What were the Fund costs for the last period?

(based on a hypothetical $10,000 investment)

How did the Fund perform last period and what affected its performance?

Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund’s performance relative to the FTSE 3-Month Treasury Bill Index is included for comparative purposes.

The GMO Ultra-Short Income ETF returned +1.49% (net) at net asset value (NAV) for the period from commencement of operations on October 27, 2025, until the end of the fiscal year on February 28, 2026, as compared with +1.34% for the FTSE 3-Month Treasury Bill Index.

Allocation to high-quality CLOs (Collateralized Loan Obligations) drove relative performance, followed by gains from holdings in U.S. Treasury Bills/Notes and Floating Rate U.S. Treasury Notes.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments.

Key Fund Statistics

Asset Class Summary 

% of Total Net Assets

Material Fund Changes 

What were the Fund costs for the last period?

(based on a hypothetical $10,000 investment)

How did the Fund perform last period and what affected its performance?

Although the Fund is not managed relative to, any securities market index or benchmark, a discussion of the Fund’s performance relative to the MSCI Emerging Markets ex-China Index is included for comparative purposes.

The GMO Beyond China ETF returned +35.70% (net) at net asset value (NAV) for the period from July 1, 2025, until the end of the fiscal year on February 28, 2026, as compared with +42.24% for the MSCI Emerging Markets ex-China Index.

Relative to MSCI Emerging Markets ex-China, the portfolio underperformed from a mix of country allocation and stock selection decisions related to the theme of companies moving supply chains out of China. Country allocation detracted from a mix of overweight positions more exposed to the theme (e.g., Indonesia) and underweight positioning toward countries less exposed to the theme (e.g., Korea). The most challenging areas for stock selection included the Materials sector and underweight positioning toward semiconductor names within Information Technology.

The portfolio added value by avoiding areas that performed poorly and were less exposed to the theme, including underweight positioning toward Saudi Arabia, Energy, Communication Services, and Health Care.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments.

Fund Performance

Change in Value of a $10,000 Investment

Average Annual Total Returns

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. The returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability thereunder.

The Fund's expense ratio of 0.65% is equal to the Total Annual Fund Operating Expense as set forth in the Fund's most recent prospectus dated October 28, 2025. 

Key Fund Statistics

Industry Group Summary^{Footnote Reference*} 

% of Investments

Country/Region Summary^{Footnote Reference**} 

% of Investments

Material Fund Changes 

What were the Fund costs for the last period?

(based on a hypothetical $10,000 investment)

How did the Fund perform last period and what affected its performance?

Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any securities index or securities benchmark, a discussion of the Fund’s performance relative to the MSCI USA Mid Cap Index (Gross) is included for comparative purposes.

The GMO Domestic Resilience ETF returned +19.37% (net) at net asset value (NAV) for the period from commencement of operations on September 30, 2025, until the end of the fiscal year on February 28, 2026, as compared with +5.10% for the MSCI ACWI USA Mid Cap Index.

Relative to the MSCI USA Mid Cap Index (Gross), sector allocation made a positive contribution for the period. The Industrials (overweight), Materials (overweight), and Financials (underweight) allocations helped returns, while Consumer Staples (underweight) and Utilities (underweight) detracted from relative returns. Security selection within sector made a positive contribution. Selection results in Industrials helped relative returns, while selections within Energy and Materials detracted. Sector allocation was more significant than stock selection.

Knight Swift Transportation, Regal Rexnord, and Clean Harbors made the largest positive impact, while not owning Western Digital, Vertiv, and Seagate Technology detracted from relative returns.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments.

Key Fund Statistics

Industry Group Summary^{Footnote Reference*} 

% of Investments

Material Fund Changes 

What were the Fund costs for the last period?

(based on a hypothetical $10,000 investment)

How did the Fund perform last period and what affected its performance?

Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any securities index or securities benchmark, a discussion of the Fund’s performance relative to a 60% MSCI ACWI / 40% Bloomberg U.S. Aggregate blend is included for comparative purposes only.

The GMO Dynamic Allocation ETF returned +10.85% (net) at net asset value (NAV) for the period from commencement of operations on October 13, 2025 to February 28, 2026, as compared with +5.74% for a 60% MSCI ACWI / 40% Bloomberg U.S. Aggregate blend.

This was a very strong period for absolute performance, and for performance in relation to most other traditional risk assets. Over the same period, developed equities as measured by the MSCI World index were up 6.7%, emerging equities as measured by the MSCI Emerging Market index were up 19.6%, while bonds as measured by the Bloomberg U.S. Aggregate index were up 2.3%.

The ETF had an average equity exposure of about 59%, and this had a better return than MSCI ACWI. Within developed markets, we were leaning away from the U.S. as we believed that it was trading at an unfavorable valuation, and indeed it went on to have a poor period relative to other markets. We also had a reasonable investment in emerging markets as we believed that they were trading at preferential valuations, and they outperformed developed markets for the period. Fixed income assets accounted for an average 39% of the ETF, and these were up 2.1% for the period, a little behind the Bloomberg U.S. Aggregate. There was also a modest 2% exposure to cash & equivalents for the period.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments.

Fund Performance

Change in Value of a $10,000 Investment

Average Annual Total Returns

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. Performance shown is net of all fees after indirect management fee waivers. Returns would have been lower had certain expenses not been waived during the periods shown and do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. 

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability thereunder.

The gross expense ratio of 0.73% is equal to the Total Annual Fund Operating Expenses set forth in the Fund's most recent prospectus dated October 28, 2025. The net expense ratio of 0.50% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least November 2, 2026.

Key Fund Statistics

Asset Class Summary 

% of Total Net Assets

Top Ten Holdings

% of Investments^{Footnote Reference*}

Material Fund Changes 

What were the Fund costs for the last period?

(based on a hypothetical $10,000 investment)

How did the Fund perform last period and what affected its performance?

Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund’s performance relative to the MSCI World ex USA Index is included for comparative purposes.

The GMO International Quality ETF returned +9.89% (net) at net asset value (NAV) for the period from July 1, 2025, until the end of the fiscal year on February 28, 2026, as compared with +21.61% for the MSCI World ex USA Index.

Relative to the MSCI World ex USA, sector allocation made a negative contribution this period. The Communication Services (underweight) allocation helped returns, while Consumer Staples (overweight) and Consumer Discretionary (overweight) reduced returns. Security selection within sector made a negative contribution. Selection results in Industrials helped returns. Consumer Staples and Materials detracted from returns. Stock selection within sector was more significant than sector allocation.

TSMC, ASML, and HOYA made the largest positive impact, while SAP, Amadeus, and Dassault Systèmes detracted.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments.

Fund Performance

Change in Value of a $10,000 Investment

Average Annual Total Returns

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. The returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability thereunder.

The Fund's expense ratio of 0.60% is equal to the Total Annual Fund Operating Expense as set forth in the Fund's most recent prospectus dated October 28, 2025.

Key Fund Statistics

Industry Group Summary^{Footnote Reference*} 

% of Investments

Country/Region Summary^{Footnote Reference**}

% of Investments

Material Fund Changes 

What were the Fund costs for the last period?

(based on a hypothetical $10,000 investment)

How did the Fund perform last period and what affected its performance?

Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund’s performance relative to the MSCI World ex USA Value Index is included for comparative purposes.

The GMO International Value ETF returned +34.40% (net) at net asset value (NAV) for the period from July 1, 2025, until the end of the fiscal year on February 28, 2026, as compared with +30.08% for the MSCI World ex USA Value Index.

Over the period, the primary source of value added was the portfolio’s deep value stock selection, with additional value added from sector allocation. Highlights included overweight positioning toward Australian Materials, Spanish Financials, Japanese Industrials, and UK Health Care.

Areas where deep value stock selection detracted included holdings in Japanese and Consumer Discretionary names.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments.

Fund Performance

Change in Value of a $10,000 Investment

Average Annual Total Returns

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. The returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability thereunder.

The Fund's expense ratio of 0.60% is equal to the Total Annual Fund Operating Expense as set forth in the Fund's most recent prospectus dated October 28, 2025.

Key Fund Statistics

Industry Group Summary^{Footnote Reference*} 

% of Investments

Country/Region Summary^{Footnote Reference**}

% of Investments

Material Fund Changes 

What were the Fund costs for the last period?

(based on a hypothetical $10,000 investment)

How did the Fund perform last period and what affected its performance?

The GMO Systematic Investment Grade Credit ETF returned +4.97% (net) at net asset value (NAV) for the period from July 1, 2025, until the end of the fiscal year on February 28, 2026, as compared with +4.98% for the Bloomberg U.S. Corporate Index.

Bloomberg U.S. Corporate Index posted positive excess returns of +0.52% for the period, along with positive total returns of +4.98%, supported by the decline in U.S. Treasury yields.

Relative to the Bloomberg U.S. Corporate Index, credit selection contributed positively, while sector allocation modestly detracted from performance. Momentum and Quality signals were the primary driver of positive relative returns, partly offset by negative contributions from Valuation and Company fundamentals. Credit selection was strongest within the Consumer Non-Cyclical and Cyclical sectors, though losses from bonds in Communications and Technology tempered these gains. In terms of sector tilts, a relative overweight to Technology and an underweight to Energy had a small negative impact on relative performance.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments.

Fund Performance

Change in Value of a $10,000 Investment

Average Annual Total Returns

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. The returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

The Fund's expense ratio of 0.25% is equal to the Total Annual Fund Operating Expense as set forth in the Fund's most recent prospectus dated October 28, 2025.

Key Fund Statistics

Industry Group Summary^{Footnote Reference*} 

% of Investments

Country/Region Summary^{Footnote Reference**}

% of Investments

Material Fund Changes 

What were the Fund costs for the last period?

(based on a hypothetical $10,000 investment)

How did the Fund perform last period and what affected its performance?

Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund’s performance relative to the S&P 500 Index is included for comparative purposes.

The GMO U.S. Quality ETF returned +13.85% (net) at net asset value (NAV) for the period from July 1, 2025, until the end of the fiscal year on February 28, 2026, as compared with +11.75% for the S&P 500 Index.

Relative to the S&P 500, sector allocation made a positive contribution this period. The Health Care (overweight) and Financials (underweight) allocations helped returns, while Energy (underweight) and Industrials (underweight) reduced returns. Security selection within sector made a positive contribution. Selection results in Information Technology and Communication Services helped returns. Health Care and Consumer Staples detracted from returns. Stock selection within sector was more significant than sector allocation.

Lam Research, KLA, and Johnson & Johnson made the largest positive impact, while Salesforce, Accenture, and Abbott detracted.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments.

Key Fund Statistics

Industry Group Summary^{Footnote Reference*} 

% of Investments

Material Fund Changes 

What were the Fund costs for the last period?

(based on a hypothetical $10,000 investment)

How did the Fund perform last period and what affected its performance?

Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund’s performance relative to the MSCI USA Value (Gross) Index is included for comparative purposes.

The GMO U.S. Value ETF returned +17.72% (net) at net asset value (NAV) for the period from July 1, 2025, until the end of the fiscal year on February 28, 2026, as compared with +13.62% for the MSCI USA Value (Gross) Index.

Over the period, the primary source of value added was the portfolio’s deep value stock selection. Notable contributors included holdings in Communication Services, Financials, Industrials, Health Care, and Consumer Discretionary sectors. Overweight positioning in Energy also added value.

In contrast, deep value stock selection detracted within the Information Technology sector.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments.

Key Fund Statistics

Industry Group Summary^{Footnote Reference*} 

% of Investments

Material Fund Changes