AnnualReport - Wells Fargo Funds · Letter to shareholders (unaudited) Wells Fargo Absolute Return Fund 3 Volatilityincreasedduringthethirdquarterof2017,butfavorabledata curbedconcerns

Annual ReportApril 30, 2018

Wells Fargo Absolute Return Fund

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Contents

Letter to shareholders . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2

Performance highlights . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6

Fund expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11

Portfolio of investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13

Financial statementsStatement of assets and liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14Statement of operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15Statement of changes in net assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16Financial highlights . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17

Notes to financial statements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23

Report of independent registered public accounting firm . . . . . . . . . . . . . . . . . 27

Other information . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28

Appendix I . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32

Appendix II . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35

The views expressed and any forward-looking statements are as of April 30, 2018, unless otherwise noted, and are those of the Fund managers and/or Wells Fargo FundsManagement, LLC. Discussions of individual securities, or the markets generally, or any Wells Fargo Fund are not intended as individual recommendations. Future events orresults may vary significantly from those expressed in any forward-looking statements. The views expressed are subject to change at any time in response to changingcircumstances in the market. Wells Fargo Funds Management, LLC and the Fund disclaim any obligation to publicly update or revise any views expressed or forward-lookingstatements.

NOT FDIC INSURED ▪ NO BANK GUARANTEE ▪ MAY LOSE VALUE

2 Wells Fargo Absolute Return Fund Letter to shareholders (unaudited)

Andrew OwenPresidentWells Fargo Funds

Globally, economiesstrengthened, equity marketsadvanced, and foreign bonds

outperformed fixed-incomeinvestments in the U.S.

Dear Shareholder:We are pleased to offer you this annual report for the Wells Fargo Absolute ReturnFund for the 12-month period that ended April 30, 2018. Globally, economiesstrengthened, equity markets advanced, and foreign bonds outperformed fixed-income investments in the U.S.

For the 12-month period, U.S. stocks, as measured by the S&P 500 Index,1 gained13.27% and international stocks, as measured by the MSCI ACWI ex USA Index(Net),2 added 15.91%. Emerging market stocks, as measured by the MSCI EM Index(Net),3 added 21.71%. In bond markets, the Bloomberg Barclays U.S. AggregateBond Index4 declined 0.32% while fixed-income investments outside the U.S.gained 7.68%, as measured by the Bloomberg Barclays Global Aggregate ex-USDIndex.5 The Bloomberg Barclays Municipal Bond Index6 added 1.56%, and the ICEBofAML U.S. High Yield Index7 was up 3.21%.

Global economic growth benefited equity investments during the secondquarter of 2017.During the second quarter of 2017, U.S. economic data reflected a healthy economy.Gross domestic product (GDP) growth on an annualized basis was 3.1% for thesecond quarter. Hiring remained strong, and business and consumer sentimentimproved.

In June, the U.S. Federal Reserve (Fed) raised the target federal funds interest rateby a quarter percentage point to a range of 0.75% to 1.00%. With the interest rateincrease, short-term bond yields rose while longer-term Treasury yields were littlechanged, leading to positive performance. Investment-grade, high-yield, andmunicipal bonds benefited from strong demand.

Although economic momentum increased in Europe, the European Central Bank(ECB) held its rates steady at low levels because underlying inflation remainedsubdued. In emerging markets, many countries benefited from stronger currenciesversus the U.S. dollar. The Bank of Japan also continued economic and monetarypolicies that align with Prime Minister Shinzo Abe’s efforts to encourage businessactivity and economic growth.

1 The S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value-weighted indexwith each stock’s weight in the index proportionate to its market value. You cannot invest directly in an index.

2 The Morgan Stanley Capital International (MSCI) All Country World Index (ACWI) ex USA Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed markets, excluding the United States and Canada. Source:MSCI. MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data containedherein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is notapproved, reviewed, or produced by MSCI. You cannot invest directly in an index.

3 The MSCI Emerging Markets (EM) Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure large- andmid-cap equity market performance of emerging markets. The MSCI EM Index (Net) consists of the following 24 emerging market country indices:Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Pakistan, Peru, the Philippines,Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey, and the United Arab Emirates. You cannot invest directly in an index.

4 The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybridadjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index.

5 The Bloomberg Barclays Global Aggregate ex-USD Index is an unmanaged index that provides a broad-based measure of the global investment-grade fixed-income markets excluding the U.S. dollar-denominated debt market. You cannot invest directly in an index.

6 The Bloomberg Barclays Municipal Bond Index is an unmanaged index composed of long-term tax-exempt bonds with a minimum credit rating ofBaa. You cannot invest directly in an index.

7 The ICE BofAML U.S. High Yield Index is a market-capitalization-weighted index of domestic and Yankee high-yield bonds. The index tracks theperformance of high-yield securities traded in the U.S. bond market. You cannot invest directly in an index. Copyright 2018. ICE Data Indices, LLC. Allrights reserved.

Letter to shareholders (unaudited) Wells Fargo Absolute Return Fund 3

Volatility increased during the third quarter of 2017, but favorable datacurbed concerns.During the third quarter of 2017, investor expectations advanced and fell amidshifting geopolitical tensions, particularly in Asia, and repeated but ultimatelyunsuccessful efforts to reform health care laws in the U.S. Corporate earnings andconsumer confidence improved. Annualized U.S. GDP growth for the quarter was3.2%. Meanwhile, inflation continued to trail the Fed’s targets.

Economic momentum increased in Europe; the ECB held its rates steady at lowlevels and continued its quantitative easing bond-buying program with the goalof sparking economic activity. In emerging markets, many countries benefitedfrom stronger currencies versus the U.S. dollar while commodity price increasesbenefited countries that rely on natural resources for exports.

The fourth quarter of 2017 was characterized by continued optimism inglobal markets.U.S. stocks continued to rally during the fourth quarter of 2017, boosted bysynchronized expansion in the global economy and favorable company earnings.In October 2017, the Fed began to sell the bonds acquired during a series ofquantitative easing programs following the 2008 financial crisis. The Bank ofEngland suggested it could hike interest rates in November, and the poundgained against other currencies. In addition, the Fed increased rates by another 25basis points (bps; 100 bps equal 1.00%) in December. Stocks received a boost fromgrowing optimism about tax reform legislation.

International markets, particularly emerging markets, continued to show strength,supported by several factors that led some observers to describe conditions as aGoldilocks economic scenario: synchronized global growth, low inflation, andhealthy corporate earnings, all supported abroad by a weaker U.S. dollar.

Volatility reemerged during the first four months of 2018 as economicsignals were mixed.The first four months of 2018 began with stock market gains in January.Subsequently, investor optimism was supplanted by several concerns. Tradetensions emerged, particularly between the U.S. and China, as the U.S. threatenedto impose tariffs on a broad range of imported products. Increasing interest ratesand inflation also caused concern. Long-term interest rates in the U.S. trendedhigher—rates on the 10-year and 30-year Treasury bonds moved from 2.46% and2.81%, respectively, at the beginning of the year on January 1, 2018, to 2.95% and3.11%, respectively, on April 30, 2018.

During February 2018, the U.S. stock market endured a loss of more than 10% beforerecovering. The Fed increased the federal funds rate by 25 bps in March and the rate ofinflation reached the Fed’s 2% target for the first time in a year. In April, the U.S. Bureauof Economic Analysis placed first-quarter U.S. GDP growth at 2.3%. The unemploymentrate fell to a 17-year low of 3.9% in April and wage growth data improved.

Internationally, central banks maintained low interest rates and monetary policies thatwere accommodative of business activity. Industrial production, retail sales, and fixed-asset investment increased in China. During January 2018, purchasing managers’indices in China, the eurozone, India, and Japan reported data for December thatindicated continued growth. Despite positive economic signals and businessfundamentals, international stock values fell during February and March 2018, sweptup in the selling momentum in U.S. markets before generally moving higher in April.

During February 2018, theU.S. stock market endured aloss of more than 10%before recovering.

4 Wells Fargo Absolute Return Fund Letter to shareholders (unaudited)

Don’t let short-term uncertainty derail long-term investment goals.Periods of investment uncertainty can present challenges, but experience has taughtus that maintaining long-term investment goals can be an effective way to plan forthe future. To help you create a sound strategy based on your personal goals and risktolerance, Wells Fargo Funds offers more than 100 mutual funds spanning a widerange of asset classes and investment styles. Although diversification cannotguarantee an investment profit or prevent losses, we believe it can be an effectiveway to manage investment risk and potentially smooth out overall portfolioperformance. We encourage investors to know their investments and to understandthat appropriate levels of risk-taking may unlock opportunities.

Thank you for choosing to invest with Wells Fargo Funds. We appreciate yourconfidence in us and remain committed to helping you meet your financial needs.

Sincerely,

Andrew OwenPresidentWells Fargo Funds

For further information about your Fund, contact your investment professional, visit our website atwellsfargofunds.com, or call us directly at 1-800-222-8222.

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6 Wells Fargo Absolute Return Fund Performance highlights (unaudited)

Investment objectiveThe Fund seeks a positive total return.

ManagerWells Fargo Funds Management, LLC

Portfolio managerBen Inker, CFA®1

Average annual total returns (%) as of April 30, 20182

Including sales charge Excluding sales charge Expense ratios3 (%)

Inception date 1 year 5 year 10 year 1 year 5 year 10 year Gross Net4

Class A (WARAX) 3-1-2012 0.37 1.53 3.57 6.45 2.73 4.19 1.55 1.55

Class C (WARCX) 3-1-2012 4.60 1.97 3.40 5.60 1.97 3.40 2.30 2.30

Class R (WARHX) 9-30-2015 – – – 6.21 2.50 4.31 1.80 1.80

Class R6 (WARRX) 10-31-2014 – – – 6.97 3.20 4.52 1.12 1.12

Administrator Class (WARDX) 3-1-2012 – – – 6.62 2.87 4.34 1.47 1.44

Institutional Class (WABIX) 11-30-2012 – – – 6.78 3.14 4.48 1.22 1.20

MSCI ACWI Index (Net)5 – – – – 14.16 8.80 5.10 – –

Bloomberg Barclays U.S. TIPS 1-10 Year Index6 – – – – (0.15) (0.09) 2.39 – –

Consumer Price Index7 – – – – 2.46 1.50 1.55 – –

Figures quoted represent past performance, which is no guarantee of future results, and do not reflect taxes that a shareholder may pay on fund distributions orthe redemption of fund shares. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or lessthan their original cost. Performance shown without sales charges would be lower if sales charges were reflected. Current performance may be lower or higher than theperformance data quoted, which assumes the reinvestment of dividends and capital gains. Current month-end performance is available on the Fund’s website,wellsfargofunds.com.

Index returns do not include transaction costs associated with buying and selling securities, any mutual fund fees or expenses, or any taxes. It is not possible to invest directlyin an index.

For Class A shares, the maximum front-end sales charge is 5.75%. For Class C shares, the maximum contingent deferred sales charge is 1.00%. Performance including acontingent deferred sales charge assumes the sales charge for the corresponding time period. Class R, Class R6, Administrator Class, and Institutional Class shares are soldwithout a front-end sales charge or contingent deferred sales charge.

Absolute return funds are not intended to outperform stocks and bonds in strong markets, and there is no guarantee ofpositive returns or that the Fund’s objectives will be achieved. Stock values fluctuate in response to the activities ofindividual companies and general market and economic conditions. Bond values fluctuate in response to the financialcondition of individual issuers, general market and economic conditions, and changes in interest rates. Changes inmarket conditions and government policies may lead to periods of heightened volatility in the bond market and reducedliquidity for certain bonds held by the Fund. In general, when interest rates rise, bond values fall and investors may loseprincipal value. Interest-rate changes and their impact on the Fund and its share price can be sudden and unpredictable.Borrowing money to purchase securities or to cover short positions magnifies losses and incurs expenses. Short selling isgenerally considered speculative, has the potential for unlimited loss, and may involve leverage. Alternative investments,such as commodities and merger arbitrage strategies, are speculative and entail a high degree of risk. Foreigninvestments are especially volatile and can rise or fall dramatically due to differences in the political and economicconditions of the host country. The Fund will indirectly be exposed to all of the risks of an investment in the underlyingfunds and will indirectly bear expenses of the underlying funds. The use of derivatives may reduce returns and/orincrease volatility. Certain investment strategies tend to increase the total risk of an investment (relative to the broadermarket). The Fund is exposed to asset-backed securities risk, non-diversification risk, geographic risk, and smallercompany securities risk. Consult the Fund’s prospectus for additional information on these and other risks.

Please see footnotes on pages 7-8.

Performance highlights (unaudited) Wells Fargo Absolute Return Fund 7

Growth of $10,000 investment as of April 30, 2018 8

$0

$5,000

$10,000

$20,000

$15,000$14,206

$16,447

$12,670$11,663

4-30-20094-30-2008 4-30-2010 4-30-2011 4-30-2012 4-30-2013 4-30-2014 4-30-2015 4-30-2016 4-30-2017 4-30-2018

Class A

MSCI ACWI Index (Net)

Bloomberg Barclays U.S. Tips 1-10 Year Index

Consumer Price Index

1 The Fund invests substantially all of its investable assets directly in GMO Benchmark-Free Allocation Fund, an investment company advised byGrantham, Mayo, Van Otterloo & Co. LLC (GMO). Mr. Inker, a senior member of GMO’s Asset Allocation Team, has been primarily responsible forcoordinating the portfolio management of GMO Benchmark-Free Allocation Fund since 2003.

2 Historical performance shown for Class A, Class C, and Administrator Class prior to their inception is based on the performance of Class III shares of GMOBenchmark-Free Allocation Fund (GBMFX). The inception date of GMO Benchmark-Free Allocation Fund Class III shares is July 23, 2003. Returns for the Class IIIshares do not reflect GMO Benchmark-Free Allocation Fund’s current fee arrangement and have been adjusted downward to reflect the higher expenseratios applicable to Class A, Class C, and Administrator Class at their inception. These ratios were 1.66% for Class A, 2.41% for Class C, and 1.50% forAdministrator Class. Historical performance shown for the Class R shares prior to their inception reflects the performance of the Administrator Class shares,and is not adjusted to reflect the expenses of Class R shares. If these expenses had been included, returns for Class R shares would be lower. Historicalperformance shown for Class R6 shares prior to their inception reflects the performance of the Institutional Class shares, and is not adjusted to reflect Class R6expenses. If these expenses had been included, returns for Class R6 shares would be higher. Historical performance shown for Institutional Class prior to itsinception reflects the performance of the Administrator Class, and is not adjusted to reflect Institutional Class expenses. If these expenses had been included,returns for Institutional Class shares would be higher.

3 Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.79% in acquired fund fees and expenses andunderlying GMO fees. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financialhighlights of this report, which do not include the expenses of GMO Benchmark-Free Allocation Fund and other acquired fund fees and expenses.

4 The manager has contractually committed through August 31, 2018, to waive fees and/or reimburse expenses to the extent necessary to cap the Fund’sTotal Annual Fund Operating Expenses After Fee Waivers at 0.71% for Class A, 1.46% for Class C, 0.96% for Class R, 0.28% for Class R6, 0.57% forAdministrator Class, and 0.33% for Institutional Class. After this time, the cap may be increased or the commitment to maintain the cap may beterminated only with the approval of the Board of Trustees. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses(including the expenses of GMO Benchmark-Free Allocation Fund), and extraordinary expenses are excluded from the expense cap. Without this cap, theFund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after feewaivers) as stated in the prospectuses.

5 The Morgan Stanley Capital International (MSCI) All Country World Index (ACWI) Index (Net) is a free-float-adjusted market-capitalization-weighted indexthat is designed to measure the equity market performance of developed and emerging markets. The MSCI ACWI Index (Net) consists of 46 countryindexes comprising 23 developed and 23 emerging markets country indexes. The developed markets country indexes included are Australia, Austria,Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal,Singapore, Spain, Sweden, Switzerland, the United Kingdom, and the United States. The emerging markets country indexes included are Brazil, Chile,China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Peru, the Philippines, Poland, Qatar, Russia,South Africa, Taiwan, Thailand, Turkey, and United Arab Emirates. Source: MSCI. MSCI makes no express or implied warranties or representations andshall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis forother indexes or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. You cannot invest directly in an index.

6 The Bloomberg Barclays U.S. Treasury Inflation-Protected Securities (TIPS) 1-10 Year Index is an unmanaged index of U.S. Treasury securities withmaturities of less than 10 years and more than 1 year. You cannot invest directly in an index.

7 The Consumer Price Index is a measure of the average change over time in the prices paid by urban consumers for a market basket of consumer goodsand services. You cannot invest directly in an index.

8 The chart compares the performance of Class A shares for the most recent ten years with the performance of the MSCI ACWI Index (Net), BloombergBarclays U.S. TIPS 1-10 Year Index, and the Consumer Price Index. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflectsall operating expenses and assumes the maximum initial sales charge of 5.75%.

9 The S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value-weighted index witheach stock’s weight in the index proportionate to its market value. You cannot invest directly in an index.

10 The MSCI ACWI ex USA Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity marketperformance of developed markets, excluding the United States and Canada. You cannot invest directly in an index.


11 The MSCI Emerging Markets (EM) Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure large- and mid-cap equity market performance of emerging markets. The MSCI EM Index (Net) consists of the following 24 emerging market country indices: Brazil,Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Pakistan, Peru, the Philippines, Poland, Qatar,Russia, South Africa, Taiwan, Thailand, Turkey, and the United Arab Emirates. You cannot invest directly in an index.

12 The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybridadjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index.

13 The holdings, excluding cash, cash equivalents and any money market funds, are calculated based on the value of the investments of GMO Benchmark-Free Allocation Fund divided by total net assets of the Fund. Holdings are subject to change and may have changed since the date specified.

14 The MSCI Europe, Australasia, Far East (EAFE) Index is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equitymarket performance of developed markets, excluding the United States and Canada. The MSCI EAFE Index consists of the following 21 developedmarkets country indices: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands,New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom. You cannot invest directly in an index.

15 Portfolio allocation represents the portfolio allocation of the GMO Benchmark-Free Allocation Fund, which is calculated based on the investmentexposures of the underlying GMO funds. Portfolio allocation is subject to change and may have changed since the date specified.

Performance highlights (unaudited) Wells Fargo Absolute Return Fund 9

MANAGER’S DISCUSSION

Fund highlights▪ The Fund underperformed the MSCI ACWI Index (Net) while delivering a positive return and outperforming the Bloomberg

Barclays U.S. TIPS 1–10 Year Index and the Consumer Price Index for the 12-month period that ended April 30, 2018.

▪ The Fund’s equity, alternatives, fixed-income, and cash/cash-plus allocations all contributed to performance.Investments in equities in emerging and developed markets outside the U.S. were additive, as were allocations to andsecurity selection among high-quality stocks, which can be defined as companies with high and stable profits and lowlevels of leverage.

▪ Fixed income delivered positive results across all credit strategies, while Treasury Inflation-Protected Securities (TIPS)were a modest detractor.

All strategies, including equity, fixed income, alternative, and cash/cash-plus, contributed to absolute returns.Risk assets rallied strongly during the past year. Global equities, represented by the MSCI ACWI Index (Net), rose 14.16%.U.S. stocks recorded a 13.27% return, as measured by the S&P 500 Index,9 which trailed non-U.S. developed markets andemerging markets. The MSCI ACWI ex USA Index (Net)10 rose 15.91%, while emerging markets, as measured by the MSCIEM Index (Net),11 rallied 21.71%.

Equities rose as central banks remained highly accommodative, fundamentals improved globally, and hopes for and theultimate passage of corporate-friendly tax policy in the U.S. came to fruition. During the past year, the appreciation inequity values was driven once again by expansion of stock price/earnings multiples and some improvements infundamentals, both of which are at or near peak levels. The recent rise in U.S. interest rates led to mildly negative returnsin the fixed-income markets, with the Bloomberg Barclays U.S. Aggregate Bond Index12 falling 0.32%.

Investments in emerging market equities contributed. Developed ex-U.S. stock exposure also contributed as securityselection helped the allocation outperform global equities. The contributions of high-quality stocks, though smaller insize, were additive as well due to security selection.

Alternative strategies delivered positive returns—except for the merger arbitrage strategy, which fell—but they failed tokeep up with global equities. The special opportunities strategy was particularly helpful as strong security selection ledthe portfolio with a gain of more than 25%.

Fixed-income exposures performance was a significant win relative to the Bloomberg Barclays U.S. Aggregate BondIndex, which declined. Distressed credit and asset-backed exposures were positive contributors to fund performance.Emerging debt rose as well, but TIPS detracted modestly as underlying Treasury rates rose. Our cash exposure rose 1%during the year, offering a modest return and ballast though trailing inflation.

Holdings (%) as of April 30, 20181 3

GMO Implementation Fund 80.84

GMO SGM Major Markets Fund Class VI 7.53

GMO Special Opportunities Fund Class VI 4.77

GMO Opportunistic Income Fund Class VI 4.00

GMO Emerging Country Debt Fund Class IV 2.49

We made a number of portfolio allocation changesas valuations and market conditions changed.Our equity allocation declined, ending the period atapproximately 35% of the portfolio, as we reduced andlater re-characterized our remaining quality equityexposure as a long/short position within alternatives. Wealso modestly decreased our developed ex-U.S. exposurewhile increasing our emerging exposure. Our alternatives

allocation rose late in the fiscal year when we increased and re-characterized our quality long-equity position into a longquality/short S&P Index 500 exposure and a smaller long MSCI EAFE Index14/short S&P Index 500 position. We also addedmodestly to our merger arbitrage position within alternatives. The overall exposure to our fixed-income allocationremained constant, though we trimmed emerging debt and some high yield while adding to TIPS. The portfolio’sallocation to cash/cash-plus declined approximately 7% to fund the increase in alternatives.



Portfolio allocation as of April 30, 20181 5

International DevelopedEquity Strategies (11%)

Fixed-IncomeStrategies (21%)

Emerging MarketsEquity Strategies (24%)

Cash/Cash PlusStrategies (14%)

AlternativeStrategies (30%)

Going forward, we see value in international stocks(primarily emerging market value and developedex-U.S. equities) and select alternative strategies.We believe that equity markets are priced to deliver below-average returns, even negative in many cases after inflation.Within equity markets, we have a strong preference forinternational and emerging market exposures over U.S.equities. Within international stocks, we believe that valuestocks are priced to potentially deliver a higher return thangrowth stocks, and emerging market value stocks remainour favored equity asset class. While absolute returnpotential looks muted, the spread in some of our forecastsmay offer the opportunity to generate attractive returns.

Our outlook for U.S. and developed ex-U.S. sovereign debt, as well as TIPS, remains negative to muted, at best. Given thenarrowing of credit spreads over the period, our forecasts for and exposure to emerging market debt declined. As the realyields of TIPS varied throughout the year, so, too, did our TIPS exposure, ending modestly up for the period.

Alternative strategies offer a diversifying way to pursue returns with less duration than traditional stocks and bonds andless exposure to expensive equity valuations. We continued to hold significant positions in what we perceive to be saferassets, like U.S. cash and short-duration, high-credit-quality fixed-income positions. This capital enables us to bear riskelsewhere in the portfolio, helps minimize drawdowns, and affords us the option to redeploy capital when risk assets aremore attractively priced.


Fund expenses (unaudited) Wells Fargo Absolute Return Fund 11

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) onpurchase payments and contingent deferred sales charges (if any) on redemptions and (2) ongoing costs, includingmanagement fees, distribution (12b-1) and/or shareholder servicing fees, and other Fund expenses. This example isintended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs withthe ongoing costs of investing in other mutual funds.

The example is based on an investment of $1,000 invested at the beginning of the six-month period and held for theentire period from November 1, 2017 to April 30, 2018.

Actual expensesThe “Actual” line of the table below provides information about actual account values and actual expenses. You may usethe information in this line, together with the amount you invested, to estimate the expenses that you paid over theperiod. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), thenmultiply the result by the number in the “Actual” line under the heading entitled “Expenses paid during period” for yourapplicable class of shares to estimate the expenses you paid on your account during this period.

Hypothetical example for comparison purposesThe “Hypothetical” line of the table below provides information about hypothetical account values and hypotheticalexpenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, whichis not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actualending account balance or expenses you paid for the period. You may use this information to compare the ongoing costsof investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypotheticalexamples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect anytransactional costs, such as sales charges (loads) and contingent deferred sales charges. Therefore, the “Hypothetical” lineof the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owningdifferent funds. In addition, if these transactional costs were included, your costs would have been higher.

Wells Fargo Absolute Return Fund (excluding GMO Benchmark-Free Allocation Fund and underlying fund expenses)

Beginningaccount value

11-1-2017

Endingaccount value

4-30-2018

Expensespaid duringthe period¹

Annualized netexpense ratio

Class A

Actual $1,000.00 $1,010.71 $3.36 0.67%

Hypothetical (5% return before expenses) $1,000.00 $1,021.45 $3.38 0.67%

Class C

Actual $1,000.00 $1,007.02 $7.09 1.42%


Class R

Actual $1,000.00 $1,009.86 $4.61 0.93%


Class R6

Actual $1,000.00 $1,013.07 $1.22 0.24%


Administrator Class

Actual $1,000.00 $1,011.52 $2.84 0.57%


Institutional Class

Actual $1,000.00 $1,013.03 $1.65 0.33%


Please see footnote on page 12.

12 Wells Fargo Absolute Return Fund Fund expenses (unaudited)

Wells Fargo Absolute Return Fund (including GMO Benchmark-Free Allocation Fund and underlying fund expenses)

Beginningaccount value

11-1-2017

Endingaccount value

4-30-2018

Expensespaid duringthe period¹

Annualized netexpense ratio

Class A

Actual $1,000.00 $1,010.71 $ 7.30 1.46%

Hypothetical (5% return before expenses) $1,000.00 $1,017.53 $ 7.32 1.46%

Class C

Actual $1,000.00 $1,007.02 $11.02 2.21%


Class R

Actual $1,000.00 $1,009.86 $ 8.55 1.72%


Class R6

Actual $1,000.00 $1,013.07 $ 5.16 1.03%


Administrator Class

Actual $1,000.00 $1,011.52 $ 6.78 1.36%


Institutional Class

Actual $1,000.00 $1,013.03 $ 5.59 1.12%


1 Expenses paid is equal to the annualized net expense ratio of each class multiplied by the average account value over the period, multiplied by thenumber of days in the most recent fiscal half-year divided by the number of days in the fiscal year (to reflect the one-half-year period).

Portfolio of investments—April 30, 2018 Wells Fargo Absolute Return Fund 13

Security name Shares Value

Investment Companies: 98.91%

GMO Benchmark-Free Allocation Fund Class MF (l) 201,120,148 $5,534,826,461

Total Investment Companies (Cost $5,019,573,448) 5,534,826,461

Total investments (Cost $5,019,573,448) 98.91% 5,534,826,461

Other assets and liabilities, net 1.09 60,804,619

Total net assets 100.00% $5,595,631,080

(l) The issuer of the security is an affiliated person of the Fund as defined in the Investment Company Act of 1940.

Investments in AffiliatesAn affiliated investment is an investment in which the Fund owns at least 5% of the outstanding voting shares of the issuer or as a result of otherrelationships, such as the Fund and the issuer having the same investment manager. Transactions with issuers that were either affiliated persons of theFund at the beginning of the period or the end of the period were as follows:

Shares,beginning of

periodShares

purchasedShares

sold

Shares,end ofperiod

Netrealized

gains(losses)

Netchange inunrealized

gains(losses)

Dividendsfrom

affiliatedinvestmentcompanies

Value,end

of period

% ofnet

assets

Investment CompaniesGMO Benchmark-Free

Allocation Fund Class MF 215,754,180 9,398,882 24,032,914 201,120,148 $16,405,452 $245,367,476 $136,226,196 $5,534,826,461 98.91%

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

14 Wells Fargo Absolute Return Fund Statement of assets and liabilities—April 30, 2018

AssetsInvestments in affiliated investment companies, at value (cost $5,019,573,448) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 5,534,826,461Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50,000,000Receivable for Fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,602,810Prepaid expenses and other assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 74,343

Total assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,602,503,614

LiabilitiesPayable for Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,225,616Management fee payable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 920,867Administration fees payable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 671,420Distribution fees payable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 392,946Trustees’ fees and expenses payable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,251Accrued expenses and other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 659,434

Total liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,872,534

Total net assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $5,595,631,080

NET ASSETS CONSIST OFPaid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 5,619,050,532Undistributed net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51,574,245Accumulated net realized losses on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (590,246,710)Net unrealized gains on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 515,253,013

Total net assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $5,595,631,080

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE PER SHARENet assets – Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 516,085,078Shares outstanding – Class A1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45,270,277Net asset value per share – Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $11.40Maximum offering price per share – Class A2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $12.10Net assets – Class C . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 629,812,779Shares outstanding – Class C1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56,279,508Net asset value per share – Class C . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $11.19Net assets – Class R . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 368,353Shares outstanding – Class R1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32,410Net asset value per share – Class R . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $11.37Net assets – Class R6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 46,753,164Shares outstanding – Class R61 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,096,920Net asset value per share – Class R6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $11.41Net assets – Administrator Class . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 212,965,085Shares outstanding – Administrator Class1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,636,924Net asset value per share – Administrator Class . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $11.43Net assets – Institutional Class . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 4,189,646,621Shares outstanding – Institutional Class1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 367,232,316Net asset value per share – Institutional Class . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $11.41

1 The Fund has an unlimited number of authorized shares.2 Maximum offering price is computed as 100/94.25 of net asset value. On investments of $50,000 or more, the offering price is reduced.


Statement of operations—year ended April 30, 2018 Wells Fargo Absolute Return Fund 15

Investment incomeDividends from affiliated investment companies . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 136,226,196

ExpensesManagement fee . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,506,213Administration fees

Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,156,799Class C . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,446,917Class R . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,262Class R6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,979Administrator Class . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 320,665Institutional Class . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,456,674

Shareholder servicing feesClass A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,377,142Class C . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,722,520Class R . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,502Administrator Class . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 616,157

Distribution feesClass C . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,167,561Class R . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,502

Custody and accounting fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24,578Professional fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50,603Registration fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 151,136Shareholder report expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 588,091Trustees’ fees and expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,248Other fees and expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 125,278

Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,743,827Less: Fee waivers and/or expense reimbursements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (824,101)

Net expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28,919,726

Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 107,306,470

REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTSNet realized gains on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,405,452Net change in unrealized gains (losses) on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 245,367,476

Net realized and unrealized gains (losses) on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 261,772,928

Net increase in net assets resulting from operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $369,079,398


16 Wells Fargo Absolute Return Fund Statement of changes in net assets

Year endedApril 30, 2018

Year endedApril 30, 2017

OperationsNet investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 107,306,470 $ 62,791,349Net realized gains (losses) on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,405,452 (177,096,650)Net change in unrealized gains (losses) on investments . . . . . . . . . . . . . . . . . . . . . . . . 245,367,476 562,274,089

Net increase in net assets resulting from operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 369,079,398 447,968,788

Distributions to shareholders fromNet investment income

Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (9,408,721) (5,821,922)Class C . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (6,375,512) 0Class R . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (4,480) (7,045)Class R6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (955,835) (116,905)Administrator Class . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (4,226,442) (3,758,342)Institutional Class . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (90,625,040) (47,222,699)

Total distributions to shareholders . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (111,596,030) (56,926,913)

Capital share transactions Shares SharesProceeds from shares sold

Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,985,939 45,281,967 5,243,059 54,837,320Class C . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,127,436 35,016,593 2,598,816 26,553,467Class R . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,303 214,620 78,735 810,279Class R6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,123,629 35,699,083 613,623 6,599,400Administrator Class . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,555,544 29,155,651 5,237,782 54,707,991Institutional Class . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 80,890,157 920,815,025 174,507,418 1,809,018,186

1,066,182,939 1,952,526,643

Reinvestment of distributionsClass A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 732,700 8,308,823 514,997 5,314,766Class C . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 500,886 5,589,886 0 0Class R . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16 184 338 3,472Class R6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82,831 939,299 10,385 107,169Administrator Class . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 364,796 4,144,083 358,190 3,703,682Institutional Class . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,634,478 75,234,979 3,787,270 39,122,494

94,217,254 48,251,583

Payment for shares redeemedClass A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (13,273,439) (150,272,256) (67,658,813) (707,084,139)Class C . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (18,920,056) (209,697,879) (51,207,978) (523,929,726)Class R . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (56,798) (639,402) (14,692) (153,428)Class R6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (451,000) (5,129,814) (89,036) (949,233)Administrator Class . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (10,603,706) (120,532,571) (116,456,444) (1,196,858,673)Institutional Class . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (95,116,208) (1,082,787,960) (226,863,030) (2,373,841,969)

(1,569,059,882) (4,802,817,168)

Net decrease in net assets resulting from capital share transactions . . . . . . . . . . . . . . . (408,659,689) (2,802,038,942)

Total decrease in net assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (151,176,321) (2,410,997,067)

Net assetsBeginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,746,807,401 8,157,804,468

End of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $5,595,631,080 $5,746,807,401

Undistributed net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 51,574,245 $ 55,863,805


Financial highlights Wells Fargo Absolute Return Fund 17

(For a share outstanding throughout each period)

Year ended April 30 Year endedSeptember 30, 2013CLASS A 2018 2017 2016 2015 20141

Net asset value, beginning of period $10.90 $10.25 $11.15 $11.39 $10.94 $10.16

Net investment income 0.192 0.082 0.11 0.142 0.10 0.08Net realized and unrealized gains (losses) on investments 0.51 0.65 (0.88) (0.01) 0.51 0.73

Total from investment operations 0.70 0.73 (0.77) 0.13 0.61 0.81

Distributions to shareholders fromNet investment income (0.20) (0.08) (0.01) (0.26) (0.16) (0.03)Net realized gains 0.00 0.00 (0.12) (0.11) (0.00)3 0.00

Total distributions to shareholders (0.20) (0.08) (0.13) (0.37) (0.16) (0.03)

Net asset value, end of period $11.40 $10.90 $10.25 $11.15 $11.39 $10.94

Total return4 6.45% 7.15% (6.82)% 1.23% 5.66% 8.02%

Ratios to average net assets (annualized)Gross expenses5 0.68% 0.67% 0.68% 0.71% 0.72% 0.73%Net expenses5 0.68% 0.67% 0.68% 0.71% 0.72% 0.73%Net investment income5 1.67% 0.78% 0.87% 1.21% 1.55% 0.92%

Supplemental dataPortfolio turnover rate 5% 2% 8% 6% 0% 0%Net assets, end of period (000s omitted) $516,085 $586,785 $1,185,631 $1,954,792 $2,277,448 $1,512,891

1 For the seven months ended April 30, 2014. The Fund changed its fiscal year end from September 30 to April 30, effective April 30, 2014.2 Calculated based upon average shares outstanding3 Amount is less than $0.005.4 Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized.5 Ratios do not reflect net expenses of GMO Benchmark-Free Allocation Fund, Class MF. Including net expenses allocated from GMO Benchmark-Free

Allocation Fund, Class MF, the ratios would be increased by the following amounts:

Year ended April 30, 2018 0.60%Year ended April 30, 2017 0.59%Year ended April 30, 2016 0.59%Year ended April 30, 2015 0.55%Year ended April 30, 20141 0.54%Year ended September 30, 2013 0.50%


18 Wells Fargo Absolute Return Fund Financial highlights


Year ended April 30 Year endedSeptember 30, 2013CLASS C 2018 2017 2016 2015 20141


Net investment income 0.102 0.002 0.012 0.062 0.06 0.03Net realized and unrealized gains (losses) on investments 0.50 0.65 (0.85) (0.01) 0.50 0.70


Distributions to shareholders fromNet investment income (0.11) 0.00 0.00 (0.20) (0.11) (0.02)Net realized gains 0.00 0.00 (0.12) (0.11) (0.00)3 0.00

Total distributions to shareholders (0.11) 0.00 (0.12) (0.31) (0.11) (0.02)


Total return4 5.60% 6.47% (7.59)% 0.47% 5.23% 7.20%



1 For the seven months ended April 30, 2014. The Fund changed its fiscal year end from September 30 to April 30, effective April 30, 2014.2 Calculated based upon average shares outstanding3 Amount is less than $0.005.4 Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized.5 Ratios do not reflect net expenses of GMO Benchmark-Free Allocation Fund, Class MF. Including net expenses allocated from GMO Benchmark-Free






Year ended April 30

CLASS R 2018 2017 20161

Net asset value, beginning of period $10.82 $10.22 $10.19

Net investment income (loss) 0.12 0.13 (0.05)2

Net realized and unrealized gains (losses) on investments 0.55 0.57 0.26

Total from investment operations 0.67 0.70 0.21

Distributions to shareholders fromNet investment income (0.12) (0.10) (0.06)Net realized gains 0.00 0.00 (0.12)

Total distributions to shareholders (0.12) (0.10) (0.18)

Net asset value, end of period $11.37 $10.82 $10.22

Total return3 6.21% 6.91% 2.10%

Ratios to average net assets (annualized)Gross expenses4 0.93% 0.93% 0.93%Net expenses4 0.93% 0.93% 0.93%Net investment income (loss)4 0.85% 1.40% (0.92)%

Supplemental dataPortfolio turnover rate 5% 2% 8%Net assets, end of period (000s omitted) $368 $756 $56

1 For the period from September 30, 2015 (commencement of class operations) to April 30, 20162 Calculated based upon average shares outstanding3 Returns for periods of less than one year are not annualized.4 Ratios do not reflect net expenses of GMO Benchmark-Free Allocation Fund, Class MF. Including net expenses allocated from GMO Benchmark-Free


Year ended April 30, 2018 0.60%Year ended April 30, 2017 0.59%Year ended April 30, 20161 0.59%




Year ended April 30

CLASS R6 2018 2017 2016 20151

Net asset value, beginning of period $10.91 $10.26 $11.18 $11.32

Net investment income 0.312 0.142 0.102 0.092

Net realized and unrealized gains (losses) on investments 0.45 0.64 (0.82) 0.20

Total from investment operations 0.76 0.78 (0.72) 0.29

Distributions to shareholders fromNet investment income (0.26) (0.13) (0.08) (0.32)Net realized gains 0.00 0.00 (0.12) (0.11)

Total distributions to shareholders (0.26) (0.13) (0.20) (0.43)

Net asset value, end of period $11.41 $10.91 $10.26 $11.18

Total return3 6.97% 7.67% (6.42)% 2.68%

Ratios to average net assets (annualized)Gross expenses4 0.25% 0.25% 0.24% 0.24%Net expenses4 0.25% 0.25% 0.24% 0.24%Net investment income4 2.69% 1.37% 0.99% 1.67%

Supplemental dataPortfolio turnover rate 5% 2% 8% 6%Net assets, end of period (000s omitted) $46,753 $14,636 $8,274 $84

1 For the period from October 31, 2014 (commencement of class operations) to April 30, 20152 Calculated based upon average shares outstanding3 Returns for periods of less than one year are not annualized.4 Ratios do not reflect net expenses of GMO Benchmark-Free Allocation Fund, Class MF. Including net expenses allocated from GMO Benchmark-Free


Year ended April 30, 2018 0.60%Year ended April 30, 2017 0.59%Year ended April 30, 2016 0.59%Year ended April 30, 20151 0.55%




Year ended April 30 Year endedSeptember 30, 2013ADMINISTRATOR CLASS 2018 2017 2016 2015 20141


Net investment income 0.192 0.072 0.142 0.142 0.11 0.09Net realized and unrealized gains (losses) on investments 0.53 0.68 (0.91) 0.01 0.51 0.75





Total return4 6.62% 7.31% (6.85)% 1.40% 5.74% 8.25%



1 For the seven months ended April 30, 2014. The Fund changed its fiscal year end from September 30 to April 30, effective April 30, 2014.2 Calculated based upon average shares outstanding3 Amount is less than $0.005.4 Returns for periods of less than one year are not annualized.5 Ratios do not reflect net expenses of GMO Benchmark-Free Allocation Fund, Class MF. Including net expenses allocated from GMO Benchmark-Free






Year ended April 30 Year endedSeptember 30, 20132INSTITUTIONAL CLASS 2018 2017 2016 2015 20141


Net investment income 0.24 0.14 0.113 0.233 0.12 0.143

Net realized and unrealized gains (losses) on investments 0.50 0.63 (0.84) (0.05) 0.52 0.71





Total return5 6.78% 7.58% (6.51)% 1.65% 5.93% 8.41%


Supplemental dataPortfolio turnover rate 5% 2% 8% 6% 0% 0%Net assets, end of period (000s omitted) $4,189,647 $4,091,536 $4,346,360 $4,824,238 $2,180,627 $982,490

1 For the seven months ended April 30, 2014. The Fund changed its fiscal year end from September 30 to April 30, effective April 30, 2014.2 For the period from November 30, 2012 (commencement of class operations) to September 30, 20133 Calculated based upon average shares outstanding4 Amount is less than $0.005.5 Returns for periods of less than one year are not annualized.6 Ratios do not reflect net expenses of GMO Benchmark-Free Allocation Fund, Class MF. Including net expenses allocated from GMO Benchmark-Free




Notes to financial statements Wells Fargo Absolute Return Fund 23

1. ORGANIZATIONWells Fargo Funds Trust (the “Trust”), a Delaware statutory trust organized on March 10, 1999, is an open-endmanagement investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”).As an investment company, the Trust follows the accounting and reporting guidance in Financial Accounting StandardsBoard Accounting Standards Codification Topic 946, Financial Services – Investment Companies. These financial statementsreport on the Wells Fargo Absolute Return Fund (the “Fund”) which is a diversified series of the Trust.

The Fund invests all of its investable assets in the GMO Benchmark-Free Allocation Fund (the “Benchmark-Free AllocationFund”), an investment company managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”). Benchmark-FreeAllocation Fund is a fund-of-funds that gains its investment exposures primarily by investing in GMO ImplementationFund. In addition, Benchmark-Free Allocation Fund may invest in other GMO Funds (together with GMO ImplementationFund, the “underlying funds”), whether currently existing or created in the future. These additional underlying funds mayinclude, among others, GMO Alpha Only Fund, GMO Emerging Country Debt Fund, GMO Opportunistic Income Fund,GMO Special Opportunities Fund, and GMO SGM Major Markets Fund. GMO Implementation Fund is permitted to investin any asset class. Benchmark-Free Allocation Fund also may invest in securities (including other underlying funds) andderivatives. As of April 30, 2018, the Fund owned 42% of Benchmark-Free Allocation Fund. Because the Fund invests all ofits assets in Benchmark-Free Allocation Fund, the shareholders of the Fund bear the fees and expense of Benchmark-FreeAllocation Fund, which are not included in the Statement of Operations, but are incurred indirectly because they areconsidered in the calculation of the net asset value of Benchmark-Free Allocation Fund. As a result, the Fund’s actualexpenses may be higher than those of other mutual funds that invest directly in securities.

2. SIGNIFICANT ACCOUNTING POLICIESThe following significant accounting policies, which are consistently followed in the preparation of the financialstatements of the Fund, are in conformity with U.S. generally accepted accounting principles which require managementto make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosure of contingentassets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses duringthe reporting period. Actual results could differ from those estimates.

Securities valuationAll investments are valued each business day as of the close of regular trading on the New York Stock Exchange(generally 4 p.m. Eastern Time), although the Fund may deviate from this calculation time under unusual or unexpectedcircumstances.

The Fund values its investment in Benchmark-Free Allocation Fund at net asset value. The valuation of investments insecurities and the underlying funds held by Benchmark-Free Allocation Fund is discussed in the annual report ofBenchmark-Free Allocation Fund, which is included in the mailing of this shareholder report. An unaudited Statement ofAssets and Liabilities and an unaudited Schedule of Investments for Benchmark-Free Allocation Fund as of April 30, 2018have also been included as Appendix II in this report for your reference.

Investment transactions and income recognitionInvestment transactions in Benchmark-Free Allocation Fund are recorded on a trade date basis. Realized gains and lossesresulting from investment transactions in Benchmark-Free Allocation Fund are determined on the identified cost basis.

Income dividends and capital gain distributions from Benchmark-Free Allocation Fund are recorded on the ex-dividenddate. Capital gain distributions from Benchmark-Free Allocation Fund are treated as realized gains.

Distributions to shareholdersDistributions to shareholders from net investment income and net realized gains are recorded on the ex-dividend dateand paid at least annually. Such distributions are determined in accordance with income tax regulations and may differfrom U.S. generally accepted accounting principles. Dividend sources are estimated at the time of declaration. The taxcharacter of distributions is determined as of the Fund’s fiscal year end. Therefore, a portion of the Fund’s distributionsmade prior to the Fund’s fiscal year end may be categorized as a tax return of capital at year end.

Federal and other taxesThe Fund intends to continue to qualify as a regulated investment company by distributing substantially all of itsinvestment company taxable income and any net realized capital gains (after reduction for capital loss carryforwards)sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provision for federal income taxeswas required.

24 Wells Fargo Absolute Return Fund Notes to financial statements

The Fund’s income and federal excise tax returns and all financial records supporting those returns for the prior threefiscal years are subject to examination by the federal and Delaware revenue authorities. Management has analyzed theFund’s tax positions taken on federal, state, and foreign tax returns for all open tax years and does not believe that thereare any uncertain tax positions that require recognition of a tax liability.

As of April 30, 2018, the aggregate cost of all investments for federal income tax purposes was $5,126,701,675 and theunrealized gains (losses) consisted of:

Gross unrealized gains $ 515,253,013

Gross unrealized losses (107,128,227)

Net unrealized gains $ 408,124,786

As of April 30, 2018, the Fund had capital loss carryforwards which consist of $3,791,016 in short-term capital losses and$479,327,467 in long-term capital losses.

Class allocationsThe separate classes of shares offered by the Fund differ principally in applicable sales charges, distribution, shareholderservicing, and administration fees. Class specific expenses are charged directly to that share class. Investment income,common expenses, and realized and unrealized gains (losses) on investments are allocated daily to each class of sharesbased on the relative proportion of net assets of each class.

3. FAIR VALUATION MEASUREMENTSAs of April 30, 2018, the Fund’s investment in Benchmark-Free Allocation Fund was measured at fair value using the netasset value per share as a practical expedient. Benchmark-Free Allocation Fund seeks positive total return, not “relative”return, by investing in asset classes GMO believes offer the most attractive return and risk opportunities. The Fund’sinvestment in Benchmark-Free Allocation Fund valued at $5,534,826,461 does not have a redemption period notice, canbe redeemed daily and does not have any unfunded commitments.

4. TRANSACTIONS WITH AFFILIATES

Management feeWells Fargo Funds Management, LLC (“Funds Management”), an indirect wholly owned subsidiary of Wells Fargo &Company (“Wells Fargo”), is the manager of the Fund and provides advisory and fund-level administrative services underan investment management agreement. Under the investment management agreement, Funds Management isresponsible for, among other services, implementing the investment objectives and strategies of the Fund, supervisingthe subadviser, providing fund-level administrative services in connection with the Fund’s operations, and providing anyother fund-level administrative services reasonably necessary for the operation of the Fund. As compensation for itsservices under the investment management agreement, Funds Management is entitled to receive an annualmanagement fee starting at 0.225% and declining to 0.16% as the average daily net assets of the Fund increase. For theyear ended April 30, 2018, the management fee was equivalent to an annual rate of 0.20% of the Fund’s average daily netassets.

Administration feesUnder a class-level administration agreement, Funds Management provides class-level administrative services to theFund, which includes paying fees and expenses for services provided by the transfer agent, sub-transfer agents, omnibusaccount servicers and record-keepers. As compensation for its services under the class-level administration agreement,Funds Management receives an annual fee which is calculated based on the average daily net assets of each class asfollows:

Class-leveladministration fee

Class A, Class C, Class R 0.21%

Class R6 0.03

Administrator Class, Institutional Class 0.13

Notes to financial statements Wells Fargo Absolute Return Fund 25

Funds Management has contractually waived and/or reimbursed management and administration fees to the extentnecessary to maintain certain net operating expense ratios for the Fund. Waiver of fees and/or reimbursement ofexpenses by Funds Management were made first from fund level expenses on a proportionate basis and then from classspecific expenses. Funds Management has committed through August 31, 2018 to waive fees and/or reimburse expensesto the extent necessary to cap the Fund’s expenses (excluding expenses of Benchmark-Free Allocation Fund and acquiredfund fees and expenses) at 0.71% for Class A shares, 1.46% for Class C shares, 0.96% for Class R shares, 0.28% for Class R6shares, 0.57% for Administrator Class shares, and 0.33% for Institutional Class shares. After this time, the cap may beincreased or the commitment to maintain the cap may be terminated only with the approval of the Board of Trustees.

Distribution feesThe Trust has adopted a distribution plan for Class C and Class R shares of the Fund pursuant to Rule 12b-1 under the1940 Act. Distribution fees are charged to Class C and Class R shares and paid to Wells Fargo Funds Distributor, LLC(“Funds Distributor”), the principal underwriter, at an annual rate of 0.75% of the average daily net assets of Class C sharesand 0.25% of the average daily net assets of Class R shares.

In addition, Funds Distributor is entitled to receive the front-end sales charge from the purchase of Class A shares and acontingent deferred sales charge on the redemption of certain Class A shares. Funds Distributor is also entitled to receivethe contingent deferred sales charges from redemptions of Class C shares. For the year ended April 30, 2018, FundsDistributor received $48,438 from the sale of Class A shares and $1,139 in contingent deferred sales charges fromredemptions of Class C shares. No contingent deferred sales charges were incurred by Class A shares for the year endedApril 30, 2018.

Shareholder servicing feesThe Trust has entered into contracts with one or more shareholder servicing agents, whereby Class A, Class C, Class R, andAdministrator Class of the Fund are charged a fee at an annual rate of 0.25% of the average daily net assets of eachrespective class.

A portion of these total shareholder servicing fees were paid to affiliates of Wells Fargo.

5. INVESTMENT TRANSACTIONSFor the year ended April 30, 2018, the Fund made aggregate purchases and sales of $257,149,776 and $656,273,629,respectively, in its investment in Benchmark-Free Allocation Fund.

As a result of its investment in Benchmark-Free Allocation Fund, the Fund incurs purchase premium and redemption fees.These purchase premium and redemption fees are paid by the Fund to Benchmark-Free Allocation Fund to help offsetestimated portfolio transaction and related costs incurred as a result of a purchase or redemption order by allocatingestimated transaction costs to the purchasing or redeeming shareholder. The Fund is currently charged 0.20% forpurchases and redemptions which are reflected in paid in capital. GMO reassesses these fees annually.

6. BANK BORROWINGSThe Trust (excluding the money market funds and certain other funds) and Wells Fargo Variable Trust are parties to a$280,000,000 revolving credit agreement whereby the Fund is permitted to use bank borrowings for temporary oremergency purposes, such as to fund shareholder redemption requests. Interest under the credit agreement is chargedto the Fund based on a borrowing rate equal to the higher of the Federal Funds rate in effect on that day plus 1.25% orthe overnight LIBOR rate in effect on that day plus 1.25%. In addition, an annual commitment fee equal to 0.25% of theunused balance is allocated to each participating fund. Prior to August 29, 2017, the revolving credit agreement amountwas $250,000,000.

For the year ended April 30, 2018, there were no borrowings by the Fund under the agreement.

7. DISTRIBUTIONS TO SHAREHOLDERSThe tax character of distributions paid during the years ended April 30, 2018 and April 30, 2017 were as follows:

Year ended April 30

2018 2017

Ordinary income $111,596,030 $56,926,913

26 Wells Fargo Absolute Return Fund Notes to financial statements

As of April 30, 2018, the components of distributable earnings on a tax basis were as follows:

Undistributedordinaryincome

Unrealizedgains

Capital losscarryforward

$51,574,245 $408,124,786 $(483,118,483)

8. INDEMNIFICATIONUnder the Trust’s organizational documents, the officers and Trustees have been granted certain indemnification rightsagainst certain liabilities that may arise out of performance of their duties to the Trust. Additionally, in the normal courseof business, the Trust may enter into contracts with service providers that contain a variety of indemnification clauses.The Trust’s maximum exposure under these arrangements is dependent on future claims that may be made against theFund and, therefore, cannot be estimated

Report of independent registered public accounting firm Wells Fargo Absolute Return Fund 27

BOARD OF TRUSTEES AND SHAREHOLDERS OF WELLS FARGO FUNDS TRUST:

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities of the Wells Fargo Absolute Return Fund (the “Fund”),one of the funds constituting the Wells Fargo Funds Trust, including the portfolio of investments, as of April 30, 2018, and therelated statements of operations for the year then ended, the statements of changes in net assets for each of the years in thetwo-year period then ended, and the related notes (collectively, the “financial statements”) and the financial highlights for eachof the years in the four-year period then ended, the period from October 1, 2013 to April 30, 2014 and the year endedSeptember 30, 2013. In our opinion, the financial statements and financial highlights present fairly, in all material respects, thefinancial position of the Fund as of April 30, 2018, the results of its operations for the year then ended, the changes in its netassets for each of the years in the two-year period then ended and the financial highlights for each of the years or periods notedabove, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility isto express an opinion on these financial statements and financial highlights based on our audits. We are a publicaccounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and arerequired to be independent with respect to the Fund in accordance with the U.S. federal securities laws and theapplicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan andperform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are freeof material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks ofmaterial misstatement of the financial statements and financial highlights, whether due to error or fraud, and performingprocedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding theamounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmationof securities owned as of April 30, 2018, by correspondence with the custodian and brokers, or by other appropriateauditing procedures. Our audits also included evaluating the accounting principles used and significant estimates madeby management, as well as evaluating the overall presentation of the financial statements and financial highlights. Webelieve that our audits provide a reasonable basis for our opinion.

We have not been able to determine the specific year that we began serving as the auditor of one or more Wells FargoFunds investment companies, however we are aware that we have served as the auditor of one or more Wells FargoFunds investment companies since at least 1955.

Boston, MassachusettsJune 25, 2018

28 Wells Fargo Absolute Return Fund Other information (unaudited)

TAX INFORMATIONFor corporate shareholders, pursuant to Section 854 of the Internal Revenue Code, 15.59% of ordinary income dividendsqualify for the corporate dividends-received deduction for the fiscal year ended April 30, 2018.

Pursuant to Section 854 of the Internal Revenue Code, $87,872,494 of income dividends paid during the fiscal year endedApril 30, 2018 has been designated as qualified dividend income (QDI).

PROXY VOTING INFORMATIONA description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfoliosecurities is available, upon request, by calling 1-800-222-8222, visiting our website at wellsfargofunds.com, or visitingthe SEC website at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during themost recent 12-month period ended June 30 is available on the Fund’s website at wellsfargofunds.com or by visitingthe SEC website at sec.gov.

PORTFOLIO HOLDINGS INFORMATIONThe complete portfolio holdings for the Fund are publicly available monthly on the Fund’s website (wellsfargofunds.com),on a one-month delayed basis. In addition, top ten holdings information (excluding derivative positions) for the Fund ispublicly available on the Fund’s website on a monthly, seven-day or more delayed basis. The Fund files its complete scheduleof portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q, which is available by visitingthe SEC website at sec.gov. In addition, the Fund’s Form N-Q may be reviewed and copied at the SEC’s Public Reference Roomin Washington, DC, and at regional offices in New York City, at 233 Broadway, and in Chicago, at 175 West Jackson Boulevard,Suite 900. Information about the Public Reference Room may be obtained by calling 1-800-SEC-0330.

Other information (unaudited) Wells Fargo Absolute Return Fund 29

BOARD OF TRUSTEES AND OFFICERSEach of the Trustees and Officers1 listed in the table below acts in identical capacities for each fund in the Wells Fargofamily of funds, which consists of 153 mutual funds comprising the Wells Fargo Funds Trust, Wells Fargo Variable Trust,Wells Fargo Master Trust and four closed-end funds (collectively the “Fund Complex”). This table should be read inconjunction with the Prospectus and the Statement of Additional Information2. The mailing address of each Trustee andOfficer is 525 Market Street, 12th Floor, San Francisco, CA 94105. Each Trustee and Officer serves an indefinite term,however, each Trustee serves such term until reaching the mandatory retirement age established by the Trustees.

Independent Trustees

Name andyear of birth

Position held andlength of service* Principal occupations during past five years or longer

Current otherpublic company orinvestment companydirectorships

William R. Ebsworth

(Born 1957)

Trustee, since 2015 Retired. From 1984 to 2013, equities analyst, portfolio manager, research

director and chief investment officer at Fidelity Management and

Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013

as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led

a team of investment professionals managing client assets. Prior thereto,

Board member of Hong Kong Securities Clearing Co., Hong Kong Options

Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments

Life Insurance Company, and Empire Fidelity Investments Life Insurance

Company. Board member of the Forté Foundation (non-profit

organization) and the Vincent Memorial Hospital Endowment (non-profit

organization), where he serves on the Investment Committee and as a

Chair of the Audit Committee. Mr. Ebsworth is a CFA® charterholder.

Asset Allocation Trust

Jane A. Freeman

(Born 1953)

Trustee, since 2015;

Chair Liaison, since 2018

Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of

Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman

provided consulting services related to strategic business projects. Prior

to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens &

Clark. Board member of the Harding Loevner Funds from 1996 to 2014,

serving as both Lead Independent Director and chair of the Audit

Committee. Board member of the Russell Exchange Traded Funds Trust

from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is a

Board Member of Ruth Bancroft Garden (non-profit organization) and the

Glimmerglass Festival. She is also an inactive Chartered Financial Analyst.


Isaiah Harris, Jr.

(Born 1952)

Trustee, since 2009 Retired. Chairman of the Board of CIGNA Corporation since 2009, and

Director since 2005. From 2003 to 2011, Director of Deluxe Corporation. Prior

thereto, President and CEO of BellSouth Advertising and Publishing Corp.

from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to

2005 and President of BellSouth Consumer Services from 2000 to 2003.

Emeritus member of the Iowa State University Foundation Board of

Governors. Emeritus Member of the Advisory Board of Iowa State University

School of Business. Advisory Board Member, Palm Harbor Academy (charter

school). Advisory Board Member, Child Evangelism Fellowship (non-profit).

Mr. Harris is a certified public accountant (inactive status).

CIGNA Corporation;


Judith M. Johnson

(Born 1949)


Audit Committee

Chairman, since 2008

Retired. Prior thereto, Chief Executive Officer and Chief Investment Officer

of Minneapolis Employees Retirement Fund from 1996 to 2008.

Ms. Johnson is an attorney, certified public accountant and a certified

managerial accountant.


David F. Larcker

(Born 1950)

Trustee, since 2009 James Irvin Miller Professor of Accounting at the Graduate School of

Business, Stanford University, Director of the Corporate Governance

Research Initiative and Senior Faculty of The Rock Center for Corporate

Governance since 2006. From 2005 to 2008, Professor of Accounting at

the Graduate School of Business, Stanford University. Prior thereto,

Ernst & Young Professor of Accounting at The Wharton School, University

of Pennsylvania from 1985 to 2005.


30 Wells Fargo Absolute Return Fund Other information (unaudited)


Position held andlength of service* Principal occupations during past five years or longer

Current otherpublic company orinvestment companydirectorships

Olivia S. Mitchell

(Born 1953)


Governance Committee

Chairman, since 2018

International Foundation of Employee Benefit Plans Professor, Wharton

School of the University of Pennsylvania since 1993. Director of Wharton’s

Pension Research Council and Boettner Center on Pensions & Retirement

Research, and Research Associate at the National Bureau of Economic

Research. Previously, Cornell University Professor from 1978 to 1993.


Timothy J. Penny

(Born 1951)

Trustee since 1996;

Chairman, since 2018;

Vice Chairman, from

2017 to 2018

President and Chief Executive Officer of Southern Minnesota Initiative

Foundation, a non-profit organization, since 2007. Member of the Board

of Trustees of NorthStar Education Finance, Inc., a non-profit

organization, since 2007.


James G. Polisson

(Born 1959)


Advisory Board Member,

from 2017 to 2018

Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015

to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a

management consulting, corporate advisory and principal investing

company. Chief Executive Officer and Managing Director at Russell

Investments, Global Exchange Traded Funds from 2010 to 2012.

Managing Director of Barclays Global Investors from 1998 to 2010 and

Global Chief Marketing Officer for iShares and Barclays Global Investors

from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a

non-profit organization, from 2013 to 2015. Board member of the Russell

Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays

Global Investors Holdings Deutschland GmbH from 2006 to 2009.

Mr. Polisson is an attorney and has a retired status with the Massachusetts

and District of Columbia Bar Associations.


Michael S. Scofield

(Born 1943)

Trustee, since 2010 Served on the Investment Company Institute’s Board of Governors and

Executive Committee from 2008-2011 as well the Governing Council of

the Independent Directors Council from 2006-2011 and the Independent

Directors Council Executive Committee from 2008-2011. Trustee of the

Evergreen Fund complex (and its predecessors) from 1984 to 2010.

Chairman of the Evergreen Funds from 2000-2010. Former Trustee of the

Mentor Funds. Retired Attorney, Law Offices of Michael S. Scofield.


Pamela Wheelock

(Born 1959)


Advisory Board Member,

from 2017 to 2018

Chief Operating Officer, Twin Cities Habitat for Humanity, since

January, 2017. Vice President of University Services, University of Minnesota

from 2012 to 2017. Prior thereto, on the Board of Directors, Governance

Committee and Finance Committee for the Minnesota Philanthropy Partners

(Saint Paul Foundation) from 2012 to 2018, Interim President and Chief

Executive Officer of Blue Cross Blue Shield of Minnesota from 2010 to 2011,

Chairman of the Board from 2009 to 2011 and Board Director from 2003 to

2015. Vice President, Leadership and Community Engagement, Bush

Foundation, Saint Paul, Minnesota (a private foundation) from 2009 to 2011.

Executive Vice President and Chief Financial Officer, Minnesota Sports and

Entertainment from 2004 to 2009 and Senior Vice President from 2002 to

2004. Commissioner of Finance, State of Minnesota, from 1999 to 2002.

Currently the Board Chair of the Minnesota Wild Foundation since 2010.


* Length of service dates reflect the Trustee’s commencement of service with the Trust’s predecessor entities, where applicable.

Other information (unaudited) Wells Fargo Absolute Return Fund 31

Officers


Position held andlength of service Principal occupations during past five years or longer

Andrew Owen

(Born 1960)

President, since 2017 Executive Vice President of Wells Fargo & Company and Head of Affiliated

Managers, Wells Fargo Asset Management, since 2014. In addition, Mr. Owen

is currently President, Chief Executive Officer and Director of Wells Fargo

Funds Management, LLC since 2017. Prior thereto, Executive Vice President

responsible for marketing, investments and product development for

Wells Fargo Funds Management, LLC, from 2009 to 2014.

Jeremy DePalma1

(Born 1974)

Treasurer, since 2012 Senior Vice President of Wells Fargo Funds Management, LLC since 2009.

Senior Vice President of Evergreen Investment Management Company, LLC

from 2008 to 2010 and head of the Fund Reporting and Control Team within

Fund Administration from 2005 to 2010.

Alexander Kymn*

(Born 1973)

Secretary, since 2018;

Chief Legal Officer,

since 2018

Senior Company Counsel of Wells Fargo Bank, N.A. since 2018 (previously

Senior Counsel from 2007 to 2018). Vice President of Wells Fargo Funds

Management, LLC from 2008 to 2014.

Michael H. Whitaker

(Born 1967)

Chief Compliance

Officer, since 2016

Senior Vice President and Chief Compliance Officer since 2016. Senior Vice

President and Chief Compliance Officer for Fidelity Investments from 2007 to

2016.

David Berardi

(Born 1975)

Assistant Treasurer,

since 2009

Vice President of Wells Fargo Funds Management, LLC since 2009. Vice

President of Evergreen Investment Management Company, LLC from 2008 to

2010. Manager of Fund Reporting and Control for Evergreen Investment

Management Company, LLC from 2004 to 2010.

1 Jeremy DePalma acts as Treasurer of 76 funds and Assistant Treasurer of 77 funds in the Fund Complex.2 The Statement of Additional Information includes additional information about the Trustees and is available, without charge, upon request, by calling

1-800-222-8222 or by visiting the website at wellsfargofunds.com.

* Alexander Kymn became the Secretary and Chief Legal Officer effective April 17, 2018.

32 Wells Fargo Absolute Return Fund Appendix I (unaudited)

SALES CHARGE REDUCTIONS AND WAIVERS FOR CERTAIN INTERMEDIARIES

AmeripriseEffective June 1, 2018, shareholders purchasing Fund shares through an Ameriprise Financial platform or account will beeligible only for the following Class A load waivers (front-end sales charge waivers), which may differ from those disclosedelsewhere in the Fund’s prospectus or Statement of Additional Information.

Front-end Sales Load Waivers on Class A Shares Available at Ameriprise Financial

• Employer-sponsored retirement plans (e.g., 401(k) plans, 457 plans, employer-sponsored 403(b) plans, profitsharing and money purchase pension plans and defined benefit plans). For purposes of this provision,employer-sponsored retirement plans do not include SEP IRAs, Simple IRAs or SAR-SEPs.

• Shares purchased through an Ameriprise Financial investment advisory program (if an Advisory or similar shareclass for such investment advisory program is not available)

• Shares purchased by third party investment advisors on behalf of their advisory clients through AmeripriseFinancial’s platform (if an Advisory or similar share class for such investment advisory program is not available)

• Shares purchased through reinvestment of distributions and dividend reinvestment when purchasing shares ofthe same Fund (but not any other fund within the same fund family)

• Shares exchanged from Class C shares of the same fund in the month of or following the 10-year anniversary ofthe purchase date. To the extent that the Fund’s prospectus elsewhere provides for a waiver with respect tosuch shares following a shorter holding period, that waiver will apply to exchanges following such shorterperiod. To the extent that the Fund’s prospectus elsewhere provides for a waiver with respect to exchanges ofClass C shares for load-waived shares, that waiver will also apply to such exchanges.

• Employees and registered representatives of Ameriprise Financial or its affiliates and their immediate familymembers

• Shares purchased by or through qualified accounts (including IRAs, Coverdell Education Savings Accounts,401(k)s, 403(b) TSCAs subject to ERISA and defined benefit plans) that are held by a covered family member,defined as an Ameriprise financial advisor and/or the advisor’s spouse, advisor’s lineal ascendant (mother,father, grandmother, grandfather, great grandmother, great grandfather), advisor’s lineal descendant (son,step-son, daughter, step-daughter, grandson, granddaughter, great grandson, great granddaughter) or anyspouse of a covered family member who is a lineal descendant

• Shares purchased from the proceeds of redemptions within the same fund family, provided (1) the repurchaseoccurs within 90 days following the redemption, (2) the redemption and purchase occur in the same account,and (3) redeemed shares were subject to a front-end or deferred sales load (i.e. Rights of Reinstatement).Subject to the Fund’s policy regarding frequent purchases and redemptions of Fund shares, you may not beable to repurchase shares for the first 30 days after your redemption.

Automatic Exchange of Class C Shares Available at Ameriprise Financial

• Class C shares will automatically exchange to Class A shares in the month of the 10-year anniversary of thepurchase date.

Merrill LynchEffective April 10, 2017, shareholders purchasing Fund shares through a Merrill Lynch platform or account will be eligibleonly for the following load waivers (front-end sales charge waivers and contingent deferred, or back-end, sales chargewaivers) and discounts, which may differ from those disclosed elsewhere in the Fund’s prospectus or Statement ofAdditional Information.

Front-end Sales Load Waivers on Class A Shares available at Merrill Lynch

• Employer-sponsored retirement, deferred compensation and employee benefit plans (including health savingsaccounts) and trusts used to fund those plans, provided that the shares are not held in a commission-basedbrokerage account and shares are held for the benefit of the plan

• Shares purchased by or through a 529 Plan• Shares purchased through a Merrill Lynch affiliated investment advisory program

Appendix I (unaudited) Wells Fargo Absolute Return Fund 33

• Shares purchased by third party investment advisors on behalf of their advisory clients through Merrill Lynch’splatform

• Shares of funds purchased through the Merrill Edge Self-Directed platform (if applicable)• Shares purchased through reinvestment of capital gains distributions and dividend reinvestment when

purchasing shares of the same fund (but not any other fund within the fund family)• Shares exchanged from Class C (i.e. level-load) shares of the same fund in the month of or following the 10-year

anniversary of the purchase date• Employees and registered representatives of Merrill Lynch or its affiliates and their family members, as defined

by Merrill Lynch, which may differ from the definition of family member in the Fund’s prospectus.• Directors or Trustees of the Fund, and employees of the Fund’s investment adviser or any of its affiliates, as

described in the Fund’s prospectus• Shares purchased from the proceeds of redemptions within the same fund family, provided (1) the repurchase

occurs within 90 days following the redemption, (2) the redemption and purchase occur in the same account,and (3) redeemed shares were subject to a front-end or deferred sales load (known as Rights of Reinstatement).Subject to the Fund’s policy regarding frequent purchases and redemptions of Fund shares, you may not beable to repurchase shares for the first 30 days after your redemption.

CDSC Waivers on A, B and C Shares available at Merrill Lynch

• Death or disability of the shareholder• Shares sold as part of a systematic withdrawal plan as described in the Fund’s prospectus• Return of excess contributions from an IRA Account• Shares sold as part of a required minimum distribution for IRA and retirement accounts due to the shareholder

reaching age 70 1⁄2• Shares sold to pay Merrill Lynch fees but only if the transaction is initiated by Merrill Lynch• Shares acquired through a right of reinstatement• Shares held in retirement brokerage accounts, that are exchanged for a lower cost share class due to transfer to

certain fee based accounts or platforms (applicable to A and C shares only)

Front-end load Discounts Available at Merrill Lynch: Breakpoints, Rights of Accumulation & Letters of Intent

• Breakpoints as described in the Fund’s prospectus• Rights of Accumulation (ROA) which entitle shareholders to breakpoint discounts will be automatically

calculated based on the aggregated holding of fund family assets held by accounts within the purchaser’shousehold at Merrill Lynch. Eligible fund family assets not held at Merrill Lynch may be included in the ROAcalculation only if the shareholder notifies his or her financial advisor about such assets.

• Letters of Intent (LOI) which allow for breakpoint discounts based on anticipated purchases within a fundfamily, through Merrill Lynch, over a 13-month period of time (if applicable)

Morgan StanleyEffective on or about July 1, 2018, shareholders purchasing Fund shares through a Morgan Stanley Wealth Managementtransactional brokerage account will be eligible only for the following Class A load waivers (front-end sales chargewaivers), which may differ from and be more limited than those disclosed in the Fund’s prospectus or Statement ofAdditional Information.

Front-end Sales Load Waivers on Class A Shares Available at Morgan Stanley

• Employer-sponsored retirement plans (e.g., 401(k) plans, 457 plans, employer-sponsored 403(b) plans, profitsharing and money purchase pension plans and defined benefit plans). For purposes of this provision,employer-sponsored retirement plans do not include SEP IRAs, Simple IRAs, SAR-SEPs or Keogh plans.

• Morgan Stanley employee and employee-related accounts according to Morgan Stanley’s account linking rules• Shares purchased through reinvestment of dividends and capital gains distributions when purchasing shares of

the same fund• Shares purchased through a Morgan Stanley self-directed brokerage account

34 Wells Fargo Absolute Return Fund Appendix I (unaudited)

• Class C (i.e., level-load) shares that are no longer subject to a contingent deferred sales charge and areexchanged to Class A shares of the same fund pursuant to Morgan Stanley Wealth Management’s share classexchange program.

• Shares purchased from the proceeds of redemptions within the same fund family, provided (i) the repurchaseoccurs within 90 days following the redemption, (ii) the redemption and purchase occur in the same account,and (iii) redeemed shares were subject to a front-end or deferred sales charge. This waiver is subject to theFund’s policy regarding frequent purchases and redemption of Fund shares, as discussed under “AccountInformation—Frequent Purchases and Redemptions of Fund Shares” in the Fund’s prospectus.

Appendix II (unaudited) 35

GMO Benchmark-Free Allocation Fund(A Series of GMO Trust)Schedule of Investments(showing percentage of total net assets)April 30, 2018 (Unaudited)

Shares Description Value ($)

MUTUAL FUNDS — 99.9%

Affiliated Issuers — 99.9%11,726,648 GMO Emerging Country Debt Fund,

Class IV 331,277,808

772,061,352 GMO Implementation Fund 10,770,255,862

20,070,465 GMO Opportunistic Income Fund,Class VI 532,268,739

30,767,103 GMO SGM Major Markets Fund,Class VI 1,002,699,887

26,236,986 GMO Special Opportunities Fund,Class VI 635,197,433

TOTAL MUTUAL FUNDS(COST $12,473,664,497) 13,271,699,729

SHORT-TERM INVESTMENTS — 0.1%

Money Market Funds — 0.1%6,756,880 State Street Institutional Treasury

Plus Money Market Fund-PremierClass, 1.61% (a) 6,756,880

TOTAL SHORT-TERMINVESTMENTS(COST $6,756,880) 6,756,880

TOTAL INVESTMENTS — 100.0%(Cost $12,480,421,377) 13,278,456,609

Other Assets and Liabilities(net) — (0.0%) (5,595,126)

TOTAL NET ASSETS — 100.0% $13,272,861,483

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of April 30, 2018.

36 Appendix II (unaudited)

GMO Benchmark-Free Allocation Fund(A Series of GMO Trust)

Statement of Assets and Liabilities — April 30, 2018 (Unaudited)

Assets:Investments in affiliated issuers, at value(a) $ 13,271,699,729

Investments in unaffiliated issuers, at value(b) 6,756,880

Receivable for Fund shares sold 2,580,346

Dividends and interest receivable 3,430

Receivable for expenses reimbursed and/or waived by GMO 1,837,448

Miscellaneous receivable 3,754

Total assets 13,282,881,587

Liabilities:Payable for Fund shares repurchased 707,645

Payable to affiliate for:

Management fee 7,627,088

Supplemental support fee – Class MF 486,986

Shareholder service fee 909,289

Payable to agents unaffiliated with GMO 2,400

Payable to Trustees and related expenses 47,557

Accrued expenses 239,139

Total liabilities 10,020,104

Net assets $13,272,861,483

Net assets consist of:Paid-in capital $ 12,879,727,940

Accumulated undistributed (distributions in excess of) net investment income (17,437,671)

Accumulated net realized gain (loss) (387,464,018)

Net unrealized appreciation (depreciation) 798,035,232

$13,272,861,483

Net assets attributable to:Class III $ 5,005,941,544

Class IV $ 2,732,917,009

Class MF $ 5,534,002,930

Shares outstanding:Class III 182,063,785

Class IV 99,395,712

Class MF 201,120,148

Net asset value per share:Class III $ 27.50

Class IV $ 27.50

Class MF $ 27.52

(a) Cost of investments – affiliated issuers: $ 12,473,664,497

(b) Cost of investments – unaffiliated issuers: $ 6,756,880

For more information

More information about Wells Fargo Funds is availablefree upon request. To obtain literature, please write,email, visit the Fund’s website, or call:

Wells Fargo FundsP.O. Box 8266Boston, MA 02266-8266

Email: [email protected]: wellsfargofunds.comIndividual investors: 1-800-222-8222Retail investment professionals: 1-888-877-9275Institutional investment professionals: 1-866-765-0778

This report and the financial statements contained herein are submitted for thegeneral information of the shareholders of the Fund. If this report is used forpromotional purposes, distribution of the report must be accompanied or preceded bya current prospectus. Before investing, please consider the investment objectives, risks,charges, and expenses of the investment. For a current prospectus and, if available, asummary prospectus, containing this information, call 1-800-222-8222 or visit theFund’s website at wellsfargofunds.com. Read the prospectus carefully before youinvest or send money.Wells Fargo Asset Management (WFAM) is a trade name used by the asset management businesses ofWells Fargo & Company. Wells Fargo Funds Management, LLC, a wholly owned subsidiary ofWells Fargo & Company, provides investment advisory and administrative services for Wells FargoFunds. Other affiliates of Wells Fargo & Company provide subadvisory and other services for thefunds. The funds are distributed by Wells Fargo Funds Distributor, LLC, Member FINRA, an affiliateof Wells Fargo & Company. Neither Wells Fargo Funds Distributor nor Wells Fargo Funds Managementholds fund shareholder accounts or assets. This material is for general informational and educationalpurposes only and is NOT intended to provide investment advice or a recommendation of any kind—including a recommendation for any specific investment, strategy, or plan.

NOT FDIC INSURED ▪ NO BANK GUARANTEE ▪ MAY LOSE VALUE

© 2018 Wells Fargo Funds Management, LLC. All rights reserved.

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AnnualReport - Wells Fargo Funds · Letter to shareholders (unaudited) Wells Fargo Absolute Return Fund 3 Volatilityincreasedduringthethirdquarterof2017,butfavorabledata curbedconcerns