
Short-Term Investments		1,440,316		—		—		1,440,316
Total Investments		231,124,964		—		—		231,124,964
Total	$	231,124,964	$	—	$	—	$	231,124,964

GMO Systematic Investment Grade Credit ETF
Asset Valuation Inputs
Debt Obligations
Corporate Debt	$	—	$	18,879,879	$	—	$	18,879,879
TOTAL DEBT OBLIGATIONS		—		18,879,879		—		18,879,879
Short-Term Investments		105,374		—		—		105,374
Total Investments		105,374		18,879,879		—		18,985,253
Total	$	105,374	$	18,879,879	$	—	$	18,985,253

GMO Ultra-Short Income ETF
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—	$	5,843,067	$	—	$	5,843,067
U.S. Government		1,261,799		52,565		—		1,314,364
TOTAL DEBT OBLIGATIONS		1,261,799		5,895,632		—		7,157,431
Short-Term Investments		265,359		—		—		265,359
Total Investments		1,527,158		5,895,632		—		7,422,790
Total	$	1,527,158	$	5,895,632	$	—	$	7,422,790

GMO U.S. Quality ETF
Asset Valuation Inputs
Common Stocks	$	3,018,050,077	$	—	$	—	$	3,018,050,077
Short-Term Investments		13,645,727		—		—		13,645,727
Total Investments		3,031,695,804		—		—		3,031,695,804
Total	$	3,031,695,804	$	—	$	—	$	3,031,695,804

GMO U.S. Value ETF
Asset Valuation Inputs
Common Stocks	$	66,577,946	$	—	$	—	$	66,577,946
Short-Term Investments		397,490		—		—		397,490
Total Investments		66,975,436		—		—		66,975,436
Total	$	66,975,436	$	—	$	—	$	66,975,436

For the six months ended December 31, 2025, there were no transfers into or out of Level 3 for the Funds.

GMO ETF Trust

Notes to Financial Statements — (Continued)
December 31, 2025 (Unaudited)

Share Valuation

The net asset value (“NAV”) per share of each Fund is determined by dividing the value of the net assets of each of the Funds (i.e., the total value of a Fund's portfolio investments and other assets, less any liabilities) by the total number of shares outstanding of each Fund, rounded to the nearest cent. The NAV per share of each Fund is determined as of the close of regular trading on the New York Stock Exchange (“NYSE”), generally at 4:00 p.m. Eastern time. Any assets or liabilities denominated in currencies other than the U.S. dollar are typically translated into U.S. dollars at the close of regular trading on the NYSE, generally at 4:00 p.m. Eastern time, at then current exchange rates or at such other rates as deemed appropriate.

Security Transactions and Investment Income

Security transactions are accounted for in the financial statements on trade date. Throughout the reporting period, investment transactions are generally accounted for no later than one business day following the trade date. Costs used in determining realized gains and losses on the sale of investment securities are based on specific identification. Dividend income is recorded on the ex-dividend date or, if later, when the Funds are informed of the ex-dividend date. Interest income is recognized on an accrual basis. Withholding taxes and reclaims on foreign dividends, if any, have been provided for in accordance with the Funds' understanding of the applicable country’s tax rules and rates.

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. dollars at the close of regular trading on the NYSE, generally at 4:00 pm Eastern time. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE. Fluctuations in the value of currency holdings and other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains or losses. Realized gains or losses and unrealized appreciation or depreciation on investment securities and income and expenses are translated on the respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not separated in the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.

Dividends and Distributions

GMO Beyond China ETF, GMO Dynamic Allocation ETF, GMO International Quality ETF and GMO International Value ETF pay out dividends from net investment income, if any, at least annually. GMO Domestic Resilience ETF, GMO U.S. Quality ETF and GMO U.S. Value ETF pay out dividends from net investment income, if any, quarterly. GMO Systematic Investment Grade Credit ETF and GMO Ultra-Short Income ETF pay out dividends from its net investment income, if any, monthly. Distributions of net realized capital gains, if any, generally are declared and paid at least annually, but a fund may make distributions on a more frequent basis for a fund to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the “Code”) in all events in a manner consistent with the provisions of the Investment Company Act of 1940 (the “1940 Act”). Brokers may make available to their customers who own shares of each Fund the Depository Trust Company book-entry dividend reinvestment service. If this service is available and used, dividend distributions of both income and capital gains will automatically be reinvested in additional whole shares of each Fund purchased on the secondary market. Without this service, investors would receive their distributions in cash.

Income and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no impact on net assets or net asset value per share. Temporary differences that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will likely reverse at some time in the future.

Federal Income and Foreign Tax Information

Each Fund has elected to be treated or intends to elect to be treated and intends to qualify each year as a separate regulated investment company under Subchapter M of the Code. Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes.

Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to each Fund’s investments in certain jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders. Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Transaction-based charges are generally calculated as a percentage of the transaction amount. Taxes related to capital gains realized during the six months ended December 31, 2025, if any, are reflected as part of Net realized gain (loss) on investments in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Net change in unrealized appreciation (depreciation) on investments in the Statements of Operations.

GMO ETF Trust

Notes to Financial Statements — (Continued)
December 31, 2025 (Unaudited)

Foreign taxes paid by each Fund may be treated, to the extent permissible by the Code (and other applicable U.S. federal tax guidance) and if that Fund so elects, as if paid by U.S. shareholders of that Fund.

Distributions in excess of a Fund's tax basis earnings and profits, if significant, are reported in the Funds' financial statements as a return of capital.

As of June 30, 2025, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to June 30, 2025, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The Funds’ capital loss carryforwards are as follows:

Fund Name	Short-Term ($)			Long-Term ($)
GMO Beyond China ETF		—			—
GMO International Quality ETF		(146,776	)		—
GMO International Value ETF		(623,382	)		—
GMO Systematic Investment Grade Credit ETF		—			—
GMO U.S. Quality ETF		(12,869,030	)		—
GMO U.S. Value ETF		(809,409	)		—

As of December 31, 2025, the approximate total cost, aggregate investment-level gross/net unrealized appreciation (depreciation) in the value of total investments, and the net unrealized appreciation (depreciation) of outstanding financial instruments, for U.S. federal income tax purposes were as follows:

	Total Investments										Outstanding Financial Instruments
Fund Name	Aggregate Cost ($)		Gross Unrealized Appreciation ($)		Gross Unrealized (Depreciation) ($)			Net Unrealized Appreciation (Depreciation) ($)			Net Unrealized Appreciation (Depreciation) ($)
GMO Beyond China ETF		10,219,091		2,385,997		(317,601	)		2,068,396			—
GMO Domestic Resilience ETF		29,092,861		1,173,450		(872,562	)		300,888			—
GMO Dynamic Allocation ETF		18,709,237		270,900		(21,327	)		249,573			—
GMO International Quality ETF		244,182,912		11,580,723		(3,266,953	)		8,313,770			—
GMO International Value ETF		198,077,318		33,896,805		(849,159	)		33,047,646			—
GMO Systematic Investment Grade Credit ETF		19,057,925		70,569		(143,241	)		(72,672	)		—
GMO Ultra-Short Income ETF		7,424,306		1,902		(3,418	)		(1,516	)		—
GMO U.S. Quality ETF		2,663,669,946		473,391,003		(105,365,145	)		368,025,858			—
GMO U.S. Value ETF		64,414,786		4,703,857		(2,143,207	)		2,560,650			—

The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. A Fund may recognize an income tax liability related to an uncertain tax position under U.S. GAAP when the uncertain tax position has a less than 50% probability that it would be sustained upon examination by the tax authorities, based on technical merits. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Funds file tax returns and/or adopt certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Funds’ understanding of the prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including interpretations of tax laws and tax legislation/initiatives currently under consideration in various jurisdictions, including the U.S., might affect the way the Funds and their investors are taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Funds are subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns they have filed and the tax positions they have adopted. The Funds’ U.S. federal income tax returns are generally subject to examination by the Internal Revenue Service for a period of three years after they are filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction. As of December 31, 2025, each Fund has determined that no tax liability is required to be accrued in its financial statements related to uncertain tax positions for any tax years which are subject to examination.

GMO ETF Trust

Notes to Financial Statements — (Continued)
December 31, 2025 (Unaudited)

Purchase and Sale of Fund Shares

Shares of each Fund are listed on NYSE Arca, Inc. (the “Exchange”), a national securities exchange and trade in the secondary market, where most investors may buy and sell them at market prices that change throughout the day. Such market prices may be lower, higher or equal to NAV. Accordingly, when transacting in the secondary market, investors may pay more than NAV when purchasing shares and receive less than NAV when selling shares. They may also be subject to brokerage commissions and charges. The Funds issue and redeem shares at NAV only in aggregations of a specified number of shares (“Creation Units”), generally in exchange for a basket of securities (“Basket”), together with a specified cash payment or, in certain circumstances, for an all cash payment. Unlike mutual funds, shares are not individually redeemable.

Indemnification

Under the Funds’ organizational documents, their officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to Funds. The Funds may enter into contracts that contain representations and that provide general indemnifications. The Funds’ maximum liability exposure under these arrangements is unknown, as future claims that have not yet occurred may be made against the Funds.

Segment Reporting

The Funds adopted Fund Accounting Standards Board Accounting Standards Update 2023-07, “Segment Reporting (Topic 280) – Improvements to Reportable Segment Disclosures” (“ASU 2023-07”). Adoption of the new standard impacted financial statement disclosures only and did not affect the Funds’ financial position or its results of operations. The Officers of the Funds act as the Funds' chief operating decision maker (“CODM”) assessing performance and making decisions about resource allocation. The CODM has determined that each Fund operates as a single segment. The CODM monitors the operating results of each Fund as a whole and each Fund makes investments in accordance with its investment objective as outlined in its prospectus. The financial information used by the CODM is consistent with that presented in each Fund's Schedule of Investments, Statement of Changes in Net Assets and Financial Highlights.

Recently-Issued Accounting Guidance

In December 2023, the FASB issued a new Accounting Standards Update, ASU 2023-09. The purpose of ASU 2023-09 is to enhance the transparency of income tax disclosures, including the requirement to disclose income taxes paid disaggregated by jurisdictions. The amendments in ASU 2023-09 are effective for annual periods beginning after December 15, 2024, with early adoption permitted. GMO is currently evaluating the impact, if any, of the new disclosure requirements on the financial statements for the Funds with annual periods beginning prior to December 15, 2024. Adoption of the new standard by GMO Beyond China ETF and GMO Systematic Investment Grade Credit ETF impacted financial statement disclosures only and did not affect the Funds’ financial position or results of operations.

GMO ETF Trust

Notes to Financial Statements — (Continued)
December 31, 2025 (Unaudited)

Investment Advisory Agreement and Other Services

Under an investment advisory agreement between the Trust, on behalf of the Funds, and the Adviser (the “Advisory Agreement”), the Adviser provides investment advisory services to the Funds. For such investment advisory services, the Funds have agreed to pay the Adviser a unitary advisory fee payable at the annual rate equal to the percentage of each of the respective Funds' average daily net assets set forth in the table below:

	GMO Beyond China ETF	GMO Domestic Resilience ETF	GMO Dynamic Allocation ETF	GMO International Quality ETF	GMO International Value ETF	GMO Systematic Investment Grade Credit ETF	GMO Ultra-Short Income ETF	GMO U.S. Quality ETF	GMO U.S. Value ETF
Advisory fee	0.65%	0.50%	0.50%*	0.60%	0.60%	0.25%	0.20%	0.50%	0.50%

GMO has contractually agreed to waive or reduce its management fee, through at least November 2, 2026, to the extent necessary to offset the management fees that are borne by the Fund as a result of the Fund's investment in underlying funds.

In addition, the Adviser has contractually agreed to pay all expenses incurred by, and appropriately allocated to, the Funds except for the advisory fee; investment-related costs (such as interest charges on any borrowings, brokerage commissions and other expenses incurred in placing orders for the purchase and sale of securities and other investment instruments); taxes; proxy and shareholder meeting expenses (unless the need for a shareholder meeting is caused by the Adviser, such as a change of control of the Adviser); fees and expenses related to the provision of securities lending services; acquired fund fees and expenses (other than management and shareholder service fees paid to the Adviser attributable to the Funds’ investment in such acquired funds); legal fees or expenses in connection with any arbitration, litigation, or pending or threatened arbitration or litigation, including any settlements in connection therewith; legal fees incurred at the request or direction of a Fund service provider other than the Adviser; extraordinary (as mutually determined by the Board and the Adviser) or non-recurring expenses not incurred in the ordinary course of the Funds’ business; and distribution fees and expenses paid by the Funds under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act.

GMO Dynamic Allocation ETF incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended December 31, 2025, the Fund had annualized indirect fees and expenses of 0.28% of the Fund’s average daily net assets.

The Funds have adopted a Plan of Distribution (the “Distribution Plan”) that allows the Funds to pay distribution fees to Foreside Fund Services, LLC (the “Distributor”) and other firms that provide distribution services (“Service Providers”). Under the Distribution Plan, if a Service Provider provides distribution services, the Funds would pay distribution fees to the Distributor at an annual rate not to exceed 0.25% of a Fund's average daily net assets, pursuant to Rule 12b-1 under the 1940 Act. The Distributor would, in turn, pay the Service Provider out of its fees. The Board currently has determined not to implement any 12b-1 fees pursuant to the Plan. 12b-1 fees may only be imposed after approval by the Board.

State Street Bank & Trust Company (“State Street”) serves as administrator, custodian and transfer agent for the Funds. State Street maintains all necessary records of the Funds.

Organizational Expenses and Offering Costs

The Adviser (and not the Funds) has agreed to pay all of the Funds’ organizational expenses and offering costs appropriately allocated to them. As a result, organizational expenses and offering costs of the Funds are not reflected in the Funds’ Statements of Assets and Liabilities or Statements of Operations. The Funds are not obligated to repay any such organizational expenses or offering costs paid by the Adviser.

GMO ETF Trust

Notes to Financial Statements — (Continued)
December 31, 2025 (Unaudited)

Investment Transactions

Purchases and sales of investments in securities, excluding in-kind transactions and short-term securities, for the six months ended December 31, 2025 were as follows:

	Purchases ($)		Purchases ($)		Sales ($)		Sales ($)
Fund Name	U.S. Government Securities		Investment (Non-U.S. Government Securities)		U.S. Government Securities		Investment (Non-U.S. Government Securities)
GMO Beyond China ETF		—		1,831,703		—		2,112,316
GMO Domestic Resilience ETF		—		911,407		—		9,929
GMO Dynamic Allocation ETF		—		1,416,715		—		1,121,798
GMO International Quality ETF		—		8,220,964		—		5,490,118
GMO International Value ETF		—		45,413,580		—		7,749,385
GMO Systematic Investment Grade Credit ETF		—		7,446,483		—		6,107,978
GMO Ultra-Short Income ETF		715,255		5,947,265		—		101,285
GMO U.S. Quality ETF		—		299,582,307		—		92,557,030
GMO U.S. Value ETF		—		20,486,100		—		12,673,122

In-kind transactions associated with creations and redemptions, for the six months ended December 31, 2025 were as follows:

Fund Name	Creations ($)		Redemptions ($)
GMO Beyond China ETF	—		—
GMO Domestic Resilience ETF		28,780,964		1,303,305
GMO Dynamic Allocation ETF		18,341,688		—
GMO International Quality ETF		188,270,276		2,262,202
GMO International Value ETF		40,227,400		38,792,162
GMO Systematic Investment Grade Credit ETF		15,110,939		3,780,480
GMO Ultra-Short Income ETF		—		—
GMO U.S. Quality ETF		799,867,448		287,052,133
GMO U.S. Value ETF		15,777,800		13,888,092

GMO ETF Trust

Notes to Financial Statements — (Continued)
December 31, 2025 (Unaudited)

Principal Risks

The following chart identifies the principal risks associated with each Fund. Risks not marked for a particular Fund may, however, still apply to some extent to that Fund at various times.

	GMO Beyond China ETF	GMO Domestic Resilience ETF	GMO Dynamic Allocation ETF	GMO International Quality ETF	GMO International Value ETF	GMO Systematic Investment Grade Credit ETF	GMO Ultra-Short Income ETF	GMO U.S. Quality ETF	GMO U.S. Value ETF
Management and Operational Risk	●	●	●	●	●	●	●	●	●
Market Risk – Equities	●	●	●	●	●			●	●
Market Disruption and Geopolitical Risk	●	●	●	●	●	●	●	●	●
ETF Risks	●	●	●	●	●	●	●	●	●
Focused Investment Risk	●	●	●	●	●	●		●	●
Illiquidity Risk	●	●	●		●	●			●
Smaller Company Risk	●	●	●	●	●	●			●
Non-U.S. Investment Risk	●		●	●	●	●
New/Smaller Fund Risk	●	●	●	●	●	●	●		●
Currency Risk	●		●	●	●
Market Risk - Fixed Income			●			●	●
Fund of Funds Risk	●		●	●				●
Credit Risk			●			●	●
Counterparty Risk	●		●			●	●
Derivatives and Short Sales Risk	●		●			●
Futures Contracts Risk			●			●
Leveraging Risk	●		●			●
Market Risk - Asset-Backed Securities			●				●
Commodities Risk			●
Large Shareholder Risk						●
Value Investing Risk			●
National Closed Market Trading Risk	●		●	●	●
Non-Diversified Fund				●			●

Investing in an ETF involves many risks. The risks of investing in the Funds depend on the types of investments in its portfolio and the investment strategies GMO employs on its behalf. This section does not describe every potential risk of investing in the Funds. The Funds could be subject to additional risks because of the types of investments they make and market conditions, which may change over time. The Statement of Additional Information includes more information about the Funds, their investments, and the related risks.

An investment in the Funds is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.

GMO ETF Trust

Notes to Financial Statements — (Continued)
December 31, 2025 (Unaudited)

· Management and Operational Risk. A Fund runs the risk that GMO's investment techniques will fail to produce intended results. For some Funds, GMO uses quantitative models as part of its investment process. GMO's models may not accurately predict future market movements. In addition, GMO's models rely on assumptions and data that are subject to limitations (e.g., inaccuracies, staleness) that could adversely affect their predictive value. A Fund also runs the risk that GMO's assessment of an investment, including a security's fundamental fair (or intrinsic) value, is wrong or that deficiencies in GMO's or another service provider's internal systems or controls will cause losses for the Fund or impair Fund operations.

· Market Risk – Equities. The market price of an equity in a Fund’s portfolio may decline due to factors affecting the issuer or its industry or the economy and equity markets generally. If a Fund purchases an equity for less than its fundamental fair (or intrinsic) value as assessed by GMO, a Fund runs the risk that the market price of the equity will not appreciate or will decline (for example, if GMO's assessment proves to be incorrect or the market fails to recognize the equity's intrinsic value). A Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these equities often are more sensitive to changes in future earnings expectations and interest rates than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of a Fund's shares.

· Market Disruption and Geopolitical Risk. Geopolitical and other events (e.g., wars, pandemics, sanctions, terrorism) often disrupt securities markets and adversely affect the general economy or particular economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could exacerbate other risks or otherwise reduce the value of a Fund's investments.

· ETF Risks. Each Fund is an ETF and, as a result of this structure, is exposed to the following risks:

· Costs of Buying or Selling Shares Risk. Due to the costs of buying or selling Fund shares, including brokerage commissions imposed by brokers and the variance in bid-ask spreads, frequent trading of Fund shares may significantly reduce investment results and an investment in Fund shares may not be advisable for investors who anticipate regularly making small investments.

· Limited Authorized Participants, Market Makers and Liquidity Providers Risk. Because a Fund is an ETF, typically only a limited number of institutional investors (known as "Authorized Participants") are authorized to purchase and redeem shares directly from a Fund. Retail investors cannot transact directly with a Fund. In addition, there may be a limited number of market makers and/or liquidity providers in the marketplace to transact in Fund shares, there may be demand for Fund shares thereby increasing the market price above NAV, or lack of demand, which may decrease the market price below NAV, or in stressed market conditions, the market for Fund shares may become less liquid in response to deteriorating liquidity in the markets for a Fund's underlying portfolio holdings. As a result of these considerations, Fund shares may trade at a material premium or discount to net asset value ("NAV") or these factors may, in turn, lead to wider spreads between the bid and ask price of Fund shares. In addition, a Fund may face possible delisting if: (i) Authorized Participants exit the business or otherwise become unable to process creation and/or redemption orders and no other Authorized Participants step forward to perform these services, or (ii) market makers and/or liquidity providers exit the business or significantly reduce their business activities and no other entities step forward to perform their functions.

· Trading Risk. Shares of a Fund may trade on the NYSE Arca, Inc. (the "Exchange") above (premium) or below (discount) their NAV. In stressed market conditions, the market for Fund shares may become less liquid in response to deteriorating liquidity in the markets for a Fund's underlying portfolio holdings, which may increase the variance between the market price of the Fund shares and the value of its underlying holdings. This can be reflected as a spread between the bid and ask prices for the Fund shares quoted during the day or a premium or discount in the closing price from a Fund's NAV. In addition, although a Fund's shares are currently listed on the Exchange, there can be no assurance that an active trading market for Fund shares will develop or be maintained. Trading in Fund shares may be halted due to market conditions or for reasons that, in the view of the Exchange, make trading in shares of a Fund inadvisable.

· Cash Transactions Risk. A Fund may effect some of its creations and redemptions for cash, rather than in-kind securities. As a result, a Fund may have to sell portfolio securities at inopportune times in order to obtain the cash needed to meet redemption orders. This may cause a Fund to sell a security and recognize a capital gain or loss that might not have been incurred if it had made a redemption in-kind. The use of cash creations and redemptions may also cause a Fund's shares to trade in the market at wider bid-ask spreads or greater premiums or discounts to a Fund's NAV. In effecting creations and redemptions in exchange for cash, a Fund may incur certain costs, including brokerage costs in connection with investing cash received and may recognize capital gains in connection with cash redemptions, unlike an ETF that effects creations and redemptions only in-kind. In addition, costs could be imposed on a Fund which would have the effect of decreasing a Fund's NAV to the extent the costs are not offset by a transaction fee payable by an Authorized Participant.

GMO ETF Trust

Notes to Financial Statements — (Continued)
December 31, 2025 (Unaudited)

· National Closed Market Trading Risk. To the extent that the underlying securities or other instruments held by a Fund trade on foreign exchanges or in foreign markets that may be closed when the securities exchange on which a Fund's shares trade is open, there are likely to be deviations between the current price of such an underlying security and the last quoted price for the underlying security (i.e., the Fund's quote from the closed foreign market). The impact of a closed foreign market on a Fund is likely to be greater where a large portion of a Fund's underlying securities or other instruments trade on that closed foreign market or when the foreign market is closed for unscheduled reasons. These deviations could result in premiums or discounts to a Fund's NAV that may be greater than those experienced by other ETFs.

· Focused Investment Risk. Investments in countries, regions, asset classes, sectors, industries, currencies, or issuers that are subject to the same or similar risk factors and investments whose market prices are closely correlated are subject to higher overall risk than investments that are more diversified or whose market prices are not as closely correlated.

· Illiquidity Risk. Low trading volume, lack of a market maker, large position size, or legal restrictions increase the risk that a Fund or an underlying fund is limited or prevented from selling particular securities or closing derivative positions at desirable prices at a particular time or at all.

· Smaller Company Risk. Smaller companies may have limited product lines, markets, or financial resources, lack the competitive strength of larger companies, have less experienced managers or depend on a few key employees. The securities of companies with smaller market capitalizations often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations.

· Non-U.S. Investment Risk. The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. securities markets are less stable, smaller, less liquid, and less regulated than U.S. securities markets, and the cost of trading in those markets often is higher than in U.S. securities markets. In addition, non-U.S. securities issuers often are not subject to as much regulation as U.S. issuers, and the reporting, recordkeeping, accounting, custody, and auditing standards to which those issuers are subject often are not as rigorous as U.S. standards. In addition, a Fund is subject to taxation by countries other than the United States, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments; (ii) transactions in those investments; and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. Also, a Fund needs a license to invest directly in securities traded in many non-U.S. securities markets, and a Fund is subject to the risk that its license is terminated or suspended. In some non-U.S. securities markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of a Fund's investments. The risks above (such as substantial price fluctuations and market instability, illiquidity and lack of regulation) and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers, difficulties enforcing legal judgments or contractual rights and geopolitical risks) tend to be higher for investments in the securities of issuers tied economically to emerging countries. The economies of emerging countries often depend predominantly on only a few industries or commodities and often are more volatile than the economies of developed countries.

· New/Smaller Fund Risk. A new or smaller fund is subject to the risk that its performance may not represent how the fund is expected to or may perform in the long term. In addition, new funds have limited operating histories for investors to evaluate and new and smaller funds may not attract sufficient assets to achieve investment and trading efficiencies. There can be no assurance that a Fund will achieve an economically viable size, in which case it could ultimately liquidate.

· Currency Risk. Fluctuations in exchange rates can adversely affect the market value of a Fund's foreign currency holdings and investments denominated in foreign currencies.

· Market Risk – Fixed Income. The market price of a fixed income investment can decline due to market-related factors, including rising interest or inflation rates and widening credit spreads, or decreased liquidity due, for example, to market uncertainty about the value of a fixed income investment (or class of fixed income investments).

GMO ETF Trust

Notes to Financial Statements — (Continued)
December 31, 2025 (Unaudited)

· Fund of Funds Risk. A Fund is indirectly exposed to all of the risks of an investment in the underlying funds in which it invests, including the risk that those underlying funds will not perform as expected. In addition, a Fund indirectly bears its pro rata portion of an underlying fund's fees and expenses in addition to the fees and expenses borne by the Fund. As a result, shareholders will be subject to two layers of fees and expenses when the Fund invests in underlying funds.

· Credit Risk. A Fund runs the risk that the issuer or guarantor of a fixed income investment (including a sovereign or quasi-sovereign debt issuer) or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligation to pay principal and interest or otherwise to honor its obligations in a timely manner or at all. The market price of a fixed income investment will normally decline as a result of the failure of an issuer, guarantor, or obligor to meet its payment obligations or in anticipation of such a failure.

Securities issued by the U.S. Treasury historically have presented minimal credit risk. However, events in 2011 led to a downgrade in the long-term credit rating of U.S. bonds by several major rating agencies and introduced greater uncertainty about the repayment by the United States of its obligations. A further credit rating downgrade could decrease, and a U.S. credit default would decrease, the value of a Fund's investments and increase the volatility of a Fund's portfolio.

· Counterparty Risk. A Fund runs the risk that the counterparty to a derivatives contract or a clearing member used by a Fund to hold a cleared derivatives contract is unable or unwilling to make timely settlement payments, return a Fund’s collateral or otherwise honor its obligations.

· Derivatives and Short Sales Risk. The use of derivatives involves the risk that their value may not change as expected relative to changes in the value of the underlying assets, pools of assets, rates, currencies or indices. Derivatives also present other risks, including market risk, illiquidity risk, currency risk, credit risk, leveraging risk, commodities risk and counterparty risk. The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the relevant index or underlying securities. A Fund typically creates short investment exposure by selling securities short or by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying asset, pool of assets, rate, currency or index. Specifically, the net asset value of a Fund’s shares will be adversely affected if the equities or other assets that are the subject of a Fund’s short exposures appreciate in value. The risk of loss associated with derivatives that provide short investment exposure and short sales of securities is theoretically unlimited.

· Futures Contracts Risk. The loss to a Fund resulting from its use of futures contracts is potentially unlimited. Futures markets are highly volatile, and the use of futures contracts increases the volatility of a Fund’s net asset value. A liquid secondary market may not exist for any particular futures contract at any particular time, and a Fund may be unable when it wishes to terminate its exposure under that contract. When a Fund uses futures contracts for hedging purposes, it runs the risk that changes in the prices of the contracts will not correlate perfectly with changes in the securities, index, or other asset underlying the contracts or movements in the prices of a Fund’s investments that are subject to the hedge. In addition, a Fund may be unable to recover or may be delayed in recovering margin or other amounts deposited with a futures commission merchant or futures clearinghouse. Foreign futures contracts are often less liquid and more volatile than U.S. futures contracts.

· Leveraging Risk. The use of derivatives, short sales and securities lending can create leverage. Leverage increases a Fund’s losses when the value of its investments (including derivatives) declines. In addition, a Fund’s portfolio will be leveraged if it exercises its right to delay payment on a redemption and the value of a Fund’s assets declines between the time a redemption request is treated as being received by a Fund and the time a Fund liquidates assets to fund that redemption.

· Market Risk - Asset-Backed Securities. The market price of asset-backed securities, like that of other fixed income investments, can decline for a variety of reasons, including increases in interest rates. In addition, the market price can decrease due to a reduction in or decrease in the reliability of their payment streams. Payment streams associated with asset-backed securities held by a Fund depend on many factors (e.g., the cash flow generated by the assets backing the securities, deal structure, and creditworthiness of any credit-support provider), and a problem in any of these factors can lead to a reduction in the payment stream GMO expected a Fund to receive when the Fund purchased the asset-backed security. The liquidity of asset-backed securities (particularly below investment grade asset-backed securities) may change over time. During periods of deteriorating economic conditions, such as recessions, or periods of rising unemployment, delinquencies and losses generally increase, sometimes dramatically, for asset-backed securities whose underlying assets consist of loans, sales contracts, receivables and other obligations.

GMO ETF Trust

Notes to Financial Statements — (Continued)
December 31, 2025 (Unaudited)

· Commodities Risk. Commodity prices can be extremely volatile, and exposure to commodities can cause the net asset value of a Fund's shares to decline or fluctuate significantly in a rapid and unpredictable manner.

· Large Shareholder Risk. To the extent that a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy, a Fund is subject to the risk that a redemption by that shareholder or group will require a Fund to sell investments at disadvantageous prices, disrupt a Fund's operations, or force a Fund's liquidation.

· Value Investing Risk. Issuers whose securities GMO believes are undervalued may not realize their business potential, may never be recognized by the market as being undervalued and/or may be appropriately priced notwithstanding GMO's assessment. These and other factors may cause the price of value stocks to decline, resulting in losses to a Fund.

· Non-Diversified Fund. Each of GMO International Quality ETF and GMO Ultra-Short Income ETF is not a “diversified” investment company within the meaning of the 1940 Act. This means that the Fund is allowed to invest in the securities of a relatively small number of issuers. As a result, poor performance by a single investment is likely to have a greater impact on the Fund’s performance.

Capital Share Transactions

Each of the Funds shares are listed and traded on the Exchange each day that the Exchange is open for business (“Business Day”). Individual shares of the Funds may only be purchased and sold on the Exchange through a broker-dealer at market price. Because shares of the Funds trade at market prices rather than at NAV, shares of the Funds may trade at a price equal to NAV, greater than NAV (premium) or less than NAV (discount). The Funds issue their shares to and redeem their shares from, on a continuous basis, certain institutional investors known as “Authorized Participants” (typically market makers or other broker-dealers) only in large blocks of the Funds' shares known as Creation Units. Creation Unit transactions are generally conducted in exchange for the deposit or delivery of a portfolio of in-kind securities designated by the Funds and as needed, a specified amount of cash.

Most retail investors will not qualify as Authorized Participants, therefore, they will be unable to purchase or redeem the shares directly from the Funds. Rather, most retail investors will purchase shares of the Funds in the secondary market with the assistance of a broker, which will be subject to customary brokerage commissions or fees.

A purchase (i.e., creation) transaction fee may be imposed for the transfer and other transaction costs associated with the purchase of Creation Units. The Funds may adjust the creation transaction fee from time to time. In addition, a variable fee may be imposed for cash purchases, non-standard orders, or partial cash purchases of Creation Units. The variable fee is primarily designed to cover non-standard charges, e.g., brokerage, taxes, foreign exchange, execution, market impact, and other costs and expenses related to the execution of trades resulting from such transaction. The Funds may determine not to charge a variable fee on certain orders when the Adviser has determined that doing so is in the best interests of Fund shareholders. Investors who use the services of an Authorized Participant, broker or other such intermediary may be charged a fee for such services which may include an amount for the creation transaction fee and non-standard charges. Investors are responsible for the costs of transferring the securities constituting the deposit securities to the account of the Trust. The Adviser may retain all or a portion of the transaction fee to the extent the Adviser bears the expenses that otherwise would be borne by the Trust in connection with the issuance of a Creation Unit, which the transaction fee is designed to cover.

A redemption transaction fee may be imposed for the transfer and other transaction costs associated with the redemption of Creation Units. The Funds may adjust the redemption transaction fee from time to time. In addition, a variable fee, payable to the Funds, may be imposed for cash redemptions, non-standard orders, or partial cash redemptions for the Funds. The variable fee is primarily designed to cover non-standard charges, e.g., brokerage, taxes, foreign exchange, execution, market impact, and other costs and expenses related to the execution of trades resulting from such transaction. The Funds may determine not to charge a variable fee on certain orders when the Adviser has determined that doing so is in the best interests of the Funds' shareholders. Investors who use the services of an Authorized Participant, broker or other such intermediary may be charged a fee for such services which may include an amount for the redemption transaction fee and non-standard charges. Investors are responsible for the costs of transferring the securities constituting the Funds' securities to the account of the Trust.

GMO ETF Trust

Notes to Financial Statements — (Continued)
December 31, 2025 (Unaudited)

The Declaration of Trust permits each Fund to issue an unlimited number of shares of beneficial interest (without par value). Transactions in the Funds’ shares were as follows:

	Six Months Ended
	December 31, 2025						Year Ended
	(Unaudited)						June			30, 2025
	Shares			Amount			Shares			Amount
GMO Beyond China ETF^(a)
Shares sold		—		$	—			400,000		$	10,183,052
Net increase (decrease)		—		$	—			400,000		$	10,183,052

GMO Domestic Resilience ETF^(b)
Shares sold		1,200,000		$	30,152,177
Shares repurchased		(50,000	)		(1,286,460	)
Net increase (decrease)		1,150,000		$	28,865,717

GMO Dynamic Allocation ETF^(c)
Shares sold		740,000		$	18,731,745
Net increase (decrease)		740,000		$	18,731,745

GMO International Quality ETF ^(d)
Shares sold		7,400,000		$	192,660,035			2,200,000		$	53,808,320
Shares repurchased		(100,000	)		(2,556,590	)		—			—
Net increase (decrease)		7,300,000		$	190,103,445			2,200,000		$	53,808,320

GMO International Value ETF ^(d)
Shares sold		2,600,000		$	82,196,620			6,200,000		$	161,307,200
Shares repurchased		(1,300,000	)		(40,882,760	)		(600,000	)		(16,938,680	)
Net increase (decrease)		1,300,000		$	41,313,860			5,600,000		$	144,368,520

GMO Systematic Investment Grade Credit ETF ^(e)
Shares sold		650,000		$	16,826,085			250,000		$	6,249,850
Shares repurchased		(150,000	)		(3,869,325	)		—			—
Net increase (decrease)		500,000		$	12,956,760			250,000		$	6,249,850

GMO Ultra-Short Income ETF^(f)
Shares sold		150,000		$	7,504,903
Net increase (decrease)		150,000		$	7,504,903

GMO U.S. Quality ETF
Shares sold		28,310,000		$	1,017,655,542			40,110,000		$	1,280,273,679
Shares repurchased		(8,100,000	)		(293,761,519	)		(8,210,000	)		(260,762,382	)
Net increase (decrease)		20,210,000		$	723,894,023			31,900,000		$	1,019,511,297

GMO ETF Trust

Notes to Financial Statements — (Continued)
December 31, 2025 (Unaudited)

	Six Months Ended December 31, 2025 (Unaudited)						Year Ended June 30, 2025
	Shares			Amount			Shares			Amount
GMO U.S. Value ETF ^(d)
Shares sold		920,000		$	24,468,320			2,440,000		$	61,325,856
Shares repurchased		(560,000	)		(14,660,564	)		(360,000	)		(8,647,964	)
Net increase (decrease)		360,000		$	9,807,756			2,080,000		$	52,677,892

^(a)

The period under the heading “Year Ended June 30, 2025” represents the period from February 13, 2025 (commencement of operations) through June 30, 2025.

^(b)

The period under the heading “Six Months Ended December 31, 2025” represents the period from October 1, 2025 (commencement of operations) through December 31, 2025.

^(c)

The period under the heading “Six Months Ended December 31, 2025” represents the period from October 14, 2025 (commencement of operations) through December 31, 2025.

^(d)

The period under the heading “Year Ended June 30, 2025” represents the period from October 29, 2024 (commencement of operations) through June 30,2025.

^(e)

The period under the heading “Year Ended June 30, 2025” represents the period from June 4, 2025 (commencement of operations) through June 30,2025.

^(f)

The period under the heading “Six Months Ended December 31, 2025” represents the period from October 28, 2025 (commencement of operations) through December 31, 2025.

Investments in affiliated companies and other Funds of the Trust

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO ETF Trust or other funds managed by GMO. A summary of the Funds' transactions involving companies that are or were affiliates during the period ended December 31, 2025 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Net Realized Gain (Loss)		Net Increase/ Decrease in Unrealized Appreciation/ Depreciation		Value, end of period
Dynamic Allocation ETF
GMO Domestic Resilience ETF	$	—	$	550,607	$	—	$	1,202	$	—	$	—	$	7,558	$	558,165
GMO International Quality ETF		—		937,125		—		1,144		—		—		21,938		959,063
GMO International Value ETF		—		1,793,361		—		19,018		—		—		89,470		1,882,831
GMO U.S. Quality ETF		—		1,866,966		—		4,127		—		—		45,573		1,912,539
GMO U.S. Value ETF		—		1,815,628		—		9,784		—		—		58,750		1,874,378
Totals	$	—	$	6,963,687	$	—	$	35,275	$	—	$	—	$	223,289	$	7,186,976

Subsequent Events

Effective January 1, 2026, the fiscal year end of the GMO ETF Trust Funds is February 28th.

Board Review of Investment Management Agreements
December 31, 2025 (Unaudited)

GMO Horizons ETF, GMO Dynamic Allocation ETF, GMO Domestic Resilience ETF and GMO Ultra-Short Income ETF

At a meeting held on August 18-19, 2025 (the “Meeting”), the Board of Trustees (the “Board”) of The 2023 ETF Series Trust II (“Trust”) considered and approved, for an initial two year term, the Investment Advisory Agreement (the “Agreement”) between the Trust and Grantham, Mayo, Van Otterloo & Co. (“GMO”) with respect to the GMO Horizons ETF, GMO Dynamic Allocation ETF, GMO Domestic Resilience ETF and GMO Ultra-Short Income ETF (each, a “Fund,” and collectively, the “Funds”) pursuant to which GMO will provide advisory services to the Funds, each of which is a new series of the Trust. The Board, which was comprised solely of Trustees who are not “interested persons” of the Trust within the meaning of the Investment Company Act of 1940 (the “Independent Trustees”), were advised by legal counsel throughout the process.

To evaluate the Agreement, the Board requested, and GMO, the Funds’ investment adviser, provided such materials as the Board, with the advice of counsel, deemed reasonably necessary. The Board also met with representatives of GMO at the Meeting, during which the Independent Trustees and GMO representatives discussed the materials that had been provided as well as other related matters concerning the Funds. In determining whether to approve the Agreement, the Board considered various factors, including (i) the nature, extent and quality of services to be provided by GMO to the Funds; (ii) the investment objective and strategy for each Fund and, because the Funds are new and therefore have no performance record, how each Fund’s strategy might be expected to perform in the future; (iii) the profits anticipated to be realized by GMO from providing advisory services to the Funds; (iv) fees charged to comparable funds; (v) the extent to which economies of scale would be shared as each Fund grows; and (vi) other factors the Board deemed to be relevant.

Nature, Extent and Quality of Services

The Board considered the nature, extent and quality of services to be provided by GMO. The Board reviewed the Agreement and GMO’s anticipated responsibilities with respect to providing investment advisory services to the Funds, including developing, implementing, and maintaining each Fund’s investment program; portfolio management, including evaluating and selecting investments for the Funds; trading portfolio securities and other investment instruments on behalf of the Funds; selecting broker-dealers to execute purchase and sale transactions; overseeing general portfolio compliance with relevant law; monitoring compliance with various policies and procedures and applicable securities regulations; periodic reporting to the Board; and implementing Board directives as they relate to the Funds.

The Board considered the background, sophistication and experience of GMO’s senior management, including those individuals responsible for portfolio management and regulatory compliance of the Funds. The Board also considered GMO’s extensive administrative and compliance infrastructures. The Board appreciated the fact that GMO has deep experience and expertise serving as the investment adviser to other registered investment companies and manages other exchange-traded funds overseen by the Board.

The Board considered GMO’s portfolio management resources, structures and practices, including those associated with monitoring and seeking to ensure each Fund’s compliance with its investment objective and policies and with applicable laws and regulations. The Board also considered information about GMO’s overall investment management business, including the financial resources available to it needed to deliver high quality advisory services to the Funds.

Investment Performance

Because the Funds are new and had not yet commenced operations, the Board noted that there was no historical performance record to consider. The Board discussed with representatives of GMO the proposed portfolio management team and the investment strategy to be employed in the management of each Fund’s assets. The Board considered GMO’s reputation and experience, including its experience managing other registered investment companies and took into account its experience and familiarity with GMO providing investment advisory services to other series of the Trust.

Fees Charged to Comparable Funds

The Board reviewed the advisory fee to be paid by each Fund to GMO under the Agreement. The Board reviewed a report prepared by Broadridge, an independent third-party, comparing each Fund’s advisory fee to those paid by a group of peer funds. The Board took into consideration that the advisory fee for each Fund is a “unitary fee,” meaning that the Funds pay no expenses other than the advisory fee and certain expenses customarily excluded from unitary fee arrangements, such as brokerage commissions, taxes, and interest. The Board noted that, under the Agreement, GMO is responsible for compensating the Funds’ other service providers and paying the Funds’ other expenses out of its own fee and resources.

Board Review of Investment Management Agreements — (Continued)
December 31, 2025 (Unaudited)

Profitability and Economies of Scale

The Board considered information concerning the anticipated profitability of GMO from managing the Funds. The Board appreciated that, because the Funds are new, information concerning GMO’s profitability from a Fund was based on estimates and therefore, to a large degree, speculative. The Board noted that it will have opportunities in the future to consider and evaluate GMO’s profitability from managing the Funds after the Funds commence operations and GMO begins receiving advisory fees. The Board also considered whether economies of scale or other efficiencies might result as a Fund’s assets grow. As the Funds had not yet commenced operations, the Board observed that it is difficult to draw any meaningful conclusions. However, the Board noted the commitment being made by GMO by structuring its advisory fee as a unitary fee, which effectively acts as a cap on each Fund’s total expense ratio. The Board noted that it intends to monitor for the existence of economies of scale with respect to the management of the Funds.

Other Benefits

The Board considered other benefits that might be derived by GMO from its relationship with the Funds. The Board noted that GMO has the ability to realize soft dollar benefits from its relationship with the Funds. The Board also considered the potential benefits flowing to GMO from sponsoring a family of exchange-traded funds.

Conclusion

After reviewing these and other factors, the Board concluded, in the context of its overall review of the Agreement, that the nature, extent and quality of services to be provided supported its approval of the Agreement and that the fee to be charged under the Agreement was reasonable. In the Independent Trustees’ deliberations, each Trustee gave specific factors the weight that Trustee thought appropriate. No single factor was determinative of the Board’s decision to approve the Agreement on behalf of the Funds; rather, the Board based its determination on the total mix of information available to it.

GMO U.S. Quality ETF

At a meeting held on August 19, 2025 (the “Meeting”), the Board of Trustees (the “Board”) of The 2023 ETF Series Trust II (the “Trust”) considered and approved the continuance of the Investment Advisory Agreement (the “Agreement”) between the Trust and Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”) with respect to the GMO U.S. Quality ETF (the “Fund”) pursuant to which GMO provides advisory services to the Fund. The Board, which was comprised solely of Trustees who are not “interested persons” of the Trust (the “Independent Trustees”) within the meaning of the Investment Company Act of 1940 (the “1940 Act”), were advised by legal counsel throughout the process.

Pursuant to Section 15 of the 1940 Act, the continuation of the Agreement must be approved by a vote of (i) the Trustees or the shareholders of the Fund and (ii) a majority of the Independent Trustees cast in person at a meeting called for the purpose of voting on such approval. In connection with its consideration of such approval, the Board must request and evaluate, and GMO is required to furnish, such information as may be reasonably necessary to evaluate the terms of the Agreement.

Consistent with these responsibilities, prior to the Meeting, the Board reviewed materials from GMO, and at the Meeting representatives from GMO presented additional information to help the Board evaluate the Agreement. Among other things, representatives from GMO provided an overview of its advisory business, including investment personnel and investment processes. During the Meeting, the Board discussed the materials it received, including a memorandum from legal counsel on the responsibilities of Trustees in considering the approval of investment advisory agreements under the 1940 Act, considered GMO’s oral presentation, and deliberated on the approval of the Agreement in light of this information. Throughout the process, the Independent Trustees were afforded the opportunity to ask questions of, and request additional materials from, GMO. The Independent Trustees were assisted in their review by counsel and met with counsel separately and without management present.

Board Review of Investment Management Agreements — (Continued)
December 31, 2025 (Unaudited)

In considering whether to approve the continuance of the Agreement, the Board considered various factors, including (i) the nature, extent and quality of services provided by GMO to the Fund; (ii) the investment objective and strategy for the Fund and the Fund’s performance record; (iii) the profits realized by GMO from providing advisory services to the Fund; (iv) fees charged to comparable funds; (v) the extent to which the advisory fee for the Fund reflects economies of scale shared with Fund shareholders; and (vi) other factors the Board deemed to be relevant.

Nature, Extent and Quality of Services

With respect to the nature, extent and quality of services provided by GMO to the Fund, the Board considered GMO’s responsibilities with respect to providing investment advisory services to the Fund, including developing, implementing, and maintaining the Fund’s investment program; portfolio management, including evaluating and selecting investments for the Fund; trading portfolio securities and other investment instruments on behalf of the Fund; selecting broker-dealers to execute purchase and sale transactions; overseeing general portfolio compliance with relevant law; monitoring compliance with various policies and procedures and applicable securities regulations; periodic reporting to the Board; and implementing Board directives as they relate to the Fund. The Board noted that it had been provided with GMO’s registration form on Form ADV as well as GMO’s responses to a detailed series of questions, which included a description of GMO’s operations, services, personnel, compliance program, risk management program, and financial condition, and whether there had been material changes to such information since it was last presented to the Board.

The Board considered the background, sophistication and experience of GMO’s senior management, including those individuals responsible for portfolio management and regulatory compliance of the Fund. The Board also considered GMO’s extensive administrative and compliance infrastructures. The Board appreciated the fact that GMO has deep experience and expertise serving as the investment adviser to other registered investment companies and manages other exchange-traded funds overseen by the Board.

The Board further considered GMO’s portfolio management resources, structures and practices, including those associated with monitoring and seeking to ensure the Fund’s compliance with its investment objective and policies and with applicable laws and regulations. The Board also considered information about GMO’s overall investment management business, including the financial resources available to it needed to deliver high quality advisory services to the Fund.

Investment Performance

The Board reviewed the Fund’s performance in light of its stated investment objective, noting that the Fund is actively managed. The Board was provided reports regarding the Fund’s past performance, including a report prepared by an independent third-party comparing the Fund’s performance to various benchmarks for the one-year and since inception periods ended June 30, 2025. In considering the Fund’s performance over these time periods, the Board took into account that the Fund has had a relatively short operating history over which to judge performance. The Board also considered information that was provided to it regarding factors impacting the performance of the Fund, noting that it also received regular reports regarding the Fund’s performance at its quarterly meetings.

Fees Charged to Comparable Funds

The Board reviewed the advisory fee paid by the Fund to GMO under the Agreement. The Board reviewed a report prepared by Broadridge, an independent third-party, comparing the Fund’s advisory fee to those paid by a group of peer funds. The Board noted that the Fund’s advisory fee was within the range of its Peer Group. The Board took into consideration that the advisory fee for the Fund is a “unitary fee,” meaning that the Fund pays no expenses other than the advisory fee and certain expenses customarily excluded from unitary fee arrangements, such as brokerage commissions, taxes, and interest. The Board noted that, under the Agreement, GMO is responsible for compensating the Fund’s other service providers and paying the Fund’s other expenses out of its own fee and resources. The Board also took into consideration GMO’s commitment of extensive resources to service the Fund and provide an investment program. The Board also noted that the advisory fee charged to the Fund is generally consistent with the fees charged by GMO to its other clients.

Profitability and Economies of Scale

The Board considered information concerning the profitability of GMO from managing the Fund. The Board reviewed information provided about the costs and expenses incurred by GMO in providing advisory services, evaluated the compensation and benefits received by GMO from its relationship with the Fund, and reviewed a profitability analysis from GMO with respect to the Fund. The Board also considered whether economies of scale have been realized with respect to the Fund, or whether other efficiencies resulted as the Fund’s assets grow. The Board observed the Fund had experienced asset growth since launch, but was satisfied that no significant economies of scale have been realized, noting GMO’s assertion that, through the unitary fee structure, GMO is responsible for paying the Fund’s operating expenses, which effectively caps the Fund’s total expense ratio, and GMO’s stated commitment to reinvesting in its advisory business to ensure the continued provision of high quality services. The Board also acknowledged that it will have the opportunity to periodically reexamine whether economies have been achieved.

Board Review of Investment Management Agreements — (Continued)
December 31, 2025 (Unaudited)

Conclusion

After reviewing these and other factors, the Board concluded, in the context of its overall review of the Agreement, that the nature, extent and quality of services provided supported its approval of the continuance of the Agreement and that the fee charged thereunder was reasonable. In the Independent Trustees’ deliberations, each Trustee gave specific factors the weight that Trustee thought appropriate. No single factor was determinative of the Board’s decision of whether to approve the continuance of the Agreement on behalf of the Fund; rather, the Board based its determination on the total mix of information available to it. Based on a consideration of all the factors in their totality, the Board determined that the approval of the continuance of the Agreement was in the best interests of the Fund and its shareholders.

Investment Adviser	Distributor
Grantham, Mayo, Van Otterloo & Co. LLC	Foreside Fund Services, LLC
53 State Street	Three Canal Plaza, Suite 100
Boston, MA 02109	Portland, ME 04101

Administrator, Transfer Agent and Custodian	Independent Registered Public Accounting Firm
State Street Bank & Trust Company	PricewaterhouseCoopers, LLP
One Congress Street, Suite 1	101 Seaport Boulevard, Suite 500
Boston, MA 02114	Boston MA 02210

	Legal Counsel
	Ropes & Gray LLP
	Prudential Tower
	800 Boylston Street
	Boston, MA 02199

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