GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Schedule of Investments
July 31, 2021 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||
Corporate Obligations – 4.7% | ||||||||||||
Airlines(a)(b) – 0.3% | ||||||||||||
Azul Investments LLP | ||||||||||||
$ | 602,000 | 7.250 | % | 06/15/26 | $ 564,089 | |||||||
| ||||||||||||
Banks(a)(b)(c) – 0.2% | ||||||||||||
Banco Nacional de Comercio Exterior SNC (5 year CMT + 2.000%) | ||||||||||||
398,000 | 2.720 | 08/11/31 | 398,995 | |||||||||
| ||||||||||||
Insurance(a)(b) – 0.4% | ||||||||||||
Sagicor Financial Co. Ltd. | ||||||||||||
599,000 | 5.300 | 05/13/28 | 624,458 | |||||||||
| ||||||||||||
Oil Field Services – 2.1% | ||||||||||||
MC Brazil Downstream Trading s.a.r.l(b) | ||||||||||||
1,012,000 | 7.250 | 06/30/31 | 1,052,176 | |||||||||
Petroleos del Peru SA | ||||||||||||
1,141,000 | 5.625 | 06/19/47 | 1,172,720 | |||||||||
Petroleos Mexicanos | ||||||||||||
201,000 | 5.500 | 06/27/44 | 165,046 | |||||||||
Petronas Capital Ltd.(a) | ||||||||||||
611,000 | 3.500 | 04/21/30 | 668,990 | |||||||||
Saudi Arabian Oil Co.(a)(b) | ||||||||||||
365,000 | 1.250 | 11/24/23 | 368,308 | |||||||||
| ||||||||||||
3,427,240 | ||||||||||||
| ||||||||||||
Pipelines – 0.8% | ||||||||||||
Galaxy Pipeline Assets Bidco, Ltd. | ||||||||||||
363,000 | 2.160 | 03/31/34 | 359,109 | |||||||||
466,000 | 2.625 | 03/31/36 | 460,757 | |||||||||
460,000 | 2.940 | 09/30/40 | 462,300 | |||||||||
| ||||||||||||
1,282,166 | ||||||||||||
| ||||||||||||
Real Estate Investment Trust(a)(b) – 0.9% | ||||||||||||
New Residential Investment Corp. | ||||||||||||
1,500,000 | 6.250 | 10/15/25 | 1,498,125 | |||||||||
| ||||||||||||
TOTAL CORPORATE OBLIGATIONS (Cost $7,785,003) | $ 7,795,073 | |||||||||||
|
Shares | Description | Value | ||||
Common Stocks – 41.0% | ||||||
Aerospace & Defense(d) – 0.1% | ||||||
3,924 | Aerojet Rocketdyne Holdings, Inc. | $ 185,134 | ||||
|
| |||||
Air Freight & Logistics – 0.3% | ||||||
1,902 | DSV PANALPINA A/S | 463,641 | ||||
|
| |||||
Automobiles – 0.3% | ||||||
6,255 | Daimler AG | 558,193 | ||||
|
|
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
Banks – 2.0% | ||||||
85,142 | Banco Bilbao Vizcaya Argentaria SA* | $ 545,035 | ||||
88,837 | Banco Santander SA* | 325,424 | ||||
8,359 | BNP Paribas SA | 509,725 | ||||
37,985 | China Merchants Bank Co. Ltd. Class H | 288,973 | ||||
26,179 | Credit Agricole SA | 365,027 | ||||
19,992 | ICICI Bank Ltd. ADR | 371,651 | ||||
124 | KakaoBank Corp.* | 4,204 | ||||
5,090 | Royal Bank of Canada | 514,793 | ||||
107,299 | Sberbank of Russia PJSC | 448,593 | ||||
| ||||||
3,373,425 | ||||||
|
| |||||
Biotechnology* – 0.3% | ||||||
1,149 | Genmab A/S | 519,324 | ||||
|
| |||||
Building Products – 1.3% | ||||||
7,017 | Carrier Global Corp. | 387,689 | ||||
20,022 | Johnson Controls International PLC | 1,429,971 | ||||
1,783 | Trane Technologies PLC | 363,037 | ||||
| ||||||
2,180,697 | ||||||
|
| |||||
Capital Markets – 0.9% | ||||||
999 | BlackRock, Inc. | 866,303 | ||||
278 | Coinbase Global, Inc. Class A* | 65,769 | ||||
5,509 | London Stock Exchange Group PLC | 574,431 | ||||
| ||||||
1,506,503 | ||||||
|
| |||||
Chemicals – 1.3% | ||||||
2,830 | Air Liquide SA | 492,161 | ||||
4,996 | Kraton Corp.*(d) | 190,797 | ||||
5,010 | Linde PLC | 1,540,024 | ||||
| ||||||
2,222,982 | ||||||
|
| |||||
Commercial Services & Supplies(d) – 0.2% | ||||||
18,959 | Covanta Holding Corp. | 381,076 | ||||
|
| |||||
Communications Equipment – 0.7% | ||||||
20,833 | Cisco Systems, Inc. | 1,153,523 | ||||
|
| |||||
Construction Materials – 0.4% | ||||||
2,103 | Martin Marietta Materials, Inc. | 764,020 | ||||
|
| |||||
Consumer Finance(d) – 0.0% | ||||||
1,914 | Santander Consumer USA Holdings, Inc. | 78,531 | ||||
|
| |||||
Diversified Consumer Services(e) – 0.0% | ||||||
5,019 | Gymboree Holding Corp. | — | ||||
|
| |||||
Diversified Financial Services* – 0.1% | ||||||
8,424 | Cerved Group SpA | 98,878 | ||||
|
| |||||
Diversified Telecommunication Services – 1.0% | ||||||
12,157 | Cellnex Telecom SA(b) | 792,838 | ||||
|
|
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Schedule of Investments (continued)
July 31, 2021 (Unaudited)
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
Diversified Telecommunication Services – (continued) | ||||||
83,568 | ORBCOMM, Inc.*(d) | $ 943,483 | ||||
| ||||||
1,736,321 | ||||||
|
| |||||
Electric Utilities – 0.3% | ||||||
7,286 | NextEra Energy, Inc. | 567,579 | ||||
|
| |||||
Electrical Equipment – 0.3% | ||||||
2,569 | Schneider Electric SE | 430,277 | ||||
|
| |||||
Electronic Equipment, Instruments & Components – 0.6% | ||||||
1,990 | CDW Corp/DE. | 364,867 | ||||
1,449 | Coherent, Inc.*(d) | 356,367 | ||||
15,056 | Hollysys Automation Technologies Ltd. | 227,044 | ||||
| ||||||
948,278 | ||||||
|
| |||||
Equity Real Estate Investment Trusts (REITs) – 0.8% | ||||||
3,009 | American Tower Corp. | 850,945 | ||||
1,480 | SBA Communications Corp. | 504,665 | ||||
| ||||||
1,355,610 | ||||||
|
| |||||
Food Products – 0.1% | ||||||
1,560 | Nestle SA | 197,542 | ||||
|
| |||||
Health Care Equipment & Supplies – 0.5% | ||||||
2,712 | Danaher Corp. | 806,793 | ||||
|
| |||||
Health Care Providers & Services*(d) – 0.2% | ||||||
25,528 | New Frontier Health Corp. | 266,768 | ||||
|
| |||||
Hotels, Restaurants & Leisure – 1.5% | ||||||
1,220 | Airbnb, Inc. Class A* | 175,692 | ||||
34,281 | Crown Resorts Ltd.* | 217,491 | ||||
47,044 | Esc Diamond Resorts International, Inc.(e) | — | ||||
3,990 | Evolution AB(b) | 694,261 | ||||
31,030 | Great Canadian Gaming Corp.* | 1,101,819 | ||||
2,176 | Hilton Worldwide Holdings, Inc.* | 286,035 | ||||
| ||||||
2,475,298 | ||||||
|
| |||||
Industrial Conglomerates – 0.3% | ||||||
945 | Roper Technologies, Inc. | 464,316 | ||||
2,292 | Toshiba Corp. | 98,651 | ||||
| ||||||
562,967 | ||||||
|
| |||||
Insurance – 1.3% | ||||||
5,262 | Aon PLC Class A(f) | 1,368,278 | ||||
2,499 | Trupanion, Inc.* | 287,435 | ||||
2,317 | Willis Towers Watson PLC(d) | 477,487 | ||||
| ||||||
2,133,200 | ||||||
|
| |||||
Interactive Media & Services* – 2.1% | ||||||
191 | Alphabet, Inc. Class A | 514,655 | ||||
175 | Alphabet, Inc. Class C | 473,273 | ||||
5,477 | Facebook, Inc. Class A | 1,951,455 | ||||
276 | Match Group, Inc. | 43,959 | ||||
|
|
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
Interactive Media & Services* – (continued) | ||||||
7,111 | Snap, Inc. Class A | $ 529,201 | ||||
| ||||||
3,512,543 | ||||||
|
| |||||
Internet & Direct Marketing Retail* – 0.3% | ||||||
51 | Amazon.com, Inc. | 169,707 | ||||
3 | Just Eat Takeaway.com NV ADR(d) | 53 | ||||
1,170 | Stamps.com, Inc. | 382,309 | ||||
| ||||||
552,069 | ||||||
|
| |||||
IT Services – 3.6% | ||||||
5,658 | Accenture PLC Class A | 1,797,433 | ||||
134 | Adyen NV*(b) | 363,146 | ||||
1,506 | Afterpay Ltd.* | 107,050 | ||||
1,709 | Capgemini SE | 369,405 | ||||
4,893 | Fidelity National Information Services, Inc. | 729,302 | ||||
548 | Global Payments, Inc. | 105,989 | ||||
1,222 | Mastercard, Inc. Class A | 471,619 | ||||
141 | MongoDB, Inc.* | 50,608 | ||||
4,153 | Nuvei Corp.* | 340,546 | ||||
2,296 | Repay Holdings Corp.* | 57,193 | ||||
204 | Shopify, Inc. Class A* | 305,986 | ||||
6,204 | StoneCo Ltd. Class A* | 365,043 | ||||
510 | Twilio, Inc. Class A* | 190,531 | ||||
2,527 | Visa, Inc. Class A | 622,627 | ||||
7,719 | Wise PLC Class A* | 105,256 | ||||
| ||||||
5,981,734 | ||||||
|
| |||||
Life Sciences Tools & Services – 0.5% | ||||||
9,686 | Avantor, Inc.* | 364,000 | ||||
375 | Lonza Group AG | 291,985 | ||||
4,136 | PPD, Inc.*(d) | 190,752 | ||||
| ||||||
846,737 | ||||||
|
| |||||
Machinery – 0.4% | ||||||
6,732 | Otis Worldwide Corp. | 602,851 | ||||
|
| |||||
Media* – 0.1% | ||||||
1,067 | Cardlytics, Inc. | 134,399 | ||||
|
| |||||
Metals & Mining – 1.5% | ||||||
4,894 | Anglo American PLC | 216,873 | ||||
21,624 | ArcelorMittal SA | 758,668 | ||||
156,322 | Glencore PLC* | 702,065 | ||||
32,758 | Vale SA | 684,061 | ||||
7,669 | Vale SA ADR | 161,202 | ||||
| ||||||
2,522,869 | ||||||
|
| |||||
Oil, Gas & Consumable Fuels – 0.9% | ||||||
23,794 | Inpex Corp. | 168,760 | ||||
4,285 | LUKOIL PJSC | 367,934 | ||||
37,254 | Petroleo Brasileiro SA ADR | 397,500 | ||||
59,287 | Rosneft Oil Co. PJSC | 440,162 | ||||
4,517 | TotalEnergies SE | 196,972 | ||||
| ||||||
1,571,328 | ||||||
|
|
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Schedule of Investments (continued)
July 31, 2021 (Unaudited)
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
Personal Products – 0.3% | ||||||
1,025 | L’Oreal SA | $ 468,931 | ||||
|
| |||||
Pharmaceuticals – 2.1% | ||||||
13,290 | AstraZeneca PLC | 1,527,152 | ||||
16,806 | AstraZeneca PLC ADR(d) | 961,976 | ||||
10,573 | Novo Nordisk A/S Class B | 978,756 | ||||
| ||||||
3,467,884 | ||||||
|
| |||||
Professional Services(d) – 0.5% | ||||||
6,848 | IHS Markit Ltd. | 800,120 | ||||
|
| |||||
Real Estate Management & Development – 0.5% | ||||||
8,286 | CBRE Group, Inc. Class A* | 799,268 | ||||
28 | Deutsche Wohnen SE | 1,748 | ||||
| ||||||
801,016 | ||||||
|
| |||||
Road & Rail – 0.1% | ||||||
639 | Kansas City Southern(d) | 171,124 | ||||
397 | Uber Technologies, Inc.* | 17,254 | ||||
| ||||||
188,378 | ||||||
|
| |||||
Semiconductors & Semiconductor Equipment – 5.3% | ||||||
1,807 | Advanced Micro Devices, Inc.* | 191,885 | ||||
9,843 | Analog Devices, Inc. | 1,647,915 | ||||
2,922 | ASML Holding NV | 2,234,964 | ||||
4,921 | Dialog Semiconductor PLC* | 378,506 | ||||
2,366 | Marvell Technology, Inc. | 143,167 | ||||
12,357 | Maxim Integrated Products, Inc.(d) | 1,234,588 | ||||
2,988 | NVIDIA Corp. | 582,630 | ||||
943 | Qorvo, Inc.* | 178,783 | ||||
3,325 | Siltronic AG | 548,584 | ||||
264 | Skyworks Solutions, Inc. | 48,711 | ||||
39,142 | Taiwan Semiconductor Manufacturing Co. Ltd. | 818,048 | ||||
5,485 | Xilinx, Inc.(d) | 821,872 | ||||
| ||||||
8,829,653 | ||||||
|
| |||||
Software – 5.8% | ||||||
457 | Adobe, Inc.* | 284,085 | ||||
1,931 | Atlassian Corp. PLC Class A* | 627,807 | ||||
1,887 | Autodesk, Inc.* | 605,972 | ||||
2,812 | Avalara, Inc.* | 470,082 | ||||
1,972 | Ceridian HCM Holding, Inc.* | 194,045 | ||||
12,030 | Cloudera, Inc.*(d) | 190,916 | ||||
4,096 | Dynatrace, Inc.* | 261,612 | ||||
347 | HubSpot, Inc.* | 206,819 | ||||
2,226 | Intuit, Inc. | 1,179,713 | ||||
967 | Medallia, Inc.*(d) | 32,752 | ||||
6,724 | Microsoft Corp.(f) | 1,915,735 | ||||
3,558 | Nuance Communications, Inc.*(d) | 195,334 | ||||
6,911 | Proofpoint, Inc.*(d) | 1,207,075 | ||||
3,089 | salesforce.com, Inc.(d) | 747,322 | ||||
327 | salesforce.com, Inc.* | 79,111 | ||||
2,044 | ServiceNow, Inc.* | 1,201,647 | ||||
3,512 | Varonis Systems, Inc.* | 214,935 | ||||
611 | Workday, Inc. Class A* | 143,218 | ||||
|
|
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
Software – (continued) | ||||||
56 | Zscaler, Inc.* | $ 13,211 | ||||
| ||||||
9,771,391 | ||||||
|
| |||||
Specialty Retail*(b) – 0.2% | ||||||
12,655 | GrandVision NV | 425,590 | ||||
|
| |||||
Technology Hardware, Storage & Peripherals – 0.4% | ||||||
9,019 | Samsung Electronics Co. Ltd. | 616,326 | ||||
|
| |||||
Textiles, Apparel & Luxury Goods – 0.6% | ||||||
2,770 | Cie Financiere Richemont SA Class A | 354,475 | ||||
4,332 | NIKE, Inc. Class B | 725,653 | ||||
| ||||||
1,080,128 | ||||||
|
| |||||
Tobacco – 1.0% | ||||||
18,738 | British American Tobacco PLC | 696,911 | ||||
5,794 | Philip Morris International, Inc. | 579,921 | ||||
41,330 | Swedish Match AB | 370,109 | ||||
| ||||||
1,646,941 | ||||||
|
| |||||
| TOTAL COMMON STOCKS (Cost $55,471,565) | $68,787,448 | ||||
|
|
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Mortgage-Backed Obligations(c) – 5.6% | ||||||||||||||
Collateralized Mortgage Obligations – 4.5% | ||||||||||||||
Interest Only(g) – 1.9% | ||||||||||||||
FHLMC REMIC Series 4723, Class KS (-1x1M USD LIBOR + 6.150%) | ||||||||||||||
$ | 3,817,697 | 6.057 | % | 09/15/47 | $ 719,323 | |||||||||
FHLMC REMIC Series 4729, Class KS (-1x1M USD LIBOR + 6.150%) | ||||||||||||||
2,885,046 | 6.057 | 11/15/47 | 543,595 | |||||||||||
GNMA REMIC Series 2017-117, Class AS (-1x1M USD LIBOR + 6.200%) | ||||||||||||||
4,613,410 | 6.116 | 08/20/47 | 902,607 | |||||||||||
GNMA REMIC Series 2020-78, Class AS (-1x1M USD LIBOR + 6.150%) | ||||||||||||||
3,547,817 | 6.066 | 06/20/50 | 745,948 | |||||||||||
GNMA REMIC Series 2020-78, Class SQ (-1x1M USD LIBOR + 6.150%) | ||||||||||||||
1,756,534 | 6.066 | 06/20/50 | 351,709 | |||||||||||
| ||||||||||||||
3,263,182 | ||||||||||||||
| ||||||||||||||
Regular Floater(b) – 1.2% | ||||||||||||||
CHL GMSR Issuer Trust Series 2018-GT1, Class A (1M USD LIBOR + 2.750%) | ||||||||||||||
1,000,000 | 2.839 | 05/25/23 | 1,001,780 | |||||||||||
|
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Schedule of Investments (continued)
July 31, 2021 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Mortgage-Backed Obligations(c) – (continued) | ||||||||||||||
Regular Floater – (continued) | ||||||||||||||
CHL GMSR Issuer Trust Series 2018-GT1, Class B (1M USD LIBOR + 3.500%) | ||||||||||||||
$ | 1,000,000 | 3.589 | % | 05/25/23 | $ 999,999 | |||||||||
| ||||||||||||||
2,001,779 | ||||||||||||||
| ||||||||||||||
Sequential Floating Rate(b) – 1.4% | ||||||||||||||
Banc of America Funding Corp. Series 2015-R3, Class 1A2 | ||||||||||||||
2,730,790 | 0.505 | 03/27/36 | 2,319,239 | |||||||||||
| ||||||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS |
| $ 7,584,200 | ||||||||||||
| ||||||||||||||
Commercial Mortgage-Backed Securities(g) – 1.1% | ||||||||||||||
Interest Only – 1.1% | ||||||||||||||
GNMA REMIC Series 2020-118 Class IO | ||||||||||||||
$ | 9,427,064 | 0.966 | % | 06/16/62 | $ 788,066 | |||||||||
GNMA REMIC Series 2019-156, Class IO | ||||||||||||||
11,994,769 | 0.596 | 11/16/61 | 755,208 | |||||||||||
GNMA REMIC Series 2020-81, Class IO | ||||||||||||||
2,777,682 | 0.897 | 02/16/61 | 206,110 | |||||||||||
| ||||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| $ 1,749,384 | ||||||||||||
| ||||||||||||||
TOTAL MORTGAGE-BACKED OBLIGATIONS (Cost $9,175,353) |
| $ 9,333,584 | ||||||||||||
| ||||||||||||||
Asset-Backed Securities(c) – 7.1% | ||||||||||||||
Collateralized Loan Obligations(b) – 4.2% | ||||||||||||||
Catamaran CLO Ltd. Series 2013-1A, Class DR (3M USD LIBOR + 2.800%) | ||||||||||||||
$ | 1,750,000 | 2.929 | % | 01/27/28 | $ 1,744,053 | |||||||||
CVP CLO Ltd. Series 2017-2A, Class D (3M USD LIBOR + 2.650%) | ||||||||||||||
1,000,000 | 2.784 | 01/20/31 | 954,469 | |||||||||||
Shackleton CLO Ltd. Series 2013-3A, Class DR (3M USD LIBOR + 3.020%) | ||||||||||||||
1,500,000 | 3.146 | 07/15/30 | 1,438,446 | |||||||||||
Venture CLO Ltd. Series 2017-30A, Class D (3M USD LIBOR + 3.000%) | ||||||||||||||
1,500,000 | 3.126 | 01/15/31 | 1,470,765 | |||||||||||
Voya CLO Ltd. Series 2013-1A, Class CR (3M USD LIBOR + 2.950%) | ||||||||||||||
1,500,000 | 3.076 | 10/15/30 | 1,445,780 | |||||||||||
| ||||||||||||||
7,053,513 | ||||||||||||||
| ||||||||||||||
Home Equity – 2.9% | ||||||||||||||
Argent Securities, Inc. Asset-Backed Pass-Through Certificates Series 2005-W5, Class M1 (1M USD LIBOR + 0.690%) | ||||||||||||||
2,390,119 | 0.779 | 01/25/36 | 2,130,221 | |||||||||||
|
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Asset-Backed Securities(c) – (continued) | ||||||||||||||
Home Equity – (continued) | ||||||||||||||
GE-WMC Asset-Backed Pass Through Certificates Series 2005-1, Class M2 (1M USD LIBOR + 0.690%) | ||||||||||||||
$ | 2,136,721 | 0.779 | % | 10/25/35 | $ 2,045,521 | |||||||||
Securitized Asset Backed Receivables LLC Trust Series 2006-FR3, Class A3 (1M USD LIBOR + 0.500%) | ||||||||||||||
1,107,913 | 0.589 | 05/25/36 | 748,628 | |||||||||||
| ||||||||||||||
4,924,370 | ||||||||||||||
| ||||||||||||||
TOTAL ASSET-BACKED SECURITIES (Cost $11,294,702) |
| $ 11,977,883 | ||||||||||||
| ||||||||||||||
Foreign Debt Obligations – 5.2% | ||||||||||||||
Dominican Republic | ||||||||||||||
$ | 363,000 | 4.875 | %(b) | 09/23/32 | $ 376,612 | |||||||||
607,000 | 5.300 | 01/21/41 | 616,219 | |||||||||||
Kingdom of Bahrain(b) | ||||||||||||||
200,000 | 4.250 | 01/25/28 | 198,863 | |||||||||||
200,000 | 6.250 | 01/25/51 | 187,813 | |||||||||||
Kingdom of Jordan | ||||||||||||||
200,000 | 7.375 | 10/10/47 | 209,475 | |||||||||||
Panama Bonos del Tesoro | ||||||||||||||
398,000 | 3.362 | 06/30/31 | 402,229 | |||||||||||
Republic of Brazil(a) | ||||||||||||||
200,000 | 4.750 | 01/14/50 | 192,225 | |||||||||||
Republic of Colombia(a) | ||||||||||||||
1,592,000 | 4.125 | 02/22/42 | 1,529,912 | |||||||||||
Republic of Egypt(b) | ||||||||||||||
200,000 | 7.500 | 02/16/61 | 186,250 | |||||||||||
Republic of Ivory Coast | ||||||||||||||
360,000 | 6.125 | 06/15/33 | 388,080 | |||||||||||
Republic of Kazakhstan | ||||||||||||||
270,000 | 5.125 | 07/21/25 | 312,879 | |||||||||||
Republic of Kenya | ||||||||||||||
602,000 | 6.300 | (b) | 01/23/34 | 608,209 | ||||||||||
360,000 | 8.000 | 05/22/32 | 405,630 | |||||||||||
Republic of Pakistan | ||||||||||||||
398,000 | 8.875 | 04/08/51 | 409,984 | |||||||||||
200,000 | 7.375 | 04/08/31 | 200,522 | |||||||||||
Republic of Peru(a)(h) | ||||||||||||||
398,000 | 3.230 | 07/28/21 | 334,892 | |||||||||||
Republic of Qatar | ||||||||||||||
360,000 | 3.400 | (b) | 04/16/25 | 391,342 | ||||||||||
392,000 | 3.750 | 04/16/30 | 445,606 | |||||||||||
Republic of South Africa | ||||||||||||||
300,000 | 4.850 | 09/30/29 | 316,837 | |||||||||||
State of Israel(i) | ||||||||||||||
342,000 | 4.500 | 04/03/20 | 442,569 | |||||||||||
|
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Schedule of Investments (continued)
July 31, 2021 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Foreign Debt Obligations – (continued) | ||||||||||||||
Ukraine Government Bond | ||||||||||||||
$ | 565,000 | 7.750 | % | 09/01/27 | $ 618,251 | |||||||||
| ||||||||||||||
TOTAL FOREIGN DEBT OBLIGATIONS (Cost $8,632,116) |
| $ 8,774,399 | ||||||||||||
| ||||||||||||||
Shares | Dividend Rate | Value | ||||||||
Preferred Stocks – 0.7% | ||||||||||
Auto Manufacturers – 0.3% | ||||||||||
Volkswagen AG | ||||||||||
2,544 | 2.360 | % | $ 619,643 | |||||||
| ||||||||||
Banks – 0.3% | ||||||||||
Banco Bradesco SA | ||||||||||
61,152 | 4.900 | 284,728 | ||||||||
Itau Unibanco Holding SA | ||||||||||
40,385 | 14.150 | 234,948 | ||||||||
| ||||||||||
519,676 | ||||||||||
| ||||||||||
Oil & Gas – 0.1% | ||||||||||
Petroleo Brasileiro SA | ||||||||||
19,813 | 2.760 | 102,370 | ||||||||
| ||||||||||
TOTAL PREFERRED STOCKS (Cost $1,175,572) |
| $ 1,241,689 | ||||||||
| ||||||||||
Investment Company(j) – 32.8% | ||||||||||
Goldman Sachs Financial Square Government Fund - Institutional Shares | ||||||||||
$ | 55,037,310 | 0.026 | % | $ 55,037,310 | ||||||
(Cost $55,037,310) |
| |||||||||
| ||||||||||
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT – 97.1% (Cost $148,571,621) |
| $ 162,947,386 | ||||||||
| ||||||||||
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Short-term Investments(k) – 3.4% | ||||||||||||||
U.S. Treasury Obligation – 3.4% | ||||||||||||||
United States Cash Management Bills | ||||||||||||||
$ | 103,300 | 0.000 | % | 10/05/21 | $ 103,291 | |||||||||
180,000 | 0.000 | 10/19/21 | 179,979 | |||||||||||
140,000 | 0.000 | 10/26/21 | 139,982 | |||||||||||
United States Treasury Bills | ||||||||||||||
10,000 | 0.000 | 08/05/21 | 10,000 | |||||||||||
210,000 | 0.000 | 08/10/21 | 209,998 | |||||||||||
350,000 | 0.000 | 08/12/21 | 349,997 | |||||||||||
423,500 | 0.000 | 08/17/21 | 423,494 | |||||||||||
252,000 | 0.000 | 08/24/21 | 251,993 | |||||||||||
190,000 | 0.000 | (f) | 09/02/21 | 189,993 | ||||||||||
230,000 | 0.000 | (f) | 09/09/21 | 229,990 | ||||||||||
173,000 | 0.000 | (f) | 09/14/21 | 172,991 | ||||||||||
|
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Short-term Investments(k) – (continued) | ||||||||||||||
U.S. Treasury Obligation – (continued) | ||||||||||||||
$ | 60,000 | 0.000 | % | 09/23/21 | $ 59,996 | |||||||||
1,250,000 | 0.000 | (f) | 09/28/21 | 1,249,901 | ||||||||||
70,000 | 0.000 | 10/07/21 | 69,994 | |||||||||||
610,000 | 0.000 | (f) | 10/14/21 | 609,938 | ||||||||||
627,000 | 0.000 | (f) | 10/21/21 | 626,930 | ||||||||||
460,000 | 0.000 | (f) | 10/28/21 | 459,938 | ||||||||||
280,000 | 0.000 | 11/12/21 | 279,960 | |||||||||||
| ||||||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $5,618,504) |
| $ 5,618,365 | ||||||||||||
| ||||||||||||||
TOTAL INVESTMENTS BEFORE SHORT POSITIONS – 100.5% (Cost $154,190,125) |
| $168,565,751 | ||||||||||||
|
Shares | Description | Value | ||||
Common Stocks Sold Short – (2.9)% | ||||||
Capital Markets – (0.5)% | ||||||
1,943 | S&P Global, Inc. | $ (833,003) | ||||
|
| |||||
Electronic Equipment, Instruments & Components – (0.1)% | ||||||
1,335 | II-VI, Inc. | (93,196) | ||||
|
| |||||
Pharmaceuticals – (0.5)% | ||||||
16,806 | AstraZeneca PLC ADR | (961,975) | ||||
|
| |||||
Road & Rail – (0.1)% | ||||||
288 | Canadian National Railway Co. | (31,285) | ||||
1,239 | Canadian Pacific Railway Ltd. | (92,083) | ||||
| ||||||
(123,368) | ||||||
|
| |||||
Semiconductors & Semiconductor Equipment – (1.4)% | ||||||
9,453 | Advanced Micro Devices, Inc. | (1,003,814) | ||||
7,805 | Analog Devices, Inc. | (1,306,713) | ||||
| ||||||
(2,310,527) | ||||||
|
| |||||
Software – (0.3)% | ||||||
2,064 | salesforce.com, Inc. | (499,344) | ||||
|
| |||||
| TOTAL COMMON STOCKS SOLD SHORT (Cost $(4,086,877)) | $ (4,821,413) | ||||
|
| |||||
| TOTAL SECURITIES SOLD SHORT – (2.9)% (Cost $(4,086,877)) | $ (4,821,413) | ||||
|
| |||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 2.4% | 4,100,964 | ||||
|
| |||||
NET ASSETS – 100.0% | $167,845,302 | |||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Non-income producing security. | |
(a) | Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. | |
(b) | Exempt from registration under Rule 144A of the Securities Act of 1933. |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Schedule of Investments (continued)
July 31, 2021 (Unaudited)
(c) | Variable rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed is that which is in effect on July 31, 2021. | |
(d) | All or portion of security is pledged as collateral for short sales. Total market value of securities pledged as collateral on short sales amounts to $5,421,691, which represents approximately 3.2% of net assets as of July 31, 2021. | |
(e) | Significant unobservable inputs were used in the valuation of this portfolio security; i.e., Level 3. | |
(f) | All or a portion of security is segregated as collateral for options. | |
(g) | Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate. | |
(h) | Actual maturity date is July 28, 2121. | |
(i) | Actual maturity date is April 03, 2120. | |
(j) | Represents an affiliated issuer. | |
(k) | Issued with a zero coupon. Income is recognized through the accretion of discount. |
| ||
Currency Abbreviations: | ||
AUD | — Australian Dollar | |
CAD | — Canadian Dollar | |
CHF | — Swiss Franc | |
CLP | — Chilean Peso | |
CNH | — Chinese Yuan Renminbi Offshore | |
EUR | — Euro | |
GBP | — British Pound | |
HUF | — Hungarian Forint | |
INR | — Indian Rupee | |
JPY | — Japanese Yen | |
KRW | — South Korean Won | |
MXN | — Mexican Peso | |
NOK | — Norwegian Krone | |
NZD | — New Zealand Dollar | |
PLN | — Polish Zloty | |
RUB | — Russian Ruble | |
SEK | — Swedish Krona | |
SGD | — Singapore Dollar | |
TRY | — Turkish Lira | |
TWD | — Taiwan Dollar | |
USD | — U.S. Dollar | |
ZAR | — South African Rand | |
Investment Abbreviations: | ||
ADR | — American Depositary Receipt | |
CLO | — Collateralized Loan Obligation | |
CMT | — Constant Maturity Treasury Indexes | |
ETF | — Exchange Traded Fund | |
FHLMC | — Federal Home Loan Mortgage Corp. | |
GNMA | — Government National Mortgage Association | |
LIBOR | — London Interbank Offered Rate | |
LLC | — Limited Liability Company | |
LLP | — Limited Liability Partnership | |
PLC | — Public Limited Company | |
REMIC | — Real Estate Mortgage Investment Conduit | |
|
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Schedule of Investments (continued)
July 31, 2021 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At July 31, 2021, the Fund had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Gain | ||||||||||||||||
| ||||||||||||||||||||
Citibank NA | AUD | 16,000 | USD | 11,730 | 09/17/21 | $ | 15 | |||||||||||||
EUR | 1,000 | USD | 1,181 | 09/17/21 | 6 | |||||||||||||||
GBP | 10,000 | USD | 13,671 | 09/17/21 | 231 | |||||||||||||||
Deutsche Bank AG | CAD | 185,382 | EUR | 125,000 | 08/04/21 | 298 | ||||||||||||||
CAD | 400,000 | JPY | 34,635,680 | 08/04/21 | 4,889 | |||||||||||||||
CAD | 5,400,000 | USD | 4,291,816 | 08/04/21 | 36,476 | |||||||||||||||
CAD | 6,000 | USD | 4,792 | 09/17/21 | 17 | |||||||||||||||
CHF | 636,374 | GBP | 500,000 | 08/04/21 | 7,581 | |||||||||||||||
CHF | 7,250,000 | USD | 7,905,512 | 08/04/21 | 98,829 | |||||||||||||||
CLP | 76,261,000 | USD | 100,000 | 08/23/21 | 416 | |||||||||||||||
CNH | 70,038,869 | USD | 10,800,000 | 08/04/21 | 30,532 | |||||||||||||||
EUR | 1,125,000 | AUD | 1,787,019 | 08/04/21 | 23,200 | |||||||||||||||
EUR | 500,000 | CAD | 736,318 | 08/04/21 | 2,986 | |||||||||||||||
EUR | 100,000 | GBP | 85,026 | 08/04/21 | 447 | |||||||||||||||
EUR | 200,000 | HUF | 70,314,360 | 08/04/21 | 4,769 | |||||||||||||||
EUR | 800,000 | JPY | 103,759,911 | 08/04/21 | 3,238 | |||||||||||||||
EUR | 250,000 | NOK | 2,572,320 | 08/04/21 | 5,423 | |||||||||||||||
EUR | 100,000 | PLN | 453,910 | 08/04/21 | 811 | |||||||||||||||
EUR | 250,000 | SEK | 2,549,469 | 08/04/21 | 416 | |||||||||||||||
EUR | 3,750,000 | USD | 4,432,155 | 08/04/21 | 16,625 | |||||||||||||||
EUR | 490,000 | USD | 581,444 | 09/17/21 | 373 | |||||||||||||||
GBP | 875,000 | AUD | 1,627,397 | 08/04/21 | 21,968 | |||||||||||||||
GBP | 11,225,187 | EUR | 13,100,000 | 08/04/21 | 62,080 | |||||||||||||||
GBP | 750,000 | JPY | 113,522,428 | 08/04/21 | 7,684 | |||||||||||||||
GBP | 4,000,000 | USD | 5,484,805 | 08/04/21 | 75,244 | |||||||||||||||
GBP | 239,000 | USD | 330,227 | 09/17/21 | 2,024 | |||||||||||||||
HUF | 35,946,220 | EUR | 100,000 | 08/04/21 | 225 | |||||||||||||||
INR | 7,480,787 | USD | 100,000 | 08/20/21 | 362 | |||||||||||||||
INR | 7,513,130 | USD | 100,000 | 08/23/21 | 759 | |||||||||||||||
INR | 7,472,162 | USD | 100,000 | 08/26/21 | 173 | |||||||||||||||
INR | 7,470,000 | USD | 100,000 | 08/30/21 | 95 | |||||||||||||||
JPY | 115,683,160 | AUD | 1,400,000 | 08/04/21 | 27,107 | |||||||||||||||
JPY | 124,911,300 | CAD | 1,400,000 | 08/04/21 | 16,492 | |||||||||||||||
JPY | 498,534,724 | EUR | 3,800,000 | 08/04/21 | 36,347 | |||||||||||||||
JPY | 114,911,564 | GBP | 750,000 | 08/04/21 | 4,977 | |||||||||||||||
JPY | 123,621,000 | NZD | 1,600,000 | 08/04/21 | 12,169 | |||||||||||||||
JPY | 650,000,000 | USD | 5,888,316 | 08/04/21 | 36,820 | |||||||||||||||
MXN | 40,000,000 | USD | 1,996,066 | 08/04/21 | 12,281 | |||||||||||||||
NOK | 1,329,729 | EUR | 125,000 | 08/04/21 | 2,221 | |||||||||||||||
NOK | 896,608 | USD | 100,000 | 08/04/21 | 1,488 | |||||||||||||||
PLN | 459,671 | EUR | 100,000 | 08/04/21 | 684 | |||||||||||||||
RUB | 51,732,610 | USD | 700,000 | 08/04/21 | 6,987 | |||||||||||||||
SEK | 1,280,748 | EUR | 125,000 | 08/04/21 | 491 | |||||||||||||||
SEK | 869,796 | USD | 100,000 | 08/04/21 | 1,043 | |||||||||||||||
TRY | 6,175,055 | USD | 700,000 | 08/18/21 | 26,023 | |||||||||||||||
TRY | 4,510,736 | USD | 500,000 | 11/10/21 | 8,447 | |||||||||||||||
TWD | 2,799,500 | USD | 100,000 | 08/09/21 | 215 | |||||||||||||||
TWD | 2,800,795 | USD | 100,000 | 08/13/21 | 270 | |||||||||||||||
TWD | 5,601,800 | USD | 200,000 | 08/16/21 | 561 | |||||||||||||||
TWD | 8,409,673 | USD | 300,000 | 08/23/21 | 1,135 | |||||||||||||||
TWD | 2,798,600 | USD | 100,000 | 08/26/21 | 219 | |||||||||||||||
TWD | 5,602,963 | USD | 200,000 | 08/31/21 | 661 | |||||||||||||||
USD | 5,455,706 | AUD | 7,300,000 | 08/04/21 | 98,475 | |||||||||||||||
USD | 495,380 | AUD | 644,000 | 09/17/21 | 22,667 | |||||||||||||||
USD | 2,815,145 | CAD | 3,500,000 | 08/04/21 | 9,772 |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Schedule of Investments (continued)
July 31, 2021 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Gain | ||||||||||||||||
| ||||||||||||||||||||
Deutsche Bank AG (continued) | USD | 1,550,631 | CAD | 1,892,000 | 09/17/21 | $ | 34,141 | |||||||||||||
USD | 100,000 | CLP | 75,702,644 | 08/23/21 | 319 | |||||||||||||||
USD | 2,827,820 | EUR | 2,375,000 | 08/04/21 | 10,259 | |||||||||||||||
USD | 2,249,900 | EUR | 1,854,000 | 09/17/21 | 48,487 | |||||||||||||||
USD | 782,990 | GBP | 562,500 | 08/04/21 | 1,109 | |||||||||||||||
USD | 982,918 | GBP | 700,000 | 09/17/21 | 9,800 | |||||||||||||||
USD | 100,000 | HUF | 29,741,830 | 08/04/21 | 1,657 | |||||||||||||||
USD | 100,000 | KRW | 114,747,711 | 08/17/21 | 509 | |||||||||||||||
USD | 100,000 | KRW | 115,051,711 | 08/26/21 | 261 | |||||||||||||||
USD | 200,000 | KRW | 229,983,711 | 08/27/21 | 629 | |||||||||||||||
USD | 125,656 | MXN | 2,500,000 | 08/04/21 | 134 | |||||||||||||||
USD | 200,000 | NOK | 1,727,393 | 08/04/21 | 4,475 | |||||||||||||||
USD | 1,121,266 | NZD | 1,600,000 | 08/04/21 | 6,555 | |||||||||||||||
USD | 200,000 | RUB | 14,575,160 | 08/04/21 | 813 | |||||||||||||||
USD | 200,000 | SEK | 1,711,255 | 08/04/21 | 1,205 | |||||||||||||||
USD | 100,000 | TWD | 2,785,600 | 08/02/21 | 360 | |||||||||||||||
USD | 100,000 | TWD | 2,789,600 | 08/09/21 | 139 | |||||||||||||||
USD | 200,000 | TWD | 5,582,512 | 09/02/21 | 52 | |||||||||||||||
USD | 100,000 | ZAR | 1,423,346 | 08/04/21 | 2,897 | |||||||||||||||
Morgan Stanley & Co. | CAD | 71,000 | USD | 56,578 | 09/17/21 | 331 | ||||||||||||||
EUR | 711,000 | USD | 841,442 | 09/17/21 | 2,789 | |||||||||||||||
GBP | 2,000 | USD | 2,779 | 09/17/21 | 1 | |||||||||||||||
USD | 3,570 | EUR | 3,000 | 09/17/21 | 8 | |||||||||||||||
USD | 1,397 | GBP | 1,000 | 09/17/21 | 7 | |||||||||||||||
| ||||||||||||||||||||
TOTAL |
| $ | 862,681 | |||||||||||||||||
|
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Loss | ||||||||||||||||
| ||||||||||||||||||||
Citibank NA | AUD | 303,000 | USD | 224,622 | 09/17/21 | $ | (2,212 | ) | ||||||||||||
USD | 10,634 | EUR | 9,000 | 09/17/21 | (53 | ) | ||||||||||||||
USD | 6,857 | GBP | 5,000 | 09/17/21 | (94 | ) | ||||||||||||||
Deutsche Bank AG | AUD | 1,781,417 | EUR | 1,125,000 | 08/04/21 | (27,312 | ) | |||||||||||||
AUD | 1,622,944 | GBP | 875,000 | 08/04/21 | (25,236 | ) | ||||||||||||||
AUD | 3,200,000 | JPY | 263,823,560 | 08/04/21 | (56,537 | ) | ||||||||||||||
AUD | 6,200,000 | USD | 4,655,371 | 08/04/21 | (105,392 | ) | ||||||||||||||
AUD | 267,000 | USD | 198,903 | 09/17/21 | (2,918 | ) | ||||||||||||||
CAD | 734,611 | EUR | 500,000 | 08/04/21 | (4,355 | ) | ||||||||||||||
CAD | 2,400,000 | JPY | 212,711,220 | 08/04/21 | (15,304 | ) | ||||||||||||||
CAD | 2,600,000 | USD | 2,106,194 | 08/04/21 | (22,202 | ) | ||||||||||||||
CAD | 439,000 | USD | 355,031 | 09/17/21 | (3,160 | ) | ||||||||||||||
CHF | 156,768 | GBP | 125,000 | 08/04/21 | (673 | ) | ||||||||||||||
CLP | 74,893,256 | USD | 100,000 | 08/19/21 | (1,373 | ) | ||||||||||||||
CLP | 74,999,656 | USD | 100,000 | 08/26/21 | (1,254 | ) | ||||||||||||||
CLP | 75,381,856 | USD | 100,000 | 08/27/21 | (754 | ) | ||||||||||||||
CNH | 24,551,961 | USD | 3,800,000 | 08/04/21 | (3,382 | ) | ||||||||||||||
EUR | 250,000 | CAD | 373,891 | 08/04/21 | (3,102 | ) | ||||||||||||||
EUR | 13,100,000 | GBP | 11,258,128 | 08/04/21 | (107,873 | ) | ||||||||||||||
EUR | 100,000 | HUF | 36,035,830 | 08/04/21 | (521 | ) | ||||||||||||||
EUR | 5,500,000 | JPY | 721,313,853 | 08/04/21 | (50,334 | ) | ||||||||||||||
EUR | 100,000 | PLN | 457,642 | 08/04/21 | (158 | ) | ||||||||||||||
EUR | 250,000 | SEK | 2,564,573 | 08/04/21 | (1,339 | ) | ||||||||||||||
EUR | 4,125,000 | USD | 4,910,180 | 08/04/21 | (16,525 | ) | ||||||||||||||
EUR | 289,000 | USD | 345,458 | 09/17/21 | (2,303 | ) | ||||||||||||||
GBP | 750,000 | CHF | 952,469 | 08/04/21 | (9,061 | ) | ||||||||||||||
GBP | 1,447,865 | EUR | 1,700,000 | 08/04/21 | (4,229 | ) | ||||||||||||||
GBP | 2,125,000 | JPY | 325,650,910 | 08/04/21 | (14,727 | ) | ||||||||||||||
GBP | 1,062,500 | USD | 1,483,916 | 08/04/21 | (7,028 | ) | ||||||||||||||
GBP | 487,000 | USD | 686,892 | 09/17/21 | (9,880 | ) | ||||||||||||||
HUF | 70,020,060 | EUR | 200,000 | 08/04/21 | (5,743 | ) | ||||||||||||||
HUF | 29,957,500 | USD | 100,000 | 08/04/21 | (944 | ) | ||||||||||||||
JPY | 96,295,000 | AUD | 1,200,000 | 08/04/21 | (2,854 | ) | ||||||||||||||
JPY | 139,406,860 | CAD | 1,600,000 | 08/04/21 | (11,680 | ) | ||||||||||||||
JPY | 350,301,622 | EUR | 2,700,000 | 08/04/21 | (9,911 | ) | ||||||||||||||
JPY | 283,358,602 | GBP | 1,875,000 | 08/04/21 | (23,290 | ) | ||||||||||||||
JPY | 91,052,760 | NZD | 1,200,000 | 08/04/21 | (6,033 | ) | ||||||||||||||
JPY | 337,500,000 | USD | 3,079,305 | 08/04/21 | (2,791 | ) | ||||||||||||||
KRW | 115,032,000 | USD | 100,000 | 08/17/21 | (263 | ) |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Schedule of Investments (continued)
July 31, 2021 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Loss | ||||||||||||||||
| ||||||||||||||||||||
Deutsche Bank AG (continued) | KRW | 115,147,189 | USD | 100,000 | 08/26/21 | $ | (178 | ) | ||||||||||||
KRW | 115,335,189 | USD | 100,000 | 08/30/21 | (22 | ) | ||||||||||||||
KRW | 114,640,389 | USD | 100,000 | 09/02/21 | (628 | ) | ||||||||||||||
MXN | 19,500,000 | USD | 982,656 | 08/04/21 | (3,586 | ) | ||||||||||||||
NOK | 1,271,519 | EUR | 125,000 | 08/04/21 | (4,368 | ) | ||||||||||||||
NOK | 1,748,086 | USD | 200,000 | 08/04/21 | (2,133 | ) | ||||||||||||||
NZD | 2,400,000 | JPY | 184,371,280 | 08/04/21 | (8,588 | ) | ||||||||||||||
NZD | 1,600,000 | USD | 1,122,186 | 08/04/21 | (7,476 | ) | ||||||||||||||
PLN | 450,985 | EUR | 100,000 | 08/04/21 | (1,570 | ) | ||||||||||||||
RUB | 14,561,360 | USD | 200,000 | 08/04/21 | (1,002 | ) | ||||||||||||||
SEK | 2,540,876 | EUR | 250,000 | 08/04/21 | (1,414 | ) | ||||||||||||||
SEK | 858,726 | USD | 100,000 | 08/04/21 | (243 | ) | ||||||||||||||
TRY | 1,772,265 | USD | 200,000 | 11/10/21 | (231 | ) | ||||||||||||||
TWD | 2,789,400 | USD | 100,000 | 08/02/21 | (224 | ) | ||||||||||||||
USD | 291,729 | AUD | 400,000 | 08/04/21 | (1,818 | ) | ||||||||||||||
USD | 2,852,936 | CAD | 3,600,000 | 08/04/21 | (32,591 | ) | ||||||||||||||
USD | 6,404,643 | CHF | 5,875,000 | 08/04/21 | (81,630 | ) | ||||||||||||||
USD | 100,000 | CLP | 76,262,000 | 08/19/21 | (430 | ) | ||||||||||||||
USD | 100,000 | CLP | 76,839,244 | 08/31/21 | (1,156 | ) | ||||||||||||||
USD | 12,200,000 | CNH | 79,306,002 | 08/04/21 | (63,564 | ) | ||||||||||||||
USD | 3,981,127 | EUR | 3,375,000 | 08/04/21 | (22,773 | ) | ||||||||||||||
USD | 10,673 | EUR | 9,000 | 09/17/21 | (12 | ) | ||||||||||||||
USD | 5,342,507 | GBP | 3,875,000 | 08/04/21 | (43,793 | ) | ||||||||||||||
USD | 29,002 | GBP | 21,000 | 09/17/21 | (191 | ) | ||||||||||||||
USD | 100,000 | INR | 7,509,630 | 08/20/21 | (749 | ) | ||||||||||||||
USD | 100,000 | INR | 7,506,813 | 08/23/21 | (674 | ) | ||||||||||||||
USD | 100,000 | INR | 7,466,250 | 08/26/21 | (94 | ) | ||||||||||||||
USD | 100,000 | INR | 7,470,613 | 08/30/21 | (103 | ) | ||||||||||||||
USD | 9,610,271 | JPY | 1,062,500,000 | 08/04/21 | (75,051 | ) | ||||||||||||||
USD | 99,048 | JPY | 10,876,000 | 09/17/21 | (128 | ) | ||||||||||||||
USD | 1,947,881 | MXN | 39,500,000 | 08/04/21 | (35,363 | ) | ||||||||||||||
USD | 100,000 | NOK | 887,022 | 08/04/21 | (403 | ) | ||||||||||||||
USD | 485,906 | NZD | 700,000 | 08/04/21 | (1,779 | ) | ||||||||||||||
USD | 600,000 | RUB | 44,452,268 | 08/04/21 | (7,493 | ) | ||||||||||||||
USD | 100,000 | SGD | 135,616 | 08/04/21 | (88 | ) | ||||||||||||||
USD | 700,000 | TRY | 6,173,261 | 08/18/21 | (25,810 | ) | ||||||||||||||
USD | 400,000 | TRY | 3,622,900 | 11/10/21 | (8,371 | ) | ||||||||||||||
USD | 136 | TWD | 3,800 | 08/02/21 | — | |||||||||||||||
USD | 100,000 | TWD | 2,801,200 | 08/13/21 | (285 | ) | ||||||||||||||
USD | 200,000 | TWD | 5,600,621 | 08/16/21 | (518 | ) | ||||||||||||||
USD | 300,000 | TWD | 8,401,800 | 08/23/21 | (852 | ) | ||||||||||||||
USD | 200,000 | TWD | 5,600,135 | 08/26/21 | (543 | ) | ||||||||||||||
USD | 100,000 | TWD | 2,807,455 | 08/30/21 | (545 | ) | ||||||||||||||
ZAR | 1,434,771 | USD | 100,000 | 08/04/21 | (2,117 | ) | ||||||||||||||
Morgan Stanley & Co. | AUD | 57,000 | USD | 42,019 | 09/17/21 | (180 | ) | |||||||||||||
CAD | 2,000 | USD | 1,603 | 09/17/21 | — | |||||||||||||||
EUR | 3,000 | USD | 3,567 | 09/17/21 | (5 | ) | ||||||||||||||
GBP | 3,000 | USD | 4,171 | 09/17/21 | (1 | ) | ||||||||||||||
USD | 1,036,222 | EUR | 876,000 | 09/17/21 | (3,926 | ) | ||||||||||||||
USD | 16,516 | GBP | 12,000 | 09/17/21 | (162 | ) | ||||||||||||||
| ||||||||||||||||||||
TOTAL |
| $ | (1,007,661 | ) | ||||||||||||||||
|
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Schedule of Investments (continued)
July 31, 2021 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
FUTURES CONTRACTS — At July 31, 2021, the Fund had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||
| ||||||||||||
Long position contracts: | ||||||||||||
10 Year German Euro-Bund | 14 | 09/08/21 | $ | 2,932,385 | $ | 10,398 | ||||||
10 Year U.K. Long Gilt | 6 | 09/28/21 | 1,082,449 | (1,421 | ) | |||||||
10 Year U.S. Treasury Notes | 64 | 09/21/21 | 8,605,000 | 25,046 | ||||||||
2 Year German Euro-Schatz | 22 | 09/08/21 | 2,932,183 | 1,135 | ||||||||
2 Year U.S. Treasury Notes | 1 | 09/30/21 | 220,656 | 7 | ||||||||
20 Year U.S. Treasury Bonds | 14 | 09/21/21 | 2,306,063 | (2,326 | ) | |||||||
5 Year German Euro-Bobl | 7 | 09/08/21 | 1,123,995 | 3,081 | ||||||||
5 Year U.S. Treasury Notes | 27 | 09/30/21 | 3,360,023 | 1,460 | ||||||||
BIST 30 Index | 5 | 08/31/21 | 9,026 | 131 | ||||||||
CAC40 Index | 7 | 08/20/21 | 548,836 | 7,642 | ||||||||
Canada 10 Year Government Bonds | 2 | 09/20/21 | 237,272 | (659 | ) | |||||||
Cattle Feeder | 1 | 10/29/21 | 50,880 | (672 | ) | |||||||
Coffee | 1 | 09/20/21 | 67,331 | (115 | ) | |||||||
Copper | 2 | 08/13/21 | 485,342 | (29,283 | ) | |||||||
Copper | 1 | 08/17/21 | 242,731 | (14,147 | ) | |||||||
Copper | 1 | 08/26/21 | 242,756 | (5,247 | ) | |||||||
Copper | 1 | 09/15/21 | 242,944 | (6,345 | ) | |||||||
Copper | 1 | 09/16/21 | 242,856 | 1,478 | ||||||||
Copper | 2 | 09/17/21 | 485,718 | 4,214 | ||||||||
Copper | 1 | 09/29/21 | 242,977 | 8,257 | ||||||||
Copper | 2 | 10/06/21 | 486,148 | 6,366 | ||||||||
Copper | 3 | 10/07/21 | 729,263 | 18,103 | ||||||||
Copper | 1 | 10/08/21 | 243,088 | (1,546 | ) | |||||||
Copper | 1 | 10/15/21 | 243,150 | 5,697 | ||||||||
Copper | 2 | 10/19/21 | 486,350 | (3,146 | ) | |||||||
Copper | 1 | 10/21/21 | 243,113 | (1,478 | ) | |||||||
Copper | 1 | 10/22/21 | 243,113 | 7,134 | ||||||||
Copper | 1 | 10/27/21 | 243,188 | (1,517 | ) | |||||||
Copper | 2 | 10/29/21 | 486,400 | (569 | ) | |||||||
Crude Oil | 1 | 10/15/21 | 25,883 | 1,960 | ||||||||
DAX Index | 2 | 09/17/21 | 922,250 | 1,243 | ||||||||
DJIA E-Mini Index | 3 | 09/17/21 | 522,480 | (779 | ) | |||||||
E-mini Financial Select Sector | 1 | 09/17/21 | 112,263 | (914 | ) | |||||||
E-mini Russell 2000 Index | 7 | 09/17/21 | 777,560 | 1,655 | ||||||||
Euro Buxl 30 Year Bonds | 3 | 09/08/21 | 765,273 | 3,486 | ||||||||
Euro Stoxx 50 Index | 27 | 09/17/21 | 1,309,335 | 2,339 | ||||||||
Euro Stoxx 600 Index | 1 | 09/17/21 | 7,859 | 136 | ||||||||
French 10 Year Government Bonds | 9 | 09/08/21 | 1,730,406 | 5,192 | ||||||||
FTSE 100 Index | 3 | 09/17/21 | 290,503 | 3,209 | ||||||||
FTSE China A50 Index | 8 | 08/30/21 | 119,792 | (1,222 | ) | |||||||
FTSE JSE 40 Index | 1 | 09/16/21 | 42,553 | 484 | ||||||||
FTSE/MIB Index | 1 | 09/17/21 | 150,399 | (731 | ) | |||||||
Gasoline RBOB | 1 | 08/31/21 | 98,057 | 359 | ||||||||
Hang Seng Index | 3 | 08/30/21 | 499,868 | 7,638 | ||||||||
Italian 10 Year Government Bonds | 5 | 09/08/21 | 1,049,558 | (50 | ) | |||||||
Japan 10 Year Government Bonds | 2 | 09/13/21 | 2,776,537 | (1,370 | ) | |||||||
Lead | 1 | 08/05/21 | 60,319 | 5,841 | ||||||||
Lead | 1 | 08/17/21 | 60,199 | 5,368 | ||||||||
Lead | 1 | 08/24/21 | 60,061 | 5,895 | ||||||||
Lead | 2 | 08/26/21 | 120,044 | 10,702 | ||||||||
Lead | 1 | 09/07/21 | 59,906 | 6,453 | �� | |||||||
Lead | 1 | 09/17/21 | 59,820 | 6,533 | ||||||||
Lead | 1 | 09/28/21 | 59,736 | 2,547 | ||||||||
Lead | 1 | 10/21/21 | 59,575 | 1,009 | ||||||||
Lead | 2 | 10/22/21 | 119,142 | 809 |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Schedule of Investments (continued)
July 31, 2021 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
FUTURES CONTRACTS (continued)
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||
| ||||||||||||
Long position contracts (continued) | ||||||||||||
Lead | 1 | 10/29/21 | $ | 59,138 | $ | (403 | ) | |||||
Low Sulphur Gas Oil | 1 | 09/10/21 | 61,425 | 2,349 | ||||||||
Low Sulphur Gas Oil | 1 | 10/12/21 | 61,500 | 2,299 | ||||||||
Mexican Peso | 5 | 09/13/21 | 124,925 | 622 | ||||||||
Mini MSCI EAFE Index | 1 | 09/17/21 | 115,970 | 1,059 | ||||||||
MSCI Emerging Markets Index | 2 | 09/17/21 | 127,770 | (868 | ) | |||||||
Nasdaq 100 E-Mini Index | 2 | 09/17/21 | 598,230 | (1,668 | ) | |||||||
Natural Gas | 7 | 08/27/21 | 273,980 | (5,852 | ) | |||||||
Nickel | 1 | 08/24/21 | 117,302 | 16,319 | ||||||||
Nickel | 2 | 08/27/21 | 234,606 | 22,378 | ||||||||
Nickel | 1 | 09/07/21 | 117,306 | 10,051 | ||||||||
Nickel | 1 | 09/10/21 | 117,306 | 6,749 | ||||||||
Nickel | 2 | 09/24/21 | 234,544 | 14,368 | ||||||||
Nickel | 1 | 10/12/21 | 117,300 | 3,698 | ||||||||
Nickel | 1 | 10/26/21 | 117,312 | 639 | ||||||||
Nikkei 225 Index | 5 | 09/09/21 | 624,060 | (11,285 | ) | |||||||
New Zealand Dollar | 1 | 09/13/21 | 69,620 | (322 | ) | |||||||
Primary Aluminum | 1 | 08/05/21 | 64,975 | 3,807 | ||||||||
Primary Aluminum | 1 | 08/11/21 | 65,010 | 1,531 | ||||||||
Primary Aluminum | 1 | 08/13/21 | 65,028 | 4,598 | ||||||||
Primary Aluminum | 1 | 08/20/21 | 65,075 | 5,722 | ||||||||
Primary Aluminum | 1 | 08/24/21 | 65,119 | 3,308 | ||||||||
Primary Aluminum | 1 | 09/01/21 | 65,208 | 3,838 | ||||||||
Primary Aluminum | 1 | 09/07/21 | 64,956 | 3,516 | ||||||||
Primary Aluminum | 2 | 09/15/21 | 129,750 | 8,442 | ||||||||
Primary Aluminum | 1 | 09/16/21 | 64,863 | 3,072 | ||||||||
Primary Aluminum | 2 | 09/17/21 | 129,719 | 10,838 | ||||||||
Primary Aluminum | 1 | 10/13/21 | 64,838 | 2,059 | ||||||||
Primary Aluminum | 1 | 10/27/21 | 64,765 | 1,728 | ||||||||
Rapeseed | 1 | 10/29/21 | 30,991 | (505 | ) | |||||||
S&P 500 E-Mini Index | 29 | 09/17/21 | 6,364,775 | (34,389 | ) | |||||||
S&P Toronto Stock Exchange 60 Index | 3 | 09/16/21 | 583,072 | 3,090 | ||||||||
SET50 Index | 7 | 09/29/21 | 38,596 | (605 | ) | |||||||
Silver | 6 | 09/28/21 | 766,410 | 12,200 | ||||||||
Soybean | 6 | 12/14/21 | 212,340 | (5,653 | ) | |||||||
Tin | 1 | 08/17/21 | 178,660 | 30,232 | ||||||||
Tin | 1 | 08/18/21 | 178,645 | 29,357 | ||||||||
Tin | 1 | 08/27/21 | 177,595 | 30,082 | ||||||||
U.S. Dollar Index Future | 4 | 08/13/21 | 40,012 | (20 | ) | |||||||
U.S. Dollar Index Future | 3 | 09/13/21 | 276,564 | (331 | ) | |||||||
Wheat | 1 | 09/14/21 | 35,188 | 598 | ||||||||
Yen Denominated Nikkei 225 Index | 1 | 09/09/21 | 125,108 | (2,509 | ) | |||||||
Zinc | 1 | 08/05/21 | 75,738 | 1,572 | ||||||||
Zinc | 1 | 08/13/21 | 75,775 | 1,235 | ||||||||
Zinc | 1 | 08/17/21 | 75,788 | 472 | ||||||||
Zinc | 1 | 08/25/21 | 75,765 | 1,574 | ||||||||
Zinc | 1 | 08/27/21 | 75,769 | 1,529 | ||||||||
Zinc | 1 | 09/02/21 | 75,802 | 1,144 | ||||||||
Zinc | 1 | 09/07/21 | 75,830 | 840 | ||||||||
Zinc | 1 | 09/10/21 | 75,847 | 3,176 | ||||||||
Zinc | 3 | 09/17/21 | 227,400 | 15,642 | ||||||||
Zinc | 2 | 09/21/21 | 151,550 | 6,075 | ||||||||
Zinc | 2 | 09/23/21 | 151,522 | 7,828 | ||||||||
| ||||||||||||
Total |
| $ | 314,696 | |||||||||
|
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Schedule of Investments (continued)
July 31, 2021 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
FUTURES CONTRACTS (continued)
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||
| ||||||||||||
Short position contracts: |
| |||||||||||
Australian Dollar | (1) | 09/13/21 | $ | (73,360 | ) | $ | 178 | |||||
CBOE Volatility Index | (11) | 08/18/21 | (223,014 | ) | 817 | |||||||
CBOE Volatility Index | (36) | 09/15/21 | (794,696 | ) | (4,436 | ) | ||||||
Copper | (2) | 08/13/21 | (485,342 | ) | 30,940 | |||||||
Copper | (1) | 08/17/21 | (242,731 | ) | 5,206 | |||||||
Copper | (1) | 08/26/21 | (242,756 | ) | 6,334 | |||||||
Copper | (1) | 09/15/21 | (242,944 | ) | (8,226 | ) | ||||||
Copper | (1) | 09/16/21 | (242,856 | ) | (5,796 | ) | ||||||
Copper | (2) | 09/17/21 | (485,718 | ) | (20,049 | ) | ||||||
Copper | (5) | 09/28/21 | (560,313 | ) | 2,554 | |||||||
Copper | (1) | 09/29/21 | (242,977 | ) | 1,483 | |||||||
Copper | (2) | 10/06/21 | (486,148 | ) | (20,329 | ) | ||||||
Copper | (3) | 10/07/21 | (729,263 | ) | 4,450 | |||||||
Copper | (1) | 10/08/21 | (243,088 | ) | (5,303 | ) | ||||||
Copper | (1) | 10/15/21 | (243,150 | ) | 1,483 | |||||||
Copper | (2) | 10/19/21 | (486,350 | ) | (23,694 | ) | ||||||
Copper | (1) | 10/21/21 | (243,113 | ) | (11,090 | ) | ||||||
Copper | (1) | 10/22/21 | (243,113 | ) | 1,414 | |||||||
Copper | (1) | 10/27/21 | (243,188 | ) | (653 | ) | ||||||
Copper | (1) | 10/29/21 | (243,200 | ) | 1,447 | |||||||
Corn | (3) | 12/14/21 | (81,788 | ) | (94 | ) | ||||||
Crude Oil | (1) | 08/20/21 | (73,950 | ) | (662 | ) | ||||||
Eurodollars | (1) | 09/18/23 | (248,000 | ) | (26 | ) | ||||||
Gold 100 Oz | (2) | 12/29/21 | (363,440 | ) | 56 | |||||||
Gold 100 Oz | (3) | 06/27/22 | (176,027 | ) | (230 | ) | ||||||
Korea 3 Year Bonds | (6) | 09/17/21 | (575,092 | ) | (98 | ) | ||||||
Kospi 200 Index | (24) | 09/09/21 | (2,213,780 | ) | 6,436 | |||||||
Lead | (1) | 08/05/21 | (60,319 | ) | (5,673 | ) | ||||||
Lead | (1) | 08/17/21 | (60,199 | ) | (5,114 | ) | ||||||
Lead | (1) | 08/24/21 | (60,061 | ) | (5,667 | ) | ||||||
Lead | (2) | 08/26/21 | (120,044 | ) | (12,696 | ) | ||||||
Lead | (1) | 09/07/21 | (59,906 | ) | (4,948 | ) | ||||||
Lead | (1) | 09/17/21 | (59,820 | ) | (2,590 | ) | ||||||
Lead | (1) | 09/28/21 | (59,736 | ) | (4,002 | ) | ||||||
Lead | (1) | 10/21/21 | (59,575 | ) | (420 | ) | ||||||
Lead | (2) | 10/22/21 | (119,141 | ) | (60 | ) | ||||||
Lead | (1) | 10/29/21 | (59,137 | ) | (3 | ) | ||||||
Lean Hogs | (1) | 10/14/21 | (35,210 | ) | 1,028 | |||||||
Mini H-shares Index | (1) | 08/30/21 | (33,325 | ) | 355 | |||||||
MSCI Singapore Index | (5) | 08/30/21 | (133,160 | ) | (1,187 | ) | ||||||
Nickel | (1) | 08/24/21 | (117,302 | ) | (13,598 | ) | ||||||
Nickel | (2) | 08/27/21 | (234,606 | ) | (17,029 | ) | ||||||
Nickel | (1) | 09/07/21 | (117,306 | ) | (11,139 | ) | ||||||
Nickel | (1) | 09/10/21 | (117,306 | ) | (7,269 | ) | ||||||
Nickel | (1) | 09/24/21 | (117,272 | ) | (3,927 | ) | ||||||
Nickel | (1) | 10/12/21 | (117,300 | ) | (5,763 | ) | ||||||
Nickel | (1) | 10/13/21 | (117,302 | ) | (4,415 | ) | ||||||
Nickel | (1) | 10/28/21 | (117,312 | ) | (75 | ) | ||||||
Nickel | (2) | 10/29/21 | (234,624 | ) | (90 | ) | ||||||
Nikkei 225 Index | (3) | 09/09/21 | (74,791 | ) | (174 | ) | ||||||
OMXS 30 Index | (3) | 08/20/21 | (82,602 | ) | 251 | |||||||
Primary Aluminum | (1) | 08/05/21 | (64,975 | ) | (4,028 | ) | ||||||
Primary Aluminum | (1) | 08/11/21 | (65,010 | ) | (4,684 | ) | ||||||
Primary Aluminum | (1) | 08/13/21 | (65,028 | ) | (4,769 | ) | ||||||
Primary Aluminum | (1) | 08/20/21 | (65,075 | ) | (3,328 | ) | ||||||
Primary Aluminum | (1) | 08/24/21 | (65,119 | ) | (6,722 | ) | ||||||
Primary Aluminum | (1) | 09/01/21 | (65,208 | ) | (3,161 | ) | ||||||
Primary Aluminum | (1) | 09/07/21 | (64,956 | ) | (3,649 | ) | ||||||
Primary Aluminum | (2) | 09/15/21 | (129,750 | ) | (6,419 | ) | ||||||
Primary Aluminum | (1) | 09/16/21 | (64,863 | ) | (4,316 | ) | ||||||
Primary Aluminum | (2) | 09/17/21 | (129,719 | ) | (9,462 | ) | ||||||
Primary Aluminum | (1) | 10/13/21 | (64,838 | ) | (1,949 | ) | ||||||
Rubber | (1) | 01/25/22 | (9,995 | ) | (33 | ) | ||||||
SGX Nifty 50 Index | (3) | 08/26/21 | (94,644 | ) | (117 | ) | ||||||
Soybean | (1) | 12/14/21 | (37,824 | ) | (644 | ) | ||||||
Sugar No.11 | (1) | 09/30/21 | (20,059 | ) | 737 | |||||||
Tin | (1) | 08/17/21 | (178,660 | ) | (29,443 | ) | ||||||
Tin | (1) | 08/18/21 | (178,645 | ) | (30,698 | ) | ||||||
Tin | (1) | 08/27/21 | (177,595 | ) | (27,173 | ) | ||||||
Topix Index | (2) | 09/09/21 | (347,295 | ) | 864 |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Schedule of Investments (continued)
July 31, 2021 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
FUTURES CONTRACTS (continued)
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||
| ||||||||||||
Short position contracts (continued) | ||||||||||||
WIG20 Index | (1) | 09/17/21 | $ | (11,598 | ) | $ | 24 | |||||
Zinc | (1) | 08/05/21 | (75,738 | ) | (94 | ) | ||||||
Zinc | (1) | 08/13/21 | (75,775 | ) | (2,790 | ) | ||||||
Zinc | (1) | 08/17/21 | (75,788 | ) | (1,321 | ) | ||||||
Zinc | (1) | 08/25/21 | (75,765 | ) | (1,586 | ) | ||||||
Zinc | (1) | 08/27/21 | (75,769 | ) | (1,255 | ) | ||||||
Zinc | (1) | 09/02/21 | (75,802 | ) | 1,345 | |||||||
Zinc | (1) | 09/07/21 | (75,830 | ) | (3,249 | ) | ||||||
Zinc | (1) | 09/10/21 | (75,847 | ) | (262 | ) | ||||||
Zinc | (3) | 09/17/21 | (227,400 | ) | (10,547 | ) | ||||||
Zinc | (2) | 09/21/21 | (151,550 | ) | (10,770 | ) | ||||||
Zinc | (2) | 09/23/21 | (151,522 | ) | (6,257 | ) | ||||||
| ||||||||||||
Total |
| $ | (317,849 | ) | ||||||||
| ||||||||||||
TOTAL FUTURES CONTRACTS |
| $ | (3,153 | ) | ||||||||
|
SWAP CONTRACTS — At July 31, 2021, the Fund had the following swap contracts:
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS#
Reference Obligation/ Index | Financing Rate Paid by the Fund(a) | Counterparty | Termination Date | Notional Amount | Unrealized Appreciation/ (Depreciation)* | |||||||||
| ||||||||||||||
Accton Tech Corp. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 320 | $ | (383 | ) | |||||||
Adobe, Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 16 | 668 | |||||||||
Advanced Micro Devices, Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 241 | 29,948 | |||||||||
Alphabet, Inc. Class A | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 8 | 437 | |||||||||
Alphabet, Inc. Class C | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 23 | 944 | |||||||||
ASML Holding NV | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 8 | 950 | |||||||||
Cardlytics, Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 54 | 2,216 | |||||||||
Ceridian HCM Holding, Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 245 | (2,082 | ) | ||||||||
Facebook, Inc. Class A | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 117 | 1,164 | |||||||||
Genpact Ltd. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 358 | 25,166 | |||||||||
Global Payments, Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 110 | 295 | |||||||||
GoDaddy, Inc. Class A | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 52 | (2,782 | ) | ||||||||
Hubspot , Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 64 | (709 | ) | ||||||||
iShares Expanded Tech-Software Sector ETF | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 39 | (355 | ) | ||||||||
iShares Russell 2000 Growth ETF | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 278 | 7,199 | |||||||||
Mastercard, Inc. Class A | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 27 | 718 | |||||||||
Match Group , Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 58 | (702 | ) | ||||||||
MediaTek, Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 184 | (8,033 | ) | ||||||||
Micron Technology | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 42 | (1,761 | ) | ||||||||
Nuvei Corp. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 58 | (1,157 | ) | ||||||||
Repay Holdings Corp. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 28 | 165 | |||||||||
RingCentral, Inc. Class A | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 201 | (24,559 | ) | ||||||||
Salesforce.com, Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 48 | (1,567 | ) | ||||||||
ServiceNow, Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 39 | 2,054 | |||||||||
Skyworks Solutions | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 137 | (4,333 | ) | ||||||||
Varonis Systems, Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 42 | 358 | |||||||||
VeriSign, Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 5 | (316 | ) | ||||||||
Zscaler, Inc. | 1M USD LIBOR | JPMorgan Securities, Inc. | 05/05/23 | 129 | 6,275 | |||||||||
Accton Tech Corp. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 32 | (1,890 | ) | ||||||||
Adobe, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 105 | 2,711 | |||||||||
Aggreko PLC | 0.050% | MS & Co. Int. PLC | 12/08/22 | 16 | 1,898 | |||||||||
Airbnb, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 43 | 2,052 | |||||||||
Alphabet, Inc. Class A | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 364 | 22,076 | |||||||||
Alphabet, Inc. Class C | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 357 | 10,761 | |||||||||
Amazon.com, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 657 | (54,943 | ) | ||||||||
Atlassian Corp PLC | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 14 | 3,485 | |||||||||
Avast PLC | 0.050 | MS & Co. Int. PLC | 12/08/22 | 12 | 617 |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Schedule of Investments (continued)
July 31, 2021 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS# (continued)
Reference Obligation/ Index | Financing Rate Paid by the Fund(a) | Counterparty | Termination Date | Notional Amount | Unrealized Appreciation/ (Depreciation)* | |||||||||
| ||||||||||||||
Ceridian HCM Holding, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 34 | $ | 1,053 | ||||||||
Christian Dior SE | 0.480% | MS & Co. Int. PLC | 07/07/22 | — | * | 5,228 | ||||||||
Costar Group, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 31 | 540 | |||||||||
Deutsche Wohnen SE | 0.480 | MS & Co. Int. PLC | 07/07/22 | 15 | 21,282 | |||||||||
Dynatrace, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 92 | 8,939 | |||||||||
Entain PLC | 0.050 | MS & Co. Int. PLC | 12/08/22 | 11 | (873 | ) | ||||||||
Equiniti Group PLC | 0.050 | MS & Co. Int. PLC | 12/08/22 | 39 | 625 | |||||||||
Facebook, Inc. Class A | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 168 | 5,703 | |||||||||
GCP Student Living PLC | 0.050 | MS & Co. Int. PLC | 12/08/22 | 32 | 336 | |||||||||
Global Payments, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 589 | (5,283 | ) | ||||||||
GoDaddy, Inc. Class A | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 151 | (593 | ) | ||||||||
HubSpot, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 95 | 7,858 | |||||||||
Intuit, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 72 | 3,870 | |||||||||
Invesco QQQ Trust | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 146 | (1,663 | ) | ||||||||
iShares Expanded Tech-Software Sector ETF | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 2,538 | (100,127 | ) | ||||||||
iShares Russell 2000 Growth ETF | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 2,886 | (68,845 | ) | ||||||||
iShares Russell Mid-Capital Growth ETF | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 1,011 | (34,270 | ) | ||||||||
Landmark Infrastructure Partners LP | 0.100 | MS & Co. Int. PLC | 02/02/22 | 15 | 5,603 | |||||||||
LVMH Moet Hennessy Louis Vuitton SE | (0.480) | MS & Co. Int. PLC | 07/07/22 | — | * | (9,502 | ) | |||||||
Marvell Technology Group Ltd. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 404 | 34,714 | |||||||||
Mastercard, Inc. Class A | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 192 | (2,190 | ) | ||||||||
Match Group , Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 147 | (3,129 | ) | ||||||||
Match Group, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 131 | (2,861 | ) | ||||||||
MediaTek, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 106 | (4,393 | ) | ||||||||
Micron Technology | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 20 | 160 | |||||||||
MongoDB, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 230 | 16,631 | |||||||||
Nuance Communications Inc | 0.100 | MS & Co. Int. PLC | 02/02/22 | 20 | 404 | |||||||||
Nuvei Corp. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 54 | 1,136 | |||||||||
PayPal Holdings, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 263 | (18,630 | ) | ||||||||
Proofpoint Inc | 0.100 | MS & Co. Int. PLC | 02/02/22 | 2 | 480 | |||||||||
Qorvo, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 27 | (187 | ) | ||||||||
RingCentral, Inc. Class A | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 36 | (262 | ) | ||||||||
Salesforce.com, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 263 | 4,794 | |||||||||
Sanne Group PLC | 0.050 | MS & Co. Int. PLC | 12/08/22 | 19 | 5,603 | |||||||||
ServiceNow, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 349 | 18,536 | |||||||||
Siltronic AG | (0.480) | MS & Co. Int. PLC | 07/07/22 | 1 | (41 | ) | ||||||||
Skyworks Solutions | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 15 | (462 | ) | ||||||||
TriNet Group, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 132 | 18,847 | |||||||||
Trupanion, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 22 | 2,195 | |||||||||
Twilio, Inc. Class A | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 36 | 722 | |||||||||
VeriSign, Inc. | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | �� | 175 | (9,827 | ) | |||||||
Visa, Inc. Class A | 1M USD LIBOR | MS & Co. Int. PLC | 05/15/23 | 74 | (654 | ) | ||||||||
| ||||||||||||||
TOTAL |
| $ | (81,948 | ) | ||||||||||
|
* | There are no upfront payments on the swap contracts, therefore the unrealized gain (loss) on the swap contracts is equal to their value. |
# | The Fund pays/receives annual coupon payments in accordance with the swap contract(s). On the termination date of the swap contract(s), the Fund will either receive from or pay to the counterparty an amount equal to the net of the accrued financing fees and the value of the reference security subtracted from the original notional cost (notional multiplied by the price change of the reference security, converted to U.S. Dollars). |
(a) | Payments made monthly. |
* | Rounds to less than 1,000. |
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Schedule of Investments (continued)
July 31, 2021 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At July 31, 2021, the Fund had the following purchased and written options:
EXCHANGE TRADED OPTIONS ON EQUITIES CONTRACTS
Description | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Portfolio | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
| ||||||||||||||||||||||||||
Purchased option contracts |
| |||||||||||||||||||||||||
Calls |
| |||||||||||||||||||||||||
Advanced Micro Devices, Inc. | $ | 105.00 | 10/15/2021 | 58 | $ | 5,800 | $ | 47,560 | $ | 37,781 | $ | 9,779 | ||||||||||||||
Airbus SE | 110.00 | 10/15/2021 | 44 | 4,400 | 52,195 | 36,802 | 15,393 | |||||||||||||||||||
American Express Co. | 170.00 | 10/15/2021 | 56 | 5,600 | 47,880 | 51,577 | (3,697 | ) | ||||||||||||||||||
Autodesk, Inc. | 300.00 | 10/15/2021 | 17 | 1,700 | 51,638 | 31,066 | 20,572 | |||||||||||||||||||
Cisco Systems, Inc. | 52.50 | 10/15/2021 | 178 | 17,800 | 72,089 | 46,138 | 25,951 | |||||||||||||||||||
Cisco Systems, Inc. | 55.00 | 10/15/2021 | 111 | 11,100 | 26,695 | 20,511 | 6,184 | |||||||||||||||||||
Expedia Group, Inc. | 165.00 | 10/15/2021 | 50 | 5,000 | 50,375 | 55,623 | (5,248 | ) | ||||||||||||||||||
Mastercard, Inc. | 375.00 | 10/15/2021 | 39 | 3,900 | 96,721 | 82,109 | 14,612 | |||||||||||||||||||
| ||||||||||||||||||||||||||
553 | $ | 55,300 | $ | 445,153 | $ | 361,607 | $ | 83,546 | ||||||||||||||||||
| ||||||||||||||||||||||||||
Puts |
| |||||||||||||||||||||||||
Blackrock, Inc. | 830.00 | 09/17/2021 | 7 | 700 | 10,360 | 11,388 | (1,028 | ) | ||||||||||||||||||
Facebook, Inc. | 330.00 | 12/17/2021 | 38 | 3,800 | 57,285 | 55,013 | 2,272 | |||||||||||||||||||
Intuit, Inc. | 520.00 | 09/17/2021 | 13 | 1,300 | 19,630 | 21,102 | (1,472 | ) | ||||||||||||||||||
Invesco QQQ Trust | 353.00 | 08/20/2021 | 54 | 5,400 | 13,500 | 23,262 | (9,762 | ) | ||||||||||||||||||
| ||||||||||||||||||||||||||
112 | $ | 11,200 | $ | 100,775 | $ | 110,765 | $ | (9,990 | ) | |||||||||||||||||
| ||||||||||||||||||||||||||
Total purchased option contracts |
| 665 | $ | 66,500 | $ | 545,928 | $ | 472,372 | $ | 73,556 | ||||||||||||||||
| ||||||||||||||||||||||||||
Written option contracts |
| |||||||||||||||||||||||||
Calls |
| |||||||||||||||||||||||||
At Home Group, Inc. | 36.00 | 09/17/2021 | (5) | (500 | ) | (512 | ) | (1,069 | ) | 557 | ||||||||||||||||
BlackRock, Inc. | 910.00 | 09/17/2021 | (7) | (700 | ) | (6,090 | ) | (8,094 | ) | 2,004 | ||||||||||||||||
Constellation Pharmaceuticals, Inc. | 35.00 | 09/17/2021 | (114) | (11,400 | ) | — | (3,131 | ) | 3,131 | |||||||||||||||||
Facebook, Inc. | 360.00 | 12/17/2021 | (50) | (5,000 | ) | (123,000 | ) | (127,046 | ) | 4,046 | ||||||||||||||||
Intuit, Inc. | 530.00 | 09/17/2021 | (13) | (1,300 | ) | (26,065 | ) | (14,227 | ) | (11,838 | ) | |||||||||||||||
Kraton Corp. | 40.00 | 08/20/2021 | (25) | (2,500 | ) | (3,250 | ) | (3,730 | ) | 480 | ||||||||||||||||
Proofpoint, Inc. | 180.00 | 08/20/2021 | (2) | (200 | ) | (10 | ) | (57 | ) | 47 | ||||||||||||||||
Stamps.Com, Inc. | 330.00 | 08/20/2021 | (11) | (1,100 | ) | (2,530 | ) | (1,651 | ) | (879 | ) | |||||||||||||||
| ||||||||||||||||||||||||||
(227) | $ | (22,700 | ) | $ | (161,457 | ) | $ | (159,005 | ) | $ | (2,452 | ) | ||||||||||||||
| ||||||||||||||||||||||||||
Puts |
| |||||||||||||||||||||||||
Kansas City Southern | 280.00 | 09/17/2021 | (6) | (600 | ) | (13,440 | ) | (5,019 | ) | (8,421 | ) | |||||||||||||||
| ||||||||||||||||||||||||||
Total written option contracts |
| (233) | $ | (23,300 | ) | $ | (174,897 | ) | $ | (164,024 | ) | $ | (10,873 | ) | ||||||||||||
| ||||||||||||||||||||||||||
TOTAL | 432 | $ | 43,200 | $ | 371,031 | $ | 308,348 | $ | 62,683 | |||||||||||||||||
|
| ||
Abbreviations: | ||
MS & Co. Int. PLC — Morgan Stanley & Co. International PLC | ||
|
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Schedule of Investments (continued)
July 31, 2021 (Unaudited)
NOTES TO THE CONSOLIDATED SCHEDULE OF INVESTMENTS
Basis of Consolidation for the Goldman Sachs Multi-Manager Alternatives Fund — The Cayman Commodity — MMA IV, LLC (a “Subsidiary”), a Cayman Islands exempted company is currently a wholly-owned subsidiary of the Fund. The Subsidiary acts as an investment vehicle for the Fund to enable the Fund to gain exposure to certain types of commodity linked derivative instruments. The Fund is the sole shareholder of the Subsidiary and it is intended that the Fund will remain the sole shareholder and will continue to control the Subsidiary. All inter-fund balances and transactions have been eliminated in consolidation. As of July 31, 2021, the Fund’s net assets were $167,845,302 of which, $3,324,970 or 2.0%, represented the Subsidiary’s net assets.
Investment Valuation — The Fund’s valuation policy is to value investments at fair value.
Investments and Fair Value Measurements — U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Fund’s policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Fund, including investments for which market quotations are not readily available. The Trustees have delegated to GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Fund’s investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities traded on a United States (“U.S.”) securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities will be valued at the valid closing bid price for long positions and at the valid closing ask price for short positions (i.e. where there is sufficient volume, during normal exchange trading hours). If no valid bid/ask price is available, the equity security will be valued pursuant to the Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. Certain equity securities containing unique attributes may be classified as Level 2.
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price for long positions or the last ask price for short positions, and are generally classified as Level 2. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under Fair Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.
Underlying Funds (including Money Market Funds) — Underlying funds (“Underlying Funds”) include other investment companies and exchange-traded funds (“ETFs”). Investments in the Underlying Funds (except ETFs) are valued at the NAV per share on the day of valuation. ETFs are valued daily at the last sale price or official closing price on the principal exchange or system on which the investment is traded. Because the Fund invests in Underlying Funds that fluctuate in value, the Fund’s shares will correspondingly fluctuate in value. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Schedule of Investments (continued)
July 31, 2021 (Unaudited)
NOTES TO THE CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)
Debt Securities — Debt securities for which market quotations are readily available are valued daily on the basis of quotations supplied by dealers or an independent pricing service approved by the Trustees. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value. With the exception of treasury securities of G7 countries, which are generally classified as Level 1, these investments are generally classified as Level 2 of the fair value hierarchy.
i. Mortgage-Backed and Asset-Backed Securities — Mortgage-backed securities represent direct or indirect participations in, or are collateralized by and payable from, mortgage loans secured by residential and/or commercial real estate property. Asset-backed securities include securities whose principal and interest payments are collateralized by pools of other assets or receivables. The value of certain mortgage-backed and asset-backed securities (including adjustable rate mortgage loans) may be particularly sensitive to changes in prevailing interest rates. The value of these securities may also fluctuate in response to the market’s perception of the creditworthiness of the issuers.
Asset-backed securities may present credit risks that are not presented by mortgage-backed securities because they generally do not have the benefit of a security interest in collateral that is comparable to mortgage assets. Some asset-backed securities may only have a subordinated claim on collateral.
Stripped mortgage-backed securities are usually structured with two different classes: one that receives substantially all interest payments (interest-only, or “IO” and/or high coupon rate with relatively low principal amount, or “IOette”), and the other that receives substantially all principal payments (principal-only, or “PO”) from a pool of mortgage loans. Little to no principal will be received at the maturity of an IO; as a result, periodic adjustments are recorded to reduce the cost of the security until maturity. These adjustments are included in interest income.
Securities Sold Short — Securities sold short are those securities which the Fund has sold but which it does not own. When the Fund sells a security it does not own, it must borrow the security that was sold and it generally delivers the proceeds from the short sale to the broker through which it made the short sale. In addition, cash and certain investments in securities may be used to collateralize the securities sold short. Each day the securities sold short transaction is open, the liability to replace the borrowed security is marked to market and an unrealized gain or loss is recorded. While the transaction remains open, the Fund may also incur expenses for any dividends or interest which will be paid to the lender of the securities as well as a fee to borrow the delivered security. During the term of the short sale, the value of the securities pledged as collateral on short sales is required to exceed the value of the securities sold short. The market value of securities pledged as collateral is included in the Consolidated Schedule of Investments.
Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. The Fund enters into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers. For financial reporting purposes, cash collateral that has been pledged to cover obligations of a Fund and cash collateral received, if any, is reported separately on the Consolidated Statement of Assets and Liabilities as receivables/payables for collateral on certain derivatives contracts. Non-cash collateral pledged by the Fund, if any, is noted in the Consolidated Schedules of Investments.
Exchange-traded derivatives, including futures and options contracts, are generally valued at the last sale or settlement price on the exchange where they are principally traded. Exchange-traded options without settlement prices are generally valued at the midpoint of the bid and ask prices on the exchange where they are principally traded (or, in the absence of two-way trading, at the last bid price for long positions and the last ask price for short positions). Exchange-traded derivatives typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. Forward Contracts — A forward contract is a contract between two parties to buy or sell an asset at a specified price on a future date. A forward contract settlement can occur on a cash or delivery basis. Forward contracts are marked-to-market daily using independent vendor prices, and the change in value, if any, is recorded as an unrealized gain or loss. Cash and certain investments may be used to collateralize forward contracts.
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Schedule of Investments (continued)
July 31, 2021 (Unaudited)
NOTES TO THE CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)
A forward foreign currency exchange contract is a forward contract in which the Fund agrees to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date. All forward foreign currency exchange contracts are marked to market daily by using the outright forward rates or interpolating based upon maturity dates, where available. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.
ii. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security. Upon entering into a futures contract, the Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by the Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.
iii. Options — When the Fund writes call or put options, an amount equal to the premium received is recorded as a liability and is subsequently marked-to-market to reflect the current value of the option written. Swaptions are options on swap contracts.
Upon the purchase of a call option or a put option by the Fund, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.
iv. Swap Contracts — Bilateral swap contracts are agreements in which the Fund and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the OTC market and payments are settled through direct payments between the Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”) (“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, the Fund is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, if any, is recorded as a receivable or payable for variation margin.
A total return swap is an agreement that gives the Fund the right to receive or pay the appreciation or depreciation, as applicable, in the value of a specified security, an index, a basket of securities or indices or other instrument in return for a fee paid to the counterparty, which will typically be an agreed upon interest rate. If the underlying asset declines in value over the term of the swap, the Fund may also be required to pay the dollar value of that decline to the counterparty.
Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Fund’s investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining the Fund’s NAV. To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments.
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Schedule of Investments (continued)
July 31, 2021 (Unaudited)
NOTES TO THE CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)
Fair Value Hierarchy — The following is a summary of the Fund’s investments and derivatives classified in the fair value hierarchy as of July 31, 2021:
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets |
| |||||||||||
Fixed Income |
| |||||||||||
Corporate Obligations | $ | — | $ | 7,795,073 | $ | — | ||||||
Mortgage-Backed Obligations | — | 9,333,584 | — | |||||||||
Asset-Backed Securities | — | 11,977,883 | — | |||||||||
Foreign Debt Obligations | — | 8,774,399 | — | |||||||||
Common Stock and/or Other Equity Investments(a) |
| |||||||||||
Asia | 1,230,506 | 1,994,962 | — | |||||||||
Australia and Oceania | — | 324,541 | — | |||||||||
Europe | 3,351,518 | 17,051,860 | — | |||||||||
North America | 43,591,298 | — | — | |||||||||
South America | 1,242,763 | — | — | |||||||||
Investment Company | 55,037,310 | — | — | |||||||||
Preferred Stock | — | 1,241,689 | — | |||||||||
Short-term Investments | 5,618,365 | — | — | |||||||||
Total | $ | 110,071,760 | $ | 58,493,991 | $ | — | ||||||
Liabilities |
| |||||||||||
Common Stock and/or Other Equity Investments(a) |
| |||||||||||
North America | $ | (3,859,438 | ) | $ | — | $ | — | |||||
Europe | (961,975 | ) | — | — | ||||||||
Total | $ | (4,821,413 | ) | $ | — | $ | — | |||||
Derivative Type | ||||||||||||
Assets |
| |||||||||||
Forward Foreign Currency Exchange Contracts(b) | $ | — | $ | 862,681 | $ | — | ||||||
Futures Contracts(b) | 520,045 | — | — | |||||||||
Total Return Swap Contracts(b) | — | 287,416 | — | |||||||||
Options Purchased | 545,928 | — | — | |||||||||
Total | $ | 1,065,973 | $ | 1,150,097 | $ | — | ||||||
Liabilities |
| |||||||||||
Forward Foreign Currency Exchange Contracts(b) | $ | — | $ | (1,007,661 | ) | $ | — | |||||
Futures Contracts(b) | (523,198 | ) | — | — | ||||||||
Total Return Swap Contracts(b) | — | (369,364 | ) | — | ||||||||
Written option contracts | (174,385 | ) | (512 | ) | — | |||||||
Total | $ | (697,583 | ) | $ | (1,377,537 | ) | $ | — |
(a) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of net asset value. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. The Fund utilizes fair value model prices provided by an independent fair value service for international equities, resulting in a Level 2 classification. |
(b) | Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Consolidated Schedule of Investments.
The Fund’s risks include, but are not limited to, the following:
Derivatives Risk — The Fund’s use of derivatives may result in loss. Derivative instruments, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other instruments, may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the Fund. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. Losses from derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Schedule of Investments (continued)
July 31, 2021 (Unaudited)
NOTES TO THE CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)
Floating and Variable Rate Obligations Risk — Floating rate and variable rate obligations are debt instruments issued by companies or other entities with interest rates that reset periodically (typically, daily, monthly, quarterly, or semiannually) in response to changes in the market rate of interest on which the interest rate is based. For floating and variable rate obligations, there may be a lag between an actual change in the underlying interest rate benchmark and the reset time for an interest payment of such an obligation, which could harm or benefit the Fund, depending on the interest rate environment or other circumstances. In a rising interest rate environment, for example, a floating or variable rate obligation that does not reset immediately would prevent the Fund from taking full advantage of rising interest rates in a timely manner. However, in a declining interest rate environment, the Fund may benefit from a lag due to an obligation’s interest rate payment not being immediately impacted by a decline in interest rates.
In 2017, the United Kingdom’s Financial Conduct Authority (“FCA”) warned that LIBOR may cease to be available or appropriate for use by 2021. The unavailability or replacement of LIBOR may affect the value, liquidity or return on certain Fund investments and may result in costs incurred in connection with closing out positions and entering into new trades. Any pricing adjustments to the Fund’s investments resulting from a substitute reference rate may also adversely affect the Fund’s performance and/or NAV.
Foreign Custody Risk — The Fund invests in foreign securities, and as such the Fund may hold such securities and cash with foreign banks, agents, and securities depositories appointed by the Fund’s custodian (each a “Foreign Custodian”). Some foreign custodians may be recently organized or new to the foreign custody business. In some countries, Foreign Custodians may be subject to little or no regulatory oversight over, or independent evaluation of, their operations. Further, the laws of certain countries may place limitations on the Fund’s ability to recover its assets if a Foreign Custodian enters bankruptcy. Investments in emerging markets may be subject to even greater custody risks than investments in more developed markets. Custody services in emerging market countries are very often undeveloped and may be considerably less well regulated than in more developed countries, and thus may not afford the same level of investor protection as would apply in developed countries.
Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of more or less foreign government regulation, less public information and less economic, political and social stability in the countries in which the Fund invests. The imposition of exchange controls (including repatriation restrictions), confiscation of assets and property, trade restrictions (including tariffs) and other government restrictions by the U.S. or other governments, or problems with registration, settlement or custody, may also result in losses. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which the Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that the Fund also invests in securities of issuers located in emerging markets, these risks may be more pronounced.
Interest Rate Risk— When interest rates increase, fixed income securities or instruments held by the Fund will generally decline in value. Long-term fixed income securities or instruments will normally have more price volatility because of this risk than short-term fixed income securities or instruments. The risks associated with changing interest rates may have unpredictable effects on the markets and the Fund’s investments. Fluctuations in interest rates may also affect the liquidity of fixed income securities and instruments held by the Fund.
Investments in Other Investment Companies Risk — As a shareholder of another investment company, including an ETF, the Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund. ETFs are subject to risks that do not apply to conventional mutual funds, including, but not limited to, the following: (i) the market price of the ETF’s shares may trade at a premium or a discount to their NAV; and (ii) an active trading market for an ETF’s shares may not develop or be maintained.
Large Shareholder Transactions Risk — The Fund may experience adverse effects when certain large shareholders, such as other funds, institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include the Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of the Fund. Such large shareholder redemptions, which may occur rapidly or unexpectedly, may cause the Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact the Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in the Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect the Fund’s performance to the extent that the Fund is delayed in investing new cash or otherwise maintains a larger cash position than it ordinarily would.
GOLDMAN SACHS MULTI-MANAGER ALTERNATIVES FUND
Consolidated Schedule of Investments (continued)
July 31, 2021 (Unaudited)
NOTES TO THE CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)
Liquidity Risk — The Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk the Fund will not be able to pay redemption proceeds within the allowable time period or without significant dilution to remaining investors’ interests because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, the Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. If a Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the Fund’s NAV and dilute remaining investors’ interests. Liquidity risk may be the result of, among other things, the reduced number and capacity of traditional market participants to make a market in fixed income securities or the lack of an active market. The potential for liquidity risk may be magnified by a rising interest rate environment or other circumstances where investor redemptions from fixed income mutual funds may be higher than normal, potentially causing increased supply in the market due to selling activity. These risks may be more pronounced in connection with the Fund’s investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on the Fund’s liquidity.
Market and Credit Risks — In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). The value of the securities in which the Fund invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, acts of terrorism, social unrest, natural disasters, the spread of infectious illness or other public health threats could also significantly impact the Fund and its investments. Additionally, the Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
Multi-Manager Approach Risk — The Fund’s performance depends on the ability of the Investment Adviser in selecting, overseeing, and allocating Fund assets to the Underlying Managers. The Underlying Managers’ investment styles may not always be complementary. The Fund’s multi-manager approach may result in the Fund investing a significant percentage of its assets in certain types of investments, which could be beneficial or detrimental to the Fund’s performance depending on the performance of those investments and the overall market environment. The Fund’s Underlying Managers may underperform the market generally or underperform other investment managers that could have been selected for the Fund. Because the Fund’s Underlying Managers may trade with counterparties, prime brokers, clearing brokers or futures commission merchants on terms that are different than those on which the Investment Adviser would trade, and because each Underlying Manager applies its own risk analysis in evaluating potential counterparties for the Fund, the Fund may be subject to greater counterparty risk than if it was managed directly by the Investment Adviser.
Short Position Risk — The Fund may enter into a short position through a futures contract, an option or swap agreement or through short sales of any instrument that the Fund may purchase for investment. Taking short positions involves leverage of the Fund’s assets and presents various risks, including counterparty risk. If the value of the underlying instrument or market in which the Fund has taken a short position increases, then the Fund will incur a loss equal to the increase in value from the time that the short position was entered into plus any related interest payments or other fees. Taking short positions involves the risk that losses may be disproportionate, may exceed the amount invested, and may be unlimited. To the extent that the Fund uses the proceeds it receives from a short position to take additional long positions, the risks associated with the short position, including leverage risks, may be heightened, because doing so increases the exposure of the Fund to the markets and therefore could magnify changes to the Fund’s NAV.
Tax Risk — The Fund will seek to gain exposure to the commodity markets primarily through investments in the Subsidiary and/ or commodity index-linked structured notes, as applicable. Historically, the Internal Revenue Service (“IRS”) issued private letter rulings (“PLRs”) in which the IRS specifically concluded that income and gains from investments in commodity index linked structured notes (the “Notes Rulings”) or a wholly-owned foreign subsidiary that invests in commodity-linked instruments are “qualifying income” for purposes of compliance with Subchapter M of the Code. However, the Fund has not received a PLR, and is/are not able to rely on PLRs issued to other taxpayers. The IRS recently issued final regulations that, would generally treat the Fund’s income inclusion with respect to a subsidiary as qualifying income either if (A) there is a distribution out of the earnings and profits of a subsidiary that are attributable to such income inclusion or (B) such inclusion is derived with respect to the Fund’s business of investing in stock, securities, or currencies.
The IRS also issued a revenue procedure, which states that the IRS will not in the future issue PLRs that would require a determination of whether an asset (such as a commodity index-linked note) is a “security” under the Investment Company Act of 1940. In connection with issuing such revenue procedure, the IRS has revoked the Notes Ruling on a prospective basis. In light of the revocation of the Notes Rulings, the Fund has limited its investments in commodity index-linked structured notes. The Fund has obtained an opinion of counsel that the Fund’s income from investments in the Subsidiary should constitute “qualifying income.” However, no assurances can be provided that the IRS would not be able to successfully assert that the Fund’s income from such investments was not “qualifying income,” in which case the Fund would fail to qualify as a regulated investment company (“RIC”) under Subchapter M of the Code if over 10% of its gross income were derived from these investments. If the
Fund failed to qualify as a RIC, it would be subject to federal and state income tax on all of its taxable income at regular corporate tax rates. This would significantly adversely affect the returns to, and could cause substantial losses for, Fund shareholders.