Goldman Sachs High Yield Instl (GSHIX) N-CSRS Certified semi-annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-05349

Goldman Sachs Trust

(Exact name of registrant as specified in charter)

71 South Wacker Drive, Chicago, Illinois 60606

(Address of principal executive offices) (Zip code)

Caroline Kraus, Esq.	Copies to:
Goldman, Sachs & Co.	Geoffrey R.T. Kenyon, Esq.
200 West Street	Dechert LLP
New York, New York 10282	100 Oliver Street
	40th Floor
	Boston, MA 02110-2605

(Name and address of agents for service)

Registrant’s telephone number, including area code: (312) 655-4400

Date of fiscal year end: March 31

Date of reporting period: September 30, 2015

ITEM 1. REPORTS TO STOCKHOLDERS.

The Semi-Annual Report to Shareholders is filed herewith.

Goldman Sachs Funds

Semi-Annual Report	September 30, 2015
	Single Sector Fixed Income Funds
	Dynamic Emerging Markets Debt
	Emerging Markets Debt
	High Yield
	High Yield Floating Rate
	Investment Grade Credit
	Local Emerging Markets Debt
	U.S. Mortgages

Goldman Sachs Single Sector Fixed Income Funds

n DYNAMIC EMERGING MARKETS DEBT

n EMERGING MARKETS DEBT

n HIGH YIELD

n HIGH YIELD FLOATING RATE

n INVESTMENT GRADE CREDIT

n LOCAL EMERGING MARKETS DEBT

n U.S. MORTGAGES

TABLE OF CONTENTS
Principal Investment Strategies and Risks	1
Investment Process	4
Market Review	5
Portfolio Management Discussions and Performance Summaries	7
Schedules of Investments	45
Financial Statements	120
Financial Highlights	128
Notes to the Financial Statements	142
Other Information	178

NOT FDIC-INSURED May Lose Value No Bank Guarantee

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Principal Investment Strategies and Risks

This is not a complete list of risks that may affect the Funds. For additional information concerning the risks applicable to the Funds, please see the Funds’ Prospectus.

The Goldman Sachs Dynamic Emerging Markets Debt Fund invests primarily in sovereign and corporate debt of issuers located in or tied economically to emerging countries or in currencies of such emerging countries. Investments in fixed income securities are subject to the risks associated with debt securities generally, including credit, liquidity and interest rate risk. Foreign and emerging markets investments may be more volatile and less liquid than investments in U.S. securities and are subject to the risks of currency fluctuations and adverse economic or political developments. The securities markets of emerging countries have less government regulation and are subject to less extensive accounting and financial reporting requirements than the markets of more developed countries. Such securities are also subject to foreign custody risk. The Fund is also subject to the risk that the issuers of sovereign debt or the government authorities that control the payment of debt may be unable or unwilling to repay principal or interest when due. High yield, lower rated investments involve greater price volatility and present greater risks than higher rated fixed income securities. Derivative instruments may involve a high degree of financial risk. These risks include the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument; the risk of default by a counterparty; and liquidity risk. At times, the Fund may be unable to sell certain of its illiquid investments without a substantial drop in price, if at all. The Fund is “non-diversified” and may invest more of its assets in fewer issuers than “diversified” funds. Accordingly, the Fund may be more susceptible to adverse developments affecting any single issuer held in its portfolio and to greater losses resulting from these developments.

The Goldman Sachs Emerging Markets Debt Fund invests primarily in sovereign and corporate debt of issuers located in or tied economically to emerging countries. The Fund’s investments in fixed income securities are subject to the risks associated with debt securities generally, including credit, liquidity and interest rate risk. Foreign and emerging markets investments may be more volatile and less liquid than investments in U.S. securities and are subject to the risks of currency fluctuations and adverse economic or political developments. The countries in which the Fund invests may have sovereign ratings that are below investment grade or are unrated. High yield, lower rated investments involve greater price volatility and present greater risks than higher rated fixed income securities. The securities markets of emerging countries have less government regulation and are subject to less extensive accounting and financial reporting requirements than the markets of more developed countries. Such securities are also subject to foreign custody risk. The Fund is also subject to the risk that the issuers of sovereign debt or the government authorities that control the payment of debt may be unable or unwilling to repay principal or interest when due. Derivative instruments may involve a high degree of financial risk. These risks include the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument; the risk of default by a counterparty; and liquidity risk. At times, the Fund may be unable to sell certain of its illiquid investments without a substantial drop in price, if at all. The Fund is “non-diversified” and may invest more of its assets in fewer issuers than “diversified” funds. Accordingly, the Fund may be more susceptible to adverse developments affecting any single issuer held in its portfolio and to greater losses resulting from these developments.

The Goldman Sachs High Yield Fund invests primarily in high yield, fixed income securities that, at the time of purchase, are non-investment grade securities. The Fund’s investments in fixed income securities are subject to the risks associated with debt securities generally, including credit, liquidity and interest rate risk. High yield, lower rated investments involve greater price volatility and present greater risks than higher rated fixed income securities. Foreign and emerging markets investments may be more volatile and less liquid than investments in U.S. securities and are subject to the risks of

1

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

currency fluctuations and adverse economic or political developments. Derivative instruments may involve a high degree of financial risk. These risks include the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument; the risk of default by a counterparty; and liquidity risk. At times, the Fund may be unable to sell certain of its illiquid investments without a substantial drop in price, if at all.

The Goldman Sachs High Yield Floating Rate Fund invests primarily in domestic or foreign floating rate loans and other floating or variable rate obligations rated below investment grade. Indirect loan participations may subject the Fund to greater delays, expenses and risks than direct obligations in the case that a borrower fails to pay scheduled principal and interest. Investments in loans and fixed income instruments are subject to the risks associated with debt instruments generally, including credit, liquidity and interest rate risk. Foreign and emerging markets investments may be more volatile and less liquid than investments in U.S. securities and are subject to the risks of currency fluctuations and adverse economic or political developments. High yield, lower rated investments involve greater price volatility and present greater risks than higher rated investments. At times, the Fund may be unable to sell certain of its illiquid investments without a substantial drop in price, if at all. Derivative instruments may involve a high degree of financial risk. These risks include the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument; the risk of default by a counterparty; and liquidity risk.

The Goldman Sachs Investment Grade Credit Fund invests primarily in investment grade fixed income securities. The Fund’s investments in fixed income securities are subject to the risks associated with debt securities generally, including credit, liquidity and interest rate risk. Any guarantee on U.S. government securities applies only to the underlying securities of the Fund if held to maturity and not to the value of the Fund’s shares. Foreign and emerging markets investments may be more volatile and less liquid than its investment in U.S. securities and are subject to the risks of currency fluctuations and adverse economic or political developments. Derivative instruments may involve a high degree of financial risk. These risks include the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument; the risk of default by a counterparty; and liquidity risk.

The Goldman Sachs Local Emerging Markets Debt Fund invests primarily in sovereign and corporate debt of issuers located in or tied economically to emerging countries, denominated in the local currency of such emerging countries, or in currencies of such emerging countries. Investments in fixed income securities are subject to the risks associated with debt securities generally, including credit, liquidity and interest rate risk. Foreign and emerging markets investments may be more volatile and less liquid than investments in U.S. securities and are subject to the risks of currency fluctuations and adverse economic or political developments. The securities markets of emerging countries have less government regulation and are subject to less extensive accounting and financial reporting requirements than the markets of more developed countries. Such securities are also subject to foreign custody risk. The Fund is also subject to the risk that the issuers of sovereign debt or the government authorities that control the payment of debt may be unable or unwilling to repay principal or interest when due. High yield, lower rated investments involve greater price volatility and present greater risks than higher rated fixed income securities. Derivative instruments may involve a high degree of financial risk. These risks include the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument; the risk of default by a counterparty; and liquidity risk. At times, the Fund may be unable to sell certain of its illiquid investments without a substantial drop in price, if at all. The Fund is “non-diversified” and may invest more of its assets in fewer issuers than “diversified” funds. Accordingly, the Fund may be

2

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

more susceptible to adverse developments affecting any single issuer held in its portfolio and to greater losses resulting from these developments.

The Goldman Sachs U.S. Mortgages Fund invests primarily in mortgage-backed securities of U.S. issuers. The Fund’s investments in fixed income securities are subject to the risks associated with debt securities generally, including credit, liquidity and interest rate risk. Investments in mortgage-backed securities are also subject to prepayment risk, the risk that in a declining interest rate environment the Fund’s underlying mortgages may be prepaid, causing the Fund to have to reinvest at lower interest rates. Any guarantee on U.S. government securities applies only to the underlying securities of the Fund if held to maturity and not to the value of the Fund’s shares. Derivative instruments may involve a high degree of financial risk. These risks include the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument; the risk of default by a counterparty; and liquidity risk.

3

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

What Differentiates the Goldman Sachs Asset Management Fixed Income Investment Process?

At Goldman Sachs Asset Management, L.P. (“GSAM”), the goal of our fixed income investment process is to provide consistent, strong performance by actively managing our portfolios within a research-intensive, risk-managed framework.

A key element of our fixed income investment philosophy is to evaluate the broadest global opportunity set to capture relative value across sectors and instruments. Our globally integrated investment process involves managing dynamically along the risk/return spectrum, as we continue to develop value-added strategies through:

n Assess relative value among securities and sectors

n Leverage the vast resources of GSAM in selecting securities for each portfolio

n Team approach to decision making

n Manage risk by avoiding significant sector and interest rate bets

n Careful management of yield curve strategies — while closely managing portfolio duration

Fixed Income portfolios that:

n Include domestic and global investment options, income opportunities, and access to areas of specialization such as high yield

n Capitalize on GSAM’s industry-renowned credit research capabilities

n Use a risk-managed framework to seek total return, recognizing the importance of investors’ capital accumulation goals as well as their need for income

4

MARKET REVIEW

Goldman Sachs Single Sector Fixed Income Funds

Market Review

Shifting expectations about global economic growth and the timing of a potential Federal Reserve (“Fed”) interest rate hike, along with falling commodities prices, influenced the performance of the global fixed income markets during the six months ended September 30, 2015 (the “Reporting Period”).

When the Reporting Period began in April 2015, the performance of spread, or non-government bond, sectors was mixed. U.S. Treasury yields rose, as U.S. economic data improved, including positive surprises in inflation and retail sales. First quarter 2015 U.S. Gross Domestic Product (“GDP”) was revised upwards from -0.7% to a seasonally adjusted annualized rate of -0.2%. The upward revision stemmed in part from stronger than estimated consumer spending and inventory data. U.S. dollar gains hit a roadblock during the second calendar quarter on uncertainty around the Fed’s plans for raising interest rates in 2015. The Eurozone’s economic progress took a back seat to the seemingly intractable challenges surrounding Greece.

In the third quarter of 2015, spread sectors underperformed U.S. Treasuries as the outlook for the global economy grew cloudy. Investors focused on slowing economic growth in China, the devaluation of the Chinese renminbi and an unexpected increase in market volatility. Oil and commodities prices dropped to new lows, partly because of falling demand from China. Uncertainty about the timing of potential Fed policy tightening became an increasingly key theme. Surprisingly to many, the Fed chose to leave rates unchanged at its September 2015 policy meeting, citing conditions in the global economy. Although the U.S. economy continued to improve, economic growth in other developed countries softened and emerging markets economies broadly weakened. Despite accommodative monetary policies by many global central banks, inflation remained subdued in the world’s major economies.

For the Reporting Period overall, U.S. Treasuries performed strongly, outpacing other fixed income sectors with the exception of asset-backed securities. High yield corporate bonds underperformed U.S. Treasuries the most, followed by investment grade corporate bonds, sovereign emerging market debt and agency securities. Commercial mortgage-backed securities and residential mortgage-backed securities also underperformed U.S. Treasuries, albeit more modestly. The U.S. Treasury yield curve, or spectrum of maturities, steepened during the Reporting Period, as longer-term yields rose more than intermediate-term yields, and shorter-term yields edged down. The yield on the bellwether 10-year U.S. Treasury rose approximately 18 basis points to 2.04%. (A basis point is 1/100th of a percentage point.)

Looking Ahead

At the end of the Reporting Period, we had not changed our broadly positive view for the global economy, though we did see less cause for optimism. We believe the economic slowdown in the emerging markets is constraining global economic growth overall. Further, in our view, U.S. and European economic momentum is moderating, and Japan is facing stronger headwinds. The risks of policy missteps in China have manifested, in our view, raising the prospect of further volatility in the fixed income markets. Additionally, we think the benefits of lower oil prices are fading, with no end in sight for the downward trend in the commodities markets.

We believed, at the end of the Reporting Period, that the U.S. economy was caught in the cross-currents of domestic strength and global weakness. In our view, the U.S. is likely to benefit from labor market tightening as well as from improvements in the housing market

5

MARKET REVIEW

and in retail sales. Risks include tight financial conditions and weak global demand, while production cuts in the energy sector could have an impact on capital expenditures. Although the Fed may yet raise rates in 2015, we believe the odds of a delay are growing.

In the Eurozone, economic growth momentum appears to have flattened. The Syrian refugee crisis seems to have replaced worries about a potential Greek exit as the dominant policy challenge. We think the European Central Bank is likely to expand its quantitative easing in early 2016. In the U.K., we expect economic growth data to remain positive and believe an interest rate hike by the Bank of England in early 2016 is possible. However, we do not expect the U.K. central bank to move before the Fed acts. Japan faces a possible relapse into recession, and we believe the Bank of Japan is likely to ease again in the near term. In the emerging markets, economic growth has weakened under the combined pressures of the commodities slump, China’s economic slowdown, U.S. dollar strength and fears of Fed policy tightening.

6

PORTFOLIO RESULTS

Goldman Sachs Dynamic Emerging Markets Debt Fund

Investment Objective

The Fund seeks a high level of total return consisting of income and capital appreciation.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Global Fixed Income Investment Management Team discusses the Goldman Sachs Dynamic Emerging Markets Debt Fund’s (the “Fund”) performance and positioning for the six-month period ended September 30, 2015 (the “Reporting Period”).

Q How did the Fund perform during the Reporting Period?

A During the Reporting Period, the Fund’s Class A, C, Institutional, IR and R Shares generated cumulative total returns, without sales charges, of -6.69%, -7.13%, -6.62%, -6.68% and -6.90%, respectively. These returns compare to the -6.66% cumulative total return of the Fund’s benchmark, the Dynamic Emerging Markets Debt Fund Composite Index (the “Index”), which is comprised 50% of the J.P. Morgan Government Bond Index — Emerging Markets (GBI-EM^SM) Global Diversified Index (Gross, USD, Unhedged), 25% of the J.P. Morgan Emerging Markets Bond Index (EMBI^SM) Global Diversified Index (Gross, USD, Unhedged) and 25% of the J.P. Morgan Corporate Emerging Markets Bond Index (CEMBI^SM) Broad Diversified Index (Gross, USD, Unhedged) during the same time period. The components of the Fund’s blended benchmark, the J.P. Morgan GBI-EM^SM Global Diversified Index, J.P. Morgan EMBI^SM Global Diversified Index and J.P. Morgan CEMBI^SM Broad Diversified Index, generated cumulative total returns of -11.40%, -2.04% and -1.48%, respectively, during the Reporting Period.

Q What economic and market factors most influenced emerging markets debt as a whole during the Reporting Period?

A When the Reporting Period began during the second quarter of 2015, external emerging markets debt recorded a small decline, with Argentina, Uruguay and Peru posting the weakest results in the J.P. Morgan EMBI^SM Global Diversified Index. External emerging markets debt also retreated during the third calendar quarter, led by declines in Ecuador, Zambia and Iraq. For the Reporting Period overall, external emerging markets debt, as represented by the J.P. Morgan EMBI^SM Global Diversified Index, returned -2.04%. Sovereign spreads (that is, the difference in yields between external emerging markets debt and U.S. Treasuries) widened by approximately 65 basis points to close the Reporting Period 433 basis points wider than U.S. Treasury securities. (A basis point is 1/100th of a percentage point.)

During the second quarter of 2015, local emerging markets recorded a small decline, driven by changes in local interest rates that was partially offset by modest currency appreciation. In the third calendar quarter, local emerging markets debt declined significantly, driven by currency depreciation versus the U.S. dollar and to a lesser extent, by changes in local interest rates.

In the emerging markets corporate bond sector, performance overall was affected by a number of macro and sector themes as well as by major corporate news headlines. During August 2015, Moody’s Investors Service downgraded the ratings of 14 Brazilian financial institutions, following the ratings agency’s downgrade earlier in the month of Brazil’s sovereign rating to Baa3 from Baa2. In September 2015, Standard and Poor’s Ratings downgraded Brazilian oil company Petroleo Brasileiro (“Petrobras”), along with number of other Brazilian corporates, to BB from BBB- with a negative outlook. Also in September 2015, Standard and Poor’s Ratings downgraded Brazil’s foreign currency rating to BB+ from BBB- and kept its negative outlook in response to political challenges that continued to mount and that added to the country’s fiscal deterioration. Elsewhere, six ministries in China jointly announced loosened policy for foreign buyers of Chinese property, which among other things removed the one-year residency requirement for foreigners seeking to purchase properties and also simplified the procedures for foreign real estate companies to remit renminbi into China for property investment. The emerging markets corporate bond sector saw approximately $119 billion of gross new issuance during the Reporting Period, bringing 2015 year to date through September 30 issuance to approximately $198 billion.¹ Meanwhile, in September 2015, J.P. Morgan revised its global emerging markets corporate default rate forecast to 4.3%.

¹  Source: JPMorgan.

7

PORTFOLIO RESULTS

Q What key factors were responsible for the Fund’s performance during the Reporting Period?

A During the Reporting Period, the Fund’s sector positioning in external emerging markets debt detracted from relative performance. In addition, country and issue selection among local emerging markets bonds hurt results.

Sector positioning and issue selection among emerging markets corporate bonds added to relative returns. Country and issue selection among external emerging markets debt also contributed positively during the Reporting Period.

Q Which segments of emerging markets debt most significantly affected Fund performance?

A During the Reporting Period, the Fund’s position in the Mexican peso (accomplished through the use of forward foreign currency exchange contracts) detracted from relative performance. The Mexican peso depreciated against the U.S. dollar amid overall emerging markets currency weakness. We believe that Mexico remains closely tied to the U.S. economy and may therefore benefit should U.S. economic growth continue to improve. The Fund was also hurt by an underweight position in Argentinian external debt during the Reporting Period, with most of the negative impact occurring in the second quarter of 2015. Although the Fund started the Reporting Period with an overweight in Argentinian external debt, we shifted it to an underweight position based on our belief that Argentina’s macroeconomic conditions have been deteriorating, policy making has been weak, government expenditures have been increasing and uncertainty remains regarding negotiations with holdout creditors in a sovereign debt restructuring. This underweight position dampened performance, as Argentinian external bonds performed well on positive sentiment about the country’s presidential elections. The election race remained broadly open, although polls suggested that Daniel Scioli was slightly ahead of Mauricio Macri. Daniel Scioli is seen as a positive figure for business compared to outgoing President Christina Fernández de Kirchner. Also detracting from Fund results during the Reporting Period was an overweight position in Colombian local interest rates (accomplished through investments in local emerging markets bonds and derivative instruments). We believe Colombia’s strong policy framework — which includes a structural fiscal balance rule, inflation-targeting regime, flexible exchange rate and effective financial supervision and regulation — could help the government facilitate economic and financial stability. However, given Colombia’s reliance on energy exports, low oil prices dampened sentiment for Colombian local bonds during the Reporting Period and also drove a sharp depreciation in the Colombian peso.

On the positive side, the Fund benefited from its underweight position relative to the Index in Turkish local interest rates (accomplished through investments in local emerging markets bonds). We believe geopolitical turmoil and domestic political uncertainty were some of the drivers of the poor performance of Turkish local bonds. In addition, the Fund’s underweights in the Taiwan dollar and South Korean won (accomplished through the use of forward foreign currency exchange contracts) added to results, as fears about China’s slowing economic growth pressured the currencies of many Southeast Asian countries. The Fund also benefited from our tactical trading of Russian external debt, which was driven mainly by valuations. At the same time, we remained mindful that geopolitical tensions and oil price weakness were potential risks to Russian external bonds.

Q Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?

A The Fund’s U.S. duration and yield curve positioning did not have a meaningful impact on relative returns during the Reporting Period. Duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve indicates a spectrum of maturities.

Q How did the Fund use derivatives and similar instruments during the Reporting Period?

A The Fund invested in U.S. Treasury futures, Eurodollar futures, forward foreign currency exchange contracts, interest rate swaps, total return swaps, credit default swaps, cross currency swaps, non-deliverable currency forwards and structured notes. U.S. Treasury futures were used to manage U.S. interest rate duration. Eurodollar futures were used to express our views on the direction of interest rates and to facilitate specific duration and yield curve strategies. Eurodollar futures are contracts that have underlying assets linked to time deposits denominated in U.S. dollars at banks outside the U.S. Forward foreign currency exchange contracts were used for hedging purposes or to express a positive view on a given currency. Interest rate swaps were used to express our views on the direction of a country’s interest rates. Cross-currency swaps were employed to express relative value views on given currencies as well as our views on the direction of a country’s interest rates. Credit default swaps were used to implement specific credit-related investment strategies. Total return swaps and structured notes were used in place of buying a local currency denominated bond when a particular market was otherwise inaccessible or as a more efficient means of gaining access to a local market. Non-deliverable currency forwards were used to gain exposure to a particular country and also to take advantage of relative value opportunities.

8

PORTFOLIO RESULTS

Derivatives may be used in combination with cash securities to implement our views in the Fund.

During the Reporting Period, we used credit default swaps to gain exposure to Chinese external debt, which slightly detracted from performance. The Fund’s use of forward foreign currency exchange contracts as well as swaps to take a long position in the Mexican peso also had a negative impact on the Fund’s performance during the Reporting Period. In addition, we used interest rate swaps and total return swaps to gain access to the Colombia local debt market, positioning that detracted from performance. Another detractor was the Fund’s exposure to Brazil for which we used interest rate swaps, as well as sovereign local bonds. Conversely, the Fund’s positioning in the Brazilian real and Taiwan dollar, implemented via forward foreign exchange contracts, added to the Fund’s performance.

Q Were there any notable changes in the Fund’s weightings during the Reporting Period?

A During the Reporting Period, we increased the Fund’s already overweight positions in Indonesian and Colombian external debt because of what we considered to be attractive valuations. We believe Colombia’s strong policy framework could help the government facilitate economic and financial stability. In addition, during the Reporting Period, we increased the Fund’s underweight in Malaysian local interest rates, as the country faces, in our view, multiple challenges including depletion of its foreign exchange reserves, deterioration of its trade balance and political dynamics. In addition, as ongoing oil price weakness and fears about China’s slowing economic growth pressured emerging markets currencies, we reduced the Fund’s exposure to emerging markets currencies.

Q How was the Fund positioned relative to its benchmark index at the end of the Reporting Period?

A At the end of the Reporting Period, the Fund was overweight Indonesian and Colombian external debt and underweight Malaysian local interest rates. It held selective overweights in the corporate bonds of companies with what we considered to be solid balance sheets. Overall, we favored defensive non-cyclical companies, such as bottlers and certain telecommunications companies, which have comparable spreads to riskier cyclical names. The Fund also had an overweight position in the utilities sector due to the defensive nature of utilities companies, which typically generate strong, stable cash flows. It was underweight relative to the Index in financials based on our concerns about their limited disclosure regarding balance sheet asset quality, funding risks when banks rely on the wholesale funding markets as well as macro risks. Bank corporate debt also generally tends to be correlated with sovereign emerging markets debt. In terms of currencies, we maintained the Fund’s reduced exposure in emerging market currencies, with the Fund’s largest long position held in the Mexico peso and its largest short position held in the Chinese renminbi.

Q What is the Fund’s tactical view and strategy for the months ahead?

A At the end of the Reporting Period, the external debt markets had been shaken by the relentless volatility in the commodities markets and worries around China’s economic growth. In our view, China’s situation has grown increasingly complex, as numerous developments have sharpened concerns about the Chinese economy and the country’s policy direction. Looking ahead, we expect the Fed to raise interest rates either in December 2015 or early in 2016, with international headwinds such as low commodities prices and volatility in Asia skewing risks, in our view, toward a later hike. As the window for a potential Fed hike in 2015 gets smaller, we believe the external debt markets have already priced in policy tightening. Overall, we do not think a Fed rate increase will have much of an effect on how external debt trades. First, we believe any 2015 rate hike may be limited to a single increase, given that U.S. dollar strength, tighter financial conditions and downward inflationary pressures may temper the Fed’s willingness to move aggressively. Second, there has been widespread speculation about the exact timing of Fed action, which has, in our view, allowed market participants time to adjust their positioning.

In terms of local emerging markets debt at the end of the Reporting Period, we recognized the environment was likely to remain challenging as a result of persistent U.S. dollar strength and overall emerging markets currency weakness, weaker emerging markets economic growth, commodities market volatility and idiosyncratic factors affecting individual countries. Although Fed monetary policy tightening might lead to an initial sell-off in local emerging markets debt, we believe the anticipated rate hikes have been well telegraphed and a gradual increase in U.S. interest rates is not likely, in our view, to be a problem over the long term.

At the end of the Reporting Period, we had a cautious outlook on emerging markets corporate bonds given challenging operating conditions, including low commodities prices and currency fluctuations. That said, we continued to see opportunities and have a positive view on names with less leverage and more attractive valuations than comparable developed market companies. In our view, emerging markets corporate balance sheets remain robust, with limited near-term rollover needs, though liquidity in emerging markets corporate debt is generally below that of emerging markets sovereign debt.

9

FUND BASICS

Dynamic Emerging Markets Debt Fund

as of September 30, 2015

PERFORMANCE REVIEW
April 1, 2015– September 30, 2015	Fund Total Return (based on NAV)1			Dynamic Emerging Markets Debt Fund Composite Index2			J.P. Morgan EMBISM Global Diversified Index3			J.P. Morgan GBI-EMSM Global Diversified Index4			J.P. Morgan CEMBISM Broad Diversified Index5			30-Day Standardized Subsidized Yield6			30-Day Standardized Unsubsidized Yield6
Class A		-6.69	%		-6.66	%		-2.04	%		-11.40	%		-1.48	%		4.22	%		2.28	%
Class C		-7.13			-6.66			-2.04			-11.40			-1.48			3.61			1.59
Institutional		-6.62			-6.66			-2.04			-11.40			-1.48			4.68			2.66
Class IR		-6.68			-6.66			-2.04			-11.40			-1.48			4.54			2.51
Class R		-6.90			-6.66			-2.04			-11.40			-1.48			4.54			2.51

¹  The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

²  The Dynamic Emerging Markets Debt Fund Composite Index is comprised of the J.P. Morgan GBI-EM^SM Global Diversified Index (50%), the J.P. Morgan EMBI^SM Global Diversified Index (25%), and the J.P. Morgan CEMBI^SM Broad Diversified Index (25%). The index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

³  The J.P. Morgan EMBI^SM Global Diversified Index is an unmanaged index of debt instruments of 50 emerging countries. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

⁴  The J.P. Morgan GBI-EM^SM Global Diversified Index (with dividends reinvested) is an unmanaged index of debt instruments of 14 emerging countries. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

⁵  The J.P. Morgan CEMBI^SM Broad Diversified Index tracks total returns of U.S. dollar-denominated debt instruments issued by corporate entities in emerging markets countries. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

⁶  The method of calculation of the 30-Day Standardized Subsidized Yield is mandated by the Securities and Exchange Commission and is determined by dividing the net investment income per share earned during the last 30 days of the period by the maximum public offering price (“POP”) per share on the last day of the period. This number is then annualized. The 30-Day Standardized Subsidized Yield reflects fee waivers and/or expense reimbursements recorded by the Fund during the period. Without waivers and/or reimbursements, yields would be reduced. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Unsubsidized Yield does not adjust for any fee waivers and/or expense reimbursements in effect. If the Fund does not incur any fee waivers and/or expense reimbursements during the period, the 30-Day Standardized Subsidized Yield and 30-Day Standardized Unsubsidized Yield will be identical.

10

FUND BASICS

STANDARDIZED TOTAL RETURNS7
For the period ended 9/30/15	One Year			Since Inception			Inception Date
Class A		-16.20	%		-7.87	%		5/31/13
Class C		-13.83			-6.63			5/31/13
Institutional		-12.00			-5.63			5/31/13
Class IR		-12.11			-5.83			5/31/13
Class R		-12.53			-6.18			5/31/13

⁷  The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 4.50% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Class IR and Class R Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. The Fund will charge a 2% redemption fee on the redemption of shares (including by exchange) held for 30 calendar days or less. The performance figures do not reflect the deduction of the redemption fee. If reflected, the redemption fee would reduce the performance quoted.

The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

11

FUND BASICS

EXPENSE RATIOS8
	Net Expense Ratio (Current)			Gross Expense Ratio (Before Waivers)
Class A		1.24	%		3.45	%
Class C		1.99			3.66
Institutional		0.90			2.57
Class IR		1.00			2.77
Class R		1.49			3.27

⁸  The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least July 29, 2016, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

TOP TEN COUNTRY ALLOCATION9
	Percentage of Net Assets
	as of 9/30/15			as of 3/31/15
Mexico		13.3	%		10.4	%
Colombia		6.9			4.2
Turkey		5.7			6.4
Indonesia		5.6			6.2
Brazil		5.6			7.9
South Africa		4.7			2.6
United States		4.4			5.9
Poland		3.9			2.3
Russia		3.5			2.5
Thailand		2.8			3.8
Other		44.9			51.2

⁹  The percentage shown for each investment category reflects the value of investments in that country as a percentage of net assets. The table does not include repurchase agreements of 16.2% as of 9/30/15 and 9.8% as of 3/31/15. The table depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

12

PORTFOLIO RESULTS

Goldman Sachs Emerging Markets Debt Fund

Investment Objective

The Fund seeks a high level of total return consisting of income and capital appreciation.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Global Fixed Income Investment Management Team discusses the Goldman Sachs Emerging Markets Debt Fund’s (the “Fund”) performance and positioning for the six-month period ended September 30, 2015 (the “Reporting Period”).

Q How did the Fund perform during the Reporting Period?

A During the Reporting Period, the Fund’s Class A, C, Institutional and IR Shares generated cumulative total returns, without sales charges, of -1.60%, -1.97%, -1.43% and -1.47%, respectively. These returns compare to the -2.04% cumulative total return of the Fund’s benchmark, the J.P. Morgan Emerging Markets Bond Index (EMBI^SM) Global Diversified (Gross, USD, Unhedged) Index (the “Index”), during the same time period.

During the period since their inception on July 31, 2015 through September 30, 2015, the Fund’s Class R6 Shares generated a cumulative total return, without sales charges, of -1.71% compared to the -2.19% cumulative total return of the Index.

Q What economic and market factors most influenced emerging markets debt as a whole during the Reporting Period?

A When the Reporting Period began during the second quarter of 2015, external emerging markets debt recorded a small decline, with Argentina, Uruguay and Peru posting the weakest results in the Index. External emerging markets debt also retreated during the third calendar quarter, led by declines in Ecuador, Zambia, and Iraq.

For the Reporting Period overall, external emerging markets debt, as represented by the Index, returned -2.04%. Sovereign spreads (that is, the difference in yields between external emerging markets debt and U.S. Treasuries) widened by approximately 65 basis points to close the Reporting Period 433 basis points wider than U.S. Treasury securities. (A basis point is 1/100th of a percentage point.) The weakest performing emerging external debt markets during the Reporting Period, as represented by the Index, were (in U.S. dollar terms¹) Zambia (-21.06%), Iraq (-13.97%) and Brazil (-9.76%). The top performing emerging external debt markets were Ukraine (+104.98%), Belarus (+14.48%) and Russia (+6.32%).

Q What key factors were responsible for the Fund’s performance during the Reporting Period?

A During the Reporting Period, the Fund benefited from country and issue selection of external emerging markets bonds. Issue selection among emerging markets corporate bonds also added to relative returns. In addition, the Fund’s performance was enhanced by our active currency management through which the Fund takes positions in local currencies (accomplished through the use of forward foreign currency exchange contracts as well as bonds denominated in local currencies).

Conversely, the Fund was hurt by sector positioning in external emerging markets debt and emerging markets corporate bonds. Our U.S. duration and yield curve strategy also detracted from relative results. Duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve indicates a spectrum of maturities.

Q Which segments of emerging markets debt most significantly affected Fund performance?

A During the Reporting Period, the Fund benefited from its tactical trading of Venezuelan external debt. While we remain concerned about the country’s deteriorating fundamentals, we took advantage of opportunities to add to the Fund’s overweight position relative to the Index. An overweight in Dominican Republic external debt also added to relative results. In our view, the Dominican Republic’s current account has improved due to lower oil prices, and its economy is growing at a strong pace. In addition, the government has made significant fiscal reforms, with a focus on tax increases and capital expenditures. The repayment of

¹  All regional and market returns are in U.S. dollar terms (unless otherwise specified), are based on country-specific stock market indices and reflect the reinvestment of any dividends if applicable.

13

PORTFOLIO RESULTS

the Dominican Republic’s Petrocaribe debt to Venezuela was a positive development, as it enabled the Dominican Republic to reduce its external debt burden. The Fund’s underweight position in Peruvian external debt also contributed positively during the Reporting Period. Investors appeared to have concerns about Peru’s interventions in the foreign exchange market and about the impact of commodities-related weakness. Peru is a large exporter of commodities to China.

The Fund was hurt during the Reporting Period by its underweight relative to the Index in Argentinian external debt. The Fund was underweight based on our belief that Argentina’s macroeconomic conditions are deteriorating, policy making has been weak, government expenditures have been increasing and uncertainty remains regarding negotiations with holdout creditors in a sovereign debt restructuring. However, Argentinian external debt advanced on positive momentum in economic activity as well as on optimism that the successor to current President Christina Fernández de Kirchner would be friendlier to business. The Fund was also hampered by its underweight in Lebanese external debt, which performed well. We continue to believe the country has weak credit fundamentals and is reliant on external funding. In addition, the Fund’s position in the Mexican peso (accomplished through the use of forward foreign currency exchange contracts) detracted from relative performance. The Mexican peso depreciated against the U.S. dollar amid overall emerging markets currency weakness. We believe that Mexico remains closely tied to the U.S. economy and may therefore benefit should U.S. economic growth continue to improve.

Q Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?

A The Fund’s U.S. duration and yield curve positioning detracted from relative returns. For most of the Reporting Period, we tactically shifted the Fund’s duration position on the U.S. Treasury yield curve between a slightly short duration position and a slightly long duration position, ending the Reporting Period with a slightly long duration position. We made these tactical shifts because we believed the Federal Reserve (the “Fed”) might be inclined to hike interest rates in the near term because of strong U.S. economic data but also thought the Fed might stay on hold because of global factors, such as low commodities prices and volatility in the Asian financial markets. The Fund’s duration positioning detracted slightly from performance during the Reporting Period, as U.S. government yields broadly rose on stronger U.S. economic data and market expectations that the Fed would increase interest rates in 2015.

Q How did the Fund use derivatives and similar instruments during the Reporting Period?

A The Fund invested in U.S. Treasury futures, Eurodollar futures, forward foreign currency exchange contracts, interest rate swaps, credit default swaps, non-deliverable currency forwards and structured notes. U.S. Treasury futures were used to manage U.S. interest rate duration. Eurodollar futures were used to express our views on the direction of interest rates and to facilitate specific duration and yield curve strategies. Eurodollar futures are contracts that have underlying assets linked to time deposits denominated in U.S. dollars at banks outside the U.S. Forward foreign currency exchange contracts were used for hedging purposes or to express a positive view on a given currency. Interest rate swaps were used to express our views on the direction of a country’s interest rates. Credit default swaps and structured notes were used in place of buying a local currency denominated bond when a particular market was otherwise inaccessible or as a more efficient means of gaining access to a local market. Non-deliverable currency forwards were used to gain exposure to a particular country. Derivatives may be used in combination with cash securities to implement our views in the Fund.

During the Reporting Period, we used credit default swaps to gain exposure to Chinese external debt, which slightly detracted from performance. In addition, the Fund’s use of forward foreign currency exchange contracts as well as swaps to take a long position in the Mexican peso had a negative impact on the Fund’s performance during the Reporting Period.

Q Were there any notable changes in the Fund’s weightings during the Reporting Period?

A During the Reporting Period, we increased the Fund’s overweight relative to the Index in Mexican external debt. We shifted the Fund from an underweight in Colombian external debt to an overweight position. In addition, during the Reporting Period, we increased the Fund’s underweight in Chinese external debt. We also increased the Fund’s underweight compared to the Index in Peruvian external debt.

14

PORTFOLIO RESULTS

Q How was the Fund positioned relative to its benchmark index at the end of the Reporting Period?

A Overall, at the end of the Reporting Period, the Fund was positioned to capitalize on the theme of developed markets economic growth and monetary policy divergence, given that continued easing from the European Central Bank (“ECB”) and Bank of Japan contrasts with expectations of higher interest rates from the Fed. Against the backdrop of the ECB’s significant quantitative easing program, some Eastern European external debt, such as Croatian external bonds, appeared to us to be attractive on a relative basis. At the end of the Reporting Period, the Fund was overweight relative to the Index in Croatian external bonds due largely to what we consider to be Croatia’s improving macroeconomic dynamics and reform agendas. It was also overweight Dominican Republic and Colombian external debt. We believe the Dominican Republic’s government has implemented significant fiscal reforms and reduced its fiscal deficit. We believe lower energy prices should further benefit the country’s current account. We expect monetary policy divergence to have an impact on countries within the immediate sphere of the U.S., the Eurozone and Japan. Accordingly, the Fund had a long position in the Mexican peso at the end of the Reporting Period.

Looking ahead, we expect the markets to scrutinize the agendas of incoming administrations. Therefore, at the end of the Reporting Period, the Fund was positioned with an overweight in Indonesian external debt and an underweight in Turkish external debt. In Turkey, geopolitics and domestic politics continue to cloud the country’s outlook. Widely-held concerns remain that ongoing uncertainties could delay the completion of economic policies aimed at reducing external vulnerabilities, improving the investment climate and reactivating economic growth. At the same time, the Fund maintained an underweight in Malaysian external debt, as we remain concerned about depletion of the country’s foreign exchange reserves, deterioration of its trade balance and challenging political dynamics within the country.

Finally, we retained our focus at the end of the Reporting Period on seeking the cheapest valuations. We believe Venezuelan external bond prices imply a material probability of restructuring, as they hover close to their all-time lows. In our view, Venezuelan external bonds offered the possibility of significant recovery, and we believed the country would find a way to avoid default. At the end of the Reporting Period, the Fund held an overweight position relative to the Index in Venezuelan external debt.

Q What is the Fund’s tactical view and strategy for the months ahead?

A At the end of the Reporting Period, the external debt markets had been shaken by the relentless volatility in the commodities markets and worries around China’s economic growth. In our view, China’s situation has grown increasingly complex, as numerous developments have sharpened concerns about the Chinese economy and the country’s policy direction.

Looking ahead, we expect the Fed to raise interest rates either in December 2015 or early in 2016, with international headwinds, such as low commodities prices and volatility in Asia skewing risks, in our view, toward a later hike. As the window for a potential Fed hike in 2015 gets smaller, we believe the external debt markets have already priced in policy tightening. Overall, we do not think a Fed rate increase will have much of an effect on how external debt trades. First, we believe any 2015 rate hike may be limited to a single increase, given that U.S. dollar strength, tighter financial conditions and downward inflationary pressures may temper the Fed’s willingness to move aggressively. Second, there has been widespread speculation about the exact timing of Fed action, which has, in our view, allowed market participants time to adjust their positioning. In the near term, we believe bond pickers are likely to be rewarded, with continued dispersion of returns among countries.

15

FUND BASICS

Emerging Markets Debt Fund

as of September 30, 2015

PERFORMANCE REVIEW
April 1, 2015– September 30, 2015	Fund Total Return (based on NAV)1			J.P. Morgan EMBISM Global Diversified Index2			30-Day Standardized Subsidized Yield3			30-Day Standardized Unsubsidized Yield3
Class A		-1.60	%		-2.04	%		4.92	%		4.87	%
Class C		-1.97			-2.04			4.39			4.34
Institutional		-1.43			-2.04			5.50			5.45
Class IR		-1.47			-2.04			5.41			5.36
July 31, 2015– September 30, 2015	Fund Total Return (based on NAV)1			J.P. Morgan EMBISM Global Diversified Index2			30-Day Standardized Subsidized Yield3			30-Day Standardized Unsubsidized Yield3
Class R6		-1.71	%		-2.19	%		5.39	%		5.34	%

¹  The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

²  The J.P. Morgan Emerging Markets Bond Index (EMBI^SM) Global Diversified (Gross, USD, Unhedged) Index is an unmanaged index of debt instruments of 50 emerging countries. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

³  The method of calculation of the 30-Day Standardized Subsidized Yield is mandated by the Securities and Exchange Commission and is determined by dividing the net investment income per share earned during the last 30 days of the period by the maximum public offering price (“POP”) per share on the last day of the period. This number is then annualized. The 30-Day Standardized Subsidized Yield reflects fee waivers and/or expense reimbursements recorded by the Fund during the period. Without waivers and/or reimbursements, yields would be reduced. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Unsubsidized Yield does not adjust for any fee waivers and/or expense reimbursements in effect. If the Fund does not incur any fee waivers and/or expense reimbursements during the period, the 30-Day Standardized Subsidized Yield and 30-Day Standardized Unsubsidized Yield will be identical.

16

FUND BASICS

STANDARDIZED TOTAL RETURNS4
For the period ended 9/30/15	One Year			Five Years			Ten Years			Since Inception			Inception Date
Class A		-6.58	%		3.30	%		6.15	%		8.18	%		8/29/03
Class C		-3.85			3.51			N/A			5.81			9/29/06
Institutional		-1.81			4.63			7.02			8.99			8/29/03
Class IR		-1.90			4.53			N/A			5.26			7/30/10
Class R6		N/A			N/A			N/A			-1.71			7/31/15

⁴  The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 4.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Class IR and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. The Fund will charge a 2% redemption fee on the redemption of shares (including by exchange) held for 30 calendar days or less. The performance figures do not reflect the deduction of the redemption fee. If reflected, the redemption fee would reduce the performance quoted.

The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

EXPENSE RATIOS5
	Net Expense Ratio (Current)			Gross Expense Ratio (Before Waivers)
Class A		1.24	%		1.25	%
Class C		1.99			2.00
Institutional		0.90			0.91
Class IR		0.99			1.00
Class R6		0.88			0.89

⁵  The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least July 29, 2016, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

17

FUND BASICS

TOP TEN COUNTRY ALLOCATION6
	Percentage of Net Assets
	as of 9/30/15			as of 3/31/15
Mexico		9.1	%		5.1	%
Croatia		6.1			5.9
Dominican Republic		5.8			5.3
United States		6.4			14.7
Indonesia		5.2			3.4
Hungary		4.3			0.6
Brazil		4.1			3.7
Chile		4.0			3.8
Colombia		4.0			2.5
Venezuela		3.9			3.4
Other		47.6			55.0

⁶  The percentage shown for each investment category reflects the value of investments in that country as a percentage of net assets. The table does not include repurchase agreements of 0.3% as of 9/30/15 and 1.0% as of 3/31/15. The table depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

18

PORTFOLIO RESULTS

Goldman Sachs High Yield Fund

Investment Objective

The Fund seeks a high level of current income and may also consider the potential for capital appreciation.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs High Yield Fixed Income Investment Management Team discusses the Goldman Sachs High Yield Fund’s (the “Fund”) performance and positioning the six-month period ended September 30, 2015 (the “Reporting Period”).

Q How did the Fund perform during the Reporting Period?

A During the Reporting Period, the Fund’s Class A, C, Institutional, Service, IR and R Shares generated cumulative total returns, without sales charges, of -5.39%, -5.73%, -5.21%, -5.33%, -5.26%, and -5.51%, respectively. These returns compare to the -4.82% cumulative total return of the Fund’s benchmark, the Barclays U.S. High Yield, 2% Issuer Capped Bond Index (the “Index”), during the same time period.

During the period since their inception on July 31, 2015 through September 30, 2015, the Fund’s Class R6 Shares generated a cumulative total return, without sales charges, of -4.50% compared to the -4.28% cumulative total return of the Index.

Q What economic and market factors most influenced the high yield corporate bond market as a whole during the Reporting Period?

A During the second quarter of 2015, when the Reporting Period started, high yield corporate bond prices fell. After generating robust positive returns during April and May 2015, they retreated in June 2015, as volatility increased and geopolitical concerns resurfaced. High yield corporate bond prices also declined during the third calendar quarter, as global growth concerns, sector-specific issues and a sharp drop in commodities prices fueled uncertainty and drove higher levels of volatility.

For the Reporting Period overall, BB-rated credits outperformed B-rated credits and lower quality credits. Option adjusted spreads widened approximately 165 basis points, ending the Reporting Period at 630 basis points. (The option adjusted spread is a measurement tool for evaluating price differences between similar products with different embedded options. A basis point is 1/100th of a percentage point.) High yield corporate bonds underperformed high yield loans, as represented by the Barclays U.S. High-Yield Loan Index.

In terms of issuance, approximately $95.5 billion of new high yield corporate bonds were priced during the second quarter of 2015, with refinancing the primary use of the proceeds. In the third calendar quarter, approximately $59.7 billion of new high yield corporate bonds came to market, a quarter-over-quarter decline of 38% and the lowest quarterly total since the second quarter of 2012 when approximately $54.7 billion were priced. The proceeds during the third calendar quarter were used for both refinancing and acquisition financing.

Demand was weak during the Reporting Period, with high yield corporate bond mutual funds experiencing approximately $15.8 billion of investment outflows. The default rate for high yield corporate bonds remained low in historical terms, helped by healthier corporate balance sheets. For the Reporting Period overall, there were 15 defaults among high yield issuers, primarily in the energy and coal sectors, which affected approximately $16.4 billion in high yield corporate bonds. The 12-month par-weighted default high yield corporate bond rate through September 30, 2015 was 2.29%.

Q What key factors were responsible for the Fund’s performance during the Reporting Period?

A The Fund was hurt by its overweight position relative to the Index in short duration spread credits (less than four years) and its overweight in intermediate spread duration credits (between four and nine years), as option adjusted spreads widened during the Reporting Period. (Spread duration represents the price sensitivity of a high yield corporate bond

¹  Source: J.P. Morgan.

19

PORTFOLIO RESULTS

to a change in spreads.) In addition, the Fund’s performance was hampered by its overall credit quality positioning. Individual issue selection also dampened relative returns.

The Fund’s duration positioning added slightly to its relative results during the Reporting Period. (Duration is a measure of a portfolio’s sensitivity to changes in interest rates.) The Fund’s duration strategy is primarily implemented via interest rate swaps and/or futures. Sector positioning also added modestly to the Fund’s relative returns during the Reporting Period.

Q Which segments within high yield most significantly affected Fund performance?

A The Fund’s underweight relative to the Index in BB-rated credits detracted from relative performance, as BB-rated credits outperformed during the Reporting Period. The Fund was also hurt by its overweight in non-rated credits. Conversely, an overweight in high yield loans and BBB-rated credits added to relative returns.

In terms of sector positioning, the Fund benefited from an underweight relative to the Index in metals and mining and an overweight in building materials. It was hindered by an overweight in cellular telecommunications and an underweight in food and drug retailers.

With regard to individual issue selection, Fund performance was dampened by overweight positions in Intelsat, a communications satellite services provider; Sprint Communications, a telecommunications company; and Peabody Energy, a coal mining company. The Fund’s lack of exposure to Energy XXI Gulf Coast, California Resources and SandRidge Energy — all oil and natural gas producers — added to relative results.

Q Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?

A During the Reporting Period, the Fund’s duration and yield curve positioning somewhat bolstered its performance versus the Index. More specifically, the Fund slightly benefited from its neutral duration positioning relative to the Index, which it held for most of the Reporting Period.

Q How did the Fund use derivatives and similar instruments during the Reporting Period?

A To hedge against currency risk (that is, the risk that certain currencies might fluctuate in value), the Fund employed forward foreign exchange currency contracts during the Reporting Period. Additionally, a specialized index of credit default swaps (CDX) was used to manage the beta of the Fund on an active basis. It was also used as a cost-efficient instrument to help manage the Fund’s cash position. We employ CDX contracts as a way to gain credit exposure by being short credit protection, when the Fund experiences significant cash inflows. The Fund used U.S. Treasury futures, Eurodollar futures and interest rate swaps to facilitate specific duration and yield curve strategies. Eurodollar futures are contracts that have underlying assets linked to time deposits denominated in U.S. dollars at banks outside the U.S. Derivatives may be used in combination with cash securities to implement our views in the Fund.

Q Were there any notable changes in the Fund’s weightings during the Reporting Period?

A During the Reporting Period, we increased the Fund’s allocation to high yield corporate bonds and high yield loans. We reduced its Fund’s allocation to B-rated high yield corporate bonds, while increasing its allocation to BB-rated high yield corporate bonds. In addition, we increased the Fund’s overweight in health care and decreased its allocation to non-cable media during the Reporting Period.

Q How was the Fund positioned relative to its benchmark index at the end of the Reporting Period?

A At the end of the Reporting Period, the Fund was overweight relative to the Index in certain cyclical sectors, such as consumer-related and real estate-related sectors, that we believe are experiencing healthy growth. The Fund was also overweight a number of defensive sectors, including cable, health care and utilities. It was underweight compared to the Index in cyclical sectors more sensitive to global growth worries, including technology and metals and mining. At the end of the Reporting Period, we favored B-rated and BB-rated credits and maintained the Fund’s modest exposure to CCC-rated credits.

Q What is the Fund’s tactical view and strategy for the months ahead?

A At the end of the Reporting Period, we had a positive, though cautious, outlook on high yield corporate bonds, as we considered European and U.S. corporate fundamentals healthy in most industries, except those negatively affected by low commodities prices. In our view, corporations are experiencing moderate earnings growth, and they have remained focused on cost controls and maintaining operating margins. We believe economic conditions in the U.S. are

20

PORTFOLIO RESULTS

improving and are supportive of healthy earnings within domestic industries. In addition, nearly 80% of the U.S. high yield corporate bond market is represented by industries in which the negative impact of falling commodities prices is less certain or is a potential benefit, including those related to consumers, communications, electric utilities, food and real estate. At the end of the Reporting Period, we expected to see continued mergers and acquisitions activity and for corporate management to be willing to engage in shareholder friendly activities.

We had a positive view on high yield loans at the end of the Reporting Period, as their lower yields compared to high yield corporate bonds was more than offset by their more defensive characteristics.

Looking ahead, we see some downside risk potential, especially as we believe oil and gas prices are apt to remain lower for longer. Although the default rate on high yield corporate bonds remained low at the end of Reporting Period, we expect defaults to pick up, led by energy and metals and mining credits, with some contagion among distressed credits in other industries. That said, at the end of the Reporting Period, we saw some signs of stabilization in the oil markets, reflecting an improved balance between supply and demand. Additional near-term risks, in our view, may stem from macroeconomic or geopolitical developments, such as renewed weakness in Europe or an escalation in growth concerns about China.

21

FUND BASICS

High Yield Fund

as of September 30, 2015

PERFORMANCE REVIEW
April 1, 2015– September 30, 2015	Fund Total Return (based on NAV)1			Barclays U.S. High Yield 2% Issuer Capped Bond Index2			30-Day Standardized Subsidized Yield3			30-Day Standardized Unsubsidized Yield3
Class A		-5.39	%		-4.82	%		5.69	%		5.69	%
Class C		-5.73			-4.82			5.18			5.17
Institutional		-5.21			-4.82			6.30			6.30
Service		-5.33			-4.82			5.79			5.78
Class IR		-5.26			-4.82			6.22			6.21
Class R		-5.51			-4.82			5.70			5.69
July 31, 2015– September 30, 2015	Fund Total Return (based on NAV)1			Barclays U.S. High Yield 2% Issuer Capped Bond Index2			30-Day Standardized Subsidized Yield3			30-Day Standardized Unsubsidized Yield3
Class R6		-4.50	%		-4.28	%		6.21	%		6.21	%

¹  The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

²  The Barclays U.S. High-Yield 2% Issuer Capped Bond Index, an unmanaged index, covers the universe of U.S. dollar denominated, non-convertible, fixed rate, non-investment grade debt. Index holdings must have at least one year to final maturity, at least $150 million par amount outstanding, and be publicly issued with a rating of Ba1 or lower. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

³  The method of calculation of the 30-Day Standardized Subsidized Yield is mandated by the Securities and Exchange Commission and is determined by dividing the net investment income per share earned during the last 30 days of the period by the maximum public offering price (“POP”) per share on the last day of the period. This number is then annualized. The 30-Day Standardized Subsidized Yield reflects fee waivers and/or expense reimbursements recorded by the Fund during the period. Without waivers and/or reimbursements, yields would be reduced. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Unsubsidized Yield does not adjust for any fee waivers and/or expense reimbursements in effect. If the Fund does not incur any fee waivers and/or expense reimbursements during the period, the 30-Day Standardized Subsidized Yield and 30-Day Standardized Unsubsidized Yield will be identical.

The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

22

FUND BASICS

STANDARDIZED TOTAL RETURNS4
For the period ended 9/30/15	One Year			Five Years			Ten Years			Since Inception			Inception Date
Class A		-8.28	%		4.32	%		5.31	%		5.83	%	8/1/97
Class C		-5.62			4.51			5.01			5.34		8/15/97
Institutional		-3.62			5.65			6.16			6.49		8/1/97
Service		-4.12			5.13			5.64			5.95		8/1/97
Class IR		-3.85			5.56			N/A			5.97		11/30/07
Class R6		N/A			N/A			N/A			-4.50		7/31/15
Class R		-4.21			5.03			N/A			5.43		11/30/07

⁴  The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 4.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Service, Class IR, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. The Fund will charge a 2% redemption fee on the redemption of shares (including by exchange) held for 60 calendar days or less. The performance figures do not reflect the deduction of the redemption fee. If reflected, the redemption fee would reduce the performance quoted.

The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

EXPENSE RATIOS5
	Net Expense Ratio (Current)			Gross Expense Ratio (Before Waivers)
Class A		1.06	%		1.06	%
Class C		1.81			1.81
Institutional		0.72			0.72
Service		1.22			1.22
Class IR		0.81			0.81
Class R6		0.70			0.70
Class R		1.31			1.31

⁵  The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations), are as set forth above according to the most recent publicly available Prospectus.

23

FUND BASICS

TOP TEN ISSUERS AS OF 9/30/156
Company	% of Net Assets			Line of Business
HCA, Inc.		1.2	%	Health Care – Services
Sprint Corp.		1.0		Telecommunications – Cellular
Reynolds Group Issuer, Inc.		0.8		Packaging
Numericable – SFR SAS		0.8		Media – Cable
MGM Resorts International		0.7		Gaming
SoftBank Corp.		0.7		Telecommunications – Cellular
BWAY Holding Co.		0.7		Packaging
Schaeffler Finance BV		0.6		Automotive Parts
Tenet Healthcare Corp.		0.6		Health Care – Services
HCA, Inc.		0.6		Health Care – Services

⁶  The top 10 issuers may not be representative of the Fund’s future investments.

TOP TEN INDUSTRY ALLOCATION7
	Percentage of Net Assets
	as of 9/30/15			as of 3/31/15
Telecommunications		11.3	%		11.3	%
Health Care		10.8			8.9
Energy		9.1			9.8
Media		8.9			9.8
Banks		6.4			3.5
Finance		5.7			5.8
Technology		5.4			6.1
Retailers		4.3			3.4
Gaming		4.2			4.1
Consumer Products		3.9			5.2
Other		31.0			32.1

⁷  The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. The table depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

24

PORTFOLIO RESULTS

Goldman Sachs High Yield Floating Rate Fund

Investment Objective

The Fund seeks a high level of current income.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs High Yield Fixed Income Investment Management Team discusses the Goldman Sachs High Yield Floating Rate Fund’s (the “Fund”) performance and positioning for the six-month period ended September 30, 2015 (the “Reporting Period”).

Q How did the Fund perform during the Reporting Period?

A During the Reporting Period, the Fund’s Class A, C, Institutional, IR and R Shares generated cumulative total returns, without sales charges, of -0.98%, -1.35%, -0.80%, -0.85%, and -0.99%, respectively. These returns compare to the -0.86% cumulative total return of the Fund’s benchmark, the Barclays U.S. High-Yield Loans Index (the “Index”), during the same time period.

Q What economic and market factors most influenced the high yield floating rate loan market as a whole during the Reporting Period?

A High yield loans recorded a modest decline during the Reporting Period, with BB-rated credits outperforming B-rated credits and lower quality credits. High yield loan spreads (or yield differentials versus duration-equivalent U.S. Treasury securities) contracted by six basis points, ending the Reporting Period at 445 basis points. (A basis point is 1/100th of a percentage point.)

The technical, or supply/demand, backdrop for high yield loans was challenging during the Reporting Period. In the second quarter of 2015, approximately $159 billion of new high yield loans were brought to market, the fourth highest quarterly total on record. In the third calendar quarter, however, new high yield loan issuance totaled approximately $58.7 billion, a 63% quarter-over-quarter decline. Meanwhile, high yield loan mutual funds experienced investment outflows of $7.8 billion for the Reporting Period overall.

During the Reporting Period, the default rate for high yield loans remained below the historical average, helped by healthier corporate balance sheets. There were eight defaults among high yield loan issuers, predominantly in commodities-related sectors, affecting approximately $5.8 billion in high yield loans. The trailing 12-month default rate through September 30, 2015 was 1.51%. (All data per JPMorgan.)

Q What key factors were responsible for the Fund’s performance during the Reporting Period?

A During the Reporting Period, the Fund was hampered by its overall credit quality positioning relative to the Index. In addition, as high yield loan spreads narrowed, the Fund was hurt by an underweight in intermediate spread duration loans (between four and nine years). (Spread duration represents the price sensitivity of a high yield bond to a change in spreads.)

Conversely, individual issue selection within the high yield loan market added slightly to relative returns.

Q Which segments of the high yield floating rate loan market significantly affected Fund performance?

A The Fund was hurt overall during the Reporting Period by its credit quality positioning, namely its overweight relative to the Index in CCC-rated loans. This was offset somewhat by the Fund’s overweight in BB-rated loans. An overweight in Canadian- and European-domiciled high yield loans contributed positively.

Relative to sector positioning, the Fund’s underweight positions relative to the Index in energy and electric utilities added to relative returns. An overweight in cellular telecommunications and underweights in media cable and satellite television detracted from relative results.

In terms of individual issue selection, the Fund benefited from its lack of exposure to TXU, an electric utility company; Millennium Laboratories, a research-based medication monitoring company; and Fieldwood Energy, which focuses on the acquisition and development of conventional oil and gas assets. Overweight positions in oil

25

PORTFOLIO RESULTS

and natural gas company American Energy Marcellus; clothing company True Religion Apparel; and stock photo agency Getty Images detracted from relative performance.

Q Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?

A During the Reporting Period, the Fund’s duration and yield curve positioning did not have a meaningful impact on performance. The Fund’s duration strategy is primarily implemented via interest rate swaps and/or futures. Derivatives are used in combination with cash securities to implement our views in the Fund.

Q How did the Fund use derivatives and similar instruments during the Reporting Period?

A To hedge against currency risk (that is, the risk that certain currencies might fluctuate in value), the Fund employed forward foreign exchange currency contracts during the Reporting Period. The Fund also employed interest rate swaps as a cost-efficient instrument to provide us with greater precision and versatility in the management of duration. Interest rate swaps were only utilized in the Fund for the purpose of hedging duration, as the Fund does not take active duration and yield curve positions. Additionally, a specialized index of credit default swaps (CDX) was used to manage the beta of the Fund on an active basis. It was also used as a cost-efficient instrument to help manage the Fund’s cash position. We employ CDX contracts as a way to gain credit exposure by being short credit protection, when the Fund experiences significant cash inflows. Derivatives may be used in combination with cash securities to implement our views in the Fund.

Q Were there any notable changes in the Fund’s weightings during the Reporting Period?

A During the Reporting Period, we increased the Fund’s allocation to high yield loans and high yield corporate bonds. We reduced its allocation to CCC-rated high yield loans and high yield corporate bonds. At the same time, we increased its allocation to B-rated high yield loans and high yield corporate bonds. In addition, we increased the Fund’s overweight in health care while decreasing its allocation to non-cable media.

Q How was the Fund positioned relative to its benchmark index at the end of the Reporting Period?

A At the end of the Reporting Period, the Fund was overweight relative to the Index in sectors widely considered as defensive, including food and beverage as well as health care. In addition, the Fund was overweight sectors such as transportation and also retail and apparel because we believe they are among the beneficiaries of lower commodities prices. In addition, the Fund was overweight in the building materials sector at the end of the Reporting Period. It was underweight compared to the Index in what we consider weaker sectors, such as metals and mining and energy.

Q What is the Fund’s tactical view and strategy for the months ahead?

A At the end of the Reporting Period, we maintained a positive view on the high yield loan market because we believed spreads offered compensation for the potential of credit defaults. In the near term, we expect returns to be disproportionately driven by current income, as they have been historically, although we see some potential for capital appreciation. Overall, we believed the high yield loan market would continue to benefit from improving U.S. economic conditions; default rates that remain relatively low and below historical averages; the supportive issuance of structured securities, such as collateralized loan obligations, which remain a consistent source of demand; and modest primary market issuance.

That said, we acknowledge a number of risks. These include the potential for increased market volatility and greater required risk premiums; the high yield loan market displaying little forbearance for poorly performing credits with steepening credit curves and providing little support for distressed credits; and the low likelihood that the high yield loan market will completely decouple from energy-related volatility in the high yield corporate bond market.

Relative to our positioning, we intend to continue to be vigilant in credit selection, with a focus on higher quality, higher performing non-investment grade high yield loans. As always, most of the Fund’s investments will be concentrated in higher quality issues — more specifically, on first lien, senior secured debt — with an emphasis on default loss mitigation. We may make selective purchases lower on the capitalization structure in names about which we have particular conviction.

26

FUND BASICS

High Yield Floating Rate Fund

as of September 30, 2015

PERFORMANCE REVIEW
April 1, 2015– September 30, 2015	Fund Total Return (based on NAV)1			Barclays U.S. High-Yield Loans Index2			30-Day Standardized Subsidized Yield3			30-Day Standardized Unsubsidized Yield3
Class A		-0.98	%		-0.86	%		3.73	%		3.72	%
Class C		-1.35			-0.86			3.06			3.05
Institutional		-0.80			-0.86			4.16			4.15
Class IR		-0.85			-0.86			4.08			4.06
Class R		-0.99			-0.86			3.57			3.57

¹  The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

²  The Barclays U.S. High-Yield Loans Index provides broad and comprehensive total return metrics of the universe of syndicated term loans. To be included in the index, a bank loan must be dollar denominated, have at least $150 million, a minimum term of one year, and a minimum initial spread of LIBOR+125. It is not possible to invest directly in an index.

³  The method of calculation of the 30-Day Standardized Subsidized Yield is mandated by the Securities and Exchange Commission and is determined by dividing the net investment income per share earned during the last 30 days of the period by the maximum public offering price (“POP”) per share on the last day of the period. This number is then annualized. The 30-Day Standardized Subsidized Yield reflects fee waivers and/or expense reimbursements recorded by the Fund during the period. Without waivers and/or reimbursements, yields would be reduced. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Unsubsidized Yield does not adjust for any fee waivers and/or expense reimbursements in effect. If the Fund does not incur any fee waivers and/or expense reimbursements during the period, the 30-Day Standardized Subsidized Yield and 30-Day Standardized Unsubsidized Yield will be identical.

STANDARDIZED TOTAL RETURNS4
For the period ended 9/30/15	One Year			Since Inception			Inception Date
Class A		-1.43	%		2.19	%	3/31/11
Class C		-0.89			1.95		3/31/11
Institutional		1.21			3.08		3/31/11
Class IR		1.12			3.01		3/31/11
Class R		0.72			2.48		3/31/11

⁴  The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 2.25% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Class IR and Class R Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.

The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

27

FUND BASICS

EXPENSE RATIOS5
	Net Expense Ratio (Current)			Gross Expense Ratio (Before Waivers)
Class A		0.94	%		0.95	%
Class C		1.69			1.70
Institutional		0.60			0.61
Class IR		0.70			0.71
Class R		1.16			1.17

⁵  The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least July 29, 2016, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

TOP TEN INDUSTRY ALLOCATION6
	Percentage of Net Assets
	as of 9/30/15			as of 3/31/15
Retailers		7.1	%		6.0	%
Health Care		6.0			6.2
Food & Beverages		6.0			6.4
Services Cyclical – Business Services		4.9			4.7
Wireless Telecommunications		4.5			3.3
Health Care – Services		4.2			3.6
Media – Broadcasting & Radio		4.0			4.2
Technology – Software/Services		3.9			3.2
Building Materials		3.9			3.2
Airlines		3.8			3.8
Other		50.2			57.1

⁶  The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. The table depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

28

PORTFOLIO RESULTS

Goldman Sachs Investment Grade Credit Fund

Investment Objective

The Fund seeks a high level of total return consisting of capital appreciation and income that exceeds the total return of the Barclays U.S. Credit Index.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs U.S. Fixed Income Investment Management Team discusses the Goldman Sachs Investment Grade Credit Fund’s (the “Fund”) performance and positioning for the six-month period ended September 30, 2015 (the “Reporting Period”).

Q How did the Fund perform during the Reporting Period?

A During the Reporting Period, the Fund’s Class A, Institutional, IR and Separate Account Institutional Shares generated cumulative total returns, without sales charges, of -3.06%, -3.00%, -2.94% and -2.89%, respectively. These returns compare to the -2.37% cumulative total return of the Fund’s benchmark, the Barclays U.S. Credit Index (the “Index”), during the same time period.

During the period since their inception on July 31, 2015 through September 30, 2015, the Fund’s Class R6 Shares generated a cumulative total return, without sales charges, of -0.49% compared to the -0.10% cumulative total return of the Index.

Q What economic and market factors most influenced the investment grade credit market as a whole during the Reporting Period?

A In the second quarter of 2015 when the Reporting Period began, investment grade corporate bonds underperformed U.S. Treasury securities. Investment grade credit spreads, or the difference in yields between corporate bonds and duration-equivalent U.S. Treasury securities, widened by 15 basis points to end the quarter at 139 basis points, their widest levels since 2013. (A basis point is 1/100th of a percentage point.) Nevertheless, corporate fundamentals remained strong. European investment grade corporate bonds underperformed both U.S. and U.K. investment grade corporate bonds. In the third calendar quarter, investment grade corporate bonds continued to trail U.S. Treasuries. Investment grade credit spreads widened by 27 basis points to end the quarter and the Reporting Period at 166 basis points, their widest levels since 2012, amid increased market volatility related to lower commodities prices, China’s slowing economic growth and the prolonged accommodative monetary policy of the Federal Reserve (the “Fed”). European investment grade corporate bonds modestly underperformed U.S. investment grade corporate bonds, while U.K. investment grade corporate bonds lagged both.

Issuance was strong during the Reporting Period overall. In the second calendar quarter, U.S. new issuance was approximately $295 billion, while European new issuance was approximately $143 billion (including U.K. new issuance). During the third calendar quarter, U.S. new issuance was approximately $256 billion, and European new issuance was approximately $108 billion (including U.K. new issuance). The primary use of the proceeds was to help finance increased mergers and acquisitions activity, though some was in response to the prospect of an imminent Fed rate hiking cycle and potentially higher borrowing costs ahead.

Q What key factors were responsible for the Fund’s performance during the Reporting Period?

A The Fund underperformed the Index during the Reporting Period due primarily to our cross-sector strategy. In our cross-sector strategy, we invest Fund assets across a variety of fixed income sectors, including some that may not be included in the Fund’s benchmark. Individual issue selection among investment grade corporate bonds also detracted from relative performance. The Fund’s duration and yield curve positioning did not have a meaningful impact on relative results during the Reporting Period. Duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve indicates a spectrum of maturities.

Q Which segments of investment grade credit most significantly affected Fund performance?

A As spreads widened during the Reporting Period, the Fund was hurt by its overweight relative to the Index in investment

29

PORTFOLIO RESULTS

grade corporate bonds. Individual issue selection of investment grade corporate bonds also dampened performance. More specifically, the Fund was hampered by its investments in Glencore, a multinational commodity and trading company; Monsanto, an agrochemical and agricultural biotechnology company; and Freeport-McMoRan, a copper and gold mining company. On the positive side, the Fund benefited from select investments within specific industries and based on credit quality, although this was partially offset by positioning along the yield curve, which detracted. For example, the Fund’s overweight in the banking sector and underweight in higher quality investment grade corporate bonds added to performance.

Q Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?

A During the Reporting Period, the Fund’s duration and yield curve positioning did not have a meaningful impact on performance. The Fund’s duration strategy is primarily implemented via interest rate swaps and/or futures. Derivatives are used in combination with cash securities to implement our views in the Fund.

Q How did the Fund use derivatives and similar instruments during the Reporting Period?

A As market conditions warranted during the Reporting Period, the Fund used U.S. Treasury futures and Eurodollar futures to hedge interest rate exposure and facilitate specific duration and yield curve strategies. Eurodollar futures are contracts that have underlying assets linked to time deposits denominated in U.S. dollars at banks outside the U.S. Interest rate swaps were used to express our views on the direction of a country’s interest rates. The Fund employed interest rate swaps and swaptions (options on interest rate swap contracts) to hedge interest rate exposure and express an outright term structure view (term structure, most often depicted as a yield curve, refers to the term structure of interest rates, which is the relationship between the yield to maturity and the time to maturity for pure discount bonds). In addition, it used credit default swaps to implement specific credit-related investment strategies and hedge corporate spread duration (the price sensitivity of a corporate bond to a 100 basis point change in its spread over the London Interbank Offered Rate (“LIBOR”)). It utilized forward foreign currency exchange contracts to hedge currency exposure.

Q Were there any notable changes in the Fund’s weightings during the Reporting Period?

A Throughout the Reporting Period, the Fund held an overweight position in investment grade corporate bonds. During April and May 2015, the Fund held a moderate overweight position in investment grade corporate bonds given that we expected U.S. economic growth to continue and for relatively low market volatility to support moderate tightening in investment grade credit spreads. During June 2015, we reduced the size of the Fund’s overweight in investment grade corporate bonds because we believed seasonal factors were becoming less supportive and that the Fed’s data dependency might limit the upside potential in riskier U.S. asset classes. At the beginning of August 2015, we further decreased the size of the Fund’s overweight in investment grade corporate bonds as a result of a number of headwinds. For example, we expected global economic growth to improve, but we thought continued mergers and acquisitions activity would likely damage credit quality while adding to investment grade corporate bond supply. At the same time, seasonal factors were less supportive for riskier asset classes. Near the end of August 2015, we increased the Fund’s overweight position because we expected investment grade corporate bonds to benefit from improving global economic growth and from attractive valuations resulting from recent market volatility. Despite our concerns about low oil prices, slowing economic growth in China and currency volatility, we maintained our belief that developed markets economies are largely stable and should continue to expand. Thus, the Fund held a moderate overweight position in investment grade corporate bonds at the end of the Reporting Period.

Q How was the Fund positioned relative to its benchmark index at the end of the Reporting Period?

A At the end of the Reporting Period, the Fund was overweight relative to the Index in banking, pipelines and real estate investment trusts (“REITs”) investment grade corporate bonds. Compared to the Index, it was underweight electric utilities, property and casualty insurance and automotive investment grade corporate bonds. We generally favored lower credit quality issues and short-term and intermediate-term maturities at the end of the Reporting Period.

30

PORTFOLIO RESULTS

Q What is the Fund’s tactical view and strategy for the months ahead?

A At the end of the Reporting Period, the Fund was modestly overweight relative the Index in investment grade corporate bonds. In our view, the asset class is likely to benefit from a supportive macroeconomic outlook for the developed markets, corporations’ ability to service their debt in most sectors and what we consider to be attractive investment grade credit spreads. However, we are aware of potential downside risks, including weakened oil prices, a further slowing of Chinese economic growth and the trend toward increased levels of debt, particularly among U.S. non-financial companies. Overall, we believe REITs and financials have less exposure to potential credit quality deterioration due to mergers and acquisitions activity. REITs are one of the only sectors in the investment grade corporate bond market where covenants are in place that limit the amount of leverage that can be taken. Within financials, regulations have generally incentivized banks to become smaller rather than larger, which has tended to limit their risk-taking activities, such as increased leverage and proprietary trading.

31

FUND BASICS

Investment Grade Credit Fund

as of September 30, 2015

PERFORMANCE REVIEW
April 1, 2015– September 30, 2015	Fund Total Return (based on NAV)1			Barclays U.S. Credit Index2			30-Day Standardized Subsidized Yield3			30-Day Standardized Unsubsidized Yield3
Class A		-3.06	%		-2.37	%		3.00	%		2.82	%
Institutional		-3.00			-2.37			3.45			3.27
Class IR		-2.94			-2.37			3.36			3.18
Separate Account Institutional		-2.89			-2.37			3.45			3.27
July 31, 2015– September 30, 2015	Fund Total Return (based on NAV)1			Barclays U.S. Credit Index2			30-Day Standardized Subsidized Yield3			30-Day Standardized Unsubsidized Yield3
Class R6		-0.49	%		-0.10	%		3.47	%		3.30	%

¹  The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

²  The Barclays U.S. Credit Index is an unmanaged index which is unbundled into pure corporates (industrial, utility, and finance, including both U.S. and non-U.S. corporations) and non-corporates (sovereign, supranational, foreign agencies, and foreign local governments). The index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

³  The method of calculation of the 30-Day Standardized Subsidized Yield is mandated by the Securities and Exchange Commission and is determined by dividing the net investment income per share earned during the last 30 days of the period by the maximum public offering price (“POP”) per share on the last day of the period. This number is then annualized. The 30-Day Standardized Subsidized Yield reflects fee waivers and/or expense reimbursements recorded by the Fund during the period. Without waivers and/or reimbursements, yields would be reduced. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Unsubsidized Yield does not adjust for any fee waivers and/or expense reimbursements in effect. If the Fund does not incur any fee waivers and/or expense reimbursements during the period, the 30-Day Standardized Subsidized Yield and 30-Day Standardized Unsubsidized Yield will be identical.

32

FUND BASICS

STANDARDIZED TOTAL RETURNS4
For the period ended 9/30/15	One Year			Five Years			Ten Years			Since Inception			Inception Date
Class A		-3.61	%		3.57	%		4.04	%		4.09	%		11/3/03
Institutional		0.38			4.72			4.78			4.81			11/3/03
Class IR		0.40			N/A			N/A			4.30			7/29/11
Class R6		N/A			N/A			N/A			-0.49			7/31/15
Separate Account Institutional		0.49			4.74			4.83			4.85			11/3/03

⁴  The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 3.75% for Class A Shares. Prior to July 29, 2009, the maximum initial sales charge applicable to Class A Shares was 4.5%, which is not reflected in the average annual total return figures shown. Because Institutional, Separate Account Institutional, Class IR and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.

The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

EXPENSE RATIOS5
	Net Expense Ratio (Current)			Gross Expense Ratio (Before Waivers)
Class A		0.72	%		0.86	%
Institutional		0.38			0.52
Class IR		0.47			0.61
Class R6		0.36			0.50
Separate Account Institutional		0.38			0.52

⁵  The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least July 29, 2016, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

33

FUND BASICS

FUND COMPOSITION⁶

Percentage of Net Assets

⁶  The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the graph may not sum to 100% due to the exclusion of other assets and liabilities. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

⁷  “Agency Debentures” include agency securities offered by companies such as Federal National Mortgage Association and Federal Home Loan Mortgage Corp., which operate under a government charter. While they are required to report to a government regulator, their assets are not explicitly guaranteed by the government and they otherwise operate similarly to any other publicly traded company.

TOP TEN INDUSTRY ALLOCATION8
	Percentage of Net Assets
	as of 9/30/15			as of 3/31/15
Banks		16.6	%		18.1	%
Real Estate Investment Trusts		6.8			8.0
Energy		6.4			5.5
Wirelines Telecommunications		5.1			4.3
Pipelines		4.8			4.8
Electric		4.2			4.2
Food & Beverage		4.0			4.2
Insurance		3.9			3.4
Technology		3.7			2.2
Pharmaceuticals		3.5			3.7

⁸  The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. The table depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

34

PORTFOLIO RESULTS

Goldman Sachs Local Emerging

Markets Debt Fund

Investment Objective

The Fund seeks a high level of total return consisting of income and capital appreciation.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs Global Fixed Income Investment Management Team discusses the Goldman Sachs Local Emerging Markets Debt Fund’s (the “Fund”) performance and positioning for the six-month period ended September 30, 2015 (the “Reporting Period”).

Q How did the Fund perform during the Reporting Period?

A During the Reporting Period, the Fund’s Class A, C, Institutional and IR Shares generated cumulative total returns, without sales charges, of -11.93%, -12.37%, -11.90% and -11.82%, respectively. These returns compare to the -11.40% cumulative total return of the Fund’s benchmark, the J.P. Morgan Government Bond Index — Emerging Markets (GBI-EM^SM) Global Diversified (Gross, USD, Unhedged) Index (the “Index”), during the same time period.

Q What economic and market factors most influenced local emerging markets debt as a whole during the Reporting Period?

A When the Reporting Period began during the second quarter of 2015, local emerging markets debt recorded a small decline, driven by changes in local interest rates that were partially offset by modest currency appreciation. In the third calendar quarter, local emerging markets debt declined significantly, driven by currency depreciation versus the U.S. dollar and, to a lesser extent, by changes in local interest rates.

During the Reporting Period overall, the asset class, as represented by the Index, posted a return of -11.40% as a result of currency depreciation (-7.99%) and changes in local interest rates (-3.41%). Among countries, on a total return basis, the weakest performers (in U.S. dollar terms¹) during the Reporting Period were Brazil (-20.02%), Turkey (-18.95%) and Indonesia (-18.62%). The top performers were Nigeria (+6.98%), Romania (+4.75%), and Hungary (+1.78%).

Q What key factors were responsible for the Fund’s performance during the Reporting Period?

A During the Reporting Period, our country and issue selection of local emerging markets bonds detracted most from relative performance. The Fund was also hurt by its positioning in external emerging markets debt.

On the positive side, the Fund benefited from our active currency management through which the Fund takes positions in local currencies (accomplished through the use of forward foreign currency exchange contracts as well as bonds denominated in local currencies). Our country and issue selection of external emerging markets bonds also contributed positively. In addition, the Fund’s U.S. duration and yield curve strategy added to results. Duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve indicates a spectrum of maturities.

Q Which segments of local emerging markets debt most significantly affected Fund performance?

A The Fund was hampered during the Reporting Period by its overweight relative to the Index in Brazilian local interest rates. Although Brazil’s economy is weak, with high inflation and tepid growth, the Fund was overweight Brazilian local bonds on the back of Brazil’s monetary and fiscal tightening. In addition, we considered the overall valuations of Brazilian local debt attractive relative to the local bonds of other emerging markets countries. However, in July 2015, the Brazilian government revised downward its 2015 fiscal target to 0.15% of its Gross Domestic Product (“GDP”) from 1.1% and also lowered its 2016 fiscal target, both of which were more drastic reductions than widely anticipated. Subsequently, Standard and Poor’s Ratings downgraded Brazil’s foreign currency rating by a notch to BB+ in September 2015. Brazil’s local currency rating was dropped two notches to BBB- but remained investment

35

¹  All regional and market returns are in U.S. dollar terms (unless otherwise specified), are based on country-specific stock market indices and reflect the reinvestment of any dividends if applicable.

PORTFOLIO RESULTS

grade. The negative impact of the Fund’s overweight in Brazilian local interest rates was offset somewhat by the positive contribution of having a short position in the Brazilian real (accomplished through the use of forward foreign currency exchange contracts). The Brazilian real depreciated through much of the Reporting Period. Also detracting from Fund results during the Reporting Period was an overweight position in Colombian local interest rates. We believe Colombia’s strong policy framework — which includes a structural fiscal balance rule, inflation-targeting regime, flexible exchange rate and effective financial supervision and regulation — could help its government facilitate economic and financial stability. However, given Colombia’s reliance on energy exports, low oil prices dampened sentiment for Colombian local bonds during the Reporting Period and also drove a sharp depreciation in the Colombian peso. Additionally, the Fund’s position in the Mexican peso (accomplished through the use of forward foreign currency exchange contracts) dampened relative performance during the Reporting Period. The Mexican peso depreciated against the U.S. dollar amid overall emerging markets currency weakness. We believe that Mexico remains closely tied to the U.S. economy and may therefore benefit should U.S. economic growth continues to improve.

During the Reporting Period, the Fund benefited from its underweight position relative to the Index in Turkish local interest rates. We believe geopolitical turmoil and domestic political uncertainty were some of the drivers of the poor performance of Turkish local bonds. An underweight in Malaysian local interest rates also enhanced relative returns. We are concerned about depletion of the country’s foreign exchange reserves, deterioration of its trade balance and challenging political dynamics. Indeed, during the Reporting Period, political uncertainty and weakening market sentiment weighed on Malaysian local bonds. In addition, the Fund was helped during the Reporting Period by our tactical trading of the Brazilian real (accomplished through the use of forward foreign currency exchange contracts).

Q Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?

A During the Reporting Period, the Fund’s U.S. duration and yield curve positioning added to relative performance. We moved the Fund from a slightly short duration position to a slightly long duration position on the U.S. Treasury yield curve relative to the Index over the course of the Reporting Period, which bolstered performance as a Federal Reserve (the “Fed”) rate hike did not materialize and market expectations about the timing of Fed action shifted further into the future.

Q How did the Fund use derivatives and similar instruments during the Reporting Period?

A The Fund invested in U.S. Treasury futures, Eurodollar futures, forward foreign currency exchange contracts, interest rate swaps, credit default swaps, total return swaps, cross-currency swaps, non-deliverable currency forwards and structured notes. U.S. Treasury futures were used to manage U.S. interest rate duration. Eurodollar futures were used to express our views on the direction of interest rates and to facilitate specific duration and yield curve strategies. Eurodollar futures are contracts that have underlying assets linked to time deposits denominated in U.S. dollars at banks outside the U.S. Forward foreign currency exchange contracts were used for hedging purposes or to express a positive view on a given currency. Interest rate swaps were used to express our views on the direction of a country’s interest rates. Credit default swaps were used to implement specific credit-related investment strategies. Total return swaps were used in place of buying a local currency denominated bond when a particular market was otherwise inaccessible or as a more efficient means of gaining access to a local market. Cross-currency swaps were employed to express relative value views on given currencies as well as our views on the direction of a country’s interest rates. Non-deliverable currency forwards were used to gain exposure to a particular country and also to take advantage of relative value opportunities. Structured notes were used in place of buying a local currency denominated bond when a particular market was otherwise inaccessible or as a more efficient means of gaining access to a local market. Derivatives may be used in combination with cash securities to implement our views in the Fund.

During the Reporting Period, we used interest rate swaps and total return swaps to gain access to the Colombia local debt market, positioning that detracted from performance. Another detractor was the Fund’s exposure to Brazil for which we used interest rate swaps, as well as sovereign local bonds. The Fund’s use of forward foreign currency exchange contracts as well as swaps to take a long position in the Mexican peso also had a negative impact on the Fund’s performance during the Reporting Period. Conversely, the Fund’s positioning in the Brazilian real and Taiwan dollar, implemented via forward foreign currency exchange contracts, added to the Fund’s performance.

36

PORTFOLIO RESULTS

Q Were there any notable changes in the Fund’s weightings during the Reporting Period?

A During the Reporting Period, we reduced the size of the Fund’s underweight relative to the Index in South Korean local interest rates. We increased its underweight in Malaysian local interest rates. In addition, we reduced the size of the Fund’s overweight positions relative to the Index in Thai local interest rates. We increased the Fund’s overweight in Mexican local interest rates relative to the Index. We also moved the Fund from an underweight in Colombian local interest rates to an overweight position versus the Index and from a neutral position in Russian local interest rates to an overweight position relative to the Index.

Q How was the Fund positioned relative to its benchmark index at the end of the Reporting Period?

A At the end of the Reporting Period, the Fund was underweight Turkish local interest rates relative to the Index and held a short position in the Turkish lira given political uncertainty in Turkey. The Fund also held an underweight in Malaysian local interest rates and had a short position in the Malaysian ringgit, as we continue to be concerned about depletion of Malaysia’s foreign exchange reserves, deterioration of its trade balance and challenging political dynamics. In addition, we continued to look for value in long-maturity Brazilian inflation-linked debt. At the end of the Reporting Period, the Fund had a long position in the Mexican peso, which we expect to appreciate due to increased capital flows and investment going forward. We believe Mexico is likely to benefit if the U.S. economy continues to outperform other developed economies.

We remained negative on the macroeconomic outlook for China, specifically that country’s growth trajectory and capital outflows. Recent indicators point to tepid domestic demand and continued disinflationary pressures. Accordingly, we have increased the Fund’s short position in the Chinese renminbi. In addition, at the end of the Reporting Period, the Fund held short positions in a number of Southeast Asian currencies, including the South Korean won, Taiwan dollar and Singapore dollar, considering the close trade links that many Southeast Asian countries have with China.

Q What is the Fund’s tactical view and strategy for the months ahead?

A At the end of the Reporting Period, we recognized the environment was likely to remain challenging for local emerging markets debt as a result of persistent U.S. dollar strength and overall emerging markets currency weakness, slower emerging markets growth, commodities market volatility and idiosyncratic factors affecting individual countries. Although Fed monetary policy tightening might lead to an initial sell-off in local emerging markets debt, we believe the anticipated rate hikes have been well telegraphed and a gradual increase in U.S. interest rates is not likely, in our view, to be a problem over the long term. We believe bond pickers are likely to be rewarded in the near term with continued dispersion of returns among countries.

37

FUND BASICS

Local Emerging Markets Debt Fund

as of September 30, 2015

PERFORMANCE REVIEW
April 1, 2015– September 30, 2015	Fund Total Return (based on NAV)1			J.P. Morgan GBI-EMSM Global Diversified  Index2			30-Day Standardized Subsidized Yield3			30-Day Standardized Unsubsidized Yield3
Class A		-11.93	%		-11.40	%		5.94	%		6.06	%
Class C		-12.37			-11.40			5.45			5.58
Institutional		-11.90			-11.40			6.57			6.69
Class IR		-11.82			-11.40			6.47			6.65

¹  The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

²  The J.P. Morgan Government Bond Index — Emerging Markets (GBI-EM^SM) Global Diversified (Gross, USD, Unhedged) Index is an unmanaged index of debt instruments of 14 emerging countries. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

³  The method of calculation of the 30-Day Standardized Subsidized Yield is mandated by the Securities and Exchange Commission and is determined by dividing the net investment income per share earned during the last 30 days of the period by the maximum public offering price (“POP”) per share on the last day of the period. This number is then annualized. The 30-Day Standardized Subsidized Yield reflects fee waivers and/or expense reimbursements recorded by the Fund during the period. Without waivers and/or reimbursements, yields would be reduced. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Unsubsidized Yield does not adjust for any fee waivers and/or expense reimbursements in effect. If the Fund does not incur any fee waivers and/or expense reimbursements during the period, the 30-Day Standardized Subsidized Yield and 30-Day Standardized Unsubsidized Yield will be identical.

STANDARDIZED TOTAL RETURNS4
For the period ended 9/30/15	One Year			Five Year			Since Inception			Inception Date
Class A		-25.28	%		-5.28	%		-1.87	%		2/15/08
Class C		-23.17			-5.12			-1.99			2/15/08
Institutional		-21.48			-4.06			-0.94			2/15/08
Class IR		-21.55			-4.15			-2.98			7/30/10

⁴  The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 4.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Class IR Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. The Fund will charge a 2% redemption fee on the redemption of shares (including by exchange) held for 30 calendar days or less. The performance figures do not reflect the deduction of the redemption fee. If reflected, the redemption fee would reduce the performance quoted.

The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

38

FUND BASICS

EXPENSE RATIOS5
	Net Expense Ratio (Current)			Gross Expense Ratio (Before Waivers)
Class A		1.25	%		1.36	%
Class C		2.01			2.14
Institutional		0.92			1.05
Class IR		1.01			1.14

⁵  The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least July 29, 2016, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

TOP TEN COUNTRY ALLOCATION6
	Percentage of Net Assets
	as of 9/30/15			as of 3/31/15
United States		11.5	%		6.9	%
Brazil		10.7			11.6
Mexico		10.0			9.0
Colombia		9.6			8.1
Indonesia		8.6			8.7
Turkey		7.8			7.8
Russia		7.3			4.6
South Africa		6.1			5.1
Thailand		5.8			9.5
Poland		4.9			5.8
Other		14.7			17.0

⁶  The percentage shown for each investment category reflects the value of investments in that country as a percentage of net assets. The table depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

39

PORTFOLIO RESULTS

Goldman Sachs U.S. Mortgages Fund

Investment Objective

The Fund seeks a high level of total return consisting of income and capital appreciation.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs U.S. Fixed Income Investment Management Team discusses the Goldman Sachs U.S. Mortgages Fund’s (the “Fund”) performance and positioning for the six-month period ended September 30, 2015 (the “Reporting Period”).

Q How did the Fund perform during the Reporting Period?

A During the Reporting Period, the Fund’s Class A, Institutional, IR and Separate Account Institutional Shares generated cumulative total returns, without sales charges, of 0.48%, 0.56%, 0.61% and 0.56%, respectively. These returns compare to the 0.55% cumulative total return of the Fund’s benchmark, the Barclays U.S. Securitized Bond Index (the “Index”), during the same time period.

During the period since their inception on July 31, 2015 through September 30, 2015, the Fund’s Class R6 Shares generated a cumulative total return, without sales charges, of 0.56% compared to the 0.68% cumulative total return of the Index.

Q What economic and market factors most influenced the U.S. mortgage markets as a whole during the Reporting Period?

A During the second quarter of 2015 when the Reporting Period began, mortgage-backed securities slightly outperformed duration-equivalent U.S. Treasury securities, benefiting from particular strength during April and May 2015. In June 2015, mortgage-backed securities retraced most of those gains, underperforming duration-equivalent U.S. Treasury securities as the U.S. Treasury yield curve steepened in response to stronger U.S. economic data. In the third calendar quarter, mortgage-backed securities underperformed duration-equivalent U.S. Treasury securities. Mortgage-backed securities spreads (or yield differentials versus U.S. Treasury securities) widened along with many other riskier asset classes amidst increased market volatility.

Q What key factors were responsible for the Fund’s performance during the Reporting Period?

A During the Reporting Period, the Fund benefited from its positioning in the securitized sector. Our government/swaps strategy added to relative performance. The government/ swaps strategy is primarily implemented via interest rate swaps and/or futures. Derivatives are used in combination with cash securities to implement our views in the Fund.

Conversely, our cross-sector strategy detracted from relative performance. In our cross-sector strategy, we invest Fund assets across a variety of fixed income sectors, including some that may not be included in the Fund’s benchmark. In addition, the management of the Fund’s just duration positioning modestly dampened relative returns. The Fund’s duration strategy is primarily implemented via interest rate swaps and/or futures. Duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve indicates a spectrum of maturities.

Q Which segments of the U.S. mortgage-backed securities sector most significantly affected Fund performance?

A The Fund’s positioning in the securitized sector added to relative performance. More specifically, the Fund benefited from its positioning in the coupon stack (i.e., across securities with different coupons). The Fund’s selection of specific agency mortgage-backed securities, including certain pass-through securities, also enhanced results. (Pass-through mortgage securities consist of a pool of residential mortgage loans, where homeowners’ monthly payments of principal,

40

PORTFOLIO RESULTS

interest and prepayments pass from the original bank through a government agency or investment bank to investors.)

The Fund was hurt by its overweight in commercial mortgage-backed securities (“CMBS”).

Q Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?

A During the Reporting Period, the Fund’s underweight position in the front-end, or short-term segment, of the U.S. Treasury yield curve detracted modestly from performance, especially in July 2015 when yields in the intermediate-term and longer-term segments of the U.S. Treasury yield curve fell.

Q How did the Fund use derivatives and similar instruments during the Reporting Period?

A The Fund used U.S. Treasury and Eurodollar futures to hedge interest rate exposure and to facilitate specific duration and yield curve strategies. Eurodollar futures are contracts that have underlying assets linked to time deposits denominated in U.S. dollars at banks outside the U.S. Interest rate swaps were used to hedge interest rate exposure and express a relative term structure view. (Term structure, most often depicted as a yield curve, refers to the terms structure of interest rates, which is the relationship between the yield to the maturity and the time to maturity for pure discount bonds.) The Fund used mortgage-backed securities forward agreements (known as “TBAs”) to efficiently manage certain of its mortgage-backed securities positions. It used swaptions to hedge volatility and yield curve risks in the Fund and/ or to express tactical views on rate markets. The Fund also employed index total return swaps to efficiently manage the Fund’s mortgage-backed securities exposure. Additionally, a specialized index of credit default swaps (CDX) was used to manage the MBS beta of the Fund on an active basis and to hedge the Fund’s CMBS exposure.

Q Were there any notable changes in the Fund’s weightings during the Reporting Period?

A We decreased the size of the Fund’s underweight in agency mortgage-backed securities, but remained modestly underweight relative to the Index at the end of the Reporting Period. In addition, we shifted the Fund from an underweight duration position to a modest overweight duration position in the front-end, or short-term part, of the U.S. Treasury yield curve by the end of the Reporting Period.

Q How was the Fund positioned relative to its benchmark index at the end of the Reporting Period?

A At the end of the Reporting Period, on a contribution to duration basis, the Fund was underweight CMBS, pass-through mortgage-backed securities and agency adjustable-rate mortgages (“ARMs”). It was overweight agency collateralized mortgage obligations (“CMOs”) on a contribution to duration basis. On a market value-weighted basis, the Fund was overweight asset-backed securities (“ABS”) relative to the Index, including positions in Federal Family Education Loan Program (“FFELP”) student loan ABS. At the end of the Reporting Period, the Fund also had positions in U.S. government bonds and non-agency mortgage-backed securities. U.S government bonds, CMOs, FFELP ABS and non-agency mortgage-backed securities are not represented in the Index.

Q What is the Fund’s tactical view and strategy for the months ahead?

A At the end of the Reporting Period, we expected to remain modestly underweight agency mortgage-backed securities, which face headwinds such as increased supply and less anticipated demand. Within agency mortgage-backed securities, we planned to maintain an overweight in Ginnie Mae (“GNMA”) mortgage-backed securities, as they were trading at the end of the Reporting Period close to their lowest levels relative to conventional mortgage-backed securities, in price terms. Additionally, we expect GNMA prepayment speeds to converge with lower conventional mortgage prepayment speeds, which should further support our bias towards holding GNMA mortgage pass-through securities. At the end of the Reporting Period, we also favored FFELP student loan ABS, senior collateralized loan obligations and U.K. non-conforming residential mortgage-backed securities, all of which we believed offer attractive spreads and limited credit risk due to substantial credit enhancement and, in the case of FFELP ABS, partial government reinsurance on the collateral. (Non-conforming residential mortgage-backed securities are loans made to higher-risk borrowers.)

41

FUND BASICS

U.S. Mortgages Fund

as of September 30, 2015

PERFORMANCE REVIEW
April 1, 2015– September 30, 2015	Fund Total Return (based on NAV)1			Barclays U.S. Securitized Bond Index2			30-Day Standardized Subsidized Yield3			30-Day Standardized Unsubsidized Yield3
Class A		0.48	%		0.55	%		1.96	%		1.59	%
Institutional		0.56			0.55			2.37			1.98
Class IR		0.61			0.55			2.28			1.90
Separate Account Institutional		0.56			0.55			2.38			1.98
July 31, 2015– September 30, 2015	Fund Total Return (based on NAV)1			Barclays U.S. Securitized Bond Index2			30-Day Standardized Subsidized Yield3			30-Day Standardized Unsubsidized Yield3
Class R6		0.56	%		0.68	%		2.36	%		1.96	%

¹  The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

²  The Barclays U.S. Securitized Bond Index (with dividends reinvested) is an unmanaged composite of asset-backed securities, collateralized mortgage-backed securities and fixed rate mortgage-backed securities. The index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

³  The method of calculation of the 30-Day Standardized Subsidized Yield is mandated by the Securities and Exchange Commission and is determined by dividing the net investment income per share earned during the last 30 days of the period by the maximum public offering price (“POP”) per share on the last day of the period. This number is then annualized. The 30-Day Standardized Subsidized Yield reflects fee waivers and/or expense reimbursements recorded by the Fund during the period. Without waivers and/or reimbursements, yields would be reduced. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Unsubsidized Yield does not adjust for any fee waivers and/or expense reimbursements in effect. If the Fund does not incur any fee waivers and/or expense reimbursements during the period, the 30-Day Standardized Subsidized Yield and 30-Day Standardized Unsubsidized Yield will be identical.

42

FUND BASICS

STANDARDIZED TOTAL RETURNS4
For the period ended 9/30/15	One Year			Five Years			Ten Years			Since Inception			Inception Date
Class A		-0.77	%		2.54	%		3.74	%		3.75	%		11/3/03
Institutional		3.32			3.70			4.51			4.47			11/3/03
Class IR		3.33			N/A			N/A			3.48			7/29/11
Class R6		N/A			N/A			N/A			0.56			7/31/15
Separate Account Institutional		3.42			3.68			4.53			4.49			11/3/03

⁴  The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 3.75% for Class A Shares. Prior to July 29, 2009, the maximum initial sales charge applicable to Class A Shares was 4.5%, which is not reflected in the average annual return figures shown. Because Institutional, Separate Account Institutional, Class IR and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.

The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

EXPENSE RATIOS5
	Net Expense Ratio (Current)			Gross Expense Ratio (Before Waivers)
Class A		0.78	%		0.95	%
Institutional		0.44			0.62
Class IR		0.53			0.71
Class R6		0.42			0.60
Separate Account Institutional		0.44			0.63

⁵  The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Fund’s waivers and/or expense limitations will remain in place through at least July 29, 2016, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.

43

FUND BASICS

FUND COMPOSITION⁶

Percentage of Net Assets

⁶  The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the graph may not sum to 100% due to the exclusion of other assets and liabilities. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments.

⁷  “Federal Agencies” are mortgage-backed securities guaranteed by the Government National Mortgage Association (“GNMA”), Federal National Mortgage Association (“FNMA”) and Federal Home Loan Mortgage Corp. (“FHLMC”). GNMA instruments are backed by the full faith and credit of the U.S. Government.

44

GOLDMAN SACHS DYNAMIC EMERGING MARKETS DEBT FUND

Schedule of Investments

September 30, 2015 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Sovereign Debt Obligations – 62.6%
	Argentina – 0.3%
	Republic of Argentina (NR/NR)
$	42,061		8.280	%(a)		12/31/33	$	41,851
	750,000		0.000	(b)		12/15/35		60,375
								102,226
	Azerbaijan – 0.5%
	Republic of Azerbaijan (NR/Baa3)
	200,000		4.750			03/18/24		188,000
	Brazil – 5.3%
	Brazil Letras do Tesouro Nacional (BBB-/Baa3)(c)
BRL	135,000		0.000			01/01/16		32,904
	Brazil Notas do Tesouro Nacional (BBB-/Baa3)
	2,750,000		10.000			01/01/18		623,968
	1,308,000		10.000			01/01/23		256,060
	1,284,000		10.000			01/01/25		241,850
	1,670,830		6.000			08/15/50		350,893
	Federal Republic of Brazil (BB+/Baa3)
$	100,000		4.875			01/22/21		97,000
	230,000		2.625			01/05/23		186,875
	20,000		8.250			01/20/34		20,700
	10,000		7.125			01/20/37		9,375
								1,819,625
	Chile – 0.4%
	Republic of Chile (AA-/Aa3)
CLP	83,500,000		5.500			08/05/20		123,808
	Colombia – 6.2%
	Republic of Colombia (NR/Baa2)
COP	192,000,000		4.375			03/21/23		50,889
	Republic of Colombia (BBB/NR)
$	200,000		4.500			01/28/26		195,097
	Republic of Colombia (BBB/Baa2)
COP	212,000,000		7.750			04/14/21		69,517
$	200,000		4.375			07/12/21		203,700
	310,000		6.125			01/18/41		306,900
	Republic of Colombia (BBB+/Baa2)
COP	62,800,000		8.000			10/28/15		20,387
	68,000,000		7.250			06/15/16		22,241
	12,300,000		11.250			10/24/18		4,424
	752,700,000		7.000			05/04/22		235,219
	192,400,000		10.000			07/24/24		69,722
	2,056,700,000		7.500			08/26/26		621,485
	69,800,000		6.000			04/28/28		18,341
	1,048,900,000		7.750			09/18/30		306,480
								2,124,402
	Costa Rica – 0.8%
	Republic of Costa Rica (BB/Ba1)
$	70,000		9.995			08/01/20		84,612
	200,000		7.158			03/12/45		178,500
								263,112
	Croatia – 2.4%
	Republic of Croatia (BB/Ba1)
	100,000		6.750			11/05/19		108,625
	200,000		6.625			07/14/20		217,000
Principal Amount		Interest Rate			Maturity Date		Value
	Sovereign Debt Obligations – (continued)
	Croatia – (continued)
	Republic of Croatia (BB/Ba1) – (continued)
$	200,000		6.375	%		03/24/21	$	215,000
EUR	100,000		3.875			05/30/22		111,975
	170,000		3.000			03/11/25		171,912
								824,512
	Czech Republic(b) – 0.1%
	Czech Republic Government Bond (AA/NR)
CZK	990,000		0.380			10/27/16		40,929
	Dominican Republic – 2.2%
	Dominican Republic (NR/NR)
DOP	1,900,000		16.000			07/10/20		51,843
	100,000		16.950			02/04/22		2,939
	5,800,000		10.375			03/04/22		129,470
	4,200,000		11.375			07/06/29		96,213
	Dominican Republic (BB-/B1)
$	8,874		9.040			01/23/18		9,406
	150,000		5.875			04/18/24		148,688
	100,000		7.450			04/30/44		102,125
	140,000		6.850	(d)		01/27/45		134,575
	100,000		6.850			01/27/45		96,125
								771,384
	Egypt – 0.3%
	Republic of Egypt (B-/B3)
	100,000		6.875			04/30/40		93,375
	El Salvador – 0.2%
	El Salvador Government International Bond (B+/Ba3)
	10,000		7.750			01/24/23		9,925
	10,000		5.875			01/30/25		8,688
	10,000		8.250			04/10/32		9,775
	60,000		7.650			06/15/35		53,325
								81,713
	Ethiopia – 0.5%
	Republic of Ethiopia (B/B1)
	200,000		6.625			12/11/24		183,500
	Free Of Tax – 0.2%
	Corporacion Andina de Fomento (AA-/Aa3)
	80,000		1.500			08/08/17		80,691
	Guatemala – 0.6%
	Republic of Guatemala (BB/Ba1)
	200,000		5.750			06/06/22		211,500
	Honduras – 0.6%
	Republic of Honduras (B+/B3)
	200,000		7.500			03/15/24		208,750
	Hungary – 1.4%
	Hungary Government Bond (BB+/Ba1)
EUR	50,000		4.375			07/04/17		59,417
$	30,000		4.125			02/19/18		31,110
EUR	140,000		5.750			06/11/18		176,180
	50,000		6.000			01/11/19		64,694
$	20,000		4.000			03/25/19		20,775
	20,000		6.250			01/29/20		22,447

The accompanying notes are an integral part of these financial statements. 45

GOLDMAN SACHS DYNAMIC EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2015 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Sovereign Debt Obligations – (continued)
	Hungary – (continued)
	Hungary Government Bond (BB+/Ba1) – (continued)
$	70,000		5.375	%		02/21/23	$	76,160
	10,000		5.750			11/22/23		11,118
	10,000		7.62			03/29/41		13,224
								475,125
	Indonesia – 2.2%
	Republic of Indonesia (BB+/Baa3)
	400,000		3.750			04/25/22		380,000
	200,000		3.375			04/15/23		181,500
	200,000		6.750			01/15/44		211,750
								773,250
	Kazakhstan – 1.1%
	Republic of Kazakhstan (BBB/Baa2)
	200,000		3.875			10/14/24		180,250
	200,000		5.125	(d)		07/21/25		194,250
								374,500
	Kenya – 0.5%
	Republic of Kenya (B+/NR)
	200,000		6.875			06/24/24		179,000
	Mexico – 12.0%
	Mexican Udibonos (A/A3)
MXN	264,424		4.500			12/04/25		17,706
	280,884		4.000			11/08/46		17,699
	United Mexican States (NR/NR)(c)
	6,451,800		0.000			10/01/15		381,145
	10,000,000		0.000			10/29/15		589,811
	3,496,280		0.000			11/19/15		205,821
	United Mexican States (NR/A3)
	7,837,700		4.750			06/14/18		465,545
	United Mexican States (A/A3)
	1,938,000		7.750			12/14/17		123,289
	9,503,500		8.500			12/13/18		623,707
	1,738,000		5.000			12/11/19		102,388
	564,200		6.500			06/10/21		34,974
	5,946,300		6.500			06/09/22		364,971
	4,141,700		8.000			12/07/23		276,446
	4,259,600		10.000			12/05/24		321,586
	740,200		7.750			11/23/34		48,603
	2,411,600		8.500			11/18/38		169,655
	United Mexican States (BBB+/A3)
$	60,000		3.625			03/15/22		60,540
	90,000		4.750			03/08/44		82,125
	30,000		5.550			01/21/45		30,750
	200,000		4.600			01/23/46		178,000
	30,000		5.750			10/12/49		28,050
								4,122,811
	Pakistan(d) – 0.6%
	Islamic Republic of Pakistan (NR/NR)
	200,000		8.250			09/30/25		205,500
	Panama – 0.4%
	Panama Notas del Tesoro (BBB/NR)
	30,000		4.875			02/05/21		31,617
Principal Amount		Interest Rate			Maturity Date		Value
	Sovereign Debt Obligations – (continued)
	Panama – (continued)
	Republic of Panama (BBB/Baa2)
$	10,000		9.375	%		04/01/29	$	14,388
	70,000		6.700			01/26/36		83,300
								129,305
	Peru – 0.7%
	Republic of Peru (A-/A3)
PEN	297,000		5.700	%(d)		08/12/24	$	82,471
	4,000		8.200			08/12/26		1,287
	521,000		6.950			08/12/31		148,924
	53,000		6.900			08/12/37		14,677
								247,359
	Philippines – 0.7%
	Republic of Philippines (BBB/Baa2)
$	200,000		5.500			03/30/26		238,000
	Poland – 3.9%
	Poland Government Bond (A/NR)
PLN	990,000		0.000	(c)		07/25/16		257,041
	2,100,000		1.500			04/25/20		532,362
	1,170,000		3.250			07/25/25		318,200
	Poland Government Bond (A/A2)
	360,000		5.750			09/23/22		113,306
	480,000		4.000			10/25/23		137,535
								1,358,444
	Romania – 0.1%
	Republic of Romania (BBB-/Baa3)
EUR	30,000		5.250			06/17/16		34,662
	Russia – 3.5%
	Russian Federation Bond (BB+/Ba1)
$	400,000		4.875			09/16/23		402,000
	Russian Federation Bond (BBB-/Ba1)
RUB	4,720,000		7.000			01/25/23		58,118
	15,650,000		7.000			08/16/23		190,567
	28,570,000		8.150			02/03/27		365,003
	15,920,000		7.050			01/19/28		183,539
								1,199,227
	South Africa – 4.7%
	Republic of South Africa (NR/NR)
ZAR	1,090,000		8.875			02/28/35		77,324
	Republic of South Africa (NR/Baa2)
	8,100,000		7.750			02/28/23		566,706
	1,170,000		8.000			01/31/30		78,610
	3,660,000		8.250			03/31/32		248,981
	180,000		8.500			01/31/37		12,292
	800,000		8.750			01/31/44		55,670
	1,790,000		8.750			02/28/48		124,670
	Republic of South Africa (BBB+/Baa2)
	940,000		10.500			12/21/26		77,764
	Republic of South Africa (BBB-/Baa2)
$	150,000		4.665			01/17/24		148,500
	210,000		5.875			09/16/25		223,545
								1,614,062

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

GOLDMAN SACHS DYNAMIC EMERGING MARKETS DEBT FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Sovereign Debt Obligations – (continued)
	Sri Lanka(d) – 0.6%
	Republic of Sri Lanka (B+/B1)
$	200,000		6.000	%		01/14/19	$	203,000
	Thailand – 2.8%
	Thailand Government Bond (NR/Baa1)
THB	7,559,026		1.250			03/12/28		172,587
	Thailand Government Bond (A-/Baa1)
	4,520,000		3.875			06/13/19		132,853
	10,540,926		1.200			07/14/21		269,443
	6,695,000		3.650			12/17/21		195,920
	2,630,000		3.625			06/16/23		76,935
	4,110,000		3.850			12/12/25		124,013
								971,751
	Turkey – 5.3%
	Republic of Turkey (NR/NR)
TRY	130,000		8.500			07/10/19		39,659
	20,000		8.000			03/12/25		5,542
	Republic of Turkey (NR/Baa3)
$	100,000		7.500			07/14/17		107,875
	300,000		6.750			04/03/18		324,000
	330,000		6.250			09/26/22		352,770
	Turkey Government Bond (NR/NR)
TRY	210,000		10.400			03/27/19		68,125
	590,000		7.400			02/05/20		170,559
	1,500,000		9.400			07/08/20		466,219
	90,000		7.100			03/08/23		24,010
	180,000		10.400			03/20/24		57,776
	660,000		9.000			07/24/24		193,089
								1,809,624
	Venezuela – 0.5%
	Republic of Venezuela (CCC/Caa3)
$	10,000		13.625			08/15/18		5,787
	10,000		7.750			10/13/19		3,425
	40,000		6.000			12/09/20		13,200
	20,000		12.750			08/23/22		8,550
	40,000		9.000			05/07/23		13,700
	50,000		8.250			10/13/24		16,750
	40,000		7.650			04/21/25		13,300
	10,000		11.750			10/21/26		3,850
	50,000		9.250			09/15/27		19,375
	60,000		9.250			05/07/28		20,100
	30,000		11.950			08/05/31		11,700
	90,000		9.375			01/13/34		31,050
	10,000		7.000			03/31/38		3,225
								164,012
	Vietnam – 0.5%
	Socialist Republic of Vietnam (BB-/B1)
	200,000		4.800			11/19/24		189,250
	Zambia – 0.5%
	Republic of Zambia (B/NR)
	200,000		8.500			04/14/24		160,000
	TOTAL SOVEREIGN DEBT OBLIGATIONS
	(Cost $23,679,613)						$	21,566,409
	Corporate Obligations – 14.2%
	Australia – 0.1%
	Toyota Finance Australia Ltd. (NR/NR)
MXN	330,000		3.760	%		07/20/17	$	19,045
	Brazil(b)(e) – 0.3%
	Banco do Brasil SA (B/NR)
	200,000		6.250			04/15/49		94,000
	Chile – 2.4%
	AES Gener SA (BBB-/Baa3)
	170,000		5.250			08/15/21		175,950
	GNL Quintero SA (BBB/Baa2)
	290,000		4.634	(d)		07/31/29		283,475
	200,000		4.634			07/31/29		195,500
	Sociedad Quimica y Minera de Chile SA (BBB/Baa1)
	200,000		3.625			04/03/23		170,441
								825,366
	Colombia – 0.7%
	Banco de Bogota SA (BBB-/Baa2)
	200,000		5.000			01/15/17		204,000
	Ecopetrol SA (BBB/Baa2)
	30,000		7.375			09/18/43		27,300
								231,300
	Dominican Republic(e)(f) – 0.6%
	Aeropuertos Dominicanos Siglo XXI SA (B/B1)
	200,000		9.750			11/13/19		200,000
	Hong Kong(b)(e) – 0.2%
	Hutchison Whampoa International 10 Ltd. (BBB/Baa2)
	50,000		6.000			10/28/49		50,000
	Israel(d) – 0.6%
	Delek & Avner Tamar Bond Ltd. (BBB-/Baa3)
	100,000		2.803			12/30/16		100,000
	100,000		3.839			12/30/18		100,500
								200,500
	Ivory Coast(d) – 0.3%
	Agromercantil Senior Trust (BB/NR)
	100,000		6.250			04/10/19		99,380
	Jamaica(d)(e) – 0.5%
	Digicel Group Ltd. (NR/Caa1)
	200,000		8.250			09/30/20		184,900
	Kazakhstan – 0.6%
	KazMunayGas National Co. JSC (BB+/Baa3)
	190,000		9.125			07/02/18		205,912
	Luxembourg(d)(e) – 1.2%
	Altice Financing SA (BB-/B1)
EUR	100,000		5.250			02/15/23		110,064
	Tupy Overseas SA (BB-/NR)
$	200,000		6.625			07/17/24		178,000
	Wind Acquisition Finance SA (BB/Ba3)
EUR	110,000		4.000			07/15/20		121,267
								409,331

The accompanying notes are an integral part of these financial statements. 47

GOLDMAN SACHS DYNAMIC EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2015 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Mexico – 1.4%
	Cemex SAB de CV (B+/NR)(d)(e)
	EUR 100,000		4.750	%		01/11/22	$	105,594
	Gruma SAB de CV (BBB-/NR)(e)
$	200,000		4.875			12/01/24		209,000
	Grupo Televisa SAB (BBB+/Baa1)
	100,000		6.000			05/15/18		109,200
	Petroleos Mexicanos (NR/A3)
MXN	947,700		7.470			11/12/26		51,576
								475,370
	Netherlands – 0.7%
	Myriad International Holding BV (NR/Baa3)
$	100,000		6.375			07/28/17		105,625
	Petrobras Global Finance BV (BB/Ba2)
	10,000		3.000			01/15/19		7,239
	20,000		4.875			03/17/20		14,500
	60,000		4.375			05/20/23		39,119
	20,000		6.250			03/17/24		14,406
	Petrobras International Finance Co. (BB/Ba2)
	100,000		5.375			01/27/21		72,660
								253,549
	Paraguay(d) – 0.4%
	Banco Regional SAECA (BB-/Ba1)
	150,000		8.125			01/24/19		150,152
	Peru – 1.5%
	Abengoa Transmision Sur SA (BBB-/NR)(d)
	200,000		6.875			04/30/43		210,000
	Corp Lindley S.A. (BB+/NR)
	290,000		6.750			11/23/21		317,550
								527,550
	Philippines – 0.3%
	Energy Development Corp. (NR/NR)
	100,000		6.500			01/20/21		109,750
	Turkey(e) – 0.5%
	Global Liman Isletmeleri (NR/B1)
	200,000		8.125			11/14/21		169,053
	United Arab Emirates – 1.3%
	Dolphin Energy Ltd. (NR/A1)
	200,000		5.500			12/15/21		225,250
	Ruwais Power Co. PJSC (A-/A3)(d)
	200,000		6.000			08/31/36		223,000
								448,250
	United Kingdom – 0.4%
	Vedanta Resources PLC (BB-/Ba3)
	200,000		8.250			06/07/21		144,500
	Venezuela – 0.2%
	Petroleos de Venezuela SA (CCC/NR)
	20,000		9.000			11/17/21		7,180
	40,000		6.000			05/16/24		13,000
	Corporate Obligations – (continued)
	Venezuela – (continued)
	Petroleos de Venezuela SA (CCC/NR) – (continued)
$	200,000		6.000	%		11/15/26	$	63,270
								83,450
	TOTAL CORPORATE OBLIGATIONS
	(Cost $5,077,617)						$	4,881,358
	Structured Notes(d) – 3.3%
	Indonesia – 3.3%
	Republic of Indonesia (Issuer Deutsche Bank AG (London)) (NR/NR)
IDR	3,000,000,000		8.375	%		03/20/24	$	191,160
	4,100,000,000		9.000			03/20/29		264,471
	2,200,000,000		8.250			06/17/32		131,024
	Republic of Indonesia (Issuer Standard Chartered Bank) (NR/NR)
	5,570,000,000		8.375			03/19/24		354,921
	1,026,000,000		9.000			03/19/29		66,182
	1,110,000,000		9.000			03/19/29		71,601
	1,050,000,000		8.750			05/19/31		66,081
	TOTAL STRUCTURED NOTES
	(Cost $1,467,606)						$	1,145,440
	Municipal Debt Obligations – 1.1%
	Puerto Rico – 1.1%
	Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2008 A (CCC-/Caa3)
$	20,000		6.000	%		07/01/44	$	13,850
	Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2012 A (CCC-/Caa3)
	5,000		5.125			07/01/37		3,388
	Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2012 D (CCC-/Caa3)
	5,000		5.000			07/01/33		3,388
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2008 A (CC/Caa3)
	20,000		5.500			07/01/32		13,025
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2012 A (CC/Caa3)
	15,000		5.500			07/01/26		9,881
	20,000		5.500			07/01/39		12,950
	Puerto Rico Commonwealth GO Bonds Series 2008 A (CC/Caa3)
	15,000		5.375			07/01/33		9,731
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2009 A (CC/Ca)
	30,000		0.000	(c)		08/01/32		12,190
	25,000		6.000			08/01/42		10,563
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2010 A (CC/Ca)
	15,000		5.500			08/01/37		6,319
	55,000		5.375			08/01/39		23,169
	35,000		5.500			08/01/42		14,744

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

GOLDMAN SACHS DYNAMIC EMERGING MARKETS DEBT FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Municipal Debt Obligations – 1.1%
	Puerto Rico – (continued)
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2010 C (CC/Ca)
$	5,000		5.000	%		08/01/35	$	2,106
	10,000		6.000			08/01/39		4,225
	430,000		5.250			08/01/41		181,137
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2011 A-1 (CC/Ca)
	75,000		5.000			08/01/43		31,594
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB Unrefunded SubSeries 2009 A (CC/Ca)
	45,000		5.500			08/01/28		19,406
	35,000		6.125			08/01/29		15,181
	TOTAL MUNICIPAL DEBT OBLIGATIONS
	(Cost $499,832)						$	386,847
Principal Amount		Interest Rate			Maturity Date		Value
	U.S. Treasury Obligations – 3.9%
	United States Treasury Notes
$	600,000		2.250	%		04/30/21	$	622,854
	400,000		1.750			09/30/22		399,844
	300,000		2.250			11/15/24		305,634
	TOTAL U.S. TREASURY OBLIGATIONS
	(Cost $1,313,134)						$	1,328,332
	TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT
	(Cost $32,037,802)						$	29,308,386
	Short-term Investment(g) – 16.2%
	Repurchase Agreements – 16.2%
	Joint Repurchase Agreement Account II
$	5,600,000		0.122	%		10/01/15	$	5,600,000
	(Cost $5,600,000)
	TOTAL INVESTMENTS – 101.3%
	(Cost $37,637,802)						$	34,908,386
	LIABILITIES IN EXCESS OF     OTHER ASSETS – (1.3)%							(463,450	)
	NET ASSETS – 100.0%						$	34,444,936

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a)	Security is currently in default and/or non-income producing.
(b)	Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on September 30, 2015.
(c)	Issued with a zero coupon. Income is recognized through the accretion of discount.

(d)	Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $3,831,568, which represents approximately 11.1% of net assets as of September 30, 2015.
(e)	Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.
(f)	Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect on September 30, 2015.
(g)	Joint repurchase agreement was entered into on September 30, 2015. Additional information appears on page 119.

Security ratings disclosed, if any, are obtained from by Standard & Poor’s/Moody’s Investor Service and are unaudited. A brief description of the ratings is available in the Fund’s Statement of Additional Information.

Currency Abbreviations:
AED	—United Arab Emirates Dirham
BRL	—Brazilian Real
CLP	—Chilean Peso
CNH	—Chinese Yuan Renminbi Offshore
COP	—Colombian Peso
CZK	—Czech Koruna
DOP	—Dominican Peso
EUR	—Euro
HUF	—Hungarian Forint
IDR	—Indonesian Rupiah
ILS	—Israeli Shekel
INR	—Indian Rupee
KRW	—South Korean Won
MXN	—Mexican Peso
MYR	—Malaysian Ringgit
NGN	—Nigerian Naira
PEN	—Peruvian Nuevo Sol
PHP	—Philippine Peso
PLN	—Polish Zloty
RON	—New Romanian Leu
RUB	—Russian Ruble
SGD	—Singapore Dollar
THB	—Thai Baht
TRY	—Turkish Lira
TWD	—Taiwan Dollar
USD	—U.S. Dollar
ZAR	—South African Rand
Investment Abbreviations:
CLICP	—Sinacofi Chile Interbank Rate
DTF	—Depositos Termino Fijo
EURO	—Euro Offered Rate
GO	—General Obligation
JIBAR	—Johannesburg Interbank Agreed Rate
LLC	—Limited Liability Company
MIBOR	—Mumbai Interbank Offered Rate
NR	—Not Rated
RB	—Revenue Bond
TIIE	—La Tasa de Interbank Equilibrium Interest Rate

The accompanying notes are an integral part of these financial statements. 49

GOLDMAN SACHS DYNAMIC EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2015 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At September 30, 2015, the Fund had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN

Counterparty	Currency Purchased			Currency Sold			Current Value		Settlement Date		Unrealized Gain
Bank of America Securities LLC		TRY	868,500		USD	277,840	$	280,226		12/16/15	$	2,386
		USD	21,825		MXN	346,656		20,505		10/01/15		1,320
Barclays Bank PLC		INR	3,690,540		USD	55,960		56,112		10/19/15		152
		USD	55,000		TRY	167,682		54,104		12/16/15		896
		USD	56,089		TWD	1,825,697		55,402		10/02/15		688
		USD	55,865		TWD	1,820,927		55,043		10/26/15		822
		ZAR	5,972,783		USD	421,351		425,008		12/17/15		3,657
BNP Paribas SA		EUR	75,000		PLN	318,238		83,918		12/16/15		363
		USD	416,632		AED	1,532,802		416,386		08/11/16		246
		USD	299,139		AED	1,100,983		299,074		08/15/16		65
		USD	117,119		CLP	76,584,000		109,790		10/23/15		7,329
		USD	40,550		CZK	968,139		39,887		12/16/15		664
		USD	55,354		TWD	1,802,595		54,635		10/05/15		719
		USD	107,950		TWD	3,572,056		107,917		11/30/15		33
Citibank NA		USD	55,369		CNH	362,071		55,313		09/01/16		55
		USD	39,226		KRW	46,379,988		39,118		10/05/15		108
		USD	93,451		KRW	110,991,238		93,434		12/04/15		16
		USD	130,856		SGD	185,770		130,203		12/16/15		653
Credit Suisse International (London)		COP	176,479,820		USD	56,455		56,958		10/29/15		502
		USD	296,518		COP	830,770,478		268,320		10/23/15		28,198
Deutsche Bank AG		HUF	63,275,946		USD	224,510		225,509		12/16/15		999
		ILS	161,519		USD	41,000		41,173		10/02/15		173
		ILS	161,519		USD	41,089		41,218		12/16/15		129
		INR	5,073,083		USD	76,679		77,133		10/19/15		454
		KRW	131,617,057		USD	110,315		111,028		10/02/15		713
		MXN	4,998,000		USD	293,238		293,824		12/16/15		586
		MYR	806,000		USD	182,065		183,528		10/20/15		1,464
		THB	6,188,780		USD	169,000		170,199		11/20/15		1,199
		TWD	3,612,097		USD	109,358		109,611		10/02/15		252
		USD	29,486		COP	85,068,000		27,475		10/23/15		2,011
		USD	74,214		COP	229,450,000		74,080		10/26/15		134
		USD	72,917		IDR	1,010,990,400		68,241		10/30/15		4,676
		USD	385,190		ILS	1,489,227		380,038		12/16/15		5,153
		USD	167,382		KRW	194,832,648		164,221		10/21/15		3,161
		USD	217,656		SGD	305,119		213,853		12/16/15		3,803
		USD	55,000		TWD	1,786,400		54,209		10/02/15		791
		USD	148,704		TWD	4,812,061		145,459		10/26/15		3,245
HSBC Bank PLC		PHP	2,569,644		USD	54,453		54,926		10/19/15		473
		TRY	254,402		USD	82,000		82,084		12/16/15		84
		USD	55,000		BRL	211,728		53,364		10/02/15		1,636
		USD	162,081		ILS	631,483		161,149		12/16/15		932
		USD	55,000		TWD	1,779,921		53,948		10/05/15		1,052
		USD	54,145		TWD	1,753,091		53,029		10/19/15		1,116
JPMorgan Securities, Inc.		CNH	777,959		USD	120,000		121,090		12/16/15		1,090
		HUF	61,727,129		USD	219,482		219,990		12/16/15		508
		INR	3,667,593		USD	55,444		55,623		11/03/15		179
		RUB	12,548,145		USD	190,000		190,104		10/21/15		104
		USD	56,133		KRW	66,480,557		56,081		10/02/15		52
		USD	475,145		MXN	7,394,681		437,393		10/01/15		37,752
		USD	446,993		PLN	1,655,245		434,595		12/16/15		12,398
		USD	95,155		TWD	3,141,057		94,894		12/04/15		261

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

GOLDMAN SACHS DYNAMIC EMERGING MARKETS DEBT FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)

Counterparty	Currency Purchased			Currency Sold			Current Value		Settlement Date		Unrealized Gain
Morgan Stanley & Co.		BRL	1,165,128		USD	290,722	$	293,662		10/02/15	$	2,940
		USD	110,000		BRL	427,520		107,753		10/02/15		2,247
		USD	30,457		ZAR	428,000		30,455		12/17/15		2
Royal Bank of Canada		USD	34,645		BRL	124,742		31,440		10/02/15		3,205
		USD	20,053		MXN	310,905		18,390		10/01/15		1,663
		USD	208,148		MXN	3,441,305		202,743		11/19/15		5,405
		USD	856,146		MXN	14,302,896		840,843		12/16/15		15,303
Royal Bank of Scotland PLC		CLP	262,866,225		USD	376,000		376,732		10/26/15		732
		COP	219,150,040		USD	69,562		70,933		10/05/15		1,371
		TRY	170,939		USD	55,000		55,154		12/16/15		154
		USD	110,000		TRY	338,643		109,264		12/16/15		736
Standard Chartered Bank		CNH	1,069,614		USD	165,000		166,487		12/16/15		1,487
		COP	159,914,553		USD	49,448		51,778		10/02/15		2,330
		NGN	10,134,000		USD	47,355		50,795		10/06/15		3,440
		USD	274,000		CNH	1,753,740		272,972		12/16/15		1,028
		USD	309,918		EUR	271,516		303,802		12/16/15		6,116
		USD	55,000		KRW	64,611,250		54,494		10/05/15		506
		USD	82,000		KRW	96,584,192		81,403		10/23/15		597
		USD	544,814		MXN	9,200,274		540,868		12/16/15		3,946
		USD	527,258		ZAR	7,094,330		504,815		12/17/15		22,443
UBS AG (London)		BRL	783,454		USD	187,721		195,238		11/04/15		7,516
		EUR	73,000		HUF	22,888,420		81,681		12/16/15		109
		INR	4,184,934		USD	62,686		63,629		10/19/15		943
		USD	167,722		BRL	651,680		164,251		10/02/15		3,472
		USD	55,000		KRW	65,136,500		54,947		10/02/15		53
		USD	42,000		KRW	49,023,198		41,321		10/21/15		679
Westpac Banking Corp.		USD	1,664,850		EUR	1,474,010		1,649,287		12/16/15		15,562
		USD	95,752		TWD	3,136,357		95,060		10/05/15		692
TOTAL											$	240,129

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

Counterparty	Currency Purchased			Currency Sold			Current Value		Settlement Date		Unrealized Loss
Bank of America Securities LLC		CLP	31,745,760		USD	46,089	$	45,515		10/22/15	$	(574	)
		PLN	207,291		EUR	49,000		54,426		12/16/15		(402	)
		PLN	635,197		USD	168,099		166,775		12/16/15		(1,324	)
		USD	22,335		RUB	1,487,298		22,532		10/21/15		(197	)
Barclays Bank PLC		PHP	2,926,000		USD	64,188		62,501		10/30/15		(1,686	)
		USD	184,454		CNH	1,228,466		187,672		09/01/16		(3,218	)
		USD	82,000		INR	5,446,407		82,809		10/19/15		(809	)
		ZAR	1,143,311		USD	83,000		81,355		12/17/15		(1,645	)
BNP Paribas SA		IDR	782,190,000		USD	54,000		52,797		10/30/15		(1,203	)
		PLN	636,815		USD	168,823		167,200		12/16/15		(1,623	)
		USD	195,102		AED	718,244		195,106		08/15/16		(4	)
Citibank NA		BRL	842,266		USD	259,478		212,287		10/02/15		(47,191	)
		CLP	73,077,200		USD	106,063		104,865		10/13/15		(1,198	)
		COP	1,570,762,900		USD	511,000		507,138		10/26/15		(3,862	)
		HUF	61,362,938		USD	219,040		218,692		12/16/15		(348	)
		KRW	110,991,238		USD	93,648		93,612		10/05/15		(36	)
		MXN	1,672,820		USD	98,843		98,342		12/16/15		(501	)

The accompanying notes are an integral part of these financial statements. 51

GOLDMAN SACHS DYNAMIC EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2015 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)

Counterparty	Currency Purchased			Currency Sold			Current Value		Settlement Date		Unrealized Loss
Citibank NA (continued)		USD	171,558		CNH	1,109,519	$	172,698		12/16/15	$	(1,140	)
		USD	72,503		COP	226,190,285		73,236		10/02/15		(734	)
		USD	55,000		ZAR	774,769		55,131		12/17/15		(131	)
Credit Suisse International (London)		USD	163,000		RUB	10,922,500		165,475		10/21/15		(2,475	)
Deutsche Bank AG		COP	229,450,000		USD	74,424		74,268		10/05/15		(157	)
		COP	193,512,894		USD	71,289		62,500		10/23/15		(8,788	)
		MYR	1,272,164		USD	329,764		289,649		10/23/15		(40,115	)
		MYR	271,301		USD	63,000		61,758		10/30/15		(1,242	)
		THB	10,090,340		USD	278,585		277,496		11/20/15		(1,089	)
		USD	204,791		CNH	1,360,983		207,916		09/01/16		(3,125	)
		USD	95,000		INR	6,291,588		95,659		10/19/15		(659	)
		USD	86,000		INR	5,715,844		86,686		11/03/15		(686	)
		USD	173,156		KRW	206,843,000		174,277		11/02/15		(1,122	)
		USD	181,900		MYR	806,000		183,530		10/05/15		(1,630	)
		USD	127,000		SGD	182,140		127,659		12/16/15		(659	)
		USD	109,012		TWD	3,612,097		109,127		11/30/15		(115	)
		ZAR	4,338,065		USD	313,872		308,686		12/17/15		(5,187	)
HSBC Bank PLC		BRL	741,605		USD	193,318		186,916		10/02/15		(6,402	)
		MYR	806,000		USD	186,509		183,530		10/05/15		(2,979	)
		MYR	379,453		USD	89,103		86,431		10/09/15		(2,672	)
		PEN	185,000		USD	57,430		56,812		10/23/15		(619	)
		RUB	9,768,137		USD	166,486		147,842		10/23/15		(18,644	)
		TRY	248,625		USD	81,000		80,220		12/16/15		(780	)
		USD	86,000		BRL	343,078		86,470		10/02/15		(470	)
		USD	55,000		TRY	172,688		55,719		12/16/15		(719	)
		ZAR	2,634,668		USD	189,000		187,476		12/17/15		(1,524	)
HSBC Securities, Inc.		USD	164,000		CNH	1,081,891		165,280		09/01/16		(1,280	)
JPMorgan Securities, Inc.		MXN	934,709		USD	55,000		54,950		12/16/15		(50	)
		TWD	6,718,873		USD	205,415		203,642		10/05/15		(1,773	)
		USD	110,000		CNH	723,225		110,487		09/01/16		(487	)
		USD	92,414		RUB	6,151,067		93,188		10/21/15		(774	)
		USD	25,000		TRY	77,897		25,134		12/16/15		(134	)
Morgan Stanley & Co.		BRL	512,846		USD	132,646		129,259		10/02/15		(3,387	)
		IDR	992,460,000		USD	68,000		66,990		10/30/15		(1,010	)
		MXN	916,239		USD	55,367		53,864		12/16/15		(1,503	)
		MYR	553,000		USD	125,925		125,696		11/30/15		(229	)
		USD	642,104		BRL	2,705,826		681,983		10/02/15		(39,879	)
		USD	54,076		BRL	226,260		56,384		11/04/15		(2,308	)
Royal Bank of Canada		BRL	219,246		USD	56,000		55,259		10/02/15		(741	)
		USD	84,000		MXN	1,459,815		85,820		12/16/15		(1,820	)
Royal Bank of Scotland PLC		BRL	1,559,550		USD	401,222		393,073		10/02/15		(8,149	)
		CLP	37,912,323		USD	55,000		54,404		10/13/15		(596	)
		HUF	176,875,127		USD	643,961		630,366		12/16/15		(13,595	)
		MXN	20,532,334		USD	1,231,419		1,207,060		12/16/15		(24,359	)
		PLN	2,082,651		USD	564,343		546,813		12/16/15		(17,530	)
		RON	1,723,300		USD	441,849		435,195		12/16/15		(6,654	)
		TRY	964,026		USD	312,549		311,048		12/16/15		(1,501	)
		USD	18,243		COP	56,403,961		18,257		10/05/15		(13	)
		USD	493,451		COP	1,563,252,768		504,896		10/23/15		(11,445	)
		USD	164,210		ILS	644,065		164,360		12/16/15		(149	)
		ZAR	6,606,383		USD	490,539		470,093		12/17/15		(20,446	)
Standard Chartered Bank		MYR	1,793,629		USD	424,126		408,292		10/30/15		(15,834	)
		TWD	3,005,413		USD	92,433		90,910		10/19/15		(1,523	)

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

GOLDMAN SACHS DYNAMIC EMERGING MARKETS DEBT FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)

Counterparty	Currency Purchased			Currency Sold			Current Value		Settlement Date		Unrealized Loss
Standard Chartered Bank (continued)		USD	774,829		CNH	4,998,180	$	777,974		12/16/15	$	(3,145	)
		USD	55,000		CNH	366,383		55,972		09/01/16		(972	)
		USD	34,000		NGN	7,106,000		34,036		01/05/16		(36	)
		USD	130,730		SGD	187,100		131,136		12/16/15		(406	)
		USD	84,000		TWD	2,798,523		84,569		10/29/15		(569	)
		ZAR	750,670		USD	56,000		53,416		12/17/15		(2,584	)
UBS AG (London)		BRL	207,390		USD	55,000		52,271		10/02/15		(2,729	)
		USD	189,928		BRL	783,454		197,464		10/02/15		(7,535	)
		USD	175,962		CNH	1,148,413		178,752		12/16/15		(2,791	)
Westpac Banking Corp.		MYR	1,320,505		USD	343,774		300,593		10/30/15		(43,181	)
		USD	271,563		CNH	1,769,642		275,447		12/16/15		(3,884	)
		USD	110,000		CNH	722,136		110,320		09/01/16		(320	)
		USD	113,712		KRW	135,491,085		114,138		11/09/15		(426	)
TOTAL											$	(415,431	)

FUTURES CONTRACTS — At September 30, 2015, the Fund had the following futures contracts:

Type	Number of Contracts Long (Short)			Expiration Date	Current Value			Unrealized Gain (Loss)
20 Year U.S. Treasury Bonds	$	(1	)	December 2015	$	(157,344	)	$	(56	)
2 Year U.S. Treasury Notes		4		December 2015		876,125			1,278
5 Year U.S. Treasury Notes		16		December 2015		1,928,250			7,340
10 Year U.S. Treasury Notes		(4	)	December 2015		(514,937	)		(3,171	)
TOTAL								$	5,391

SWAP CONTRACTS — At September 30, 2015, the Fund had the following swap contracts:

OVER THE COUNTER INTEREST RATE SWAP CONTRACTS

Counterparty	Notional Amount (000s)			Termination Date		Payments Received	Payments Made	Unrealized Gain (Loss)*
Bank of America Securities LLC		BRL	2,340		01/04/16	13.795%	1 month Brazilian Interbank Deposit Average	$	(1,062	)
		INR	71,120		05/28/16	6 Month MIBOR	7.369%		(1,283	)
		BRL	1,180		01/02/18	13.962	1 month Brazilian Interbank Deposit Average		(8,447	)
		MXN	680		03/03/26	6.930	Mexico Interbank TIIE 28 Days		1,638
Barclays Bank PLC		BRL	540		01/04/16	11.555	1 month Brazilian Interbank Deposit Average		(1,171	)
			440		01/02/17	12.190	1 month Brazilian Interbank Deposit Average		(3,293	)
Citibank NA			120		01/04/16	1 month Brazilian Interbank Deposit Average	11.945		192
		THB	8,830		11/17/16	1.905	6 Month Thai Reuters		952
			8,830		11/25/16	1.800	6 month Thai Reuters		639

The accompanying notes are an integral part of these financial statements. 53

GOLDMAN SACHS DYNAMIC EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2015 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

OVER THE COUNTER INTEREST RATE SWAP CONTRACTS (continued)

Counterparty	Notional Amount (000s)				Termination Date		Payments Received	Payments Made	Unrealized Gain (Loss)*
Citibank NA (continued)		BRL	980			01/02/17	11.455%	1 month Brazilian Interbank Deposit Average	$	(12,100	)
			320			01/02/18	14.460	1 month Brazilian Interbank Deposit Average		(1,630	)
Credit Suisse International (London)			6,830			01/04/16	13.815	1 month Brazilian Interbank Deposit Average		(3,198	)
		CLP	36,600			03/28/16	6 month CLICP	3.860%		(310	)
			42,120			04/28/17	6 month CLICP	3.980		(262	)
			22,170			05/12/17	6 month CLICP	3.950		(103	)
		BRL	170			01/02/18	11.120	1 month Brazilian Interbank Deposit Average		(3,680	)
			300			01/02/18	11.960	1 month Brazilian Interbank Deposit Average		(5,085	)
		COP	95,320			04/15/19	Colombia 90 days DTF	5.110		900
Deutsche Bank AG		BRL	250			01/04/16	11.230	1 month Brazilian Interbank Deposit Average		(1,189	)
			1,720			01/04/16	1 month Brazilian Interbank Deposit Average	13.155		1,927
			1,850			01/04/16	9.280	1 month Brazilian Interbank Deposit Average		(22,071	)
			2,020			01/04/16	13.874	1 month Brazilian Interbank Deposit Average		(807	)
			2,110			01/04/16	1 month Brazilian Interbank Deposit Average	12.000		6,033
			880			01/02/17	16.860	1 month Brazilian Interbank Deposit Average		2,681
			1,880			01/02/17	12.842	1 month Brazilian Interbank Deposit Average		(13,290	)
			40			01/02/18	11.150	1 month Brazilian Interbank Deposit Average		(858	)
			400			01/02/18	11.945	1 month Brazilian Interbank Deposit Average		(6,813	)
			480			01/02/18	14.580	1 month Brazilian Interbank Deposit Average		(2,211	)
		MXN	990			09/25/18	Mexico Interbank TIIE 28 Days	5.180		(700	)
		CLP	17,660			04/10/19	6 month CLICP	4.430		(269	)
		BRL	150			01/02/25	1 month Brazilian Interbank Deposit Average	12.340		3,639
		MXN	3,740	(a)		02/15/29	9.625	Mexico Interbank TIIE 28 Days		9,304
JPMorgan Securities, Inc.		INR	53,590			06/01/16	6 Month MIBOR	7.345		(235	)
		THB	9,440			11/24/16	1.810	1 month Thai Reuters		693
		BRL	1,520			01/02/17	1 month Brazilian Interbank Deposit Average	12.290		14,027
			390			01/02/18	13.910	1 month Brazilian Interbank Deposit Average		(2,879	)

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

GOLDMAN SACHS DYNAMIC EMERGING MARKETS DEBT FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

OVER THE COUNTER INTEREST RATE SWAP CONTRACTS (continued)

Counterparty	Notional Amount (000s)			Termination Date		Payments Received	Payments Made	Unrealized Gain (Loss)*
JPMorgan Securities, Inc. (continued)		COP	67,690		04/22/19	Colombia IBR Overnight Interbank	5.190	$	592
Morgan Stanley & Co. International PLC		THB	4,410		11/28/16	1.820%	6 month Thai Reuters		362
		BRL	110		01/02/17	16.490	1 month Brazilian Interbank Deposit Average		239
			1,190		01/02/17	15.954	1 month Brazilian Interbank Deposit Average		1,088
			1,270		01/02/17	15.575	1 month Brazilian Interbank Deposit Average		(28	)
		ZAR	6,350		07/23/20	7.490	3 month JIBAR		(4,576	)
		BRL	150		01/04/21	1 month Brazilian Interbank Deposit Average	11.410%		4,460
TOTAL								$	(48,184	)

* There are no upfront payments on the swap contracts, therefore the unrealized gain (loss) on the swap contracts is equal to their market value.

(a) Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2015.

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS

					Rates Exchanged		Market Value
Notional Amount (000s)			Termination Date		Payments Received	Payments Made	Upfront Payments Made (Received)			Unrealized Gain (Loss)
	ZAR  1,120			06/13/19	7.640%	3 month JIBAR	$	1		$	175
	350			09/05/19	7.280	3 month JIBAR		(1	)		(292	)
	2,400			09/08/19	7.310	3 month JIBAR		(6	)		(1,848	)
	EUR     330	(a)		12/16/20	0.500	6 month EURO		104			(2,185	)
	ZAR     750			03/14/24	3 month JIBAR	8.550%		1			(985	)
	690			12/18/24	3 month JIBAR	7.890		—			1,397
	MXN  1,060			01/24/25	Mexico Interbank TIIE 28 Days	5.660		1			3,060
	EUR     260	(a)		12/16/25	6 month EURO	0.750		8,486			(1,290	)
	TOTAL						$	8,586		$	(1,968	)

(a) Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2015.

OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS

												Market Value
Counterparty	Referenced Obligation	Notional Amount (000s)		Rates Received (Paid)			Termination Date		Credit Spread at September 30, 2015(b)			Upfront Payments Made (Received)			Unrealized Gain (Loss)
Protection Purchased:
Bank of America Securities LLC	People’s Republic of China, 4.250%, 10/28/17	$	30		(1.000	)%		06/20/19		0.965	%	$	(133	)	$	87
Barclays Bank PLC	Russian Federation, 7.500%, 3/31/30		30		(1.000	)		03/20/19		0.904			(91	)		(15	)

The accompanying notes are an integral part of these financial statements. 55

GOLDMAN SACHS DYNAMIC EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2015 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS (continued)

												Market Value
Counterparty	Referenced Obligation	Notional Amount (000s)		Rates Received (Paid)			Termination Date		Credit Spread at September 30, 2015(b)			Upfront Payments Made (Received)			Unrealized Gain (Loss)
Protection Purchased: (continued)
Citibank NA	People’s Republic of China, 4.250%, 10/28/17	$	480		(1.000	)%		03/20/19		0.904	%	$	(1,510	)	$	(190	)
			850		(1.000	)		06/20/19		0.965			(4,766	)		3,447
JPMorgan Securities, Inc.			30		(1.000	)		03/20/19		0.904			(76	)		(30	)
			170		(1.000	)		06/20/19		0.965			(733	)		468
Protection Sold:
Barclays Bank PLC	Republic of Colombia, 10.375%, 01/28/33		300		1.000			12/20/19		2.248			(10,520	)		(4,282	)
			60		1.000			06/20/20		3.507			(6,335	)		(59	)
Deutsche Bank AG	Republic of Brazil, 4.250%, 01/07/25		90		1.000			12/20/20		4.730			(14,769	)		(114	)
TOTAL												$	(38,933	)	$	(688	)

(b) Credit spread on the Referenced Obligation, together with the term of the swap contract, are indicators of payment/performance risk. The likelihood of a credit event occurring which would require a fund to make a payment or otherwise be required to perform under the swap contract is generally greater as the credit spread and the term of the swap contract increase.

NON-DELIVERABLE BOND FORWARD CONTRACTS#

Counterparty	Notional Amount (000s)		Reference Obligation	Settlement Date	Unrealized Gain (Loss)*
Deutsche Bank AG		COP 289,800	Titulos de Tesoreria 7.750%, 09/18/30	10/14/15	$	923
		75,400	Titulos de Tesoreria 7.750%, 09/18/30	10/15/15		99
TOTAL					$	1,022

# Represents a short term forward contract to purchase the referenced obligation denominated in a non-deliverable foreign currency.

* There are no upfront payments on the bond forward contracts, therefore the unrealized gain (loss) of the bond forward contracts is equal to their market value.

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

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Schedule of Investments

September 30, 2015 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Sovereign Debt Obligations – 67.6%
	Argentina – 2.0%
	Republic of Argentina (NR/NR)
EUR	5,353,043		7.820	%(a)		12/31/33	$	5,428,201
$	7,795,331		8.280	(a)		12/31/33		7,756,355
	1,586,000		0.000	(b)		12/15/35		127,673
EUR	64,905,341		0.000	(b)		12/15/35		5,802,016
$	2,600,000		2.500	(a)		12/31/38		1,501,500
								20,615,745
	Azerbaijan – 1.2%
	Republic of Azerbaijan (NR/Baa3)
	13,530,000		4.750			03/18/24		12,718,200
	Belize(c)(d) – 0.2%
	Government of Belize (B-/Caa2)
	2,446,500		5.000			02/20/38		1,798,178
	Brazil – 2.1%
	Brazil Letras do Tesouro Nacional (BBB-/Baa3)(e)
BRL	13,438,000		0.000			01/01/16		3,275,282
	Brazil Notas do Tesouro Nacional (BBB-/Baa3)
	2,702,000		10.000			01/01/25		508,940
	6,640,132		6.000			08/15/40		1,421,126
	Federal Republic of Brazil (BB+/Baa3)
$	2,760,000		4.875			01/22/21		2,677,200
	3,540,000		4.250			01/07/25		3,097,500
	2,230,000		8.250			01/20/34		2,308,050
	1,470,000		7.125			01/20/37		1,378,125
	1,170,000		5.625			01/07/41		938,925
	2,240,000		5.000			01/27/45		1,674,400
	Federal Republic of Brazil (BBB-/Baa3)
BRL	19,707,155		6.000			08/15/50		4,138,721
								21,418,269
	Bulgaria – 0.1%
	Republic of Bulgaria (BB+/Baa2)
EUR	610,000		4.250			07/09/17		725,237
	Colombia – 3.4%
	Republic of Colombia (BBB/NR)
$	7,280,000		4.500			01/28/26		7,101,531
	Republic of Colombia (BBB/Baa2)
	310,000		8.700			02/15/16		307,946
	920,000		7.375			09/18/37		1,032,700
	3,170,000		6.125			01/18/41		3,138,300
	6,770,000		5.625			02/26/44		6,313,025
	19,910,000		5.000			06/15/45		17,023,050
								34,916,552
	Costa Rica – 1.6%
	Republic of Costa Rica (BB/Ba1)
	390,000		9.995			08/01/20		471,413
	3,500,000		5.625	(c)		04/30/43		2,620,625
	2,660,000		5.625			04/30/43		1,991,675
	12,430,000		7.158	(c)		03/12/45		11,093,775
								16,177,488
	Croatia – 6.1%
	Republic of Croatia (BB/Ba1)
	10,087,000		6.250			04/27/17		10,553,524
Principal Amount		Interest Rate			Maturity Date		Value
	Sovereign Debt Obligations – (continued)
	Croatia – (continued)
	Republic of Croatia (BB/Ba1) – (continued)
EUR	1,240,000		5.875	%		07/09/18	$	1,518,937
$	3,870,000		6.750			11/05/19		4,203,788
	3,140,000		6.625			07/14/20		3,406,900
	930,000		6.375			03/24/21		999,750
EUR	19,740,000		3.875			05/30/22		22,103,899
$	201,000		5.500			04/04/23		206,025
	6,451,000		6.000			01/26/24		6,805,805
EUR	12,770,000		3.000			03/11/25		12,913,619
								62,712,247
	Dominican Republic – 5.5%
	Dominican Republic (NR/NR)
DOP	20,700,000		16.000			07/10/20		564,812
	57,100,000		11.500			05/10/24		1,339,084
	8,900,000		18.500	(c)		02/04/28		287,817
	140,800,000		11.375			07/06/29		3,225,441
	Dominican Republic (BB-/B1)
$	1,694,114		9.040			01/23/18		1,795,761
	1,532,000		7.500			05/06/21		1,646,900
	1,500,000		8.625			04/20/27		1,736,250
	15,210,000		7.450	(c)		04/30/44		15,533,212
	7,456,000		7.450			04/30/44		7,614,440
	18,320,000		6.850	(c)		01/27/45		17,610,100
	5,099,000		6.850			01/27/45		4,901,414
								56,255,231
	Ecuador – 0.3%
	Ecuador Government International Bond (B/NR)
	2,960,000		10.500	(c)		03/24/20		2,220,000
	740,000		10.500			03/24/20		555,000
	450,000		7.950			06/20/24		317,250
								3,092,250
	Egypt – 1.0%
	Republic of Egypt (B-/B3)
	2,290,000		5.875	(c)		06/11/25		2,165,195
	6,120,000		5.875			06/11/25		5,786,460
	2,200,000		6.875			04/30/40		2,054,250
								10,005,905
	El Salvador – 1.1%
	El Salvador Government International Bond (B+/Ba3)
	1,550,000		7.375			12/01/19		1,581,000
	1,160,000		7.750	(f)		01/24/23		1,151,300
	210,000		5.875			01/30/25		182,438
	2,120,000		6.375			01/18/27		1,857,650
	3,870,000		8.250			04/10/32		3,782,925
	1,810,000		7.650			06/15/35		1,608,637
	1,650,000		7.625			02/01/41		1,452,000
								11,615,950
	Ethiopia – 0.5%
	Republic of Ethiopia (B/B1)
	2,210,000		6.625	(c)		12/11/24		2,027,675
	3,530,000		6.625			12/11/24		3,238,775
								5,266,450

The accompanying notes are an integral part of these financial statements. 57

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2015 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Sovereign Debt Obligations – (continued)
	Gabon(c) – 0.2%
	Republic of Gabon (B+/NR)
$	911,800		6.375	%		12/12/24	$	754,515
	Republic of Gabon (B+/Ba3)
	1,770,000		6.950			06/16/25		1,484,145
								2,238,660
	Guatemala – 0.7%
	Republic of Guatemala (BB/Ba1)
	3,300,000		5.750	(c)		06/06/22		3,489,750
	3,180,000		5.750			06/06/22		3,362,850
								6,852,600
	Honduras – 1.5%
	Republic of Honduras (B+/B3)
	9,990,000		8.750	(c)		12/16/20		11,038,950
	1,218,000		8.750			12/16/20		1,345,890
	2,660,000		7.500	(c)		03/15/24		2,776,375
								15,161,215
	Hungary – 4.0%
	Hungary Government Bond (BB+/Ba1)
EUR	5,780,000		4.375			07/04/17		6,868,624
$	1,850,000		4.125			02/19/18		1,918,450
EUR	7,530,000		5.750			06/11/18		9,475,952
$	3,080,000		4.000			03/25/19		3,199,350
	2,360,000		6.250			01/29/20		2,648,793
	200,000		5.375			02/21/23		217,600
	4,690,000		5.750			11/22/23		5,214,108
	6,320,000		5.375			03/25/24		6,819,280
	3,410,000		7.625			03/29/41		4,509,350
								40,871,507
	Indonesia – 4.8%
	Perusahaan Penerbit SBSN (NR/Baa3)
	530,000		4.325			05/28/25		490,621
	Perusahaan Penerbit SBSN (BB+/Baa3)
	360,000		3.300			11/21/22		328,500
	4,580,000		4.325	(c)		05/28/25		4,239,706
	Republic of Indonesia (BB+/Baa3)
	820,000		7.500			01/15/16		833,325
	2,970,000		6.875			01/17/18		3,255,863
	5,364,000		11.625			03/04/19		6,812,280
	610,000		5.375			10/17/23		629,825
	2,766,000		5.875			01/15/24		2,925,045
	2,850,000		4.125			01/15/25		2,686,125
	3,120,000		6.625			02/17/37		3,272,100
	6,454,000		7.750			01/17/38		7,599,585
	7,479,000		5.250			01/17/42		6,675,007
	610,000		4.625			04/15/43		509,350
	2,400,000		6.750			01/15/44		2,541,000
	8,170,000		5.125			01/15/45		7,158,962
								49,957,294
	Iraq – 0.5%
	Republic of Iraq (NR/NR)
	7,740,000		5.800			01/15/28		5,330,925
Principal Amount		Interest Rate			Maturity Date		Value
	Sovereign Debt Obligations – (continued)
	Kazakhstan – 1.6%
	Republic of Kazakhstan (BBB/Baa2)
$	4,750,000		5.125	%(c)		07/21/25	$	4,613,437
	810,000		4.875	(c)		10/14/44		643,950
	1,190,000		4.875			10/14/44		946,050
	11,420,000		6.500	(c)		07/21/45		10,763,350
								16,966,787
	Kenya – 1.2%
	Republic of Kenya (B+/NR)
	2,780,000		6.875	(c)		06/24/24		2,488,100
	11,257,000		6.875			06/24/24		10,075,015
								12,563,115
	Latvia – 0.6%
	Republic of Latvia (A-/A3)
	5,583,000		5.250			02/22/17		5,888,167
	Lithuania – 0.5%
	Republic of Lithuania (A-/A3)
	4,730,000		7.375			02/11/20		5,689,764
	Mexico – 8.1%
	United Mexican States (NR/NR)(e)
MXN	19,076,260		0.000			10/01/15		1,126,945
	79,350,450		0.000			10/29/15		4,680,174
	566,174,840		0.000			11/12/15		33,325,975
	United Mexican States (NR/A3)
	47,442,000		4.750			06/14/18		2,817,967
	United Mexican States (A/A3)
	48,146,912		5.000			06/16/16		2,961,172
	22,389,600		10.000			12/05/24		1,690,342
	4,382,200		7.500			06/03/27		282,990
	10,713,200		8.500			05/31/29		749,222
	54,875,100		7.750			11/23/34		3,603,243
	United Mexican States (BBB+/A3)
$	990,000		3.625			03/15/22		998,910
	3,260,000		3.600			01/30/25		3,198,060
	280,000		6.050			01/11/40		306,600
	8,098,000		4.750			03/08/44		7,389,425
	3,783,000		5.550			01/21/45		3,877,575
	13,198,000		4.600			01/23/46		11,746,220
	2,632,000		5.750			10/12/10		2,460,920
EUR	1,960,000		4.000			03/15/15		1,808,598
								83,024,338
	Montenegro(c) – 0.1%
	Republic of Montenegro (B+/Ba3)
	1,360,000		3.875			03/18/20		1,447,548
	Netherlands – 0.2%
	Republic of Mozambique (NR/B2)
$	2,670,850		6.305			09/11/20		2,283,577
	Nigeria – 0.5%
	Republic of Nigeria (B+/NR)
	1,621,000		6.750			01/28/21		1,531,845
	3,710,000		6.375			07/12/23		3,283,350
								4,815,195

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

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Sovereign Debt Obligations – (continued)
	Pakistan – 1.0%
	Islamic Republic of Pakistan (NR/B3)
$	3,290,000		8.250	%(c)		09/30/25	$	3,380,475
	Islamic Republic of Pakistan (B-/B3)
	1,830,000		6.875			06/01/17		1,891,762
	1,070,000		6.875	(c)		06/01/17		1,106,113
	3,060,000		6.750	(c)		12/03/19		3,128,850
	560,000		8.250	(c)		04/15/24		584,884
								10,092,084
	Panama – 2.0%
	Panama Notas del Tesoro (BBB/NR)
	920,000		4.875			02/05/21		969,588
	Republic of Panama (BBB/Baa2)
	210,000		3.750			03/16/25		203,175
	1,911,000		8.875			09/30/27		2,641,957
	1,528,000		9.375	(f)		04/01/29		2,198,410
	12,600,000		6.700			01/26/36		14,994,000
								21,007,130
	Paraguay – 0.3%
	Republic of Paraguay (BB/Ba1)
	3,490,000		6.100			08/11/44		3,402,750
	Peru – 0.0%
	Republic of Peru (BBB+/A3)
	70,000		5.625			11/18/50		71,925
	Philippines – 1.3%
	Republic of Philippines (BBB/Baa2)
	2,160,000		9.875			01/15/19		2,713,500
	5,869,000		8.375			06/17/19		7,211,534
	100,000		6.375			01/15/32		127,750
	2,410,000		6.375			10/23/34		3,151,075
								13,203,859
	Romania – 0.3%
	Republic of Romania (BBB-/Baa3)
EUR	2,490,000		5.250			06/17/16		2,876,924
	Russia – 0.5%
	Russian Federation (BB+/Ba1)
$	4,800,000		4.875	(g)		09/16/23		4,824,000
	200,000		5.625			04/04/42		186,250
	200,000		5.875			09/16/43		192,000
								5,202,250
	South Africa – 1.3%
	Republic of South Africa (BBB-/Baa2)
	430,000		4.665			01/17/24		425,700
	5,640,000		5.875			09/16/25		6,003,780
	7,670,000		5.375			07/24/44		7,194,460
								13,623,940
	Sri Lanka – 2.3%
	Republic of Sri Lanka (B+/B1)
	1,180,000		6.000	(c)		01/14/19		1,197,700
	360,000		6.000			01/14/19		365,400
	1,222,000		6.250	(c)		10/04/20		1,235,747
	1,260,000		6.250			10/04/20		1,274,175
Principal Amount		Interest Rate			Maturity Date		Value
	Sovereign Debt Obligations – (continued)
	Sri Lanka – (continued)
	Republic of Sri Lanka (B+/B1) – (continued)
$	13,294,000		6.250	%		07/27/21	$	13,260,765
	4,590,000		5.875			07/25/22		4,417,875
	1,807,000		6.125			06/03/25		1,734,720
								23,486,382
	Turkey – 2.8%
	Republic of Turkey (NR/Baa3)
	6,450,000		4.250			04/14/26		5,863,050
	5,180,000		4.875			04/16/43		4,322,710
	5,364,000		7.500			07/14/17		5,786,415
	1,992,000		7.375			02/05/25		2,278,848
	610,000		8.000			02/14/34		736,880
	140,000		6.750			05/30/40		149,100
	9,760,000		6.000			01/14/41		9,516,000
								28,653,003
	Ukraine – 1.2%
	Financing of Infrastructural Projects State Enterprise (NR/Ca)
	3,950,000		8.375			11/03/17		3,090,890
	2,190,000		9.000	(c)		12/07/17		1,730,100
	510,000		9.000			12/07/17		402,900
	2,030,000		7.400			04/20/18		1,591,633
	Ukraine Government Bond (CC/Ca)
	5,310,000		6.250			06/17/16		4,168,350
	Ukraine Government Bond (D/Ca)
	1,380,000		6.750			11/14/17		1,092,270
								12,076,143
	Uruguay – 0.2%
	Republic of Uruguay (BBB/Baa2)
	2,772,828		5.100			06/18/50		2,405,428
	Venezuela – 2.5%
	Republic of Venezuela (CCC/Caa3)
	1,182,000		13.625			08/15/18		684,082
	2,810,000		6.000			12/09/20		927,300
	16,980,000		9.000			05/07/23		5,815,650
	23,031,600		8.250			10/13/24		7,715,586
	13,060,000		7.650			04/21/25		4,342,450
	40,000		11.750			10/21/26		15,400
	9,248,000		9.250			05/07/28		3,098,080
	6,240,000		9.375			01/13/34		2,152,800
	2,970,000		7.000			03/31/38		957,825
								25,709,173
	Vietnam – 1.6%
	Socialist Republic of Vietnam (BB-/B1)
	12,950,000		6.750	(c)		01/29/20		14,131,687
	2,576,000		4.800	(c)		11/19/24		2,437,540
	200,000		4.800			11/19/24		189,250
								16,758,477
	Zambia – 0.7%
	Republic of Zambia (B/NR)
	5,171,000		5.375			09/20/22		3,663,654
	4,660,000		8.970	(c)(g)		07/30/27		3,693,050
								7,356,704
	TOTAL SOVEREIGN DEBT OBLIGATIONS
	(Cost $750,231,160)						$	696,334,566

The accompanying notes are an integral part of these financial statements. 59

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2015 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Foreign Debt Obligation – 0.5%
	Supranational – 0.5%
	Corporacion Andina de Fomento (AA-/Aa3)
$	4,640,000		1.500	%		08/08/17	$	4,680,095
	(Cost $4,655,949)
	Corporate Obligations – 26.3%
	Azerbaijan – 0.8%
	State Oil Company of the Azerbaijan Republic (BB+/Ba1)
$	4,110,000		5.450	%		02/09/17	$	4,171,650
	4,580,000		4.750			03/13/23		3,973,150
								8,144,800
	Bermuda(c)(h) – 0.5%
	Digicel Ltd. (NR/B1)
	5,230,000		6.750			03/01/23		4,707,000
	Brazil – 1.7%
	Banco do Brasil SA (B/NR)(b)(h)
	3,410,000		6.250			10/29/49		1,602,700
	Banco do Brasil SA (B/Ba3)(b)(h)
	4,900,000		9.000			06/29/49		2,891,000
	Banco do Estado do Rio Grande do Sul SA (NR/Ba1)(c)
	3,740,000		7.375			02/02/22		2,757,371
	Brazil Minas SPE via State of Minas Gerais (BB+/NR)(c)
	12,630,000		5.333			02/15/28		10,104,000
	Independencia International Ltd. (NR/NR)(a)(c)
	1,277,436		12.000			12/30/16		—
	Raizen Energy Finance Ltd. (BBB/Baa3)
	450,000		7.000			02/01/17		461,250
								17,816,321
	British Virgin Islands(c)(g) – 0.2%
	Arcos Dorados Holdings, Inc. (NR/Ba3)
	2,717,000		6.625			09/27/23		2,200,770
	Chile – 4.0%
	AES Gener SA (BBB-/Baa3)
	1,320,000		5.250	(c)		08/15/21		1,366,200
	3,309,000		5.250			08/15/21		3,424,815
	Banco del Estado de Chile
	3,550,000		4.125	(c)		10/07/20		3,697,325
	970,000		3.875	(c)		02/08/22		985,763
	1,510,000		3.875			02/08/22		1,534,538
	Corpbanca SA (BBB/Baa3)(c)
	4,071,000		3.875			09/22/19		4,101,532
	E.CL SA (BBB/NR)
	2,490,000		5.625	%(c)		01/15/21		2,714,100
	430,000		5.625			01/15/21		468,700
	Embotelladora Andina SA (BBB/NR)(c)
	980,000		5.000			10/01/23		1,041,250
	Empresa Electrica Angamos SA (NR/Baa3)(c)
	5,760,000		4.875			05/25/29		5,443,200
	GNL Quintero SA (BBB/Baa2)
	1,060,000		4.634			07/31/29		1,036,150
	9,080,000		4.634	(c)		07/31/29		8,875,700
	Sociedad Quimica y Minera de Chile SA (BBB/Baa1)
	1,360,000		5.500			04/21/20		1,346,400
Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Chile – (continued)
	Sociedad Quimica y Minera de Chile SA (BBB/Baa1) – (continued)
$	2,333,000		3.625	%		04/03/23	$	1,988,194
	3,991,000		4.375	(c)(h)		01/28/25		3,352,440
								41,376,307
	Colombia – 0.6%
	Banco de Bogota SA (BBB-/Baa2)
	1,450,000		5.000	(c)		01/15/17		1,479,000
	4,324,000		5.000			01/15/17		4,410,480
	Ecopetrol SA (BBB/Baa2)
	600,000		7.375			09/18/43		546,000
								6,435,480
	Costa Rica – 1.5%
	Banco de Costa Rica (NR/Ba1)
	4,870,000		5.250	(c)		08/12/18		4,876,087
	1,010,000		5.250			08/12/18		1,011,263
	Banco Nacional de Costa Rica (NR/Ba1)
	3,000,000		4.875	(c)		11/01/18		2,966,250
	380,000		4.875			11/01/18		375,725
	5,890,000		6.250	(c)		11/01/23		5,764,837
								14,994,162
	Croatia(c) – 0.0%
	Hrvatska Elektroprivreda (BB-/Ba2)
	290,000		6.000			11/09/17		301,600
	Dominican Republic(h) – 0.3%
	Aeropuertos Dominicanos Siglo XXI SA (B/B1)
	3,392,000		9.750			11/13/19		3,392,000
	Ecuador(b) – 0.3%
	EP PetroEcuador via Noble Sovereign Funding I Ltd. (B/NR)
	3,810,526		5.957			09/24/19		2,886,474
	Guatemala(h) – 0.3%
	Central American Bottling Corp. (BB/Ba2)
	2,050,000		6.750	(c)		02/09/22		2,142,250
	604,000		6.750			02/09/22		631,180
								2,773,430
	Hong Kong – 0.4%
	Biostime International Holdings Ltd. (NR/NR)(e)(f)
HKD	16,000,000		0.000			02/20/19		1,847,730
	China Unicom Ltd. (NR/NR)
CNH	8,770,000		4.000			04/16/17		1,349,422
	CITIC Ltd. (BBB+/A3)
$	630,000		6.375			04/10/20		695,585
	200,000		6.800			01/17/23		226,577
								4,119,314
	Hungary(c) – 0.3%
	MFB Magyar Fejlesztesi Bank Zrt (NR/Ba1)
	2,510,000		6.250			10/21/20		2,775,407
	India(c) – 0.1%
	Adani Ports & Special Economic Zone Ltd. (BBB-/Baa3)
	1,360,000		3.500			07/29/20		1,348,361

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

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Indonesia – 0.4%
	Pertamina Persero PT (BB+/Baa3)(c)
$	2,930,000		5.625	%		05/20/43	$	2,270,384
	Perusahaan Gas Negara Persero Tbk PT (BB+/Baa3)
	1,940,000		5.125			05/16/24		1,830,875
								4,101,259
	Ireland – 1.0%
	AHML Finance Ltd. (BB+/Ba1)(c)
RUB	103,900,000		7.750			02/13/18		1,430,283
	EDC Finance Ltd. (BB+/NR)(c)
$	2,270,000		4.875			04/17/20		1,929,500
	MTS International Funding Ltd. (BB+/Ba1)
	2,943,000		5.000			05/30/23		2,648,700
	Phosagro OAO via Phosagro Bond Funding Ltd. (NR/Ba1)
	3,830,000		4.204	(c)		02/13/18		3,777,337
	240,000		4.204			02/13/18		236,700
								10,022,520
	Israel(c) – 0.2%
	Delek & Avner Tamar Bond Ltd. (BBB-/Baa3)
	1,200,000		2.803			12/30/16		1,200,000
	1,200,000		3.839			12/30/18		1,206,000
								2,406,000
	Ivory Coast – 0.5%
	Agromercantil Senior Trust (BB/NR)(c)
	3,420,000		6.250			04/10/19		3,398,779
	Comcel Trust (NR/Ba1)(h)
	330,000		6.875			02/06/24		325,050
	Comunicaciones Celulares SA (NR/Ba1)(c)(h)
	810,000		6.875			02/06/24		797,850
								4,521,679
	Jamaica(c)(h) – 0.1%
	Digicel Group Ltd. (NR/Caa1)
	1,220,000		8.250			09/30/20		1,127,890
	Kazakhstan – 0.6%
	KazMunayGas National Co. (BB+/Baa3)
	3,060,000		5.750	(c)		04/30/43		2,219,648
	1,348,000		5.750			04/30/43		977,805
	KazMunayGas National Co. JSC (BB+/Baa3)
	2,220,000		9.125			07/02/18		2,405,925
								5,603,378
	Luxembourg – 3.1%
	Altice Financing SA (BB-/B1)(c)(h)
	1,680,000		6.500			01/15/22		1,629,600
	Altice Financing SA (BB-/B1)(c)(h)
	1,160,000		6.625			02/15/23		1,116,500
	Gazprom Neft OAO Via GPN Capital SA (BB+/Ba1)
	208,000		4.375			09/19/22		177,123
	14,080,000		6.000	(c)		11/27/23		13,059,200
	1,320,000		6.000			11/27/23		1,224,300
	MHP SA (CCC-/NR)
	2,040,000		8.250			04/02/20		1,721,250
Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Luxembourg – (continued)
	Tupy Overseas SA (BB-/NR)(h)
$	3,450,000		6.625	%(c)		07/17/24	$	3,070,500
	879,000		6.625			07/17/24		782,310
	Wind Acquisition Finance SA (B/Caa1)(h)
EUR	4,490,000		7.000			04/23/21		5,004,581
	Wind Acquisition Finance SA (B/Caa1)(c)(h)
$	3,920,000		7.375			04/23/21		3,792,600
	Wind Acquisition Finance SA (BB/Ba3)(h)
EUR	150,000		4.000			07/15/20		165,364
								31,743,328
	Mexico – 1.0%
	America Movil SAB de CV (A-/A2)
MXN	19,010,000		6.000			06/09/19		1,118,956
	Cemex SAB de CV (B+/NR)(c)(h)
EUR	1,300,000		4.750			01/11/22		1,372,725
	CIBanco SA Institucion de Banca Multiple (D/NR)(a)(h)
$	363,000		9.625	(c)		05/02/21		10,890
	471,900		9.625			05/02/21		14,157
	Gruma SAB de CV (BBB-/NR)(c)(h)
	2,620,000		4.875			12/01/24		2,737,900
	Grupo Cementos de Chihuahua SAB de CV (BB+/NR)(c)(h)
	710,000		8.125			02/08/20		737,440
	Metalsa SA de CV (BB+/NR)(c)
	2,420,000		4.900			04/24/23		2,069,100
	Trust F/1401 (NR/Baa2)(c)
	2,110,000		6.950			01/30/44		2,189,125
								10,250,293
	Netherlands – 1.4%
	Greenko Dutch BV (B/NR)(c)(h)
	4,530,000		8.000			08/01/19		4,620,396
	Listrindo Capital BV (BB-/Ba2)(h)
	2,722,000		6.950			02/21/19		2,745,817
	Lukoil International Finance BV (BBB-/Ba1)
	1,480,000		3.416			04/24/18		1,424,500
	1,270,000		7.250			11/05/19		1,339,850
	1,650,000		6.125			11/09/20		1,650,000
	620,000		4.563			04/24/23		551,800
	Majapahit Holding BV (BB/Baa3)
	494,000		7.750			10/17/16		521,170
	100,000		7.250			06/28/17		107,250
	Petrobras Global Finance BV (BB/Ba2)
	500,000		3.000			01/15/19		361,975
	790,000		4.875			03/17/20		572,750
	610,000		5.375			01/27/21		443,226
	470,000		4.375			05/20/23		306,431
	230,000		6.250			03/17/24		165,669
								14,810,834
	Panama(c) – 0.0%
	Autoridad Canal De Panam (A-/A2)
	380,000		4.950			07/29/35		376,330
	Paraguay – 1.1%
	Banco Continental SAECA (BB/Ba1)(h)
	1,900,000		8.875	(c)		10/15/17		1,943,996
	1,990,000		8.875			10/15/17		2,036,080

The accompanying notes are an integral part of these financial statements. 61

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2015 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Paraguay – (continued)
	Banco Regional SAECA (BB-/Ba1)
$	4,670,000		8.125	%(c)		01/24/19	$	4,674,740
	905,000		8.125			01/24/19		905,919
	Telefonica Celular del Paraguay SA (NR/Ba3)(h)
	1,970,000		6.750			12/13/22		1,891,200
								11,451,935
	Peru – 1.4%
	Abengoa Transmision Sur SA (BBB-/NR)(c)
	5,160,000		6.875			04/30/43		5,418,000
	Corp Financiera de Desarrollo SA (BBB+/NR)
	389,000		4.750	(c)		02/08/22		393,863
	2,858,000		4.750			02/08/22		2,893,725
	Corp Lindley S.A. (BB+/NR)
	1,630,000		6.750	(c)		11/23/21		1,784,850
	3,560,000		6.750			11/23/21		3,898,200
	120,000		4.625	(c)		04/12/23		117,204
								14,505,842
	Philippines – 0.7%
	Alliance Global Group Cayman Islands, Inc. (NR/NR)
	650,000		6.500			08/18/17		682,500
	Development Bank of Philippines (BBB/NR)
	1,610,000		5.500			03/25/21		1,786,448
	Energy Development Corp. (NR/NR)
	3,455,000		6.500			01/20/21		3,791,863
	San Miguel Corp. (NR/NR)(h)
	1,134,000		4.875			04/26/23		1,036,565
								7,297,376
	Singapore – 0.2%
	China Resources Cement Holdings Ltd. (NR/Aa1)
	1,240,000		2.125			10/05/17		1,241,135
	Olam International Ltd. (NR/NR)
	1,100,000		6.000			10/15/16		1,112,375
								2,353,510
	South Korea – 0.3%
	Korea South-East Power Co. Ltd. (A+/Aa3)
	240,000		6.000			05/25/16		246,987
	The Korea Development Bank (AA-/Aa3)
	2,240,000		3.250			03/09/16		2,260,339
								2,507,326
	Turkey – 0.3%
	Export Credit Bank of Turkey (BB+/Baa3)
	270,000		5.375	(c)		11/04/16		274,725
	2,240,000		5.375			11/04/16		2,279,200
	Hazine Mustesarligi Varlik Kiralama AS (NR/Baa3)
	208,000		2.803			03/26/18		205,691
								2,759,616
	United Arab Emirates – 0.6%
	Dolphin Energy Ltd. (NR/A1)
	850,986		5.888			06/15/19		911,619
	Ruwais Power Co. PJSC (A-/A3)(c)
	4,990,000		6.000			08/31/36		5,563,850
								6,475,469
Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	United States(c) – 0.9%
	Brazil Loan Trust 1 (BB+/NR)
$	10,012,103		5.477	%		07/24/23	$	8,660,469
	New Cotai LLC/New Cotai Capital Corp. (NR/NR)(g)(h)(i)
	1,202,900		10.625			05/01/19		948,161
								9,608,630
	Venezuela – 1.4%
	Petroleos de Venezuela SA (CCC/NR)
	11,600,000		9.000			11/17/21		4,164,400
	1,730,000		6.000			05/16/24		562,250
	27,895,000		6.000			11/15/26		8,824,583
	1,280,000		5.375			04/12/27		404,800
								13,956,033
	Vietnam(h) – 0.1%
	Debt and Asset Trading Corp. (NR/NR)
	1,960,000		1.000			10/10/25		1,078,000
	TOTAL CORPORATE OBLIGATIONS
	(Cost $298,164,551)						$	270,228,674
	Agency Debenture(e) – 2.4%
	FHLB (NR/NR)
$	25,000,000		0.000	%		10/21/15	$	24,999,575
	(Cost $24,999,305)
	Structured Note – 0.3%
	Brazil – 0.3%
	Notas do Tesouro Nacional Series B (Issuer HSBC Corp.) (NR/NR)
$	14,575,899		6.000	%		08/15/40	$	3,119,546
	(Cost $8,177,920)
	Municipal Debt Obligations – 1.2%
	Puerto Rico – 1.2%
	Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2008 A (CCC-/Caa3)
$	975,000		6.000	%		07/01/44	$	675,197
	Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2012 A (CCC-/Caa3)
	305,000		5.125			07/01/37		206,641
	640,000		5.250			07/01/42		433,600
	Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2012 D (CCC-/Caa3)
	305,000		5.000			07/01/33		206,638
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2008 A (CC/Caa3)
	135,000		5.500			07/01/32		87,920
	Puerto Rico Commonwealth GO Bonds Refunding Public Improvement Series 2009 B (CC/Caa3)
	1,385,000		5.750			07/01/38		900,250

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

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Principal Amount			Interest Rate			Maturity Date		Value
	Municipal Debt Obligations – (continued)
	Puerto Rico – (continued)
	Puerto Rico Commonwealth GO Bonds Refunding Public Improvement Series 2012 A (CC/Caa3)
$	1,210,000			5.500	%		07/01/26	$	797,087
	Puerto Rico Commonwealth GO Bonds Series 2008 A (CC/Caa3)
	1,315,000			5.375			07/01/33		853,106
	Puerto Rico Commonwealth GO Bonds Series 2014 A (CC/Caa3)
	1,770,000			8.000			07/01/35		1,327,500
	Puerto Rico Highways & Transportation Authority RB Refunding Series 2007 CC (AA/A2)
	125,000			5.250			07/01/36		117,449
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2009 A (CC/Ca)
	4,600,000			5.500			08/01/22		2,093,000
	4,210,000			5.250			08/01/27		1,805,037
	340,000			0.000	(e)		08/01/32		138,152
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2010 A (CC/Ca)
	3,965,000			5.500			08/01/37		1,670,256
	240,000			5.375			08/01/39		101,100
	260,000			5.500			08/01/42		109,525
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2010 C (CC/Ca)
	660,000			6.000			08/01/39		278,850
	1,410,000			5.250			08/01/41		593,963
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2011 A-1 (CC/Ca)
	720,000			5.000			08/01/43		303,300
	90,000			5.250			08/01/43		37,913
	TOTAL MUNICIPAL DEBT OBLIGATIONS
	(Cost $18,766,926)							$	12,736,484
	U.S. Treasury Obligations – 1.9%
	United States Treasury Bond
$	4,200,000			2.875	%		08/15/45	$	4,197,396
	United States Treasury Note
	15,300,000			1.750			09/30/22		15,294,033
	TOTAL U.S. TREASURY OBLIGATIONS
	(Cost $19,349,973)							$	19,491,429
	TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT AND REVERSE REPURCHASE AGREEMENTS
	(Cost $1,124,345,784)							$	1,031,590,369
	Short-term Investment(j) – 0.3%
	Repurchase Agreements – 0.3%
	Joint Repurchase Agreement Account II
$	3,100,000			0.122	%		10/01/15	$	3,100,000
	(Cost $3,100,000)
Principal Amount			Interest Rate (Paid) Received			Maturity Date		Value
	Reverse Repurchase Agreements – (0.8)%
	Barclays Reverse Repurchase Agreement (NR/NR)
$	(2,621,905	)		1.250	%		08/11/16	$	(2,621,905	)
	Citigroup Reverse Repurchase Agreement (NR/NR)
	(4,496,900	)		0.250			08/16/16		(4,496,900	)
	(1,005,000	)		1.000			09/15/16		(1,005,000	)
	TOTAL REVERSE REPURCHASE AGREEMENTS
	(Cost $(8,123,805))							$	(8,123,805	)
	OTHER ASSETS IN EXCESS OF     LIABILITIES – 0.3%								3,162,877
	NET ASSETS – 100.0%							$	1,029,729,441

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a)	Security is currently in default and/or non-income producing.
(b)	Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on September 30, 2015.
(c)	Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $290,642,827, which represents approximately 28.2% of net assets as of September 30, 2015.
(d)	Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect on September 30, 2015.
(e)	Issued with a zero coupon. Income is recognized through the accretion of discount.
(f)	Security with “Put” features and resetting interest rates. Maturity dates disclosed are the puttable dates. Interest rate disclosed is that which is in effect at September 30, 2015.
(g)	All or a portion of the security was pledged as collateral against open reverse repurchase agreements. As of September 30, 2015, the value of securities pledged amounted to $6,898,820.
(h)	Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.
(i)	Pay-in-kind securities.
(j)	Joint repurchase agreement was entered into on September 30, 2015. Additional information appears on page 119.

The accompanying notes are an integral part of these financial statements. 63

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2015 (Unaudited)

Security ratings disclosed, if any, are obtained from by Standard & Poor’s/Moody’s Investor Service and are unaudited. A brief description of the ratings is available in the Fund’s Statement of Additional Information.

Currency Abbreviations:
BRL	—Brazilian Real
CLP	—Chilean Peso
CNH	—Chinese Yuan Renminbi Offshore
COP	—Colombian Peso
DOP	—Dominican Peso
EUR	—Euro
HKD	—Hong Kong Dollar
HUF	—Hungarian Forint
ILS	—Israeli Shekel
INR	—Indian Rupee
KRW	—South Korean Won
MXN	—Mexican Peso
MYR	—Malaysian Ringgit
PHP	—Philippine Peso
PLN	—Polish Zloty
RUB	—Russian Ruble
SGD	—Singapore Dollar
TRY	—Turkish Lira
TWD	—Taiwan Dollar
USD	—U.S. Dollar
ZAR	—South African Rand
Investment Abbreviations:
EURO	—Euro Offered Rate
FHLB	—Federal Home Loan Bank
GO	—General Obligation
KLIBOR	—Kuala Lumpur Interbank Offered Rate
KWCDC	—South Korean Won Certificate of Deposit
LLC	—Limited Liability Company
NR	—Not Rated
RB	—Revenue Bond
TIIE	—La Tasa de Interbank Equilibrium Interest Rate

ADDITIONAL INVESTMENT INFORMATION

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At September 30, 2015, the Fund had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN

Counterparty	Currency Purchased			Currency Sold			Current Value		Settlement Date		Unrealized Gain
Bank of America Securities LLC		USD	1,177,024		MXN	18,695,253	$	1,105,817		10/01/15	$	71,206
		USD	43,666,045		MXN	709,202,072		41,804,526		11/12/15		1,861,520
Barclays Bank PLC		BRL	8,885,211		USD	2,161,000		2,239,450		10/02/15		78,450
		INR	118,492,695		USD	1,796,705		1,801,598		10/19/15		4,893
		USD	1,069,334		MXN	17,986,083		1,061,553		10/26/15		7,780
		USD	1,776,000		TRY	5,414,616		1,747,051		12/16/15		28,949
		USD	1,832,581		TWD	59,650,499		1,810,118		10/02/15		22,463
		USD	1,800,656		TWD	58,692,373		1,774,151		10/26/15		26,505
		ZAR	23,600,164		USD	1,664,879		1,679,328		12/17/15		14,448
BNP Paribas SA		EUR	1,593,000		PLN	6,759,379		1,782,427		12/16/15		7,709
		USD	3,653,717		TWD	120,901,498		3,652,613		11/30/15		1,104

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

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)

Counterparty	Currency Purchased			Currency Sold			Current Value		Settlement Date		Unrealized Gain
Citibank NA		USD	1,797,966		CNH	11,757,440	$	1,796,176		09/01/16	$	1,790
		USD	64,231,995		EUR	57,090,793		63,829,193		11/06/15		402,802
		USD	1,110,430		KRW	1,312,950,498		1,107,361		10/05/15		3,069
		USD	2,882,863		KRW	3,423,976,248		2,882,358		12/04/15		505
		USD	4,470,269		SGD	6,346,217		4,447,969		12/16/15		22,300
Credit Suisse International (London)		COP	5,730,781,064		USD	1,833,263		1,849,575		10/29/15		16,312
Deutsche Bank AG		HUF	799,251,753		USD	2,835,835		2,848,457		12/16/15		12,622
		ILS	7,000,451		USD	1,777,000		1,784,493		10/02/15		7,493
		ILS	7,000,451		USD	1,780,877		1,786,451		12/16/15		5,574
		TWD	118,017,059		USD	3,573,026		3,581,274		10/02/15		8,248
		USD	5,129,543		ILS	19,862,104		5,068,628		12/16/15		60,915
		USD	4,864,387		MXN	78,673,682		4,642,147		10/29/15		222,240
		USD	1,788,000		SGD	2,505,651		1,756,174		12/16/15		31,826
		USD	1,797,000		TWD	58,366,560		1,771,156		10/02/15		25,844
HSBC Bank PLC		PHP	84,155,841		USD	1,783,341		1,798,820		10/19/15		15,479
		RUB	178,866,706		USD	2,688,714		2,709,818		10/21/15		21,104
		TRY	5,587,530		USD	1,801,000		1,802,843		12/16/15		1,843
		USD	1,782,000		BRL	6,859,978		1,729,006		10/02/15		52,994
		USD	5,177,959		ILS	20,173,847		5,148,182		12/16/15		29,777
		USD	1,797,000		TWD	58,154,873		1,762,612		10/05/15		34,388
		USD	1,151,614		TWD	37,286,956		1,127,887		10/19/15		23,727
JPMorgan Securities, Inc.		BRL	29,203,559		USD	7,117,611		7,360,536		10/02/15		242,925
		CNH	19,420,059		USD	2,996,000		3,022,761		12/16/15		26,761
		HUF	779,688,286		USD	2,772,324		2,778,735		12/16/15		6,411
		INR	119,096,731		USD	1,800,404		1,806,220		11/03/15		5,816
		KRW	4,300,288,215		USD	3,607,322		3,627,580		10/02/15		20,258
		RUB	186,833,535		USD	2,818,746		2,830,515		10/21/15		11,769
		USD	3,899,000		BRL	15,633,742		3,895,943		11/04/15		3,057
		USD	1,834,018		KRW	2,172,101,115		1,832,312		10/02/15		1,706
		USD	3,591,253		TWD	118,547,274		3,581,417		12/04/15		9,837
Morgan Stanley & Co.		BRL	25,298,339		USD	6,311,782		6,376,254		10/02/15		64,472
		USD	3,284,000		BRL	12,768,424		3,218,185		10/02/15		65,815
		USD	1,530,603		RUB	89,846,425		1,359,839		10/23/15		170,764
Royal Bank of Canada		USD	18,102,311		BRL	60,500,155		15,248,607		10/02/15		2,853,704
		USD	851,852		MXN	13,207,545		781,221		10/01/15		70,631
Royal Bank of Scotland PLC		CLP	3,210,323,682		USD	4,592,000		4,600,941		10/26/15		8,941
		COP	7,245,554,780		USD	2,299,926		2,345,199		10/05/15		45,274
		TRY	5,547,744		USD	1,785,000		1,790,006		12/16/15		5,006
		USD	3,552,000		TRY	10,935,081		3,528,256		12/16/15		23,744
Standard Chartered Bank		CNH	23,208,011		USD	3,580,000		3,612,361		12/16/15		32,361
		COP	5,294,313,955		USD	1,637,079		1,714,206		10/02/15		77,127
		USD	3,529,000		CNH	22,587,400		3,515,762		12/16/15		13,238
		USD	1,797,000		KRW	2,111,025,750		1,780,469		10/05/15		16,531
		USD	1,820,000		KRW	2,143,697,920		1,806,747		10/23/15		13,253
State Street Bank and Trust		EUR	1,066,931		USD	1,191,344		1,192,860		11/06/15		1,516
		USD	43,773,853		MXN	709,202,072		41,804,526		11/12/15		1,969,327
UBS AG (London)		EUR	1,601,000		HUF	501,977,540		1,791,378		12/16/15		2,378
		HUF	511,278,000		USD	1,821,309		1,822,146		12/16/15		837
		INR	137,206,059		USD	2,055,214		2,086,122		10/19/15		30,908
		USD	3,965,782		BRL	15,380,868		3,876,631		10/02/15		89,152
		USD	1,797,000		KRW	2,128,187,100		1,795,268		10/02/15		1,733
		USD	1,788,000		KRW	2,086,987,572		1,759,080		10/21/15		28,920

The accompanying notes are an integral part of these financial statements. 65

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2015 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)

Counterparty	Currency Purchased			Currency Sold			Current Value		Settlement Date		Unrealized Gain
Westpac Banking Corp.		USD	40,786,568		EUR	36,111,245	$	40,405,309		12/16/15	$	381,258
		USD	5,468,191		TWD	179,110,595		5,428,651		10/05/15		39,539
TOTAL											$	9,460,848

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

Counterparty	Currency Purchased				Currency Sold			Current Value		Settlement Date		Unrealized Loss
Bank of America Securities LLC		CLP		1,023,233,881		USD	1,485,531	$	1,467,039		10/22/15	$	(18,492	)
		MXN		431,926,437		USD	25,607,781		25,492,652		10/26/15		(115,129	)
		MXN		168,839,511		USD	9,998,491		9,925,788		12/16/15		(72,702	)
		PLN		6,743,305		EUR	1,594,000		1,770,498		12/16/15		(13,048	)
		PLN		4,855,630		USD	1,285,000		1,274,877		12/16/15		(10,123	)
Barclays Bank PLC		KRW		4,331,403,000		USD	3,743,715		3,649,649		10/30/15		(94,066	)
		USD		6,226,956		CNH	41,471,529		6,335,577		09/01/16		(108,621	)
		USD		1,917,188		HKD	14,864,000		1,917,880		10/15/15		(692	)
		USD		1,793,000		INR	119,090,343		1,810,685		10/19/15		(17,685	)
		ZAR		24,946,217		USD	1,811,000		1,775,109		12/17/15		(35,891	)
BNP Paribas SA		PLN		8,611,853		USD	2,283,051		2,261,097		12/16/15		(21,954	)
Citibank NA		CLP		2,494,414,410		USD	3,620,340		3,579,444		10/13/15		(40,896	)
		COP		8,905,088,300		USD	2,897,000		2,875,103		10/26/15		(21,897	)
		HUF	��	775,088,117		USD	2,766,739		2,762,340		12/16/15		(4,399	)
		KRW		3,423,976,248		USD	2,888,944		2,887,830		10/05/15		(1,114	)
		TWD		2,569,277		USD	78,933		77,872		10/05/15		(1,061	)
		USD		5,791,604		CNH	37,456,038		5,830,088		12/16/15		(38,484	)
		USD		1,784,000		ZAR	25,130,673		1,788,235		12/17/15		(4,235	)
Credit Suisse International (London)		USD		3,586,000		RUB	240,294,991		3,640,453		10/21/15		(54,453	)
Deutsche Bank AG		MXN		169,870,017		USD	10,058,623		9,986,370		12/16/15		(72,253	)
		USD		6,868,466		CNH	45,648,708		6,973,722		09/01/16		(105,256	)
		USD		2,089,000		INR	138,348,704		2,103,495		10/19/15		(14,495	)
		USD		1,765,000		INR	117,307,725		1,779,088		11/03/15		(14,088	)
		USD		1,777,000		SGD	2,548,520		1,786,220		12/16/15		(9,220	)
		USD		3,561,704		TWD	118,017,059		3,565,470		11/30/15		(3,766	)
HSBC Bank PLC		BRL		14,683,045		USD	3,733,807		3,700,751		10/02/15		(33,056	)
		TRY		5,567,982		USD	1,814,000		1,796,536		12/16/15		(17,464	)
		USD		2,452,000		BRL	9,781,715		2,465,407		10/02/15		(13,407	)
		USD		1,783,000		TRY	5,598,246		1,806,301		12/16/15		(23,301	)
		ZAR		24,799,331		USD	1,779,000		1,764,657		12/17/15		(14,343	)
HSBC Securities, Inc.		USD		5,352,000		CNH	35,306,587		5,393,763		09/01/16		(41,763	)
JPMorgan Securities, Inc.		MXN		23,349,000		USD	1,387,097		1,378,077		10/26/15		(9,020	)
		MXN		30,182,587		USD	1,776,000		1,774,383		12/16/15		(1,617	)
		TWD		234,696,192		USD	7,172,072		7,113,392		10/05/15		(58,680	)
		USD		7,034,121		BRL	29,203,559		7,277,553		11/04/15		(243,432	)
		USD		3,568,000		CNH	23,458,801		3,583,785		09/01/16		(15,785	)
		USD		3,602,728		KRW	4,300,288,215		3,623,240		11/02/15		(20,512	)
		USD		2,033,000		TRY	6,334,543		2,043,871		12/16/15		(10,871	)
Morgan Stanley & Co.		BRL		13,497,161		USD	3,511,358		3,401,857		10/02/15		(109,501	)
		MXN		29,545,701		USD	1,785,401		1,736,942		12/16/15		(48,459	)
		USD		1,061,112		BRL	4,439,820		1,106,407		11/04/15		(45,295	)
		USD		3,306,380		TRY	10,359,714		3,342,611		12/16/15		(36,231	)

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

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)

Counterparty	Currency Purchased			Currency Sold			Current Value		Settlement Date		Unrealized Loss
Royal Bank of Canada		BRL	7,011,944		USD	1,791,000	$	1,767,308		10/02/15	$	(23,692	)
		MXN	169,214,443		USD	9,977,267		9,947,830		12/16/15		(29,437	)
		USD	749,617		MXN	12,826,539		757,033		10/26/15		(7,416	)
		USD	1,792,000		MXN	31,142,720		1,830,828		12/16/15		(38,828	)
Royal Bank of Scotland PLC		CLP	1,229,737,906		USD	1,784,000		1,764,654		10/13/15		(19,346	)
		MXN	119,520,977		USD	7,149,000		7,026,435		12/16/15		(122,565	)
		USD	597,465		COP	1,847,229,719		597,901		10/05/15		(436	)
		USD	5,245,985		ILS	20,575,801		5,250,757		12/16/15		(4,772	)
		USD	1,792,000		MXN	31,102,956		1,828,490		12/16/15		(36,490	)
		USD	1,777,000		TRY	5,568,230		1,796,616		12/16/15		(19,616	)
Standard Chartered Bank		TWD	97,430,018		USD	2,996,510		2,947,144		10/19/15		(49,366	)
		USD	1,779,000		CNH	11,490,419		1,788,501		12/16/15		(9,501	)
		USD	1,785,000		CNH	11,890,778		1,816,546		09/01/16		(31,546	)
		USD	4,465,947		SGD	6,391,663		4,479,821		12/16/15		(13,875	)
		USD	1,792,000		TWD	59,701,824		1,804,131		10/29/15		(12,130	)
		ZAR	24,088,462		USD	1,797,000		1,714,074		12/17/15		(82,926	)
State Street Bank and Trust		EUR	1,693,720		USD	1,897,000		1,895,124		12/16/15		(1,876	)
UBS AG (London)		BRL	6,711,882		USD	1,780,000		1,691,679		10/02/15		(88,321	)
		MXN	173,730,976		USD	10,305,857		10,213,349		12/16/15		(92,507	)
		USD	5,940,250		CNH	38,769,042		6,034,459		12/16/15		(94,207	)
Westpac Banking Corp.		USD	9,117,145		CNH	59,411,873		9,247,545		12/16/15		(130,400	)
		USD	3,568,000		CNH	23,423,474		3,578,388		09/01/16		(10,387	)
		USD	7,062,399		KRW	8,415,060,250		7,088,862		11/09/15		(26,462	)
TOTAL											$	(2,582,859	)

FUTURES CONTRACTS — At September 30, 2015, the Fund had the following futures contracts:

Type	Number of Contracts Long (Short)			Expiration Date		Current Value		Unrealized Gain (Loss)
Ultra Long U.S. Treasury Bonds		(424	)		December 2015		$(68,012,250)		$(727,283)
10 Year German Euro-Bund		16			December 2015		2,792,426		20,715
2 Year U.S. Treasury Notes		62			December 2015		13,579,937		26,374
5 Year U.S. Treasury Notes		832			December 2015		100,269,000		667,397
10 Year U.S. Treasury Notes		861			December 2015		110,840,297		1,078,159
20 Year U.S. Treasury Bonds		381			December 2015		59,947,969		685,618
TOTAL								$	1,750,980

SWAP CONTRACTS — At September 30, 2015, the Fund had the following swap contracts:

OVER THE COUNTER INTEREST RATE SWAP CONTRACTS

Counterparty	Notional Amount (000s)			Termination Date		Payments Received	Payments Made	Unrealized Gain (Loss)*
Bank of America Securities LLC		KRW	7,739,660		11/04/17	2.060%	3 month KWCDC	$	79,467
		BRL	36,700		01/02/18	13.962	1 month Brazilian Interbank Deposit Average		(262,722	)
		MXN	14,640		03/03/26	6.930	Mexico Interbank TIIE 28 Days		35,264

The accompanying notes are an integral part of these financial statements. 67

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2015 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

OVER THE COUNTER INTEREST RATE SWAP CONTRACTS (continued)

Counterparty	Notional Amount (000s)			Termination Date		Payments Received	Payments Made	Unrealized Gain (Loss)*
Barclays Bank PLC		KRW	1,000,000		08/09/23	3 month KWCDC	3.440%	$	(106,636	)
		MYR	6,800		08/14/23	3 month KLIBOR	4.485		34,974
Citibank NA		KRW	4,820,980		03/07/17	2.875%	3 month KWCDC		83,161
			18,832,760		10/06/17	2.239	3 month KWCDC		257,810
			4,044,740		10/14/17	2.240	3 month KWCDC		55,322
		BRL	8,360		01/02/18	14.460	1 month Brazilian Interbank Deposit Average		(42,590	)
		MYR	18,970		09/17/18	3 month KLIBOR	3.830		62,560
			11,920		09/24/18	3 month KLIBOR	3.785		43,185
			20,280		11/19/18	3 month KLIBOR	3.915		61,076
			9,040		11/21/18	3 month KLIBOR	3.960		24,509
		KRW	2,069,140		08/16/23	3 month KWCDC	3.485		(226,355	)
		MYR	14,950		11/15/23	3 month KLIBOR	4.450		91,191
Deutsche Bank AG		BRL	15,170		01/04/16	11.230	1 month Brazilian Interbank Deposit Average		(72,142	)
			64,600		01/04/16	11.650	1 month Brazilian Interbank Deposit Average		(232,705	)
			84,590		01/04/16	1 month Brazilian Interbank Deposit Average	12.000		241,860
			2,300		01/02/17	15.715	1 month Brazilian Interbank Deposit Average		805
			6,910		01/02/17	15.575	1 month Brazilian Interbank Deposit Average		153
			31,040		01/02/17	16.860	1 month Brazilian Interbank Deposit Average		94,566
		KRW	4,252,430		03/03/17	2.850	3 month KWCDC		71,942
		BRL	12,050		01/02/18	14.580	1 month Brazilian Interbank Deposit Average		(55,508	)
		MYR	19,420		09/13/18	3 month KLIBOR	3.920		52,294
		MXN	60,090		09/25/18	Mexico Interbank TIIE 28 Days	5.180		(42,499	)
		MYR	16,090		11/14/18	3 month KLIBOR	3.880		51,912
			5,830		08/14/23	3 month KLIBOR	4.490		29,540
JPMorgan Securities, Inc.		KRW	38,314,470		03/05/17	2.889	3 month KWCDC		669,528
		BRL	12,380		01/02/18	13.910	1 month Brazilian Interbank Deposit Average		(91,380	)
		MYR	11,150		12/11/18	3 month KLIBOR	3.972		30,677
			6,450		08/15/23	3 month KLIBOR	4.520		29,788
		KRW	2,607,840		08/19/23	3 month KWCDC	3.563		(298,786	)
		MYR	9,260		09/26/23	3 month KLIBOR	4.330		72,888
		KRW	1,936,610		01/15/24	3 month KWCDC	3.445		(217,463	)

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

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

OVER THE COUNTER INTEREST RATE SWAP CONTRACTS (continued)

Counterparty	Notional Amount (000s)				Termination Date		Payments Received	Payments Made	Unrealized Gain (Loss)*
Morgan Stanley & Co. International PLC		BRL	2,260			01/02/17	15.700%	1 month Brazilian Interbank Deposit Average	$	709
			2,350			01/02/17	15.715	1 month Brazilian Interbank Deposit Average		823
			3,630			01/02/17	16.490	1 month Brazilian Interbank Deposit Average		7,890
			27,780			01/02/17	15.954	1 month Brazilian Interbank Deposit Average		25,403
			29,690			01/02/17	15.575	1 month Brazilian Interbank Deposit Average		(646	)
		KRW	767,460			10/13/17	2.250	3 month KWCDC		10,622
			3,709,820			10/14/17	2.245	3 month KWCDC		51,093
			3,709,830			10/14/17	2.250	3 month KWCDC		51,444
		MYR	23,990			11/20/18	3 month KLIBOR	3.934%		69,603
		KRW	6,983,920	(a)		12/11/22	3 month KWCDC	3.260		(385,188	)
			18,128,470	(a)		12/12/22	3 month KWCDC	3.290		(1,021,965	)
			2,022,340			08/16/23	3 month KWCDC	3.485		(221,400	)
TOTAL									$	(885,926	)

(a) Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2015.

* There are no upfront payments on the swap contracts, therefore the unrealized gain (loss) on the swap contracts is equal to their market value.

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS

				Rates Exchanged		Market Value
Notional Amount (000s)			Termination Date	Payments Received	Payments Made	Upfront Payments Made (Received)			Unrealized Gain (Loss)
EUR	24,830		12/16/17	6 month EURO	0.250%	$	(81,931	)	$	(24,191	)
MXN	103,600		09/25/18	Mexico Interbank TIIE 28 Days	5.190		23			(75,058	)
EUR	12,520	(a)	12/16/20	6 month EURO	0.500		2,980			(81,915	)
	18,600	(a)	12/16/22	6 month EURO	0.500		315,278			(90,071	)
	13,530	(a)	12/16/25	6 month EURO	0.750		441,459			(67,009	)
	3,830	(a)	12/16/35	6 month EURO	1.250		250,964			(53,516	)
	TOTAL					$	928,773		$	(391,760	)

(a) Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2015.

The accompanying notes are an integral part of these financial statements. 69

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2015 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS

												Market Value
Counterparty	Referenced Obligation	Notional Amount (000s)		Rates Received (Paid)			Termination Date		Credit Spread at September 30, 2015(b)			Upfront Payments Made (Received)			Unrealized Gain (Loss)
Protection Purchased:
Bank of America Securities LLC	People’s Republic of China 4.250%, 10/28/17	$	1,100		(1.000	)%		03/20/19		0.904	%	$	(1,443	)	$	(2,452	)
			2,680		(1.000	)		06/20/19		0.965			(12,256	)		8,095
Barclays Bank PLC			12,630		(1.000	)		03/20/19		0.904			(109,673	)		64,951
			3,350		(1.000	)		09/20/19		1.018			(38,655	)		40,030
Citibank NA			31,240		(1.000	)		03/20/19		0.904			(100,356	)		(10,269	)
			21,330		(1.000	)		06/20/19		0.965			(55,501	)		22,375
JPMorgan Securities, Inc.			10,100		(1.000	)		03/20/19		0.904			(43,289	)		7,524
			2,690		(1.000	)		06/20/19		0.965			(11,399	)		7,221
Protection Sold:
Bank of America Securities LLC	Russian Federation 7.500%, 03/31/30		2,390		1.000			12/20/19		3.417			(338,772	)		115,885
Barclays Bank PLC	Republic of Colombia 10.375%, 01/28/33		10,640		1.000			12/20/19		2.248			(373,112	)		(151,877	)
	Russian Federation 7.500%, 03/31/30		3,450		1.000			06/20/20		3.507			(364,267	)		(3,383	)
			2,900		1.000			09/20/20		4.701			(349,932	)		(107,829	)
			3,130		1.000			09/20/20		4.701			(381,426	)		(112,639	)
Citibank NA			550		1.000			03/20/20		3.464			(92,017	)		37,050
JPMorgan Securities, Inc.			2,470		1.000			09/20/20		4.701			(319,294	)		(70,592	)
TOTAL												$	(2,591,392	)	$	(155,910	)

(b) Credit spread on the Referenced Obligation, together with the term of the swap contract, are indicators of payment/performance risk. The likelihood of a credit event occurring which would require a fund to make a payment or otherwise be required to perform under the swap contract is generally greater as the credit spread and the term of the swap contract increase.

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

GOLDMAN SACHS HIGH YIELD FUND

Schedule of Investments

September 30, 2015 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – 92.7%
	Aerospace & Defense – 0.6%
	Moog, Inc. (BB/Ba3)(a)
$	11,350,000		5.250	%		12/01/22	$	11,350,000
	TransDigm, Inc. (CCC+/Caa1)
	14,250,000		6.000			07/15/22		13,323,750
								24,673,750
	Airlines – 0.9%
	Air Canada (BB/B2)(a)
	10,000,000		8.750			04/01/20		10,875,000
	Air Canada (BB/Ba3)(a)
	6,850,000		6.750			10/01/19		7,226,750
	Continental Airlines 2012-3 Class C Pass Thru Certificates (NR/Ba2)
	8,100,000		6.125			04/29/18		8,424,000
	VistaJet Malta Finance PLC/VistaJet Co Finance LLC (B-/NR)(a)
	15,800,000		7.750			06/01/20		13,746,000
								40,271,750
	Automotive – 0.3%
	Chrysler Group LLC (BB-/B1)
	12,000,000		8.250			06/15/21		12,750,000
	General Motors Liquidation Co. (NR/NR)(b)
	2,000,000		7.700			04/15/16		—
	7,125,000		7.125			07/15/13		—
	1,000,000		8.800			03/01/49		—
	14,500,000		8.375			07/15/49		—
								12,750,000
	Automotive Parts(a) – 1.8%
	Gates Global LLC (B/Caa2)
	25,000,000		6.000			07/15/22		20,250,000
	Schaeffler Finance BV (BB-/Ba2)
	28,350,000		4.250			05/15/21		27,216,000
	Schaeffler Holding Finance BV (B/B1)(c)
	7,200,000		6.875			08/15/18		7,452,000
	4,000,000		6.750			11/15/22		4,310,000
	ZF North America Capital, Inc. (BB/Ba2)
	10,050,000		4.500			04/29/22		9,497,250
	13,950,000		4.750			04/29/25		12,781,688
								81,506,938
	Banks(d) – 3.8%
	Bank of America Corp. (BB+/Ba2)
	10,050,000		6.250			09/05/49		9,823,875
	15,000,000		6.500			10/23/49		15,281,250
	Barclays Bank PLC (B+/NR)
	10,000,000		8.250			12/15/49		10,450,000
	Citigroup, Inc. (BB+/Ba2)
	14,000,000		5.875			03/27/49		13,755,000
	10,000,000		5.900	(e)		12/31/49		9,750,000
	Credit Suisse Group AG (BB/NR)(a)
	20,000,000		7.500			12/11/49		20,850,000
	ING Groep NV (BB-/Ba1)
	5,500,000		6.500			04/16/49		5,225,000
	JPMorgan Chase & Co. (BBB-/Baa3)
	4,250,000		5.000			07/01/49		4,133,125
	20,000,000		6.100			10/01/49		19,870,000
Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Banks(d) – (continued)
	Morgan Stanley, Inc. (BB/Ba1)
$	10,000,000		5.550	%		07/15/49	$	9,850,000
	Royal Bank of Scotland Group PLC (B/B1)
	26,850,000		7.500			12/29/49		26,791,199
	8,550,000		8.000			12/29/49		8,614,125
	Wells Fargo & Co. (BBB/Baa2)
	12,000,000		5.875			06/15/49		12,285,000
								166,678,574
	Building Materials – 2.1%
	Atrium Windows & Doors, Inc. (B-/Caa1)(a)
	11,150,000		7.750			05/01/19		8,237,063
	Builders FirstSource, Inc. (BB-/B3)(a)
	8,000,000		7.625			06/01/21		8,310,000
	Building Materials Corp. of America (BB+/Ba2)(a)
	8,500,000		6.000			10/15/25		8,585,000
	Gibraltar Industries, Inc. (BB-/NR)
	5,000,000		6.250			02/01/21		5,075,000
	Hardwoods Acquisition, Inc. (B/B3)(a)
	14,000,000		7.500			08/01/21		13,072,500
	James Hardie International Finance Ltd. (BB-/Ba2)(a)
	6,450,000		5.875			02/15/23		6,498,375
	Masonite International Corp. (NR/B2)(a)
	9,000,000		5.625			03/15/23		9,202,500
	RSI Home Products, Inc. (B+/B1)(a)
	9,900,000		6.500			03/15/23		9,974,250
	Safway Group Holding LLC/Safway Finance Corp. (B+/B3)(a)
	4,800,000		7.000			05/15/18		4,914,000
	Summit Materials LLC/Summit Materials Finance Corp. (B/Caa2)
	1,575,000		10.500			01/31/20		1,685,250
	Transfield Services Ltd. (B+/Ba3)(a)
	4,350,000		8.375			05/15/20		4,426,125
	Zachry Holdings, Inc. (B+/B2)(a)
	12,000,000		7.500			02/01/20		11,880,000
								91,860,063
	Chemicals – 1.8%
	Ashland, Inc. (BB/Ba1)
	10,000,000		4.750			08/15/22		9,300,000
	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC (CCC/Caa2)
	15,000,000		8.875			02/01/18		11,925,000
	Hexion, Inc./Hexion Nova Scotia Finance ULC (CCC/Caa3)
	750,000		9.000			11/15/20		435,000
	Huntsman International LLC (B+/B1)
	16,950,000		4.875			11/15/20		14,704,125
	Momentive Performance Materials, Inc. (B/B3)
	14,500,000		3.880			10/24/21		11,165,000
	The Chemours Co. (BB-/B1)(a)(e)
	5,550,000		6.625			05/15/23		3,735,872
	20,150,000		7.000			05/15/25		13,399,750
	Univar USA, Inc. (B/Caa1)(a)
	10,350,000		6.750			07/15/23		9,573,750
	WR Grace & Co. (BB-/Ba3)(a)
	3,000,000		5.125			10/01/21		2,955,000
	2,150,000		5.625			10/01/24		2,096,250
								79,289,747

The accompanying notes are an integral part of these financial statements. 71

GOLDMAN SACHS HIGH YIELD FUND

Schedule of Investments (continued)

September 30, 2015 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Conglomerates – 0.4%
	Park-Ohio Industries, Inc. (B-/B3)
$	15,000,000		8.125	%		04/01/21	$	15,525,000
	Construction Machinery(a) – 1.6%
	Accudyne Industries Borrower/Accudyne Industries LLC (CCC/Caa1)
	10,000,000		7.750			12/15/20		8,662,500
	ATS Automation Tooling Systems, Inc. (B+/B2)
	10,250,000		6.500			06/15/23		10,407,850
	Cleaver-Brooks, Inc. (B/B2)
	5,000,000		8.750			12/15/19		4,775,000
	DH Services Luxembourg Sarl (CCC+/Caa1)
	17,000,000		7.750			12/15/20		17,340,000
	Milacron LLC/Mcron Finance Corp. (CCC+/Caa1)
	21,000,000		7.750			02/15/21		21,472,500
	Waterjet Holdings, Inc. (B/B2)
	10,200,000		7.625			02/01/20		10,200,000
								72,857,850
	Consumer Products – Household & Leisure – 0.6%
	Spectrum Brands, Inc. (B/B2)
	3,750,000		6.375			11/15/20		3,951,562
	6,915,000		6.625			11/15/22		7,338,544
	The Sun Products Corp. (CCC/Caa2)(a)
	19,000,000		7.750			03/15/21		16,150,000
								27,440,106
	Consumer Products – Industrial – 1.2%
	HD Supply, Inc. (B-/B3)
	7,000,000		11.000			04/15/20		7,778,750
	HD Supply, Inc. (B-/Caa1)
	10,000,000		7.500			07/15/20		10,437,500
	15,000,000		11.500			07/15/20		16,968,750
	HD Supply, Inc. (BB-/B1)(a)
	11,950,000		5.250			12/15/21		12,024,687
	WESCO Distribution, Inc. (BB-/B1)
	8,250,000		5.375			12/15/21		7,950,938
								55,160,625
	Consumer Products – Non Durable – 1.5%
	Acosta, Inc. (CCC+/Caa1)(a)
	10,000,000		7.750			10/01/22		9,475,000
	Constellation Brands, Inc. (BB+/Ba1)
	2,500,000		3.750			05/01/21		2,484,375
	12,500,000		4.250			05/01/23		12,468,750
	8,150,000		4.750			11/15/24		8,272,250
	Prestige Brands, Inc. (B-/Caa1)
	3,700,000		8.125			02/01/20		3,885,000
	6,850,000		5.375	(a)		12/15/21		6,678,750
	Sally Holdings LLC (BB+/Ba2)
	150,000		6.875			11/15/19		156,000
	20,000,000		5.750			06/01/22		20,800,000
								64,220,125
	Electrical Components & Equipment(a) – 0.2%
	Anixter, Inc. (BB/Ba3)
	7,250,000		5.500			03/01/23		7,213,750
Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Emerging Markets(a) – 1.0%
	Digicel Group Ltd. (NR/Caa1)
$	11,800,000		8.250	%		09/30/20	$	10,909,100
	5,000,000		7.125			04/01/22		4,325,000
	Digicel Ltd. (NR/B1)
	5,000,000		7.000			02/15/20		4,950,000
	4,000,000		6.000			04/15/21		3,630,000
	22,000,000		6.750			03/01/23		19,800,000
								43,614,100
	Energy – Coal – 0.1%
	Peabody Energy Corp. (B-/Caa2)(e)
	12,000,000		6.000			11/15/18		3,090,000
	Peabody Energy Corp. (BB-/Caa1)(a)
	6,850,000		10.000			03/15/22		2,585,875
								5,675,875
	Energy – Exploration & Production – 7.4%
	Antero Resources Corp. (BB/Ba3)
	8,550,000		5.375			11/01/21		7,502,625
	7,900,000		5.125			12/01/22		6,754,500
	Antero Resources Corp. (BB/Ba3)(a)
	11,025,000		5.625			06/01/23		9,646,875
	Berry Petroleum Co. (B+/B3)
	12,000,000		6.375			09/15/22		3,960,000
	Carrizo Oil & Gas, Inc. (B/B2)
	5,400,000		6.250			04/15/23		4,698,000
	Chaparral Energy, Inc. (B-/Caa1)
	7,000,000		9.875			10/01/20		2,205,000
	3,175,000		8.250			09/01/21		920,750
	10,000,000		7.625			11/15/22		2,800,000
	Chesapeake Energy Corp. (BB+/Ba1)
	4,000,000		6.625			08/15/20		2,965,000
	850,000		6.875			11/15/20		624,750
	3,000,000		6.125			02/15/21		2,100,000
	9,000,000		4.875			04/15/22		5,872,500
	Chesapeake Energy Corp. (BB+/Ba1)(e)
	11,000,000		5.750			03/15/23		7,177,500
	Comstock Resources, Inc. (B/B2)(a)(e)
	10,975,000		10.000			03/15/20		7,627,625
	Concho Resources, Inc. (BB+/Ba3)
	760,000		7.000			01/15/21		767,600
	6,000,000		5.500			10/01/22		5,700,000
	CrownRock LP/CrownRock Finance, Inc. (B/Caa1)(a)
	20,000,000		7.125			04/15/21		19,200,000
	1,450,000		7.750			02/15/23		1,428,250
	Denbury Resources, Inc. (BB/B1)
	11,350,000		4.625			07/15/23		6,129,000
	EP Energy LLC/Everest Acquisition Finance, Inc. (B/B1)
	14,000,000		6.375			06/15/23		10,500,000
	Gulfmark Offshore, Inc. (B/Caa1)(e)
	9,250,000		6.375			03/15/22		5,607,813
	Halcon Resources Corp. (CCC/Caa2)(a)
	10,157,000		13.000			02/15/22		6,462,391
	Laredo Petroleum, Inc. (B/B2)
	9,300,000		5.625			01/15/22		8,323,500
	6,385,000		7.375			05/01/22		6,177,487
	10,900,000		6.250			03/15/23		9,810,000

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

GOLDMAN SACHS HIGH YIELD FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Energy – Exploration & Production – (continued)
	Linn Energy LLC/Linn Energy Finance Corp. (B/B3)
$	19,000,000		6.250	%		11/01/19	$	5,035,000
	2,850,000		7.750			02/01/21		669,750
	MEG Energy Corp. (BB-/B1)(a)
	7,500,000		6.500			03/15/21		6,150,000
	17,000,000		6.375			01/30/23		13,302,500
	Newfield Exploration Co. (BBB-/Ba1)
	8,700,000		5.375			01/01/26		7,960,500
	Oasis Petroleum, Inc. (B+/B2)(e)
	19,000,000		6.875			03/15/22		15,057,500
	Paramount Resources Ltd. (BB-/B3)(a)
	10,650,000		6.875			06/30/23		9,159,000
	Rice Energy, Inc. (B-/B3)(a)
	10,000,000		7.250			05/01/23		9,325,000
	RSP Permian, Inc. (B/B3)
	9,850,000		6.625			10/01/22		9,456,000
	Samson Investment Co. (D/WR)(b)
	20,000,000		9.750			02/15/20		200,000
	SM Energy Co. (BB/Ba2)
	15,000,000		6.500			11/15/21		14,100,000
	2,450,000		6.125			11/15/22		2,229,500
	19,000,000		5.000			01/15/24		16,007,500
	Vanguard Natural Resourses LLC/VNR Finance Corp. (B/B3)
	14,650,000		7.875			04/01/20		8,790,000
	Whiting Canadian Holding Co. ULC (BB/Ba2)
	12,000,000		8.125			12/01/19		11,610,000
	Whiting Petroleum Corp. (BB/Ba2)
	12,000,000		5.000			03/15/19		10,440,000
	19,000,000		5.750			03/15/21		16,435,000
	12,000,000		6.250			04/01/23		10,260,000
	WPX Energy, Inc. (BB/Ba1)(e)
	15,550,000		8.250			08/01/23		14,111,625
								325,260,041
	Energy – Services – 1.1%
	CVR Refining LLC/Coffeyville Finance, Inc. (BB-/B1)
	7,500,000		6.500			11/01/22		7,256,250
	FTS International, Inc. (B+/B1)(a)(d)
	5,100,000		7.837			06/15/20		3,799,500
	FTS International, Inc. (CCC+/Caa2)
	7,250,000		6.250			05/01/22		2,247,500
	Sunoco LP/Sunoco Finance Corp. (BB/Ba3)(a)
	8,150,000		5.500			08/01/20		8,027,750
	2,800,000		6.375			04/01/23		2,737,000
	Transocean, Inc. (BB+/Ba1)
	21,500,000		6.375	(e)		12/15/21		15,963,750
	12,000,000		7.500			04/15/31		7,740,000
								47,771,750
	Entertainment & Leisure – 0.3%
	Carmike Cinemas, Inc. (BB/B1)(a)
	3,950,000		6.000			06/15/23		3,989,500
	Regal Entertainment Group (B-/B3)
	10,100,000		5.750			03/15/22		9,898,000
								13,887,500
Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Environmental – 0.6%
	ADS Waste Holdings, Inc. (CCC+/Caa2)
$	13,200,000		8.250	%		10/01/20	$	13,134,000
	Casella Waste Systems, Inc. (B-/Caa1)
	15,000,000		7.750			02/15/19		14,737,500
								27,871,500
	Finance – 5.7%
	Aircastle Ltd. (BB+/Ba2)
	5,000,000		5.500			02/15/22		5,112,500
	Ally Financial, Inc. (BB+/B1)
	10,000,000		6.250			12/01/17		10,500,000
	10,000,000		5.125			09/30/24		9,875,000
	15,000,000		8.000			11/01/31		17,325,000
	CIT Group, Inc. (BB-/B1)
	12,000,000		5.250			03/15/18		12,390,000
	CIT Group, Inc. (BB-/B1)(a)
	19,000,000		5.500			02/15/19		19,712,500
	CIT Group, Inc. (BB-/B1)
	7,000,000		5.000			08/15/22		7,000,000
	HRG Group, Inc. (B+/Ba3)
	10,000,000		7.875			07/15/19		10,375,000
	International Lease Finance Corp. (BB+/Ba2)
	20,000,000		5.875			04/01/19		21,000,000
	8,450,000		6.250			05/15/19		8,999,250
	11,900,000		4.625			04/15/21		11,959,500
	Jefferies Finance LLC/JFIN Co-Issuer Corp. (B/B1)(a)
	9,150,000		7.375			04/01/20		8,818,312
	Jefferies LoanCore LLC/JLC Finance Corp. (B/B2)(a)
	5,000,000		6.875			06/01/20		4,800,000
	Nationstar Mortgage LLC/Nationstar Capital Corp. (B+/B2)
	10,950,000		6.500			08/01/18		10,402,500
	8,000,000		7.875			10/01/20		7,280,000
	9,000,000		6.500			07/01/21		7,470,000
	Navient Corp. (BB/Ba3)
	15,900,000		5.500			01/15/19		14,767,125
	10,000,000		4.875			06/17/19		8,900,000
	6,000,000		5.875			03/25/21		5,025,000
	5,000,000		6.125			03/25/24		4,000,000
	OneMain Financial Holdings, Inc. (B+/B2)(a)
	10,000,000		6.750			12/15/19		10,325,000
	Rialto Holdings LLC/Rialto Corp. (B/B2)(a)
	11,300,000		7.000			12/01/18		11,469,500
	Speedy Cash Intermediate Holdings Corp. (B/B3)(a)
	13,500,000		10.750			05/15/18		10,732,500
	Synovus Financial Corp. (BB+/Ba2)
	10,896,000		7.875			02/15/19		12,176,280
								250,414,967
	Food – 1.1%
	Cott Beverages, Inc. (B-/B3)
	16,050,000		5.375			07/01/22		15,568,500
	Post Holdings, Inc. (B/B3)(a)
	11,800,000		6.750			12/01/21		11,829,500
	3,250,000		6.000			12/15/22		3,128,125
	R&R Ice Cream PLC (B/B2)
AUD	3,800,000		8.250			05/15/20		2,694,026

The accompanying notes are an integral part of these financial statements. 73

GOLDMAN SACHS HIGH YIELD FUND

Schedule of Investments (continued)

September 30, 2015 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Food – (continued)
	Shearer’s Foods LLC/Chip Finance Corp. (B/B1)(a)
$	6,957,000		9.000	%		11/01/19	$	7,374,420
	Wells Enterprises, Inc. (B+/B3)(a)
	8,750,000		6.750			02/01/20		8,881,250
								49,475,821
	Gaming – 4.2%
	Downstream Development Authority of the Quapaw Tribe of Oklahoma (B/B3)(a)
	14,000,000		10.500			07/01/19		14,420,000
	GLP Capital LP/GLP Financing II, Inc. (BBB-/Ba1)
	10,000,000		4.875			11/01/20		10,125,000
	8,800,000		5.375			11/01/23		8,932,000
	International Game Technology PLC (BB+/Ba2)(a)
	9,100,000		6.250			02/15/22		8,394,750
	MGM Resorts International (B+/B3)
	19,900,000		6.750			10/01/20		20,497,000
	30,000,000		6.625			12/15/21		30,675,000
	16,900,000		7.750			03/15/22		18,040,750
	4,100,000		6.000	(e)		03/15/23		3,992,375
	New Red Finance, Inc. (B+/Ba3)(a)
	16,000,000		4.625			01/15/22		15,640,000
	New Red Finance, Inc. (B-/B3)(a)
	26,250,000		6.000			04/01/22		26,610,938
	River Cree Enterprises LP (B-/NR)(a)
CAD	6,750,000		11.000			01/20/21		5,058,074
	Scientific Games International, Inc. (B/Caa1)
$	12,500,000		10.000			12/01/22		10,906,250
	Seminole Hard Rock Entertainment, Inc. (BB-/B2)(a)
	13,150,000		5.875			05/15/21		12,985,625
								186,277,762
	Health Care – Medical Products(a) – 0.4%
	Fresenius Medical Care US Finance II, Inc. (BB+/Ba2)
	8,650,000		5.625			07/31/19		9,212,250
	4,505,000		5.875			01/31/22		4,842,875
	Fresenius Medical Care US Finance, Inc. (BB+/Ba2)
	4,550,000		5.750			02/15/21		4,891,250
								18,946,375
	Health Care – Pharmaceuticals(a) – 2.7%
	Concordia Healthcare Corp. (CCC+/Caa2)
	10,650,000		7.000			04/15/23		9,105,750
	Endo Ltd./Endo Finance LLC/Endo Finco, Inc. (B/B1)
	10,000,000		6.000			07/15/23		9,875,000
	Valeant Pharmaceuticals International, Inc. (B/B1)
	5,147,000		6.750			08/15/18		5,237,073
	25,000,000		6.375			10/15/20		24,968,750
	Valeant Pharmaceuticals International, Inc. (B/B1)
	20,000,000		7.500			07/15/21		20,700,000
	Valeant Pharmaceuticals International, Inc. (B/B1)
	7,000,000		6.750			08/15/21		7,052,500
	8,000,000		5.625			12/01/21		7,680,000
	50,000		7.250			07/15/22		51,125
	4,650,000		5.500			03/01/23		4,417,500
	Valeant Pharmaceuticals International, Inc. (B/B1)
	16,900,000		5.875			05/15/23		16,139,500
Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Health Care – Pharmaceuticals(a) – (continued)
	Valeant Pharmaceuticals International, Inc. (B/B1)
$	14,450,000		6.125	%		04/15/25	$	13,763,625
								118,990,823
	Health Care – Services – 6.8%
	Acadia Healthcare Co., Inc. (B-/B3)(a)
	4,000,000		5.625			02/15/23		3,985,000
	CHS/Community Health Systems, Inc. (B-/B3)
	20,000,000		6.875			02/01/22		20,475,000
	CHS/Community Health Systems, Inc. (BB/Ba2)
	25,000,000		5.125			08/15/18		25,500,000
	CHS/Community Health Systems, Inc. (BB/Ba2)
	7,700,000		5.125			08/01/21		7,892,500
	Crimson Merger Sub, Inc. (CCC+/Caa1)(a)
	24,885,000		6.625			05/15/22		21,463,312
	Emdeon, Inc. (CCC+/Caa1)(a)
	5,950,000		6.000			02/15/21		5,831,000
	ExamWorks Group, Inc. (B-/B3)
	5,200,000		5.625			04/15/23		5,232,500
	HCA, Inc. (B+/B1)
	15,000,000		7.500			02/15/22		16,875,000
	1,200,000		5.875			05/01/23		1,239,000
	HCA, Inc. (BBB-/Ba1)
	3,000,000		3.750			03/15/19		2,992,500
	50,000,000		6.500			02/15/20		54,500,000
	18,750,000		5.000			03/15/24		18,796,875
	26,400,000		5.250			04/15/25		26,961,000
	Lifepoint Hospitals, Inc. (BB-/Ba2)
	9,700,000		5.500			12/01/21		9,797,000
	MPT Operating Partnership LP/MPT Finance Corp. (BBB-/Ba1)
	19,500,000		6.875			05/01/21		20,377,500
	5,000,000		6.375			02/15/22		5,225,000
	Quintiles Transnational Corp. (BB/Ba3)(a)
	9,200,000		4.875			05/15/23		9,108,000
	Surgical Care Affiliates, Inc. (B-/Caa1)(a)
	5,900,000		6.000			04/01/23		5,855,750
	Tenet Healthcare Corp. (BB-/Ba2)(a)(d)
	9,550,000		3.837			06/15/20		9,478,375
	Tenet Healthcare Corp. (CCC+/B3)
	27,300,000		6.750			06/15/23		27,095,250
								298,680,562
	Home Construction – 2.9%
	Beazer Homes USA, Inc. (CCC/Caa1)
	2,900,000		5.750			06/15/19		2,729,625
	6,900,000		7.500			09/15/21		6,658,500
	5,000,000		7.250			02/01/23		4,612,500
	Brookfield Residential Properties, Inc. (BB-/B1)(a)
	13,000,000		6.500			12/15/20		12,902,500
	2,650,000		6.125			07/01/22		2,557,250
	4,000,000		6.375			05/15/25		3,800,000
	Calatlantic Group, Inc. (BB/B1)
	8,000,000		6.250			12/15/21		8,530,000
	Century Communities, Inc. (B/B3)
	5,075,000		6.875			05/15/22		4,827,594
	CPG Merger Sub LLC (CCC+/Caa2)(a)
	5,700,000		8.000			10/01/21		5,742,750

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

GOLDMAN SACHS HIGH YIELD FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Home Construction – (continued)
	D.R. Horton, Inc. (BB+/Ba1)
$	7,000,000		3.750	%		03/01/19	$	7,035,000
	3,200,000		4.000			02/15/20		3,232,000
	5,000,000		4.750			02/15/23		5,018,750
	Lennar Corp. (BB/Ba2)
	2,000,000		6.950			06/01/18		2,172,500
	7,600,000		4.500			06/15/19		7,695,000
	5,000,000		4.500			11/15/19		5,056,250
	3,000,000		4.750			11/15/22		2,895,000
	Meritage Homes Corp. (BB-/Ba3)
	3,000,000		7.150			04/15/20		3,318,750
	2,650,000		7.000			04/01/22		2,855,375
	Toll Brothers Finance Corp. (BB+/Ba1)
	800,000		5.875			02/15/22		864,000
	10,000,000		4.375			04/15/23		9,825,000
	Tri Pointe Holdings, Inc. (BB-/B1)
	4,000,000		4.375			06/15/19		3,920,000
	8,000,000		5.875			06/15/24		7,780,000
	William Lyon Homes, Inc. (B-/NR)(a)
	1,400,000		7.000			08/15/22		1,431,500
	William Lyon Homes, Inc. (B-/B3)
	12,650,000		7.000			08/15/22		12,934,625
	Woodside Homes Co. LLC/Woodside Homes Finance, Inc. (B/B3)(a)
	2,054,000		6.750			12/15/21		1,876,842
								130,271,311
	Life Insurance(a) – 0.2%
	Fidelity & Guaranty Life Holdings, Inc. (BB-/Ba3)
	10,000,000		6.375			04/01/21		10,400,000
	Lodging – 0.4%
	Felcor Lodging LP (B+/B2)
	10,000,000		5.625			03/01/23		10,200,000
	New Cotai LLC/New Cotai Capital Corp. (NR/NR)(a)(c)(e)
	8,265,038		10.625			05/01/19		6,514,744
	RHP Hotel Properties LP/RHP Finance Corp. (BB/B1)
	3,100,000		5.000			04/15/23		3,069,000
								19,783,744
	Machinery – 0.5%
	AECOM (BB-/Ba3)(a)
	2,500,000		5.750			10/15/22		2,514,335
	5,000,000		5.875			10/15/24		5,047,060
	Constellation Enterprises LLC (CCC+/Caa2)(a)
	4,350,000		10.625			02/01/16		3,632,250
	EnPro Industries, Inc. (BB-/B1)
	4,450,000		5.875			09/15/22		4,472,250
	Oshkosh Corp. (BB+/Ba3)
	4,400,000		5.375			03/01/25		4,400,000
								20,065,895
	Media – Broadcasting & Radio – 2.5%
	iHeartCommunications, Inc. (CCC+/Caa1)
	10,000,000		9.000			12/15/19		8,600,000
	iHeartCommunications, Inc. (CCC+/Caa1)
	10,000,000		10.625			03/15/23		8,500,000
Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Media – Broadcasting & Radio – (continued)
	iHeartCommunications, Inc. (CCC-/NR)(c)
$	6,261,300		14.000	%		02/01/21	$	2,629,746
	Nielsen Finance LLC/Nielsen Finance Co. (BB+/B1)
	5,000,000		4.500			10/01/20		5,012,500
	Sirius XM Radio, Inc. (BB/Ba3)(a)
	3,200,000		5.875			10/01/20		3,264,000
	12,000,000		5.750			08/01/21		12,030,000
	9,750,000		6.000			07/15/24		9,774,375
	11,800,000		5.375			04/15/25		11,269,000
	Tribune Media Co. (BB-/B2)(a)
	22,650,000		5.875			07/15/22		21,857,250
	Univision Communications, Inc. (B+/B2)(a)
	20,000,000		6.750			09/15/22		20,650,000
	5,000,000		5.125			05/15/23		4,750,000
	2,000,000		5.125			02/15/25		1,880,000
								110,216,871
	Media – Cable – 4.6%
	Adelphia Communications Corp. (NR/NR)(b)
	2,000,000		10.250			06/15/49		10,000
	Altice US Finance I Corp. (BB-/Ba3)(a)
	5,050,000		5.375			07/15/23		4,873,250
	Altice US Finance II Corp. (B-/Caa1)(a)
	3,000,000		7.750			07/15/25		2,640,000
	CCO Holdings LLC/CCO Holdings Capital Corp. (BB-/B1)
	5,000,000		6.625			01/31/22		5,025,000
	18,800,000		5.750			09/01/23		17,907,000
	22,600,000		5.875	(a)		05/01/27		20,792,000
	CCO Safari II LLC (BBB-/Ba1)(a)
	10,800,000		4.908			07/23/25		10,739,410
	CSC Holdings LLC (BB/Ba2)
	5,100,000		8.625			02/15/19		5,253,000
	7,650,000		6.750			11/15/21		6,789,375
	18,000,000		5.250			06/01/24		14,130,000
	DISH DBS Corp. (BB-/Ba3)
	10,000,000		6.750			06/01/21		9,450,000
	19,000,000		5.875			11/15/24		16,055,000
	Midcontinent Communications & Midcontinent Finance Corp. (B/B3)(a)
	7,500,000		6.250			08/01/21		7,425,000
	Numericable – SFR SAS (B+/Ba3)(a)
	35,900,000		6.000			05/15/22		34,464,000
	UPC Holding BV (B/B2)(a)
CHF	8,000,000		6.750			03/15/23		8,810,014
	UPCB Finance IV Ltd. (BB/Ba3)(a)
$	7,150,000		5.375			01/15/25		6,721,000
	Virgin Media Finance PLC (B/B2)(a)
	2,000,000		6.375			04/15/23		1,985,000
	Virgin Media Secured Finance PLC (BB-/Ba3)(a)
	14,400,000		5.375			04/15/21		14,490,000
	VTR Finance BV (B+/B1)(a)
	15,000,000		6.875			01/15/24		13,687,500
	Ziggo Bond Finance BV (B/B2)(a)
	4,100,000		5.875			01/15/25		3,751,500
								204,998,049

The accompanying notes are an integral part of these financial statements. 75

GOLDMAN SACHS HIGH YIELD FUND

Schedule of Investments (continued)

September 30, 2015 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Media – Diversified – 0.4%
	Videotron Ltd. (BB/Ba2)
$	10,000,000		5.000	%		07/15/22	$	9,787,500
	8,000,000		5.375	(a)		06/15/24		7,820,000
								17,607,500
	Media – Non Cable(a) – 0.6%
	Netflix, Inc. (B+/B1)
	10,000,000		5.500			02/15/22		10,100,000
	14,150,000		5.875			02/15/25		14,539,125
								24,639,125
	Metals – 1.7%
	AK Steel Corp. (B-/Caa1)
	4,300,000		7.625			05/15/20		2,236,000
	5,500,000		7.625			10/01/21		2,928,750
	Alcoa, Inc. (BBB-/Ba1)
	3,219,000		6.150			08/15/20		3,315,570
	12,350,000		5.125			10/01/24		11,763,375
	ArcelorMittal (BB/Ba1)
	6,000,000		6.000			03/01/21		5,430,000
	10,000,000		6.750	(e)		02/25/22		9,050,000
	10,000,000		6.125			06/01/25		8,100,000
	Constellium NV (B/B1)(a)
	15,250,000		5.750			05/15/24		11,590,000
	Steel Dynamics, Inc. (BB+/Ba2)
	6,000,000		5.125			10/01/21		5,685,000
	8,650,000		5.250			04/15/23		7,914,750
	6,150,000		5.500			10/01/24		5,627,250
								73,640,695
	Mining(a) – 0.3%
	New Gold, Inc. (BB-/B2)
	14,200,000		6.250			11/15/22		11,644,000
	Packaging – 3.0%
	Ardagh Finance Holdings SA (CCC+/Caa2)(a)(c)
	15,244,032		8.625			06/15/19		15,142,723
	Ardagh Packaging Finance PLC (CCC+/Caa1)(a)
	15,000,000		6.250			01/31/19		14,925,000
	5,275,000		9.125			10/15/20		5,499,187
	Ardagh Packaging Finance PLC (NR/Caa1)(a)
	1,685,294		7.000			11/15/20		1,685,294
	BWAY Holding Co. (CCC/Caa2)(a)
	29,300,000		9.125			08/15/21		29,007,000
	Reynolds Group Issuer, Inc. (B+/B1)
	3,200,000		7.875			08/15/19		3,316,000
	Reynolds Group Issuer, Inc. (B+/B1)
	11,000,000		5.750			10/15/20		11,110,000
	2,000,000		6.875			02/15/21		2,070,000
	Reynolds Group Issuer, Inc. (CCC+/Caa2)
	35,000,000		9.000			04/15/19		35,437,500
	Reynolds Group Issuer, Inc. (CCC+/Caa2)
	16,000,000		9.875			08/15/19		16,560,000
								134,752,704
	Paper – 0.8%
	Clearwater Paper Corp. (BB/Ba2)
	2,800,000		4.500			02/01/23		2,611,000
Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Paper – (continued)
	Clearwater Paper Corp. (BB/Ba2) – (continued)
$	18,550,000		5.375	%(a)		02/01/25	$	17,715,250
	Mercer International, Inc. (B+/B2)
	4,350,000		7.000			12/01/19		4,415,250
	9,186,000		7.750			12/01/22		9,300,825
	Stone Container Finance Co. of Canada II (NR/WR)(b)
	2,250,000		7.375			07/15/14		—
								34,042,325
	Printing(a) – 0.4%
	Southern Graphics, Inc. (CCC+/Caa1)
	15,700,000		8.375			10/15/20		15,582,250
	Publishing – 0.7%
	Nielsen Finance LLC/Nielsen Finance Co. (BB+/B1)(a)
	10,650,000		5.000			04/15/22		10,357,125
	Outfront Media Capital LLC/Outfront Media Capital Corp. (BB-/B1)
	8,650,000		5.875			03/15/25		8,714,875
	The Nielsen Co Luxembourg SARL (BB+/B1)(a)
	12,000,000		5.500			10/01/21		12,000,000
	Time, Inc. (BB/B1)(a)
	1,600,000		5.750			04/15/22		1,500,000
								32,572,000
	Real Estate – 0.7%
	CBRE Services, Inc. (BBB/Baa3)
	10,000,000		5.250			03/15/25		10,212,500
	DuPont Fabros Technology LP (BB/Ba1)
	20,000,000		5.875			09/15/21		20,450,000
								30,662,500
	Retailers – 2.3%
	Alphabet Holding Co., Inc. (CCC+/Caa1)(c)
	400,000		7.750			11/01/17		392,000
	Asbury Automotive Group, Inc. (BB/B1)
	5,650,000		6.000			12/15/24		5,819,500
	Dollar Tree, Inc. (B+/Ba3)(a)
	10,050,000		5.750			03/01/23		10,414,312
	L Brands, Inc. (BB+/Ba1)
	10,337,000		6.625			04/01/21		11,486,991
	10,000,000		5.625			02/15/22		10,512,500
	950,000		5.625			10/15/23		1,008,188
	Neiman Marcus Group Ltd., Inc. (CCC+/Caa2)(a)
	25,000,000		8.000			10/15/21		25,843,750
	25,000,000		8.750	(c)		10/15/21		25,875,000
	Party City Holdings, Inc. (CCC+/B3)(a)
	4,200,000		6.125			08/15/23		4,236,750
	The William Carter Co. (BB+/Ba2)
	8,000,000		5.250			08/15/21		8,180,000
								103,768,991
	Retailers – Food & Drug – 0.5%
	Rite Aid Corp. (CCC+/B3)
	7,000,000		6.750			06/15/21		7,227,500
	13,400,000		6.125	(a)		04/01/23		13,266,000
								20,493,500

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

GOLDMAN SACHS HIGH YIELD FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Services Cyclical – Business Services – 0.8%
	CoreLogic, Inc. (B+/Ba3)
$	12,100,000		7.250	%		06/01/21	$	12,644,500
	SPL Logistics Escrow LLC (B/B2)(a)
	11,000,000		8.875			08/01/20		11,550,000
	WEX, Inc. (BB-/Ba3)(a)
	10,000,000		4.750			02/01/23		9,500,000
								33,694,500
	Services Cyclical – Rental Equipment – 1.5%
	Ahern Rentals, Inc. (B/B3)(a)
	23,000,000		7.375			05/15/23		20,038,750
	Ashtead Capital, Inc. (BB/Ba3)(a)
	18,000,000		5.625			10/01/24		17,910,000
	Emeco Pty Ltd. (B-/Caa1)(a)
	12,250,000		9.875			03/15/19		6,431,250
	United Rentals North America, Inc. (BB+/Ba1)
	12,200,000		4.625			07/15/23		11,849,250
	United Rentals North America, Inc. (BB-/B1)
	5,000,000		5.750			11/15/24		4,800,000
	7,100,000		5.500			07/15/25		6,647,375
								67,676,625
	Technology – Hardware – 1.3%
	Alcatel-Lucent USA, Inc. (B+/WR)
	7,000,000		6.450			03/15/29		7,105,000
	Ancestry.com, Inc. (CCC+/B3)
	5,249,000		11.000			12/15/20		5,747,655
	CDW LLC/CDW Finance Corp. (B+/B1)
	3,100,000		5.500			12/01/24		3,123,250
	CommScope, Inc. (B/B2)(a)
	10,000,000		5.000			06/15/21		9,775,000
	Micron Technology, Inc. (BB/Ba3)
	16,350,000		5.250	(a)		08/01/23		15,164,625
	1,000,000		5.500			02/01/25		935,000
	NCR Corp. (BB/Ba3)
	5,000,000		4.625			02/15/21		4,825,000
	7,011,000		5.000			07/15/22		6,607,868
	VeriSign, Inc. (BB+/Ba1)
	6,150,000		5.250			04/01/25		6,103,875
								59,387,273
	Technology – Software/Services – 3.9%
	Aspect Software, Inc. (CCC/Caa2)
	6,000,000		10.625			05/15/17		5,160,000
	BMC Software Finance, Inc. (CCC+/Caa1)(a)
	22,000,000		8.125			07/15/21		17,710,000
	Boxer Parent Co., Inc. (CCC+/Caa2)(a)(c)(e)
	10,000,000		9.000			10/15/19		7,175,000
	CyrusOne LP/CyrusOne Finance Corp. (B+/B1)
	12,000,000		6.375			11/15/22		12,180,000
	Equinix, Inc. (BB/B1)
	5,750,000		4.875			04/01/20		5,836,250
	9,250,000		5.375			01/01/22		9,226,875
	14,050,000		5.375			04/01/23		13,839,250
	14,000,000		5.750			01/01/25		13,930,000
	First Data Corp. (B-/Caa1)(a)
	17,450,000		8.750			01/15/22		18,235,250
Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Technology – Software/Services – (continued)
	First Data Corp. (BB-/B1)(a)
$	21,000,000		6.750	%		11/01/20	$	21,945,000
	IHS, Inc. (BB+/Ba1)
	15,000,000		5.000			11/01/22		14,437,500
	Infor (US), Inc. (B-/Caa1)(a)
	9,150,000		6.500			05/15/22		8,372,250
	Infor Software Parent LLC/Infor Software Parent, Inc. (CCC+/ Caa2)(a)(c)
	10,000,000		7.125			05/01/21		8,600,000
	Nuance Communications, Inc. (BB-/B1)(a)
	10,000,000		5.375			08/15/20		10,000,000
	SS&C Technologies Holdings, Inc. (B+/B3)(a)
	6,450,000		5.875			07/15/23		6,514,500
								173,161,875
	Telecommunications – 2.6%
	Frontier Communications Corp. (BB-/Ba3)
	10,000,000		8.125			10/01/18		10,250,000
	18,000,000		8.500			04/15/20		17,505,000
	4,000,000		8.875	(a)		09/15/20		3,930,000
	16,000,000		11.000	(a)		09/15/25		15,440,000
	Level 3 Financing, Inc. (B/B1)
	10,000,000		7.000			06/01/20		10,400,000
	5,000,000		6.125			01/15/21		5,137,500
	5,000,000		5.125	(a)		05/01/23		4,775,000
	6,500,000		5.375	(a)		05/01/25		6,175,000
	Telecom Italia Capital SA (BB+/Ba1)
	7,100,000		7.721			06/04/38		7,703,500
	Telecom Italia SpA (BB+/Ba1)(a)
	20,000,000		5.303			05/30/24		19,400,000
	Windstream Corp. (BB-/B2)
	6,325,000		7.875			11/01/17		6,546,375
	5,050,000		7.750	(e)		10/15/20		4,292,500
	6,000,000		7.750			10/01/21		4,650,000
								116,204,875
	Telecommunications – Cellular – 7.0%
	Altice Financing SA (BB-/B1)(a)
	6,450,000		6.500			01/15/22		6,256,500
	Altice Financing SA (BB-/B1)(a)
	4,300,000		6.625			02/15/23		4,138,750
	Altice Finco SA (B-/B3)(a)
	7,000,000		8.125			01/15/24		6,685,000
	4,652,000		7.625			02/15/25		4,337,990
	Communications Sales & Leasing, Inc. (B/Caa1)
	11,000,000		8.250			10/15/23		9,405,000
	Crown Castle International Corp. (BB+/Ba3)
	20,157,000		5.250			01/15/23		21,316,027
	SBA Communications Corp. (B/B3)
	7,450,000		4.875			07/15/22		7,301,000
	SBA Telecommunications, Inc. (B+/B3)
	5,250,000		5.750			07/15/20		5,407,500
	SoftBank Group Corp. (BB+/Ba1)(a)
	30,950,000		4.500			04/15/20		30,021,500
	Sprint Capital Corp. (B+/Caa1)
	14,000,000		6.900			05/01/19		12,320,000
	3,000,000		8.750			03/15/32		2,332,500

The accompanying notes are an integral part of these financial statements. 77

GOLDMAN SACHS HIGH YIELD FUND

Schedule of Investments (continued)

September 30, 2015 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Telecommunications – Cellular – (continued)
	Sprint Communications, Inc. (B+/Caa1)
$	24,600,000		8.375	%		08/15/17	$	24,415,500
	Sprint Communications, Inc. (B+/Caa1)
	7,000,000		7.000			08/15/20		5,862,500
	Sprint Communications, Inc. (B+/Caa1)
	10,000,000		11.500			11/15/21		10,000,000
	Sprint Communications, Inc. (BB/B1)(a)
	15,450,000		9.000			11/15/18		16,222,500
	Sprint Communications, Inc. (BB/B1)(a)
	10,000,000		7.000			03/01/20		10,000,000
	Sprint Corp. (B+/Caa1)
	19,000,000		7.250			09/15/21		15,532,500
	Sprint Corp. (B+/Caa1)
	53,400,000		7.875			09/15/23		42,720,000
	T-Mobile USA, Inc. (BB/Ba3)
	9,050,000		6.542			04/28/20		9,185,750
	20,000,000		6.250			04/01/21		19,800,000
	2,600,000		6.633			04/28/21		2,593,500
	5,000,000		6.125			01/15/22		4,862,500
	9,000,000		6.731			04/28/22		8,955,000
	Wind Acquisition Finance SA (B/Caa1)(a)
	15,000,000		7.375			04/23/21		14,512,500
	Wind Acquisition Finance SA (BB/Ba3)(a)
	15,000,000		4.750			07/15/20		14,737,500
								308,921,517
	Telecommunications – Satellites – 1.7%
	Inmarsat Finance PLC (BB+/Ba2)(a)
	15,000,000		4.875			05/15/22		14,531,250
	Intelsat Jackson Holdings SA (B+/B3)
	10,100,000		7.500			04/01/21		9,317,250
	5,000,000		5.500			08/01/23		4,125,000
	Intelsat Jackson Holdings SA (CCC+/Caa1)
	20,000,000		6.625	(e)		12/15/22		15,600,000
	Intelsat Luxembourg SA (CCC+/Caa2)
	38,000,000		7.750			06/01/21		24,700,000
	13,000,000		8.125	(e)		06/01/23		8,352,500
								76,626,000
	Utilities – Electric – 2.0%
	Calpine Corp. (B/B3)
	10,000,000		5.375			01/15/23		9,225,000
	10,000,000		5.500			02/01/24		9,275,000
	Calpine Corp. (BB/Ba3)(a)
	5,600,000		6.000			01/15/22		5,838,000
	7,000,000		7.875			01/15/23		7,437,500
	1,450,000		5.875			01/15/24		1,502,563
	Dynegy, Inc. (B+/B3)
	7,525,000		6.750			11/01/19		7,543,812
	5,000,000		7.375			11/01/22		5,043,750
	Illinois Power Generating Co. (CCC+/B3)(e)
	4,900,000		7.000			04/15/18		4,434,500
	11,000,000		6.300			04/01/20		9,075,000
	MPM Escrow LLC (NR/NR)(b)
	14,460,000		8.875			10/15/20		—
Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Utilities – Electric – (continued)
	NRG Energy, Inc. (BB-/B1)
$	6,250,000		8.250	%		09/01/20	$	6,453,125
	19,000,000		6.625			03/15/23		17,195,000
	Talen Energy Supply LLC (BB-/Ba3)(a)
	7,650,000		6.500			06/01/25		6,579,000
								89,602,250
	Utilities – Pipelines – 1.2%
	NGPL PipeCo LLC (CCC-/Caa2)(a)
	10,000,000		7.119			12/15/17		9,500,000
	2,150,000		9.625	(e)		06/01/19		2,064,000
	Sabine Pass Liquefaction LLC (BB+/Ba3)
	11,000,000		6.250			03/15/22		10,202,500
	5,000,000		5.625			04/15/23		4,462,500
	20,000,000		5.750			05/15/24		17,900,000
	5,450,000		5.625	(a)		03/01/25		4,782,375
	Tesoro Logistics LP/Tesoro Logistics Finance Corp. (BB/Ba3)(a)
	3,375,000		6.250			10/15/22		3,299,063
								52,210,438
	TOTAL CORPORATE OBLIGATIONS
	(Cost $4,417,463,828)						$	4,098,942,167
	Senior Term Loans(f) – 5.5%
	Consumer Products – Industrial – 0.6%
	Atkore International, Inc. (B/B3)
$	10,956,757		4.500	%		04/09/21	$	10,436,311
	Atkore International, Inc. (CCC+/Caa2)
	8,275,000		7.750			10/09/21		7,602,656
	Dynacast International LLC (B/Ba3)
	5,024,750		4.500			01/28/22		4,993,345
	Dynacast International LLC (B-/Caa1)
	4,625,000		9.500			01/30/23		4,604,789
								27,637,101
	Energy – 0.1%
	American Energy – Marcellus LLC (CCC+/Caa1)
	9,950,000		5.250			08/04/20		5,596,875
	American Energy – Marcellus LLC (CCC-/Caa3)
	3,275,000		8.500			08/04/21		349,344
								5,946,219
	Energy – Exploration & Production – 0.4%
	Magnum Hunter Resources Corp. (CCC/B2)
	8,489,250		8.500			10/22/19		8,361,911
	Murray Energy Corp. (NR/NR)
	9,090,875		7.500			04/16/20		7,042,883
								15,404,794
	Food & Beverages – 0.7%
	Performance Food Group, Inc. (BB-/B3)
	19,947,352		6.753			11/14/19		19,938,974
	Shearer’s Foods, Inc. (CCC+/Caa1)
	13,000,000		7.750			06/30/22		12,707,500
								32,646,474

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

GOLDMAN SACHS HIGH YIELD FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Senior Term Loans(f) – (continued)
	Health Care – Pharmaceuticals – 0.5%
	Endo Luxembourg Finance Co. I S.A.R.L. (NR/NR)
$	8,350,000		3.750	%		09/26/22	$	8,316,099
	Valeant Pharmaceuticals International, Inc. (BB+/Ba1)
	12,014,625		4.000			04/01/22		11,878,018
								20,194,117
	Health Care – Services – 0.5%
	American Renal Holdings, Inc. (CCC+/Caa1)
	19,995,926		8.500			03/20/20		19,920,941
	Home Construction – 0.2%
	BRG Bell Sports, Inc. (CCC/Caa1)
	7,600,000		10.250			04/14/22		7,448,000
	Media – Non Cable – 0.7%
	Getty Images, Inc. (CCC+/B2)
	19,526,944		4.750			10/18/19		12,623,388
	Renaissance Learning, Inc. (B-/B1)
	7,095,497		4.500			04/09/21		6,864,893
	Renaissance Learning, Inc. (CCC/Caa2)
	12,047,700		8.000			04/11/22		11,666,150
								31,154,431
	Retailers – 1.5%
	Academy Ltd. (B/B2)
	12,797,227		5.000			07/01/22		12,718,908
	Bass Pro Group LLC (BB-/B1)
	7,283,400		4.000			06/05/20		7,237,879
	Dollar Tree, Inc. (BB+/Ba1)
	4,803,797		3.500			07/06/22		4,803,125
	J Crew Group, Inc. (B-/B2)
	17,919,395		4.000			03/05/21		13,833,056
	PetSmart, Inc. (BB-/Ba3)
	4,962,563		4.250			03/11/22		4,949,660
	Rue21, Inc. (B-/B2)
	19,112,285		5.625			10/09/20		16,349,031
	True Religion Apparel, Inc. (B-/Caa1)
	8,250,750		5.875			07/30/19		4,936,671
	True Religion Apparel, Inc. (CCC/Caa3)
	6,825,000		11.000			01/30/20		2,900,625
								67,728,955
	Services Cyclical – Rental Equipment – 0.2%
	Maxim Crane Works LP (B/Caa2)
	6,975,000		10.250			11/26/18		6,905,250
	Technology – Software/Services – 0.1%
	SS&C Technologies, Inc. (BB/Ba3)
	6,434,978		4.000			07/08/22		6,439,032
	TOTAL SENIOR TERM LOANS
	(Cost $265,156,811)						$	241,425,314

Shares		Rate	Value
	Preferred Stock(c)(g) – 0.1%
	Media – Broadcasting & Radio – 0.1%
	Spanish Broadcasting System, Inc.
	3,014	10.750%	$	3,526,380
	(Cost $3,042,344)
Shares		Description	Value
	Common Stocks – 0.1%
	40	Dawn Holdings, Inc.(b)	$	—
	64,385	General Motors Co.		1,932,838
	2,142,857	Halcon Resources Corp.(b)		1,135,714
	341,350	Huntsman Corp.		3,307,681
	28,148	Motors Liquidation Co.		427,568
	21	New Cotai Class B Shares(b)		—
	11	Nycomed(b)		—
	3,874	Panolam Holdings Co.(b)		39
	2,500	Port Townsend Holdings Co., Inc.(b)		—
	TOTAL COMMON STOCKS
	(Cost $22,717,880)		$	6,803,840

Units		Description	Expiration Date		Value
	Warrant(b) – 0.0%
	General Motors Co. (NR/NR)
	54,264			07/10/16	$	1,105,900
	General Motors Co. (NR/NR)
	54,264			07/10/19		717,370
	Lender Process Services, Inc. (NR/NR)
	14,274			12/31/20		—
	Masonite International Corp. (NR/NR)
	22,734			06/09/16		346,239
	TOTAL WARRANT
	(Cost $23,842,381)				$	2,169,509

Shares		Rate	Value
	Investment Company(h) – 2.6%
	Goldman Sachs Financial Square Government Fund – FST Shares
	114,348,213	0.006%	$	114,348,213
	(Cost $114,348,213)

	TOTAL INVESTMENTS – 101.0%
	(Cost $4,846,571,457)							$	4,467,215,423
Principal Amount			Interest Rate (Paid) Received			Maturity Date		Value
	Reverse Repurchase Agreements – (2.7)%
	Barclays Reverse Repurchase Agreement (NR/NR)
$	(824,000	)		0.350	%		10/05/15	$	(824,000	)
	(3,855,000	)		0.750			10/06/15		(3,855,000	)

The accompanying notes are an integral part of these financial statements. 79

GOLDMAN SACHS HIGH YIELD FUND

Schedule of Investments (continued)

September 30, 2015 (Unaudited)

Principal Amount			Interest Rate (Paid) Received			Maturity Date		Value
	Reverse Repurchase Agreements – (continued)
	Barclays Reverse Repurchase Agreement (NR/NR) – (continued)
$	(9,262,500	)		0.750	%		07/21/16	$	(9,262,500	)
	(1,013,750	)		2.000			07/21/16		(1,013,750	)
	(4,281,250	)		0.100			07/28/16		(4,281,250	)
	(2,438,437	)		0.500			08/02/16		(2,438,437	)
	(1,167,250	)		2.000			08/02/16		(1,167,250	)
	(4,500,000	)		0.100			08/05/16		(4,500,000	)
	(3,400,000	)		0.250			08/13/16		(3,400,000	)
	(7,550,000	)		0.150			08/20/16		(7,550,000	)
	(824,000	)		0.350			09/03/16		(824,000	)
	(456,250	)		0.650			09/07/16		(456,250	)
	(1,677,500	)		1.750			09/17/16		(1,677,500	)
	(2,146,875	)		0.375			09/23/16		(2,146,875	)
	(915,000	)		0.500			09/23/16		(915,000	)
	(5,782,500	)		0.750			09/23/16		(5,782,500	)
	(3,787,500	)		0.250			09/24/16		(3,787,500	)
	(1,911,250	)		0.750			09/24/16		(1,911,250	)
	(3,900,000	)		0.500			09/27/16		(3,900,000	)
	(3,790,000	)		0.750			09/27/16		(3,790,000	)
	(1,314,375	)		0.500			09/28/16		(1,314,375	)
	BNP Paribas Reverse Repurchase Agreement (NR/NR)
	(1,495,000	)		1.500			10/01/15		(1,495,000	)
	(3,628,125	)		1.000			07/28/16		(3,628,125	)
	Citigroup Reverse Repurchase Agreement (NR/NR)
	(3,670,000	)		0.750			07/23/16		(3,670,000	)
	(6,995,313	)		0.750			08/02/16		(6,995,313	)
	(1,702,250	)		0.500			08/25/16		(1,702,250	)
	(722,500	)		0.875			08/25/16		(722,500	)
	First Boston Reverse Repurchase Agreement (NR/NR)
	(2,527,500	)		0.500			08/11/16		(2,527,500	)
	(3,004,563	)		1.750			09/17/16		(3,004,563	)
	Royal Bank Of Canada Reverse Repurchase Agreement (NR/NR)
	(5,616,000	)		1.000			05/05/16		(5,616,000	)
	(10,950,000	)		0.150	%		05/06/16		(10,950,000	)
	(2,600,000	)		2.500			06/30/16		(2,600,000	)
	(4,637,500	)		1.000			07/21/16		(4,637,500	)
	(4,250,000	)		1.250			08/20/16		(4,250,000	)
	(1,464,750	)		1.000			08/23/16		(1,464,750	)
	(1,015,000	)		0.350			08/26/16		(1,015,000	)
	TOTAL REVERSE REPURCHASE AGREEMENTS
	(Cost $(119,075,938))							$	(119,075,938	)
	OTHER ASSETS IN EXCESS OF     LIABILITIES – 1.7%								75,437,220
	NET ASSETS – 100.0%							$	4,423,576,705

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a)	Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $1,840,565,602, which represents approximately 41.6% of net assets as of September 30, 2015.
(b)	Security is currently in default and/or non-income producing.
(c)	Pay-in-kind securities.
(d)	Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on September 30, 2015.
(e)	All or a portion of the security was pledged as collateral against open reverse repurchase agreements. As of September 30, 2015, the value of securities pledged amounted to $101,091,934.
(f)	Senior Term Loans often require prepayments from excess cash flows or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. The stated interest rate represents the weighted average interest rate of all contracts within the senior loan facility on September 30, 2015. Senior Term Loans typically have rates of interest which are predetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium. These base lending rates are primarily the London-Interbank Offered Rate (“LIBOR”), and secondarily the prime rate offered by one or more major United States banks (the “Prime Rate”) and the certificate of deposit (“CD”) rate or other base lending rates used by commercial lenders.
(g)	Security with “Put” features and resetting interest rates. Maturity dates disclosed are the puttable dates. Interest rate disclosed is that which is in effect at September 30, 2015.
(h)	Represents an Affiliated Fund.

Security ratings disclosed, if any, are obtained from Standard & Poor’s/Moody’s Investors Service and are unaudited. A description of the ratings is available in the Fund’s Statement of Additional Information.

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

GOLDMAN SACHS HIGH YIELD FUND

Currency Abbreviations:
AUD	—Australian Dollar
CAD	—Canadian Dollar
CHF	—Swiss Franc
EUR	—Euro
GBP	—British Pound
USD	—U.S. Dollar
Investment Abbreviations:
LLC	—Limited Liability Company
LP	—Limited Partnership
WR	—Withdrawn Rating

ADDITIONAL INVESTMENT INFORMATION

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At September 30, 2015, the Fund had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN

Counterparty	Currency Purchased		Currency Sold			Current Value		Settlement Date		Unrealized Gain
Citibank NA	USD	4,723,655		EUR	4,192,000	$	4,684,468		10/05/15	$	39,186
Credit Suisse International (London)	USD	10,015,202		CHF	9,637,809		9,890,512		10/05/15		124,690
JPMorgan Securities, Inc.	USD	6,363,874		CAD	8,391,920		6,288,236		10/05/15		75,639
TOTAL										$	239,515

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

Counterparty

Currency Purchased

Currency Sold

Current Value

Settlement Date

Unrealized Loss

UBS AG (London)

EUR

2,309,111

USD

2,616,225

$2,580,381

10/05/15

$

(35,844

)

FUTURES CONTRACTS — At September 30, 2015, the Fund had the following futures contracts:

Type	Number of Contracts Long (Short)			Expiration Date	Current Value			Unrealized Gain (Loss)
Russell 2000 Mini Index		30		December 2015	$	3,287,700		$	(196,723	)
Ultra Long U.S. Treasury Bonds		251		December 2015		40,261,969			222,750
10 Year German Euro-Bund		(29	)	December 2015		(5,061,273	)		(92,721	)
10 Year U.K. Long Gilt		(36	)	December 2015		(6,483,886	)		(54,524	)
2 Year U.S. Treasury Notes		477		December 2015		104,477,906			140,569
5 Year U.S. Treasury Notes		1,267		December 2015		152,693,297			999,910
10 Year U.S. Treasury Notes		(1,999	)	December 2015		(257,340,016	)		(3,067,795	)
Ultra Long U.S. Treasury Bonds		122		December 2015		19,195,938			89,757
TOTAL								$	(1,958,777	)

The accompanying notes are an integral part of these financial statements. 81

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

Schedule of Investments

September 30, 2015 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Senior Term Loans(a) – 83.1%
	Aerospace – 1.6%
	BE Aerospace, Inc. (BB+/Ba2)
$	5,443,636		4.000	%		12/16/21	$	5,441,949
	LM U.S. Corp. Acquisition, Inc. (CCC/Caa2)
	6,472,375		8.250			01/25/21		6,423,832
	Silver II US Holdings LLC (B/B1)
	8,574,086		4.000			12/13/19		7,795,301
	Transdigm, Inc. (B/Ba3)
	21,628,137		3.750			02/28/20		21,334,643
	8,067,576		3.750			06/04/21		7,959,551
	12,978,266		3.500			05/14/22		12,764,644
								61,719,920
	Airlines – 2.1%
	Air Canada (BB/Ba3)
	3,275,803		4.000			09/26/19		3,267,614
	Atlantic Aviation FBO, Inc. (BB-/Ba3)
	12,991,923		3.250			06/01/20		12,882,271
	Continental Airlines, Inc. (BB+/Ba1)
	27,556,338		3.250			04/01/19		27,424,343
	Delta Air Lines, Inc. (BBB/Baa3)
	32,085,077		3.250			10/18/18		32,004,864
	750,000		3.250			08/24/22		749,812
	Flying Fortress, Inc. (BBB-/Ba1)
	5,041,667		3.500			04/30/20		5,033,802
								81,362,706
	Automotive – 1.3%
	Chrysler Group LLC (BB+/Ba1)
	43,096,077		3.500			05/24/17		42,859,049
	4,987,342		3.250			12/31/18		4,937,468
								47,796,517
	Automotive – Parts – 1.0%
	Cooper Standard Holdings, Inc. (BB-/B1)
	8,516,439		4.000			04/04/21		8,452,566
	Gates Global LLC (B+/B2)
	22,077,947		4.250			07/05/21		20,879,336
	Jason, Inc. (B/B1)
	8,910,000		5.500			06/30/21		8,876,587
								38,208,489
	Building Materials – 3.9%
	American Builders & Contractors Supply Co., Inc. (BB+/B1)
	33,074,186		3.500			04/16/20		32,770,896
	Armstrong World Industries, Inc. (BB/B1)
	1,885,170		3.500			03/15/20		1,874,576
	CPG International, Inc. (B/B2)
	3,916,907		4.750			09/30/20		3,864,695
	Gyp Holdings III Corp. (B/B3)
	21,330,000		4.750			04/01/21		20,779,046
	Headwaters, Inc. (BB-/B1)
	5,162,063		4.500			03/24/22		5,168,515
	Jeld-Wen, Inc. (B/B1)
	22,852,313		5.250			10/15/21		22,776,214
	10,625,000		5.000			06/18/22		10,578,569
	PLY Gem Industries, Inc. (B+/B1)
	7,133,825		4.000			02/01/21		7,048,220
Principal Amount		Interest Rate			Maturity Date		Value
	Senior Term Loans(a) – (continued)
	Building Materials – (continued)
	Quikrete Cos., Inc. (B+/B1)
$	17,624,711		4.000	%		09/28/20	$	17,499,928
	Roofing Supply Group LLC (B/B3)
	7,058,639		6.000			05/31/19		7,052,780
	Ultima US Holdings LLC (B/B1)
	5,194,348		5.500			07/02/20		5,207,334
	US LBM Holdings LLC (B+/B3)
	13,500,000		6.250			08/20/22		13,145,625
								147,766,398
	Capital Goods – Others – 0.2%
	USIC Holdings, Inc. (B+/B2)
	9,260,413		4.000			07/10/20		9,156,233
	Chemicals – 2.3%
	American Pacific Corp. (NR/NR)
	10,449,512		7.000			02/27/19		10,390,786
	Axalta Coating Systems US Holdings, Inc./Axalta Coating Systems Dutch Holding BV (BB-/Ba3)(b)
EUR	850,000		5.750			02/01/21		966,458
	Emerald Performance Materials LLC (B/B1)
$	7,449,750		4.500			08/01/21		7,393,877
	Emerald Performance Materials LLC (CCC+/Caa1)
	6,350,000		7.750			08/01/22		6,275,895
	Huntsman International LLC (BB+/Ba2)
	3,473,750		3.750			10/01/21		3,352,169
	MacDermid, Inc. (BB/B1)
	2,208,313		4.750			06/07/20		2,144,824
	PQ Corp. (B+/B2)
	7,956,427		4.000			08/07/17		7,918,873
	Univar, Inc. (BB-/B2)
	13,075,000		4.250			07/01/22		12,811,408
	US Coatings Acquisition, Inc. (BB-/Ba3)
	38,025,098		3.750			02/01/20		37,651,692
								88,905,982
	Consumer Cyclical Services – Distribution Logistics – 0.2%
	Beacon Roofing Supply, Inc. (BB+/B2)
	5,850,000		4.500			10/01/22		5,832,918
	Consumer Products – Household & Leisure – 3.2%
	Bombardier Recreational Products, Inc. (BB-/Ba3)
	19,379,491		3.750			01/30/19		19,352,166
	Jarden Corp. (BBB-/Ba1)
	1,122,137		2.944			09/30/20		1,123,540
	9,500,000		2.944			07/30/22		9,484,135
	Polymer Group, Inc. (B-/B2)
	16,901,425		5.250			12/19/19		16,890,946
	Renfro Corp. (B/B3)
	26,570,455		5.750			01/30/19		25,906,193
	Spectrum Brands, Inc. (BB/Ba2)
EUR	568,575		3.500			06/23/22		633,604
$	15,933,484		3.750			06/23/22		15,975,548
	The Sun Products Corp. (B-/B1)
	36,114,270		5.500			03/23/20		33,917,439
								123,283,571
	Consumer Products – Industrial – 0.9%
	Atkore International, Inc. (B/B3)
	13,466,394		4.500			04/09/21		12,826,740

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

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Senior Term Loans(a) – (continued)
	Consumer Products – Industrial – (continued)
	Atkore International, Inc. (CCC+/Caa2)
$	12,750,000		7.750	%		10/09/21	$	11,714,062
	Southwire Co. (BB+/Ba3)
	8,926,333		3.000			02/10/21		8,703,175
								33,243,977
	Diversified Manufacturing – 3.0%
	CPM Holdings, Inc. (B+/B1)
	7,883,526		6.000			04/11/22		7,890,069
	Crosby US Acquisition Corp. (B/B1)
	22,914,377		3.750			11/23/20		19,820,936
	Doosan Infracore Co., Ltd. (BB-/Ba3)
	9,242,356		4.500			05/28/21		9,246,238
	Dynacast International LLC (B/Ba3)
	2,832,321		4.500			01/28/22		2,814,619
	Gardner Denver, Inc. (B/B1)
	15,433,197		4.250			07/30/20		14,515,848
	Mannington Mills, Inc. (BB-/B1)
	6,509,250		4.750			10/01/21		6,525,523
	Mirror Bidco Corp. (B/Ba3)
	19,139,807		4.250			12/28/19		19,068,033
	Rexnord LLC (BB-/B2)
	35,008,082		4.000			08/21/20		34,652,400
								114,533,666
	Energy – 2.0%
	American Energy – Marcellus LLC (CCC+/Caa1)
	13,550,000		5.250			08/04/20		7,621,875
	American Energy – Marcellus LLC (CCC-/Caa3)
	34,190,000		8.500			08/04/21		3,647,047
	CITGO Holding, Inc. (B-/Caa1)
	6,708,963		9.500			05/12/18		6,595,783
	Jonah Energy LLC (B/B3)
	9,250,000		7.500			05/12/21		7,400,000
	Magnum Hunter Resources Corp. (CCC/B2)
	16,283,013		8.500			10/22/19		16,038,767
	MEG Energy Corp. (BB+/Ba2)
	35,951,066		3.750			03/31/20		33,524,369
								74,827,841
	Energy – Exploration & Production – 0.4%
	EP Energy LLC (B+/Ba2)
	11,900,000		3.500			05/24/18		11,052,125
	1,375,000		4.500			04/30/19		1,313,125
	NGPL PipeCo LLC (CCC-/Caa2)
	1,964,302		6.750			09/15/17		1,760,015
								14,125,265
	Entertainment – 0.7%
	Sabre, Inc. (BB-/Ba3)
	488,222		3.500			02/19/18		485,932
	27,148,245		4.000			02/19/19		27,058,713
								27,544,645
	Environmental – 0.5%
	EnergySolutions LLC (BB-/B3)
	18,365,897		6.750			05/29/20		17,998,579
Principal Amount		Interest Rate			Maturity Date		Value
	Senior Term Loans(a) – (continued)
	Finance – 1.2%
	CeramTec Acquisition Corp. (B/Ba3)
$	8,632,380		4.250	%		08/30/20	$	8,621,588
	ROC Finance LLC (B+/B2)
	1,960,000		5.000			06/20/19		1,855,885
	SBA Senior Finance II LLC (BB/B1)
	16,268,938		3.250			03/24/21		16,049,796
	Victory Capital Management, Inc. (BB-/B2)
	20,057,788		7.000			10/31/21		19,456,055
								45,983,324
	Food & Beverages – 5.6%
	Albertson’s Holdings LLC (BB-/Ba3)
	19,251,313		5.000			08/25/19		19,229,944
	2,985,495		5.500			08/25/21		2,983,644
	Atrium Innovations, Inc. (B/B2)
	1,746,984		4.250			02/13/21		1,644,349
	Atrium Innovations, Inc. (CCC+/Caa2)
	9,545,000		7.750			08/13/21		8,375,737
	Blue Buffalo Co. Ltd. (BB/Ba3)
	5,961,008		3.750			08/08/19		5,953,557
	Diamond Foods, Inc. (B/B2)
	16,301,307		4.250			08/20/18		16,235,124
	Dole Food Co., Inc. (B-/B1)
	8,272,092		4.500			11/01/18		8,245,207
	High Liner Foods, Inc. (B+/B2)
	9,529,875		4.250			04/24/21		9,458,401
	Performance Food Group, Inc. (BB-/B3)
	57,734,194		6.250			11/14/19		57,709,946
	Pinnacle Foods Finance LLC (BB+/Ba2)
	15,651,376		3.000			04/29/20		15,596,643
	Shearer’s Foods, Inc. (B/B1)
	7,647,750		4.500			06/30/21		7,585,650
	Shearer’s Foods, Inc. (CCC+/Caa1)
	12,800,000		7.750			06/30/22		12,512,000
	US Foods, Inc. (B-/B2)
	48,946,571		4.500			03/31/19		48,858,956
								214,389,158
	Food & Drug Retailers – 0.7%
	Rite Aid Corp. (B+/B2)
	8,790,000		5.750			08/21/20		8,877,900
	16,345,000		4.875			06/21/21		16,345,000
								25,222,900
	Gaming – 1.6%
	Aristocrat Leisure Ltd. (BB/Ba2)
	16,723,462		4.750			10/20/21		16,710,417
	CCM Merger, Inc. (BB-/B2)
	504,596		4.500			08/08/21		503,021
	CityCenter Holdings LLC (BB-/B2)
	15,889,724		4.250			10/16/20		15,835,064
	Graton Economic Development Authority (B+/B2)
	2,275,000		4.750			07/28/22		2,265,058
	Marina District Finance Co., Inc. (BB/B2)
	6,222,139		6.500			08/15/18		6,260,903
	MGM Resorts International (BB/Ba2)
	10,228,354		3.500			12/20/19		10,141,413

The accompanying notes are an integral part of these financial statements. 83

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

Schedule of Investments (continued)

September 30, 2015 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Senior Term Loans(a) – (continued)
	Gaming – (continued)
	Peninsula Gaming LLC (B+/B1)
$	4,381,326		4.250	%		11/20/17	$	4,369,015
	Scientific Games International, Inc. (BB-/Ba3)
	5,627,450		6.000			10/01/21		5,549,172
								61,634,063
	Health Care – 1.6%
	Community Health Systems, Inc. (BB/Ba2)
	7,945,607		3.750			12/31/19		7,928,206
	12,573,263		4.000			01/27/21		12,570,120
	HCA, Inc. (BBB-/Ba1)
	28,820,170		2.944			03/31/17		28,780,974
	12,004,137		3.077			05/01/18		11,987,691
	MedAssets, Inc. (BB+/Ba3)
	70,854		4.000			12/13/19		70,322
								61,337,313
	Health Care – Medical Products – 0.5%
	Convatec, Inc. (B+/Ba2)
	2,691,643		4.250			06/15/20		2,681,549
	Ortho-Clinical Diagnostics, Inc. (B/B1)
	17,490,519		4.750			06/30/21		17,140,709
								19,822,258
	Health Care – Pharmaceuticals – 2.3%
	Endo Luxembourg Finance Co. I S.A.R.L. (BB/Ba1)
	13,900,000		3.750			06/11/22		13,843,566
	PharMedium Healthcare Corp. (B/B1)
	4,298,992		4.250			01/28/21		4,238,075
	PharMedium Healthcare Corp. (CCC+/Caa2)
	2,000,000		7.750			01/28/22		1,970,000
	Valeant Pharmaceuticals International, Inc. (BB+/Ba1)
	4,561,323		3.500			02/13/19		4,485,149
	23,300,954		3.750			08/05/20		22,928,139
	41,681,141		4.000			04/01/22		41,207,226
								88,672,155
	Health Care – Services – 4.2%
	21st Century Oncology Holdings, Inc. (B-/B1)
	12,718,125		6.500			04/30/22		12,050,423
	American Renal Holdings, Inc. (B/Ba3)
	14,330,147		4.500			09/22/19		14,186,845
	American Renal Holdings, Inc. (CCC+/Caa1)
	21,385,439		8.500			03/20/20		21,305,244
	Amsurg Corp. (BB-/Ba2)
	3,852,877		3.500			07/16/21		3,849,256
	Envision Healthcare Corp. (BB-/Ba3)
	14,053,820		4.000			05/25/18		14,039,205
	MPH Acquisition Holdings LLC (B+/B1)
	38,399,298		3.750			03/31/21		37,890,508
	Sedgwick Claims Management Services, Inc. (B/B1)
	13,194,936		3.750			03/01/21		12,976,428
	Sedgwick Claims Management Services, Inc. (CCC+/Caa2)
	26,450,758		6.750			02/28/22		24,797,585
	U.S. Renal Care, Inc. (B/Ba3)
	7,141,402		4.250			07/03/19		7,120,549
	U.S. Renal Care, Inc. (CCC+/Caa1)
	4,000,000		8.500			01/03/20		4,030,000
	7,975,000		10.250			01/03/20		7,975,000
								160,221,043
Principal Amount		Interest Rate			Maturity Date		Value
	Senior Term Loans(a) – (continued)
	Lodging – 2.6%
	Four Seasons Holdings, Inc. (BB/B1)
$	16,937,348		3.500	%		06/27/20	$	16,805,067
	Four Seasons Holdings, Inc. (B-/Caa1)
	11,767,000		6.250			12/27/20		11,708,165
	Hilton Worldwide Finance LLC (BBB-/Ba2)
	29,974,863		3.500			10/26/20		29,874,747
	La Quinta Intermediate Holding LLC (BB/B1)
	40,066,263		3.750			04/14/21		39,665,600
								98,053,579
	Media – Broadcasting & Radio – 3.2%
	Getty Images, Inc. (CCC+/B2)
	51,815,556		4.750			10/18/19		33,496,684
	iHeart Communications, Inc. (CCC+/Caa1)
	26,847,038		7.694			07/30/19		22,350,159
	Salem Communications Corp. (B/B2)
	13,743,198		4.500			03/13/20		13,580,067
	Telesat Canada (BB/Ba3)
	2,013,747		3.500			03/28/19		1,994,234
	The E.W. Scripps Co. (BBB-/Ba2)
	12,916,612		3.500			11/26/20		12,908,603
	Townsquare Media, Inc. (BB-/Ba2)
	3,333,250		4.250			04/01/22		3,314,517
	Univision Communications, Inc. (B+/B2)
	33,026,055		4.000			03/01/20		32,786,826
								120,431,090
	Media – Cable – 2.5%
	Altice Financing SA (BB-/B1)
	2,131,157		5.500			07/02/19		2,126,894
	Charter Communications Operating LLC (BB+/Baa3)
	28,540,888		3.000			07/01/20		28,166,431
	11,556,132		3.000			01/03/21		11,351,010
	CSC Holdings LLC (BB+/Baa3)
	10,136,623		2.694			04/17/20		10,058,976
	Neptune Finco Corp. (NR/NR)
	7,775,000		5.000			09/21/22		7,724,462
	Numericable Group SA (NR/NR)
	3,725,000		4.000			07/31/22		3,648,638
	Wave Division Holdings LLC (BB-/Ba3)
	6,807,500		4.000			10/15/19		6,787,622
	Ziggo N.V. (BB-/Ba3)
	20,950,000		3.500			01/15/22		20,541,475
EUR	5,500,000		3.750			01/15/22		6,027,578
								96,433,086
	Media – Non Cable – 3.6%
	Advantage Sales & Marketing, Inc. (B/B1)
$	18,244,729		4.250			07/23/21		17,885,490
	Advantage Sales & Marketing, Inc. (CCC+/Caa1)
	4,791,893		7.500			07/25/22		4,576,258
	Checkout Holding Corp. (B/B1)
	21,074,646		4.500			04/09/21		18,018,823
	Checkout Holding Corp. (CCC/Caa1)
	21,800,000		7.750			04/11/22		14,415,250
	McGraw-Hill Global Education Holdings LLC (B+/B1)
	6,258,605		4.750			03/22/19		6,261,233

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

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Senior Term Loans(a) – (continued)
	Media – Non Cable – (continued)
	Media General, Inc. (BB+/Ba3)
$	12,083,020		4.000	%		07/31/20	$	11,969,802
	NEP Supershooters LP (B-/Caa1)
	20,832,739		10.000			07/22/20		20,693,785
	NEP/NCP Holdco, Inc. (B/B1)
	26,289,160		4.250			01/22/20		25,697,654
	Renaissance Learning, Inc. (B-/B1)
	7,493,043		4.500			04/09/21		7,249,519
	Renaissance Learning, Inc. (CCC/Caa2)
	9,612,400		8.000			04/11/22		9,307,975
								136,075,789
	Metals & Mining – 0.2%
	Hi Crush Partners LP (BB-/B2)
	6,859,350		4.750			04/28/21		6,344,898
	Novelis, Inc. (BB/Ba2)
	274,313		4.000			06/02/22		269,512
								6,614,410
	Packaging – 3.3%
	Ardagh Holdings USA, Inc. (B+/Ba3)
	3,765,242		4.000			12/17/19		3,745,248
	Berry Plastics Holding Corp. (BB-/Ba3)
	27,921,305		3.500			02/08/20		27,637,624
	Berry Plastics Holding Group, Inc. (BB-/Ba3)
	12,387,681		3.750			01/06/21		12,290,314
	BWAY Holding Co., Inc. (B-/B2)
	30,807,756		5.500			08/14/20		30,682,676
	Klockner-Pentaplast of America, Inc. (B/B1)
EUR	2,244,375		5.000			04/28/20		2,514,911
$	5,223,884		5.000			04/28/20		5,235,324
	KP Germany Erste GmbH (B/B1)
	2,232,429		5.000			04/28/20		2,237,318
	Onex Wizard U.S. Acquisition, Inc. (B+/B1)
	15,934,962		4.250			03/13/22		15,891,779
	Reynolds Group Holdings, Inc. (B+/B1)
	26,959,650		4.500			12/01/18		26,953,449
								127,188,643
	Property/Casualty Insurance – 0.2%
	York Risk Services Holding Corp. (B/B1)
	9,733,581		4.750			10/01/21		9,323,992
	Real Estate – 1.0%
	Communications Sales & Leasing, Inc. (BB/B1)
	9,975,000		5.000			10/24/22		9,339,094
	Realogy Corp. (BB/Ba2)
	20,772,124		3.750			03/05/20		20,707,315
	Starwood Property Trust, Inc. (BB/Ba3)
	9,406,588		3.500			04/17/20		9,247,898
								39,294,307
	Restaurants – 1.5%
	1011778 B.C. Unlimited Liability Co. (B+/Ba3)
	53,183,810		3.750			12/12/21		52,904,595
	Seminole Hard Rock Entertainment, Inc. (BB+/Ba1)
	4,887,500		3.500			05/14/20		4,789,750
								57,694,345
Principal Amount		Interest Rate			Maturity Date		Value
	Senior Term Loans(a) – (continued)
	Retailers – 6.9%
	Academy Ltd. (B/B2)
$	9,335,066		5.000	%		07/01/22	$	9,277,935
	American Apparel (USA) LLC (CCC-/Caa3)
	1,833,600		7.194			01/15/18		1,833,600
	2,292,000		5.199			04/04/18		2,292,000
	Bass Pro Group LLC (BB-/B1)
	9,172,750		4.000			06/05/20		9,115,421
	BJ’s Wholesale Club, Inc. (B-/B3)
	14,929,090		4.500			09/26/19		14,764,870
	BJ’s Wholesale Club, Inc. (CCC/Caa2)
	19,900,000		8.500			03/26/20		19,659,608
	Burlington Coat Factory Warehouse Corp. (BB-/Ba3)
	11,215,645		4.250			08/13/21		11,215,533
	Container Store, Inc. (B/B2)
	6,486,457		4.250			04/06/19		6,413,484
	Dollar Tree, Inc. (BB+/Ba1)
	18,858,544		3.500			07/06/22		18,855,904
	16,700,000		4.250			07/06/22		16,699,833
	Hudson’s Bay Co. (BB/B1)
	6,000,000		4.750			08/10/22		6,016,800
	J Crew Group, Inc. (B-/B2)
	24,641,887		4.000			03/05/21		19,022,551
	Michaels Stores, Inc. (BB-/Ba2)
	21,164,865		3.750			01/28/20		21,115,762
	Neiman Marcus Group Ltd., Inc. (B/B2)
	32,213,311		4.250			10/25/20		31,485,612
	Payless, Inc. (B/B1)
	6,154,376		5.000			03/11/21		4,769,642
	Payless, Inc. (CCC+/B3)
	3,750,000		8.500			03/11/22		2,925,000
	Petco Animal Supplies, Inc. (B+/Ba3)
	11,108,700		4.000			11/24/17		11,088,815
	PetSmart, Inc. (BB-/Ba3)
	21,896,313		4.250			03/11/22		21,839,382
	Staples, Inc. (BBB/Baa2)
	11,400,000		3.500			04/07/21		11,333,082
	The Men’s Wearhouse, Inc. (BB-/Ba2)
	2,355,682		4.500			06/18/21		2,357,166
	6,525,000		5.000			06/18/21		6,508,688
	True Religion Apparel, Inc. (B-/Caa1)
	16,646,250		5.875			07/30/19		9,959,951
	True Religion Apparel, Inc. (CCC/Caa3)
	7,650,000		11.000			01/29/20		3,251,250
								261,801,889
	Services Cyclical – Business Services – 4.6%
	Acosta Holdco, Inc. (B/B1)
	4,457,813		4.250			09/26/21		4,379,801
	ADS Waste Holdings, Inc. (B+/B2)
	42,488,398		3.750			10/09/19		41,811,133
	Crossmark Holdings, Inc. (CCC/Caa2)
	6,864,000		8.750			12/21/20		5,216,640
	First Data Corp. (BB-/B1)
	7,925,000		3.696			03/24/17		7,882,918
	38,460,076		3.696			03/24/18		38,111,628
	10,000,000		3.696			09/24/18		9,895,000
	12,477,728		4.196			03/24/21		12,446,534

The accompanying notes are an integral part of these financial statements. 85

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

Schedule of Investments (continued)

September 30, 2015 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Senior Term Loans(a) – (continued)
	Services Cyclical – Business Services – (continued)
	Koosharem LLC (B-/B3)
$	6,884,825		7.500	%		05/15/20	$	6,760,072
	TCH 2 Holdings LLC (B-/B1)
	5,531,772		5.500			05/06/21		5,476,454
	Travelport Finance S.A.R.L. (B/B2)
	10,545,313		5.750			09/02/21		10,486,048
	Vantiv, LLC (BB+/Ba3)
	28,031,558		3.750			06/13/21		28,037,164
	Waste Industries USA, Inc. (BB-/B1)
	5,472,500		4.250			02/27/20		5,486,127
								175,989,519
	Services Cyclical – Consumer Services – 1.7%
	Bright Horizons Family Solution, Inc. (BB/B1)
	36,819,551		3.750			01/30/20		36,806,296
	Spin Holdco, Inc. (B/B2)
	21,248,283		4.250			11/14/19		20,810,143
	Weight Watchers International, Inc. (B-/B3)
	971,898		3.210			04/02/16		873,494
	10,192,202		4.000			04/02/20		5,542,010
								64,031,943
	Services Cyclical – Rental Equipment – 0.3%
	Maxim Crane Works LP (B/Caa2)
	12,000,000		10.250			11/26/18		11,880,000
	Technology – 0.7%
	CDW LLC (BB+/Ba2)
	22,084,151		3.250			04/29/20		21,867,285
	Riverbed Technology, Inc. (B/B1)
	5,522,250		6.000			04/24/22		5,522,250
								27,389,535
	Technology – Software/Services – 3.8%
	Aspect Software, Inc. (B-/B1)
	4,876,279		7.500			05/07/16		4,754,372
	Avago Technologies Cayman Ltd. (BBB-/Ba1)
	33,295,368		3.750			05/06/21		33,246,756
	BMC Software Finance, Inc. (B/B1)
	20,403,377		5.000			09/10/20		18,495,661
	Dealertrack Technologies, Inc. (BB-/WR)
	7,618,332		5.000			02/28/21		7,575,517
	Electrical Components International, Inc. (B+/B1)
	7,266,680		5.750			05/28/21		7,253,092
	Emdeon, Inc. (B+/Ba3)
	17,980,560		3.750			11/02/18		17,860,630
	Freescale Semiconductor, Inc. (B/B1)
	15,269,317		4.250			02/28/20		15,250,231
	7,245,722		5.000			01/15/21		7,244,418
	Lawson Software, Inc. (B+/B1)
	4,316,308		3.750			06/03/20		4,171,539
	MA FinanceCo., LLC (BB-/B1)
	6,703,125		4.500			11/20/19		6,683,016
	SS&C Technologies, Inc. (BB/Ba3)
	20,017,377		4.000			07/08/22		20,029,987
	TTM Technologies, Inc. (B+/B2)
	4,050,000		6.000			05/31/21		3,766,500
								146,331,719
Principal Amount		Interest Rate			Maturity Date		Value
	Senior Term Loans(a) – (continued)
	Transportation – 0.1%
	Pilot Travel Centers LLC (BB+/Ba2)
$	3,267,000		4.250	%		10/01/21	$	3,275,821
	Utilities – Electric – 1.4%
	Calpine Corp. (BB/Ba3)
	20,922,992		4.000			10/09/19		20,861,897
	6,553,192		4.000			10/30/20		6,534,778
	17,955,000		3.500			05/27/22		17,645,815
	NRG Energy, Inc. (BB+/Baa3)
	8,453,524		2.750			07/02/18		8,256,980
								53,299,470
	Wireless Telecommunications – 4.5%
	Asurion LLC (B/Ba3)
	4,929,054		5.000			05/24/19		4,693,692
	Asurion LLC (CCC+/Caa1)
	41,536,979		8.500			03/03/21		37,217,133
	Asurion LLC (B/Ba3)
	3,042,375		5.000			08/04/22		2,869,812
	Crown Castle Operating Co. (BBB/Ba1)
	18,506,346		3.000			01/31/21		18,428,620
	GCI Holdings, Inc. (BB+/Ba2)
	5,174,000		4.000			02/02/22		5,167,533
	Intelsat Jackson Holdings Ltd. (BB-/Ba3)
	61,184,955		3.750			06/30/19		59,456,480
	Level 3 Financing, Inc. (BB/Ba1)
	12,095,000		4.000			08/01/19		12,082,905
	13,000,000		4.000			01/15/20		12,951,250
	10,227,000		3.500			05/31/22		10,133,218
	LTS Buyer LLC (B/B1)
	3,231,735		4.000			04/13/20		3,167,100
	Zayo Group LLC (BB-/Ba2)
	3,982,992		3.750			05/06/21		3,954,474
								170,122,217
	TOTAL SENIOR TERM LOANS
	(Cost $3,294,719,804)						$	3,168,820,275
	Corporate Obligations – 9.9%
	Airlines – 1.7%
	Air Canada (BB/Ba3)(b)(c)
	$18,525,000		6.750	%		10/01/19	$	19,543,875
	Air Canada (BB-/NR)(c)
	10,000,000		5.000			03/15/20		9,837,600
	Air Canada (BBB-/Ba1)(c)
	15,394,857		5.375			11/15/22		15,818,216
	Air Canada 2013-1 Class C Pass Through Trust (BB-/Ba3)(c)
	9,221,000		6.625			05/15/18		9,565,865
	Continental Airlines 2012-3 Class C Pass Thru Certificates (NR/Ba2)
	4,500,000		6.125			04/29/18		4,680,000
	United Airlines 2014-1 Class B Pass Through Trust (BBB/NR)
	3,850,000		4.750			10/11/23		3,850,000
								63,295,556

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

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Automotive(b)(c) – 0.2%
	Schaeffler Finance BV (BB-/Ba2)
$	7,475,000		4.750	%		05/15/23	$	7,232,063
	Chemicals – 0.2%
	Momentive Performance Materials, Inc. (B/B3)(b)
	10,000,000		3.880			10/24/21		7,700,000
	MPM Escrow LLC (NR/NR)(d)
	10,000,000		8.875			10/15/20		—
	WR Grace & Co. (BB-/Ba3)(c)
	750,000		5.125			10/01/21		738,750
								8,438,750
	Consumer Products – Industrial(b)(c) – 0.1%
	HD Supply, Inc. (BB-/B1)
	3,275,000		5.250			12/15/21		3,295,469
	Energy(b)(c)(e) – 0.1%
	FTS International, Inc. (B+/B1)
	5,950,000		7.837			06/15/20		4,432,750
	Energy – Exploration & Production(b)(c) – 0.2%
	Antero Resources Corp. (BB/Ba3)
	10,150,000		5.625			06/01/23		8,881,250
	Finance(c) – 0.2%
	CIT Group, Inc. (BB-/B1)
	1,425,000		5.500			02/15/19		1,478,438
	HRG Group, Inc. (B+/Ba3)(b)
	4,900,000		7.875			07/15/19		5,059,250
	International Lease Finance Corp. (BBB-/Ba1)
	1,000,000		7.125			09/01/18		1,098,700
								7,636,388
	Food and Beverage(b) – 0.4%
	Shearer’s Foods LLC/Chip Finance Corp. (B/B1)(c)
	900,000		9.000			11/01/19		954,000
	US Foods, Inc. (CCC+/Caa2)
	12,000,000		8.500			06/30/19		12,405,000
								13,359,000
	Gaming(b)(d) ��� 0.3%
	Caesars Entertainment Operating Co., Inc. (D/WR)
	14,850,000		9.000			02/15/20		12,139,875
	Health Care – 1.6%
	CHS/Community Health Systems, Inc. (BB/Ba2)(b)
	9,000,000		5.125			08/15/18		9,180,000
	5,000,000		5.125			08/01/21		5,125,000
	CHS/Community Health Systems, Inc. (B-/B3)(b)
	8,800,000		6.875			02/01/22		9,009,000
	Crimson Merger Sub, Inc. (CCC+/Caa1)(b)(c)
	5,200,000		6.625			05/15/22		4,485,000
	HCA, Inc. (BBB-/Ba1)
	10,000,000		3.750			03/15/19		9,975,000
	8,150,000		6.500			02/15/20		8,883,500
	8,050,000		5.000			03/15/24		8,070,125
	3,275,000		5.250			04/15/25		3,344,594
	Tenet Healthcare Corp. (BB-/Ba2)(b)(c)(e)
	2,450,000		3.837			06/15/20		2,431,625
								60,503,844
Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Lodging – 0.1%
	RHP Hotel Properties LP/RHP Finance Corp. (BB/B1)
$	2,000,000		5.000	%		04/15/23	$	1,980,000
	Media – Broadcasting & Radio(b) – 0.8%
	iHeartCommunications, Inc. (CCC+/Caa1)
	3,153,000		9.000			12/15/19		2,711,580
	SBA Communications Corp. (B/B3)
	7,200,000		4.875			07/15/22		7,056,000
	Univision Communications, Inc. (CCC+/Caa1)(c)
	5,650,000		8.500			05/15/21		5,876,000
	Univision Communications, Inc. (B+/B2)(c)
	6,421,000		6.750			09/15/22		6,629,682
	10,200,000		5.125			02/15/25		9,588,000
								31,861,262
	Media – Cable(b)(c) – 0.7%
	Altice US Finance I Corp. (BB-/Ba3)
	1,575,000		5.375			07/15/23		1,519,875
	Numericable – SFR SAS (B+/B1)
	13,000,000		4.875			05/15/19		12,480,000
	4,600,000		6.250			05/15/24		4,393,000
	Virgin Media Secured Finance PLC (BB-/Ba3)
	8,325,000		5.375			04/15/21		8,377,031
								26,769,906
	Media – Non Cable(b)(c) – 0.1%
	Nielsen Finance LLC/Nielsen Finance Co. (BB+/B1)
	2,375,000		5.000			04/15/22		2,309,688
	Packaging(b) – 0.4%
	Ardagh Packaging Finance PLC (CCC+/Caa1)(c)
	2,450,000		6.250			01/31/19		2,437,750
	Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (B+/Ba3)(c)
EUR	2,600,000		4.250			01/15/22		2,854,397
	Reynolds Group Issuer, Inc. (B+/B1)
$	865,000		7.875			08/15/19		896,356
	4,275,000		5.750			10/15/20		4,317,750
	Reynolds Group Issuer, Inc. (CCC+/Caa2)
	3,075,000		9.875			08/15/19		3,182,625
								13,688,878
	Pharmaceuticals(b)(c) – 0.0%
	Concordia Healthcare Corp. (CCC+/Caa2)
	1,400,000		7.000			04/15/23		1,197,000
	Restaurants(b)(c) – 0.1%
	New Red Finance, Inc. (B+/Ba3)
	3,025,000		4.625			01/15/22		2,956,937
	New Red Finance, Inc. (B-/B3)
	2,050,000		6.000			04/01/22		2,078,188
								5,035,125
	Retailers(b) – 0.2%
	American Apparel, Inc. (CC/Caa3)(d)
	9,986,469		15.000			04/15/20		5,492,558
	Dollar Tree, Inc. (B+/Ba3)(c)
	1,300,000		5.750			03/01/23		1,347,125

The accompanying notes are an integral part of these financial statements. 87

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

Schedule of Investments (continued)

September 30, 2015 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Retailers(b) – (continued)
	Family Tree Escrow LLC (B+/Ba3)(c)
$	325,000		5.250	%		03/01/20	$	334,750
								7,174,433
	Services Cyclical – Business Services(b)(c) – 0.3%
	Altegrity, Inc. (D/WR)
	1,736,000		9.500			07/01/19		1,640,520
	First Data Corp. (BB-/B1)
	9,075,000		6.750			11/01/20		9,483,375
								11,123,895
	Services Cyclical – Rental Equipment(b)(c) – 0.2%
	Ahern Rentals, Inc. (B/B3)
	7,150,000		7.375			05/15/23		6,229,438
	Technology(b)(c) – 0.0%
	Brightstar Corp. (BB+/Ba1)
	1,025,000		7.250			08/01/18		1,071,125
	Technology – Software/Services(b) – 0.1%
	Emdeon, Inc. (CCC+/Caa1)
	2,500,000		11.000			12/31/19		2,662,500
	Telecommunications – Cellular – 1.1%
	Altice Financing SA (BB-/B1)(b)(c)
	2,175,000		6.500			01/15/22		2,109,750
	Sprint Communications, Inc. (BB/B1)(c)
	18,000,000		9.000			11/15/18		18,900,000
	Sprint Communications, Inc. (B+/Caa1)
	8,000,000		8.375			08/15/17		7,940,000
	1,575,000		7.000			08/15/20		1,319,062
	Sprint Corp. (B+/Caa1)
	9,850,000		7.875			09/15/23		7,880,000
	Wind Acquisition Finance SA (BB/Ba3)(b)(c)
	3,900,000		4.750			07/15/20		3,831,750
								41,980,562
	Telecommunications – Internet & Data(b)(e) – 0.1%
	Level 3 Financing, Inc. (B/B1)
	4,650,000		3.914			01/15/18		4,650,000
	Telecommunications – Satellites(b) – 0.3%
	Intelsat Jackson Holdings SA (B+/B3)
	7,450,000		7.250			04/01/19		6,984,375
	Intelsat Jackson Holdings SA (CCC+/Caa1)(f)
	6,700,000		6.625	(g)		12/15/22		5,226,000
								12,210,375
	Telecommunications – Wirelines – 0.2%
	Frontier Communications Corp. (BB-/Ba3)
	5,000,000		8.250			04/15/17		5,275,000
	4,050,000		8.875	(b)(c)		09/15/20		3,979,125
								9,254,125
	Transportation(b) – 0.2%
	Aguila 3 SA (B/B3)
CHF	750,000		7.875			01/31/18		774,272
$	7,325,000		7.875	(c)		01/31/18		7,379,937
								8,154,209
	TOTAL CORPORATE OBLIGATIONS
	(Cost $395,622,798)						$	376,567,466
Principal Amount		Interest Rate			Maturity Date		Value
	Asset-Backed Securities(c)(e) – 0.2%
	Collateralized Loan Obligation – 0.2%
	Zais CLO 1 Ltd. Series 2014-1A, Class B (A/NR)
$	8,600,000		2.905	%		04/15/26	$	8,004,932
	(Cost $8,170,000)

Shares	Description	Value
Investment Companies(g) – 5.3%
Goldman Sachs Financial Square Government Fund – FST Shares
202,642,553	0.006%	$	202,642,553
Goldman Sachs High Yield Fund
3,718	0.006		23,350
TOTAL INVESTMENT COMPANIES
(Cost $202,666,754)		$	202,665,903
TOTAL INVESTMENTS – 98.5%
(Cost $3,901,179,356)		$	3,756,058,576

Principal Amount			Interest Rate (Paid) Received			Maturity Date		Value
	Reverse Repurchase Agreement – (0.1)%
	Barclays Reverse Repurchase Agreement (NR/NR)
$	(4,500,000	)		0.100	%		08/05/16	$	(4,500,000	)
	(Cost $(4,500,000))
	OTHER ASSETS IN EXCESS OF     LIABILITIES – 1.6%								62,481,500
	NET ASSETS – 100.0%							$	3,814,040,076

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a)	Senior Term Loans often require prepayments from excess cash flows or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. The stated interest rate represents the weighted average interest rate of all contracts within the senior loan facility on September 30, 2015. Senior Term Loans typically have rates of interest which are predetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium. These base lending rates are primarily the London-Interbank Offered Rate (“LIBOR”), and secondarily the prime rate offered by one or more major United States banks (the “Prime Rate”) and the certificate of deposit (“CD”) rate or other base lending rates used by commercial lenders.
(b)	Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.
(c)	Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $221,862,226, which represents approximately 5.8% of net assets as of September 30, 2015.
(d)	Security is currently in default and/or non-income producing.

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

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

(e)	Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on September 30, 2015.
(f)	All or a portion of the security was pledged as collateral against open reverse repurchase agreements. As of September 30, 2015, the value of securities pledged amounted to $3,900,000.
(g)	Represents Affiliated Funds.

Security ratings disclosed, if any, are obtained from Standard & Poor’s/Moody’s Investors Service and are unaudited. A description of the ratings is available in the Fund’s Statement of Additional Information.

Currency Abbreviations:
CHF	—Swiss Franc
EUR	—Euro
USD	—U.S. Dollar
Investment Abbreviations:
CLO	—Collateralized Loan Obligation
LIBOR	—London Interbank Offered Rate
LLC	—Limited Liability Company
LP	—Limited Partnership
WR	—Withdrawn Rating

ADDITIONAL INVESTMENT INFORMATION

UNFUNDED LOAN COMMITMENTS — At September 30, 2015, the Fund had unfunded loan commitments which could be extended at the option of the borrowers, pursuant to the following loan agreements:

Borrower	Principal Amount		Current Value		Unrealized Gain (Loss)
American Apparel (USA) LLC (CCC/Ca3), due 04/04/18	$	1,510,067	$	1,510,067	$ —

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At September 30, 2015, the Fund had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN

Counterparty	Currency Purchased		Currency Sold			Current Value		Settlement Date		Unrealized Gain
Citibank NA	USD	13,234,865		EUR	11,745,261	$	13,125,072		10/05/15	$	109,793
Credit Suisse International (London)	USD	2,267,987		CHF	2,182,525		2,239,750		10/05/15		28,237
TOTAL										$	138,030

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

Counterparty	Currency Purchased			Currency Sold		Current Value		Settlement Date		Unrealized Loss
BNP Paribas SA		CHF	1,437,537	USD	1,477,721	$	1,475,230		10/05/15	$	(2,492	)

SWAP CONTRACTS — At September 30, 2015, the Fund had the following swap contracts:

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS

			Rates Exchanged			Market Value
Notional Amount (000s)(a)		Termination Date	Payments Received		Payments Made	Upfront Payments Made (Received)			Unrealized Gain (Loss)
$	35,100	12/16/20		3 month LIBOR	2.000%	$	(483,931	)	$	(407,978	)
	34,100	12/16/22		3 month LIBOR	2.250		(500,327	)		(585,437	)
	TOTAL					$	(984,258	)	$	(993,415	)

(a) Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2015.

The accompanying notes are an integral part of these financial statements. 89

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

Schedule of Investments

September 30, 2015 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – 83.8%
	Automotive – 2.5%
	Ford Motor Credit Co. LLC
$	2,175,000		3.984	%		06/15/16	$	2,213,641
	4,325,000		5.875			08/02/21		4,880,794
	General Motors Co.
	3,700,000		3.500			10/02/18		3,755,838
								10,850,273
	Banks – 16.6%
	American Express Co.(a)(b)
	3,055,000		6.800			09/01/66		3,085,550
	Bank of America Corp.
	3,750,000		5.000			05/13/21		4,123,540
	8,300,000		4.000			04/01/24		8,565,797
	Barclays Bank PLC
	3,575,000		2.500			02/20/19		3,636,047
	Citigroup, Inc.
	1,350,000		4.450			09/29/27		1,346,263
	Compass Bank(a)
	1,025,000		2.750			09/29/19		1,020,165
	Credit Suisse AG(c)
	2,500,000		6.500			08/08/23		2,690,625
	Discover Financial Services(a)
	2,400,000		3.750			03/04/25		2,314,770
	HSBC Holdings PLC(a)(b)
	600,000		6.375			03/30/49		572,250
	1,275,000		6.375			09/17/49		1,219,219
	ING Bank NV(a)(b)
	3,675,000		4.125			11/21/23		3,761,535
	Intesa Sanpaolo SPA
	1,600,000		3.125			01/15/16		1,608,651
	4,075,000		3.875			01/16/18		4,201,600
	3,400,000		5.017	(c)		06/26/24		3,354,273
	JPMorgan Chase & Co.
	3,700,000		3.875			09/10/24		3,649,011
	2,175,000		5.300	(a)(b)		05/01/49		2,136,937
	KBC Bank NV(a)(b)
	2,000,000		8.000			01/25/23		2,185,300
	LBG Capital No.1 PLC(a)(b)(c)
	1,250,000		8.000			06/15/49		1,412,500
	Morgan Stanley, Inc.
	5,125,000		4.000			07/23/25		5,237,577
	Nationwide Building Society(c)
	1,600,000		3.900			07/21/25		1,636,110
	PNC Preferred Funding Trust II(a)(b)(c)
	3,800,000		1.560			03/29/49		3,510,250
	Royal Bank of Scotland Group PLC
	1,875,000		5.125			05/28/24		1,891,217
	Royal Bank of Scotland PLC(a)(b)
	1,150,000		9.500			03/16/22		1,253,500
	Santander Holdings USA, Inc.(a)
	975,000		3.450			08/27/18		998,187
	Santander UK Group Holdings PLC(c)
	1,100,000		4.750			09/15/25		1,087,133
	The Bank of Nova Scotia(c)
	300,000		1.650			10/29/15		300,238
	UBS Group Funding Jersey Ltd.(c)
	1,850,000		4.125			09/24/25		1,841,109
Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Banks – (continued)
	Wells Fargo & Co.(a)(b)
$	3,625,000		5.900	%		06/15/49	$	3,625,000
								72,264,354
	Brokerage – 1.5%
	KKR Group Finance Co. LLC(c)
	1,850,000		6.375			09/29/20		2,170,594
	Morgan Stanley, Inc.
	4,425,000		3.700			10/23/24		4,472,524
								6,643,118
	Chemicals – 1.8%
	Albemarle Corp.(a)
	900,000		3.000			12/01/19		899,074
	Ecolab, Inc.
	1,667,000		5.500			12/08/41		1,857,990
	Incitec Pivot Ltd.(c)
	3,700,000		4.000			12/07/15		3,716,938
	Monsanto Co.(a)
	1,675,000		4.700			07/15/64		1,392,489
								7,866,491
	Consumer Cyclical Services(a) – 0.7%
	The Priceline Group, Inc.
	3,275,000		3.650			03/15/25		3,259,935
	Distributor(c) – 0.3%
	Southern Star Central Gas Pipeline, Inc.
	1,100,000		6.000			06/01/16		1,129,170
	Electric – 4.2%
	Exelon Corp.(a)
	1,550,000		2.850			06/15/20		1,558,285
	Florida Power & Light Co.(a)
	2,600,000		5.250			02/01/41		3,039,920
	Kentucky Utilities Co.(a)
	1,700,000		5.125			11/01/40		1,916,750
	PPL WEM Holdings PLC(a)(c)
	1,750,000		5.375			05/01/21		1,947,337
	Progress Energy, Inc.
	1,000,000		7.000			10/30/31		1,259,844
	Public Service Electric & Gas Co.(a)
	2,525,000		3.950			05/01/42		2,459,260
	Puget Sound Energy, Inc.(a)(b)
	2,000,000		6.974			06/01/67		1,707,500
	Ruwais Power Co. PJSC(c)
	670,000		6.000			08/31/36		747,050
	Southern California Edison Co.(a)
	1,550,000		4.050			03/15/42		1,525,045
	Virginia Electric and Power Co.(a)
	2,030,000		4.000			01/15/43		1,979,872
								18,140,863
	Energy – 6.4%
	Anadarko Petroleum Corp.
	3,125,000		8.700			03/15/19		3,685,679
	1,840,000		3.450	(a)(d)		07/15/24		1,770,834

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

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Energy – (continued)
	Apache Corp.(a)
$	675,000		5.100	%		09/01/40	$	635,810
	1,395,000		4.250			01/15/44		1,184,759
	Canadian Natural Resources Ltd.(a)
	1,740,000		3.450			11/15/21		1,672,332
	750,000		3.900			02/01/25		689,642
	Cimarex Energy Co.(a)
	1,125,000		4.375			06/01/24		1,094,063
	ConocoPhillips Co.(a)
	2,410,000		3.350			11/15/24		2,356,083
	1,375,000		4.150			11/15/34		1,299,856
	Continental Resources, Inc.(a)
	435,000		4.500			04/15/23		374,412
	575,000		3.800			06/01/24		468,979
	Corp Financiera de Desarrollo SA(c)
	360,000		4.750			02/08/22		364,500
	Devon Energy Corp.(a)
	2,345,000		3.250			05/15/22		2,242,168
	700,000		4.750			05/15/42		617,973
	Dolphin Energy Ltd.(c)
	141,831		5.888			06/15/19		151,936
	Ensco PLC(a)
	450,000		5.200			03/15/25		342,869
	Marathon Oil Corp.(a)
	2,400,000		2.700			06/01/20		2,265,784
	Noble Energy, Inc.(a)
	1,325,000		4.150			12/15/21		1,326,663
	Suncor Energy, Inc.(a)
	2,875,000		3.600			12/01/24		2,824,165
	Valero Energy Corp.
	2,300,000		3.650			03/15/25		2,209,025
	Weatherford International Ltd.
	135,000		9.625			03/01/19		143,100
								27,720,632
	Food & Beverage – 4.0%
	Beam Suntory, Inc.(a)
	3,400,000		3.250			05/15/22		3,338,203
	Kraft Heinz Foods Co.(a)(c)
	3,300,000		3.500			07/15/22		3,367,308
	Pernod-Ricard SA(c)
	2,300,000		4.450			01/15/22		2,415,970
	SABMiller Holdings, Inc.(c)
	925,000		4.950			01/15/42		941,518
	Sysco, Corp.(a)
	1,650,000		3.750			10/01/25		1,662,367
	The J.M. Smucker Co.(c)
	2,750,000		3.000			03/15/22		2,741,023
	WM Wrigley Jr Co.(a)(c)
	2,650,000		3.375			10/21/20		2,760,081
								17,226,470
	Health Care – 1.9%
	AmerisourceBergen Corp.(a)
	2,975,000		3.250			03/01/25		2,890,070
	Medtronic, Inc.
	2,450,000		3.150			03/15/22		2,484,943
Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Health Care – (continued)
	UnitedHealth Group, Inc.
$	1,125,000		4.625	%		07/15/35	$	1,191,619
	1,475,000		4.750			07/15/45		1,557,189
								8,123,821
	Home Construction – 0.6%
	MDC Holdings, Inc.
	2,275,000		5.625			02/01/20		2,386,323
	475,000		6.000	(a)		01/15/43		384,178
								2,770,501
	Life Insurance – 2.4%
	AIA Group Ltd.(a)(c)
	3,025,000		3.200			03/11/25		2,903,271
	Genworth Financial, Inc.
	1,000,000		8.625			12/15/16		1,048,830
	Prudential Financial, Inc.(a)(b)
	1,550,000		5.375			05/15/45		1,542,250
	Reliance Standard Life Global Funding II(c)
	2,350,000		2.500			01/15/20		2,353,586
	Teachers Insurance & Annuity Association of America(c)
	2,440,000		4.900			09/15/44		2,510,021
								10,357,958
	Lodging – 0.4%
	Marriott International, Inc.
	1,600,000		2.875			03/01/21		1,610,240
	Media – Cable – 2.6%
	CCO Safari II LLC(a)(c)
	700,000		4.464			07/23/22		699,111
	2,325,000		4.908			07/23/25		2,311,956
	Comcast Corp.
	1,375,000		4.250			01/15/33		1,364,649
	2,075,000		6.450			03/15/37		2,587,794
	DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.(a)
	2,025,000		3.950			01/15/25		1,983,232
	300,000		6.000			08/15/40		315,450
	Time Warner Cable, Inc.
	890,000		6.750			07/01/18		988,096
	275,000		5.000			02/01/20		294,572
	500,000		5.875	(a)		11/15/40		468,500
	300,000		5.500	(a)		09/01/41		270,210
								11,283,570	��
	Media – Non Cable – 0.9%
	21st Century Fox America, Inc.
	2,200,000		6.150			02/15/41		2,515,920
	675,000		5.400			10/01/43		712,193
	Time Warner, Inc.(a)
	550,000		4.850			07/15/45		537,059
								3,765,172
	Metals & Mining – 1.2%
	Freeport-McMoRan, Inc.
	425,000		4.000			11/14/21		327,250
	2,300,000		3.550	(a)		03/01/22		1,719,250

The accompanying notes are an integral part of these financial statements. 91

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

Schedule of Investments (continued)

September 30, 2015 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Metals & Mining – (continued)
	Glencore Funding LLC(c)
$	1,550,000		1.700	%		05/27/16	$	1,472,500
	1,975,000		2.500			01/15/19		1,683,687
								5,202,687
	Noncaptive – Financial – 3.4%
	Air Lease Corp.
	800,000		4.500			01/15/16		804,000
	1,100,000		5.625			04/01/17		1,149,525
	GE Capital Trust I(a)(b)
	3,280,000		6.375			11/15/67		3,550,600
	General Electric Capital Corp.
	725,000		6.150			08/07/37		940,377
	1,025,000		5.875			01/14/38		1,292,248
	975,000		6.375	(a)(b)		11/15/67		1,055,437
	International Lease Finance Corp.
	3,225,000		5.750			05/15/16		3,281,437
	2,500,000		7.125	(c)		09/01/18		2,746,750
								14,820,374
	Pharmaceuticals – 3.5%
	AbbVie, Inc.(a)
	3,475,000		2.500			05/14/20		3,456,043
	975,000		3.200			11/06/22		970,327
	Actavis Funding SCS(a)
	1,150,000		3.450			03/15/22		1,134,523
	1,400,000		4.850			06/15/44		1,278,354
	Actavis, Inc.(a)
	1,200,000		4.625			10/01/42		1,103,461
	EMD Finance LLC(a)(c)
	3,475,000		2.950			03/19/22		3,433,648
	Forest Laboratories, Inc.(c)
	2,075,000		4.375			02/01/19		2,196,215
	1,550,000		5.000	(a)		12/15/21		1,681,412
								15,253,983
	Pipelines – 4.8%
	Columbia Pipeline Group, Inc.(a)(c)
	1,175,000		3.300			06/01/20		1,173,657
	Enbridge, Inc.(a)
	1,000,000		3.500			06/10/24		888,300
	Energy Transfer Partners LP(a)
	1,065,000		5.200			02/01/22		1,066,056
	Enterprise Products Operating LLC(a)(b)
	3,725,000		8.375			08/01/66		3,664,469
	1,765,000		7.000			06/01/67		1,606,150
	Kinder Morgan, Inc.(a)
	1,200,000		5.050			02/15/46		917,710
	Tennessee Gas Pipeline Co.
	1,825,000		8.375			06/15/32		1,904,028
	The Williams Cos., Inc.(a)
	1,825,000		4.550			06/24/24		1,441,801
	TransCanada PipeLines Ltd.(a)(b)
	3,875,000		6.350			05/15/67		3,255,000
	Western Gas Partners LP(a)
	2,450,000		5.450			04/01/44		2,202,106
Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Pipelines – (continued)
	Williams Partners LP(a)
$	3,000,000		3.600	%		03/15/22	$	2,754,125
								20,873,402
	Property/Casualty Insurance – 1.5%
	American International Group, Inc.(a)
	2,100,000		3.750			07/10/25		2,131,960
	975,000		4.500			07/16/44		951,593
	Arch Capital Group Ltd.
	1,245,000		7.350			05/01/34		1,590,727
	The Chubb Corp.(a)(b)
	1,943,000		6.375			03/29/67		1,923,570
								6,597,850
	Real Estate Investment Trusts – 6.8%
	American Campus Communities Operating Partnership LP(a)
	3,200,000		4.125			07/01/24		3,215,040
	ARC Properties Operating Partnership LP
	5,075,000		2.000			02/06/17		4,977,996
	Camden Property Trust
	2,575,000		5.700			05/15/17		2,741,525
	CubeSmart LP(a)
	1,625,000		4.800			07/15/22		1,761,338
	Developers Diversified Realty Corp.
	590,000		9.625			03/15/16		610,842
	3,750,000		7.500			04/01/17		4,056,389
	HCP, Inc.(a)
	2,475,000		2.625			02/01/20		2,459,808
	Kilroy Realty LP
	1,125,000		6.625			06/01/20		1,302,300
	Select Income REIT(a)
	650,000		2.850			02/01/18		653,250
	1,125,000		3.600			02/01/20		1,146,038
	1,625,000		4.150			02/01/22		1,602,413
	Trust F/1401(c)
	230,000		5.250			12/15/24		238,050
	UDR, Inc.
	1,900,000		4.250			06/01/18		2,006,830
	WEA Finance LLC/Westfield UK & Europe Finance PLC(a)(c)
	2,150,000		2.700			09/17/19		2,139,830
	Welltower, Inc.(a)
	775,000		4.125			04/01/19		818,425
								29,730,074
	Retailers(a) – 2.3%
	Amazon.com, Inc.
	2,325,000		3.300			12/05/21		2,399,850
	CVS Health Corp.
	4,150,000		2.800			07/20/20		4,215,098
	1,925,000		3.875			07/20/25		1,981,581
	1,075,000		5.750			05/15/41		1,226,195
								9,822,724
	Technology – Hardware – 1.9%
	Hewlett-Packard Co.
	4,400,000		2.600			09/15/17		4,531,941
	Intel Corp.(a)
	2,225,000		4.900			07/29/45		2,309,132

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

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Technology – Hardware – (continued)
	Oracle Corp.(a)
$	800,000		4.300	%		07/08/34	$	796,713
	QUALCOMM, Inc.
	600,000		3.000			05/20/22		588,540
								8,226,326
	Technology – Software/Services – 1.8%
	Apple, Inc.
	4,300,000		3.850			05/04/43		3,903,813
	Automatic Data Processing, Inc.
	650,000		3.375			09/15/25		661,609
	Fiserv, Inc.(a)
	3,100,000		2.700			06/01/20		3,123,195
								7,688,617
	Tobacco – 3.4%
	Altria Group, Inc.
	1,650,000		2.850			08/09/22		1,610,679
	BAT International Finance PLC(c)
	3,300,000		2.750			06/15/20		3,363,439
	2,950,000		3.950			06/15/25		3,068,272
	Reynolds American, Inc.
	1,600,000		3.250			06/12/20		1,643,822
	3,725,000		4.450	(a)		06/12/25		3,903,551
	950,000		5.850	(a)		08/15/45		1,057,537
								14,647,300
	Trucking & Leasing(c) – 1.3%
	ERAC USA Finance LLC
	1,525,000		5.625			03/15/42		1,635,366
	Penske Truck Leasing Co. LP/PTL Finance Corp.
	3,400,000		3.375	(a)		02/01/22		3,322,966
	650,000		4.875			07/11/22		690,722
								5,649,054
	Wirelines Telecommunications – 5.1%
	AT&T, Inc.(a)
	3,775,000		2.450			06/30/20		3,717,159
	Telefonica Emisiones SAU
	625,000		6.221			07/03/17		670,301
	1,750,000		3.192			04/27/18		1,792,240
	Verizon Communications, Inc.
	5,425,000		4.500			09/15/20		5,868,273
	2,000,000		5.150			09/15/23		2,206,934
	3,420,000		4.150	(a)		03/15/24		3,523,229
	675,000		3.500	(a)		11/01/24		664,136
	1,423,000		4.862			08/21/46		1,330,379
	2,685,000		4.522			09/15/48		2,352,901
								22,125,552
	TOTAL CORPORATE OBLIGATIONS
	(Cost $368,064,560)						$	363,650,511
Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations(b) – 2.2%
	Commercial Mortgage-Backed Securities – 2.2%
	Sequential Floating Rate – 2.2%
	GS Mortgage Securities Trust Series 2007-GG10, Class A4
$	8,969,346		5.988	%		08/10/45	$	9,470,085
	(Cost $9,988,208)
	Agency Debenture(d) – 0.1%
	FHLB
$	600,000		3.000	%		09/10/21	$	642,069
	(Cost $610,919)
	Foreign Debt Obligations – 4.3%
	Sovereign – 4.3%
	Federal Republic of Brazil
$	395,000		7.125	%		01/20/37	$	370,313
	Republic of Chile
	935,000		3.625			10/30/42		801,762
	Republic of Colombia
	3,851,000		4.000			02/26/24		3,731,619
	522,000		6.125			01/18/41		516,780
	Republic of Indonesia
	387,000		5.875			01/15/24		409,253
	1,180,000		4.125			01/15/25		1,112,150
	Republic of Panama(e)
	820,000		9.375			04/01/29		1,179,775
	Republic of Peru
	570,000		6.550			03/14/37		661,200
	Republic of Turkey
	2,040,000		6.250			09/26/22		2,180,760
	1,550,000		5.750			03/22/24		1,606,575
	180,000		7.375			02/05/25		205,920
	Republic of Uruguay
	311,876		5.100			06/18/50		270,552
	United Mexican States
	1,810,000		6.050			01/11/40		1,981,950
	980,000		4.750			03/08/44		894,250
	1,335,000		5.550			01/21/45		1,368,375
	1,706,000		4.600			01/23/46		1,518,340
	TOTAL FOREIGN DEBT OBLIGATIONS
	(Cost $19,360,112)						$	18,809,574
	Municipal Debt Obligations – 3.6%
	California – 2.2%
	California State GO Bonds Build America Taxable Series 2009
$	1,450,000		7.500	%		04/01/34	$	2,031,580
	455,000		7.300			10/01/39		630,407
	California State GO Bonds Build America Taxable Series 2010
	2,320,000		7.625			03/01/40		3,328,922
	California State University RB Build America Bonds Series 2010
	2,825,000		6.484			11/01/41		3,533,708
								9,524,617

The accompanying notes are an integral part of these financial statements. 93

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

Schedule of Investments (continued)

September 30, 2015 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Municipal Debt Obligations – (continued)
	Illinois – 1.3%
	Chicago Illinois Metropolitan Water Reclamation District GO Bonds Build America Taxable Direct Payment Series 2009
$	1,775,000		5.720	%		12/01/38	$	2,138,893
	Illinois State GO Bonds Build America Series 2010
	3,225,000		6.630			02/01/35		3,334,682
								5,473,575
	New Jersey – 0.1%
	New Jersey State Turnpike Authority RB Build America Bonds Taxable Series 2009 F
	350,000		7.414			01/01/40		486,738
	TOTAL MUNICIPAL DEBT OBLIGATIONS
	(Cost $12,543,705)						$	15,484,930
	U.S. Treasury Obligations – 2.5%
	United States Treasury Bond
$	1,600,000		2.875	%		08/15/45	$	1,599,008
	United States Treasury Notes
	2,900,000		1.625			06/30/20		2,936,888
	1,500,000		1.750			02/28/22		1,505,355
	1,000,000		1.875			05/31/22		1,009,620
	700,000		2.000			07/31/22		712,152
	3,200,000		1.750			09/30/22		3,198,752
	TOTAL U.S. TREASURY OBLIGATIONS
	(Cost $10,889,343)						$	10,961,775

Shares	Rate			Value
Preferred Stock(b) – 0.4%
Banks – 0.4%
CoBank ACB
17,603		6.200	%	$	1,760,300
(Cost $1,760,300)

Shares			Rate			Value
	Investment Company(f) – 0.9%
	3,747,934	Goldman Sachs Financial Square Government Fund – FST Shares
	(Cost $3,747,934)			0.006	%	$	3,747,934
	TOTAL INVESTMENTS – 97.8%
	(Cost $426,965,081)					$	424,527,178
	OTHER ASSETS IN EXCESS OF     LIABILITIES – 2.2%						9,665,459
	NET ASSETS – 100.0%					$	434,192,637

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a)	Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.
(b)	Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on September 30, 2015.
(c)	Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $77,910,122, which represents approximately 17.9% of net assets as of September 30, 2015.
(d)	All or a portion of security is segregated as collateral for initial margin requirements on futures transactions.
(e)	Security with “Put” features and resetting interest rates. Maturity dates disclosed are the puttable dates. Interest rate disclosed is that which is in effect at September 30, 2015.
(f)	Represents Affiliated Funds.

Investment Abbreviations:
FHLB	—Federal Home Loan Bank
GO	—General Obligation
LIBOR	—London Interbank Offered Rate
LLC	—Limited Liability Company
LP	—Limited Partnership
RB	—Revenue Bond
REIT	—Real Estate Investment Trust
SPA	—Stand-by Purchase Agreement

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

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

ADDITIONAL INVESTMENT INFORMATION

FUTURES CONTRACTS — At September 30, 2015, the Fund had the following futures contracts:

Type	Number of Contracts Long (Short)			Expiration Date	Current Value			Unrealized Gain (Loss)
Ultra Long U.S. Treasury Bonds		142		December 2015	$	22,777,688		$	144,629
2 Year U.S. Treasury Notes		119		December 2015		26,064,719			34,666
5 Year U.S. Treasury Notes		263		December 2015		31,695,609			190,794
10 Year U.S. Treasury Notes		(51	)	December 2015		(6,565,453	)		(51,654	)
20 Year U.S. Treasury Bonds		(70	)	December 2015		(11,014,063	)		(131,635	)
TOTAL								$	186,800

SWAP CONTRACTS — At September 30, 2015, the Fund had the following swap contracts:

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS

			Rates Exchanged			Market Value
Notional Amount (000s)(a)		Termination Date	Payments Received		Payments Made	Upfront Payments Made (Received)			Unrealized Gain (Loss)
$	9,800	12/16/20		3 month LIBOR	2.000%	$	(135,505	)	$	(113,518	)
	17,600	06/24/21		2.923%	3 month LIBOR		(3,860	)		231,931
	22,050	09/02/22		2.810	3 month LIBOR		45,335			75,497
	16,800	12/16/22		3 month LIBOR	2.250		(247,102	)		(287,820	)
	2,900	12/16/25		3 month LIBOR	2.500		(51,868	)		(64,947	)
	4,500	06/24/29		3 month LIBOR	3.218		12,938			(209,129	)
	5,170	09/02/30		3 month LIBOR	3.005		(16,410	)		(64,806	)
	TOTAL					$	(396,472	)	$	(432,792	)

(a) Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2015.

OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS

												Market Value
Counterparty	Referenced Obligation	Notional Amount (000s)		Rates Received (Paid)			Termination Date		Credit Spread at September 30, 2015(b)			Upfront Payments Made (Received)			Unrealized Gain (Loss)
Protection Sold:
Credit Suisse International (London)	Markit CMBX Series 7	$	300		0.500	%		01/17/47		106.328	%	$	(11,449	)	$	(1,135	)

(b) Credit spread on the Referenced Obligation, together with the term of the swap contract, are indicators of payment/performance risk. The likelihood of a credit event occurring which would require a fund to make a payment or otherwise be required to perform under the swap contract is generally greater as the credit spread and the term of the swap contract increase.

The accompanying notes are an integral part of these financial statements. 95

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

Schedule of Investments

September 30, 2015 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Sovereign Debt Obligations – 69.3%
	Brazil – 10.2%
	Brazil Letras do Tesouro Nacional (BBB-/Baa3)(a)
BRL	98,977,000		0.000	%		01/01/16	$	24,123,946
	57,600,000		0.000			07/01/17		11,268,408
	Brazil Notas do Tesouro Nacional (BBB-/Baa3)
	5,573,932		6.000			08/15/16		1,396,608
	37,256,000		10.000			01/01/18		8,453,292
	24,246,000		10.000			01/01/19		5,294,318
	88,468,000		10.000			01/01/23		17,318,920
	93,625,000		10.000			01/01/25		17,634,905
	70,049,672		6.000			08/15/40		14,992,088
								100,482,485
	Chile – 0.3%
	Bonos del Banco Central de Chile en Pesos (NR/NR)
CLP	1,622,200,960		3.000			03/01/22		2,581,982
	Colombia – 7.5%
	Republic of Colombia (NR/Baa2)
COP	1,851,000,000		4.375			03/21/23		490,600
	Republic of Colombia (BBB/Baa2)
	7,417,000,000		12.000			10/22/15		2,409,164
$	1,850,000		5.000			06/15/45		1,581,750
	Republic of Colombia (BBB+/Baa2)
COP	3,238,400,000		8.000			10/28/15		1,051,290
	7,894,400,000		7.250			06/15/16		2,582,077
	3,424,300,000		11.250			10/24/18		1,231,694
	155,773,700,000		7.000			05/04/22		48,679,329
	15,715,200,000		10.000			07/24/24		5,694,880
	15,005,000,000		7.500			08/26/26		4,534,148
	100,000		6.000			04/28/28		26
	21,903,400,000		7.750			09/18/30		6,399,985
								74,654,943
	Costa Rica(b) – 0.2%
	Republic of Costa Rica (BB/Ba1)
$	2,430,000		7.158			03/12/45		2,168,775
	Croatia – 2.0%
	Republic of Croatia (BB/Ba1)
	2,950,000		6.625			07/14/20		3,200,750
	2,620,000		6.375			03/24/21		2,816,500
EUR	9,980,000		3.875			05/30/22		11,175,122
$	1,501,000		6.000			01/26/24		1,583,555
EUR	600,000		3.000			03/11/25		606,748
								19,382,675
	Czech Republic(c) – 0.5%
	Czech Republic Government Bond (AA/NR)
CZK	128,980,000		0.380			10/27/16		5,332,366
	Dominican Republic – 2.2%
	Dominican Republic (NR/NR)
DOP	161,600,000		16.950			02/04/22		4,749,801
	167,900,000		11.500			05/10/24		3,937,516
	199,200,000		11.375			07/06/29		4,563,267
	Dominican Republic (BB-/B1)
$	3,453,807		9.040			01/23/18		3,661,035
	4,640,000		6.850	(b)		01/27/45		4,460,200
								21,371,819
Principal Amount		Interest Rate			Maturity Date		Value
	Sovereign Debt Obligations – (continued)
	Hungary – 1.2%
	Hungary Government Bond (BB+/Ba1)
$	11,180,000		4.125	%		02/19/18	$	11,593,660
	Indonesia – 0.1%
	Republic of Indonesia (NR/Baa3)
IDR	9,000,000		6.125			05/15/28		455
	Republic of Indonesia (BB+/Baa3)
$	230,000		5.250			01/17/42		205,275
	580,000		4.625			04/15/43		484,300
	230,000		5.125			01/15/45		201,537
								891,567
	Israel(a) – 0.8%
	Republic of Israel (NR/NR)
ILS	30,000,000		0.000			12/02/15		7,645,777
	Latvia – 0.2%
	Republic of Latvia (A-/A3)
$	1,510,000		5.250			02/22/17		1,592,537
	Malaysia – 1.2%
	Malaysia Government Bond (NR/NR)
MYR	3,210,000		3.889			07/31/20		725,796
	18,540,000		4.048			09/30/21		4,173,424
	Malaysia Government Bond (NR/A3)
	11,000,000		4.160			07/15/21		2,494,910
	21,130,000		4.498			04/15/30		4,754,040
								12,148,170
	Mexico – 8.9%
	Mexican Udibonos (A/A3)
MXN	76,783,272		4.500			12/04/25		5,141,546
	United Mexican States (NR/A3)
	600,429,000		4.750			06/14/18		35,664,379
	United Mexican States (A/A3)
	199,375,800		8.500			12/13/18		13,084,873
	51,788,100		5.000			12/11/19		3,050,921
	160,000,000		6.500			06/10/21		9,918,308
	117,500,100		6.500			06/09/22		7,211,894
	161,170,900		10.000			12/05/24		12,167,879
	12,647,500		7.750			11/23/34		830,468
	United Mexican States (BBB+/A3)
$	1,610,000		4.600			01/23/46		1,432,900
								88,503,168
	Peru – 1.9%
	Republic of Peru (NR/NR)
PEN	2,168,000		5.200			09/12/23		589,772
	Republic of Peru (NR/A3)
	1,969,000		6.850			02/12/42		533,267
	Republic of Peru (A-/A3)
	37,903,000		5.700	(b)		08/12/24		10,524,940
	9,882,000		8.200			08/12/26		3,179,243
	12,699,000		6.950			08/12/31		3,629,907
								18,457,129
	Philippines – 0.4%
	Republic of Philippines (BBB/Baa2)
PHP	88,000,000		4.950			01/15/21		1,916,645

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

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Sovereign Debt Obligations – (continued)
	Philippines – (continued)
	Republic of Philippines (BBB/Baa2) – (continued)
PHP	41,000,000		3.900	%		11/26/22	$	846,491
	67,000,000		6.250			01/14/36		1,569,641
								4,332,777
	Poland – 4.9%
	Poland Government Bond (A/NR)
PLN	12,260,000		0.000	(a)		07/25/16		3,183,151
	21,440,000		1.500			04/25/20		5,435,164
	Poland Government Bond (A/A2)
	128,420,000		5.750			09/23/22		40,418,938
								49,037,253
	Romania – 1.5%
	Republic of Romania (NR/NR)
RON	51,060,000		5.900			07/26/17		13,872,445
	2,510,000		4.750			06/24/19		689,037
								14,561,482
	Russia – 7.3%
	Russian Federation Bond (BBB-/Ba1)
RUB	601,130,000		6.200			01/31/18		8,314,880
	1,125,000,000		7.850			03/10/18		16,033,446
	206,820,000		7.500			03/15/18		2,933,248
	565,740,000		7.500			02/27/19		7,809,948
	115,870,000		6.700			05/15/19		1,546,979
	40,950,000		7.600			04/14/21		540,467
	355,410,000		7.600			07/20/22		4,580,616
	422,140,000		7.000			01/25/23		5,197,821
	882,490,000		7.000			08/16/23		10,745,900
	427,820,000		8.150			02/03/27		5,465,723
	772,010,000		7.050			01/19/28		8,900,390
								72,069,418
	South Africa – 4.0%
	Republic of South Africa (NR/NR)
ZAR	39,730,000		8.875			02/28/35		2,818,412
	Republic of South Africa (NR/Baa2)
	11,430,000		7.750			02/28/23		799,685
	121,570,000		8.000			01/31/30		8,168,025
	91,230,000		8.250			03/31/32		6,206,166
	91,480,000		8.500			01/31/37		6,247,097
	76,350,000		8.750			01/31/44		5,313,003
	74,100,000		8.750			02/28/48		5,160,920
	Republic of South Africa (BBB+/Baa2)
	920,000		8.000			12/21/18		67,081
	62,810,000		10.500			12/21/26		5,196,131
								39,976,520
	Thailand – 5.8%
	Thailand Government Bond (NR/Baa1)
THB	193,205,000		3.580			12/17/27		5,618,719
	432,355,857		1.250			03/12/28		9,871,508
	97,800,000		3.775			06/25/32		2,815,172
	Thailand Government Bond (A-/Baa1)
	666,527,240		1.200			07/14/21		17,037,498
	749,645,000		3.650			12/17/21		21,937,283
								57,280,180
Principal Amount		Interest Rate			Maturity Date		Value
	Sovereign Debt Obligations – (continued)
	Turkey – 7.8%
	Republic of Turkey (NR/NR)
TRY	103,790,000		8.500	%		07/10/19	$	31,662,765
	32,850,000		9.000			07/24/24		9,610,557
	3,870,000		8.000			03/12/25		1,072,451
	Turkey Government Bond (NR/NR)
	19,120,000		8.800			11/14/18		5,934,394
	37,230,000		10.400			03/27/19		12,077,495
	24,550,000		7.400			02/05/20		7,096,996
	5,920,000		7.100			03/08/23		1,579,351
	25,710,000		10.400			03/20/24		8,252,378
								77,286,387
	Venezuela – 0.4%
	Republic of Venezuela (CCC/Caa3)
$	2,340,000		7.750			10/13/19		801,450
	340,000		6.000			12/09/20		112,200
	310,000		12.750			08/23/22		132,525
	940,000		9.000			05/07/23		321,950
	4,680,000		8.250			10/13/24		1,567,800
	330,000		7.650			04/21/25		109,725
	540,000		11.750			10/21/26		207,900
	350,000		9.250	(d)		09/15/27		135,625
	550,000		9.250			05/07/28		184,250
	1,210,000		11.950			08/05/31		471,900
	340,000		7.000			03/31/38		109,650
								4,154,975
	TOTAL SOVEREIGN DEBT OBLIGATIONS
	(Cost $952,900,838)						$	685,506,045
	Corporate Obligations – 5.4%
	Australia – 0.2%
	Toyota Finance Australia Ltd. (NR/NR)
MXN	27,460,000		3.760	%		07/20/17	$	1,584,746
	Azerbaijan – 0.3%
	State Oil Company of the Azerbaijan Republic (BB+/Ba1)
$	2,731,000		5.450			02/09/17		2,771,965
	Brazil(b) – 0.3%
	Banco Santander Brasil SA (BB+/Baa2)
BRL	12,900,000		8.000			03/18/16		3,095,382
	Hong Kong – 1.1%
	China Unicom Ltd. (NR/NR)
CNH	39,190,000		4.000			04/16/17		6,030,084
	CITIC Ltd. (BBB+/A3)
$	4,110,000		6.800			01/17/23		4,656,168
								10,686,252
	Mexico – 1.1%
	America Movil SAB de CV (A-/A2)
MXN	115,550,000		6.000			06/09/19		6,801,439
	Petroleos Mexicanos (NR/A3)
	79,774,900		7.470			11/12/26		4,341,517
								11,142,956

The accompanying notes are an integral part of these financial statements. 97

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2015 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Philippines – 0.1%
	Alliance Global Group Cayman Islands, Inc. (NR/NR)
$	1,320,000		6.500	%		08/18/17	$	1,386,000
	South Africa – 2.1%
	Transnet Ltd. (NR/NR)
ZAR	18,000,000		10.800			11/06/23		1,339,134
	93,000,000		9.500			08/19/25		6,339,098
	61,000,000		8.900			11/14/27		3,953,201
	Transnet Ltd. (BBB+/Baa2)
	136,000,000		10.000			03/30/29		8,990,612
								20,622,045
	Venezuela – 0.2%
	Petroleos de Venezuela SA (CCC/NR)
$	1,100,000		9.000			11/17/21		394,900
	620,000		6.000			05/16/24		201,500
	2,990,000		6.000			11/15/26		945,886
	1,700,000		5.375			04/12/27		537,625
	350,000		5.500			04/12/37		109,375
								2,189,286
	TOTAL CORPORATE OBLIGATIONS
	(Cost $77,402,847)						$	53,478,632
	Structured Notes – 10.8%
	Brazil – 0.2%
	Notas do Tesouro Nacional Series B (Issuer HSBC Corp.) (NR/NR)
BRL	845,000		10.000	%(c)		01/05/17	$	200,741
	8,475,615		6.000			08/15/40		1,813,958
								2,014,699
	Colombia – 2.1%
	Republic of Columbia (Issuer Citigroup Funding, Inc.) (NR/NR)
COP	24,676,000,000		11.250	(b)		10/25/18		8,875,765
	15,491,000,000		11.250	(b)		10/25/18		5,571,992
	12,492,000,000		11.000			07/27/20		4,632,972
	4,226,000,000		11.000			07/25/24		1,531,419
								20,612,148
	Indonesia – 8.5%
	Republic of Indonesia (Issuer Deutsche Bank AG (London) (NR/NR)(b)
IDR	42,400,000,000		7.875			04/18/19		2,756,724
	35,400,000,000		7.000			05/17/27		1,938,519
	29,500,000,000		8.250			06/17/32		1,756,911
	Republic of Indonesia (Issuer Deutsche Bank AG (London)) (NR/NR)(b)
	68,100,000,000		8.375			03/20/24		4,339,341
	108,400,000,000		9.000			03/20/29		6,992,355
	Republic of Indonesia (Issuer JPMorgan Chase Bank NA) (NR/NR)
	50,100,000,000		10.000			07/17/17		3,461,294
	46,000,000,000		10.000	(b)		07/18/17		3,178,035
	44,600,000,000		7.875	(b)		04/17/19		2,899,761
	66,250,000,000		7.000	(b)		05/17/27		3,627,877
Principal Amount		Interest Rate			Maturity Date		Value
	Structured Notes – (continued)
	Indonesia – (continued)
	Republic of Indonesia (Issuer JPMorgan Chase Bank NA) (NR/NR) – (continued)
IDR	161,824,000,000		6.125	%(b)		05/17/28	$	8,174,045
	45,220,000,000		9.000	(b)		03/19/29		2,916,921
	288,650,000,000		6.625	(b)		05/17/33		14,187,591
	74,554,000,000		6.625	(b)		05/17/33		3,664,444
	Republic of Indonesia (Issuer Standard Chartered Bank) (NR/NR)(b)
	11,805,000,000		9.000			03/19/29		761,483
	16,032,000,000		9.000			03/19/29		1,034,146
	17,000,000,000		9.000			03/19/29		1,096,587
	72,800,000,000		9.000			03/19/29		4,695,973
	190,946,000,000		9.000			03/19/29		12,316,995
	34,721,000,000		9.000			03/19/29		2,239,682
	37,708,000,000		9.000			03/19/29		2,432,359
								84,471,043
	TOTAL STRUCTURED NOTES
	(Cost $181,437,324)						$	107,097,890
	Municipal Debt Obligations – 0.8%
	Puerto Rico – 0.8%
	Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2008 A (CCC-/Caa3)
$	215,000		6.000	%		07/01/38	$	149,696
	415,000		6.000			07/01/44		287,392
	Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2012 A (CCC-/Caa3)
	320,000		5.750			07/01/37		219,603
	Puerto Rico Commonwealth GO Bonds for Public Improvement Series 2011 A (CC/Caa3)
	120,000		5.750			07/01/41		78,000
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2008 A (CC/Caa3)
	70,000		5.500			07/01/32		45,588
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2009 B (CC/Caa3)
	45,000		5.875			07/01/36		29,306
	170,000		5.750			07/01/38		110,500
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2009 C (CC/Caa3)
	705,000		6.000			07/01/39		460,012
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2011 A (CC/Caa3)
	45,000		6.000			07/01/34		29,475
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2011 E (CC/Caa3)
	40,000		5.625			07/01/32		26,100
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2012 A (CC/Caa3)
	20,000		5.500			07/01/26		13,175
	130,000		5.750			07/01/28		85,476
	265,000		5.000			07/01/41		170,262
	Puerto Rico Commonwealth GO Bonds Series 2007 A (CC/Caa3)
	285,000		5.250			07/01/37		183,825

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

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Municipal Debt Obligations – (continued)
	Puerto Rico – (continued)
	Puerto Rico Commonwealth GO Bonds Series 2014 A (CC/Caa3)
$	1,810,000		8.000	%		07/01/35	$	1,357,500
	Puerto Rico Commonwealth GO Bonds Unrefunded Balance for Public Improvement Series 2001 A (CC/Caa3)
	80,000		5.125			07/01/31		51,901
	Puerto Rico Commonwealth GO Bonds Unrefunded Balance for Public Improvement Series 2004 A (CC/Caa3)
	20,000		5.000			07/01/34		12,875
	Puerto Rico Commonwealth GO Bonds Unrefunded Balance for Public Improvement Series 2006 A (CC/Caa3)
	30,000		5.250			07/01/27		19,650
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB Capital Appreciation Series 2010 A (CC/Ca)(a)
	85,000		0.000			08/01/35		9,197
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB Capital Appreciation SubSeries 2010 C (CC/Ca)(a)
	215,000		0.000			08/01/37		21,223
	175,000		0.000			08/01/38		16,219
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2009 A (CC/Ca)
	90,000		5.250			08/01/27		38,588
	1,690,000		0.000	(e)		08/01/32		686,698
	215,000		5.750			08/01/37		90,838
	160,000		6.375			08/01/39		68,200
	200,000		6.000			08/01/42		84,500
	15,000		6.500			08/01/44		6,413
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2010 A (CC/Ca)
	475,000		0.000	(e)		08/01/33		146,081
	840,000		5.500			08/01/37		353,850
	710,000		5.375			08/01/39		299,087
	1,795,000		5.500			08/01/42		756,144
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2010 C (CC/Ca)
	240,000		5.375			08/01/38		101,100
	1,120,000		5.250			08/01/41		471,800
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2011 A-1 (CC/Ca)
	485,000		5.000			08/01/43		204,306
	175,000		5.250			08/01/43		73,719
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB Unrefunded SubSeries 2009 A (CC/Ca)
	1,200,000		5.500			08/01/28		517,500
	TOTAL MUNICIPAL DEBT OBLIGATIONS
	(Cost $10,621,121)						$	7,275,799
	U.S. Treasury Obligations – 8.5%
	United States Treasury Bonds
$	14,600,000		3.000	%		05/15/45	$	14,942,078
	7,800,000		2.875			08/15/45		7,795,164
	United States Treasury Notes
	5,800,000		1.625			06/30/20		5,873,776
	21,600,000		2.125	(f)		12/31/21		22,186,872
	7,200,000		1.750			02/28/22		7,225,705
	7,000,000		1.875			05/31/22		7,067,340
Principal Amount		Interest Rate			Maturity Date		Value
	U.S. Treasury Obligations – (continued)
	United States Treasury Notes – (continued)
$	1,900,000		2.125	%		06/30/22	$	1,949,628
	3,600,000		2.000			07/31/22		3,662,496
	13,500,000		1.750			09/30/22		13,494,735
	TOTAL U.S. TREASURY OBLIGATIONS
	(Cost $82,553,160)						$	84,197,794

Shares		Rate			Value
Investment Company(g) – 2.2%
21,654,935	Goldman Sachs Financial Square Government Fund – FST Shares		0.006	%		21,654,935
(Cost $21,654,935)
TOTAL INVESTMENTS – 97.0%
(Cost $1,326,570,225)					$	959,211,095

Principal Amount			Interest Rate (Paid) Received			Maturity Date		Value
	Reverse Repurchase Agreement – (0.0)%
	Citigroup Reverse Repurchase Agreement (NR/NR)
$	(154,438	)		0.750	%		08/04/16	$	(154,438	)
	(Cost $(154,438))
	OTHER ASSETS IN EXCESS OF     LIABILITIES – 3.0%								29,633,686
	NET ASSETS – 100.0%							$	988,690,343

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a)	Issued with a zero coupon. Income is recognized through the accretion of discount.
(b)	Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $115,706,803, which represents approximately 11.7% of net assets as of September 30, 2015.
(c)	Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on September 30, 2015.
(d)	All or a portion of the security was pledged as collateral against open reverse repurchase agreements. As of September 30, 2015, the value of securities pledged amounted to $135,625.
(e)	Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect on September 30, 2015.
(f)	All or a portion of security is segregated as collateral for initial margin requirement on futures transactions.
(g)	Represents an Affiliated Fund.

Security ratings disclosed, if any, are obtained from by Standard & Poor’s /Moody’s Investor Service and are unaudited. A brief description of the ratings is available in the Fund’s Statement of Additional Information.

The accompanying notes are an integral part of these financial statements. 99

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2015 (Unaudited)

Currency Abbreviations:
AED	—United Arab Emirates Dirham
BRL	—Brazilian Real
CLP	—Chilean Peso
CNH	—Chinese Yuan Renminbi Offshore
COP	—Colombian Peso
CZK	—Czech Koruna
DOP	—Dominican Peso
EUR	—Euro
HUF	—Hungarian Forint
IDR	—Indonesian Rupiah
ILS	—Israeli Shekel
INR	—Indian Rupee
KRW	—South Korean Won
MXN	—Mexican Peso
MYR	—Malaysian Ringgit
NGN	—Nigerian Naira
PEN	—Peruvian Nuevo Sol
PHP	—Philippine Peso
PLN	—Polish Zloty
RON	—New Romanian Leu
RUB	—Russian Ruble
SGD	—Singapore Dollar
THB	—Thai Baht
TRY	—Turkish Lira
TWD	—Taiwan Dollar
USD	—U.S. Dollar
ZAR	—South African Rand
Investment Abbreviations:
BUBOR	—Budapest Interbank Offered Rate
CLICP	—Sinacofi Chile Interbank Rate
EURO	—Euro Offered Rate
GO	—General Obligation
JIBAR	—Johannesburg Interbank Agreed Rate
KWCDC	—South Korean Won Certificate of Deposit
LIBOR	—London Interbank Offered Rate
LLC	—Limited Liability Company
MIBOR	—Mumbai Interbank Offered Rate
NR	—Not Rated
RB	—Revenue Bond
TIIE	—La Tasa de Interbank Equilibrium Interest Rate
WIBOR	—Warsaw Interbank Offered Rate

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

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

ADDITIONAL INVESTMENT INFORMATION

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At September 30, 2015, the Fund had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Gain
Barclays Bank PLC	BRL	15,200,659	USD	3,697,000	$	3,831,211		10/02/15	$	134,211
	INR	268,157,273	USD	4,066,069		4,077,143		10/19/15		11,074
	USD	3,835,000	TRY	11,692,033		3,772,490		12/16/15		62,510
	USD	3,972,121	TWD	129,292,539		3,923,433		10/02/15		48,688
	USD	4,109,086	TWD	133,935,669		4,048,602		10/26/15		60,485
	ZAR	296,012,173	USD	20,882,251		21,063,475		12/17/15		181,224
BNP Paribas SA	EUR	4,881,000	PLN	20,710,942		5,461,410		12/16/15		23,620
	USD	30,889,965	AED	113,645,015		30,871,686		08/11/16		18,279
	USD	21,973,912	AED	80,874,981		21,969,107		08/15/16		4,804
	USD	5,433,074	CZK	129,714,649		5,344,162		12/16/15		88,913
	USD	5,290,438	TWD	172,283,126		5,221,718		10/05/15		68,720
	USD	8,941,204	TWD	295,864,432		8,938,502		11/30/15		2,701
Citibank NA	USD	3,842,574	CNH	25,127,744		3,838,748		09/01/16		3,826
	USD	4,050,639	KRW	4,789,394,211		4,039,443		10/05/15		11,196
	USD	7,885,026	KRW	9,365,045,461		7,883,645		12/04/15		1,381
	USD	9,534,517	SGD	13,535,677		9,486,955		12/16/15		47,562
Credit Suisse International (London)	COP	8,797,711,000	USD	2,821,362		2,848,544		10/02/15		27,183
	COP	12,828,478,552	USD	4,103,800		4,140,314		10/29/15		36,514
	USD	1,615,345	COP	3,393,839,499		1,098,866		10/02/15		516,479
	USD	34,691,231	COP	94,699,123,946		30,585,689		10/23/15		4,105,542
Deutsche Bank AG	HUF	5,973,442,926	USD	21,194,447		21,288,783		12/16/15		94,336
	ILS	26,591,470	USD	6,750,000		6,778,462		10/02/15		28,462
	ILS	26,591,470	USD	6,764,728		6,785,901		12/16/15		21,172
	MYR	91,654,241	USD	20,703,465		20,869,898		10/20/15		166,433
	TWD	255,802,139	USD	7,744,539		7,762,417		10/02/15		17,878
	USD	1,211,931	COP	2,546,267,444		824,437		10/02/15		387,495
	USD	1,913,999	COP	5,597,490,000		1,807,863		10/23/15		106,135
	USD	11,622,393	ILS	45,003,068		11,484,373		12/16/15		138,020
	USD	3,848,000	SGD	5,392,476		3,779,506		12/16/15		68,494
	USD	3,895,000	TWD	126,509,600		3,838,984		10/02/15		56,016
HSBC Bank PLC	PHP	151,884,000	USD	3,218,563		3,246,501		10/19/15		27,937
	TRY	9,675,297	USD	3,111,626		3,121,780		12/16/15		10,154
	USD	3,821,000	BRL	14,709,302		3,707,369		10/02/15		113,631
	USD	11,732,093	ILS	45,709,407		11,664,624		12/16/15		67,469
	USD	1,744,081	PHP	81,623,000		1,743,522		10/30/15		559
	USD	2,328,000	PLN	8,824,284		2,316,872		12/16/15		11,128
	USD	2,631,000	RON	10,390,608		2,624,003		12/16/15		6,997
	USD	3,895,000	TWD	126,050,769		3,820,465		10/05/15		74,535
	USD	19,052	TWD	616,861		18,659		10/19/15		393
JPMorgan Chase Bank NA	BRL	57,075,059	USD	13,910,568		14,385,337		10/02/15		474,770
	CNH	67,566,699	USD	10,425,000		10,516,857		12/16/15		91,857
	COP	7,970,241,000	USD	2,462,459		2,580,624		10/02/15		118,165
	HUF	5,827,229,597	USD	20,719,775		20,767,693		12/16/15		47,918
	INR	266,600,633	USD	4,030,244		4,043,263		11/03/15		13,019
	KRW	9,320,880,689	USD	7,818,875		7,862,784		10/02/15		43,909
	MXN	202,241,950	USD	11,781,199		11,889,461		12/16/15		108,262
	RUB	237,754,332	USD	3,600,000		3,601,962		10/21/15		1,962
	USD	3,975,237	KRW	4,708,032,189		3,971,539		10/02/15		3,698
	USD	8,046,214	TWD	265,605,513		8,024,174		12/04/15		22,040

The accompanying notes are an integral part of these financial statements. 101

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2015 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)

Counterparty	Currency Purchased		Currency Sold			Current Value		Settlement Date		Unrealized Gain
Morgan Stanley & Co.	BRL	41,616,787	USD		10,367,000	$	10,489,196		10/02/15	$	122,196
	USD	7,630,000	BRL		29,654,408		7,474,170		10/02/15		155,830
	USD	3,184,928	RUB		186,955,279		2,829,596		10/23/15		355,332
Royal Bank of Canada	MXN	23,246,000	USD		1,362,922		1,366,593		12/16/15		3,671
	USD	33,131,928	BRL	��	115,930,297		29,219,355		10/02/15		3,912,573
Royal Bank of Scotland PLC	BRL	30,904,574	USD		7,533,108		7,701,448		11/04/15		168,340
	CLP	6,655,549,096	USD		9,520,000		9,538,537		10/26/15		18,537
	COP	14,911,260,420	USD		4,730,843		4,826,391		10/05/15		95,548
	TRY	11,695,329	USD		3,763,000		3,773,553		12/16/15		10,553
	USD	7,670,000	TRY		23,612,632		7,618,728		12/16/15		51,272
Standard Chartered Bank	CNH	60,603,119	USD		9,353,000		9,432,965		12/16/15		79,965
	NGN	1,178,888,895	USD		5,508,827		5,908,981		10/06/15		400,154
	NGN	893,317,000	USD		4,222,723		4,406,727		11/19/15		184,004
	USD	5,042,000	CNH		32,271,371		5,023,086		12/16/15		18,914
	USD	3,895,000	KRW		4,575,651,250		3,859,169		10/05/15		35,831
	USD	3,040,000	KRW		3,580,682,240		3,017,864		10/23/15		22,136
UBS AG (London)	EUR	4,841,000	HUF		1,517,847,140		5,416,653		12/16/15		7,190
	INR	292,198,089	USD		4,376,844		4,442,667		10/19/15		65,824
	USD	8,088,034	BRL		31,362,602		7,904,706		10/02/15		183,327
	USD	3,895,000	KRW		4,612,848,500		3,891,245		10/02/15		3,755
	USD	2,638,000	KRW		3,079,123,722		2,595,331		10/21/15		42,668
Westpac Banking Corp.	USD	61,278,999	EUR		54,254,649		60,706,183		12/16/15		572,814
	USD	6,501,908	TWD		212,970,000		6,454,894		10/05/15		47,013
TOTAL										$	14,335,203

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Loss
Bank of America Securities LLC	CLP	2,332,179,605	USD	3,385,859	$	3,343,711		10/22/15	$	(42,148	)
	MXN	192,517,663	USD	11,400,685		11,317,787		12/16/15		(82,898	)
	PLN	14,273,471	EUR	3,374,000		3,747,591		12/16/15		(27,618	)
	PLN	95,184,521	USD	25,189,753		24,991,306		12/16/15		(198,447	)
	USD	3,274,612	ILS	12,878,068		3,285,430		12/02/15		(10,818	)
	USD	6,167,773	RUB	410,712,000		6,222,259		10/21/15		(54,486	)
Barclays Bank PLC	PHP	257,454,000	USD	5,647,779		5,499,391		10/30/15		(148,388	)
	USD	14,188,722	CNH	94,496,889		14,436,225		09/01/16		(247,503	)
	USD	3,650,000	INR	242,431,540		3,686,002		10/19/15		(36,002	)
	ZAR	51,710,712	USD	3,754,000		3,679,603		12/17/15		(74,397	)
BNP Paribas SA	IDR	35,285,460,000	USD	2,436,000		2,381,739		10/30/15		(54,261	)
	PLN	95,426,998	USD	25,298,243		25,054,970		12/16/15		(243,273	)
	USD	14,347,226	AED	52,817,518		14,347,499		08/15/16		(273	)
Citibank NA	CLP	3,691,407,000	USD	5,357,630		5,297,109		10/13/15		(60,520	)
	COP	9,562,902,900	USD	3,111,000		3,087,485		10/26/15		(23,515	)
	HUF	5,792,848,897	USD	20,678,038		20,645,163		12/16/15		(32,874	)
	KRW	9,365,045,461	USD	7,901,658		7,898,612		10/05/15		(3,047	)
	USD	13,196,729	CNH	85,347,204		13,284,418		12/16/15		(87,689	)
	USD	3,776,000	ZAR	53,191,379		3,784,964		12/17/15		(8,964	)
Credit Suisse International (London)	USD	3,921,265	COP	12,253,954,000		3,957,752		10/23/15		(36,486	)
	USD	7,299,000	RUB	489,100,151		7,409,834		10/21/15		(110,834	)

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

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Loss
Deutsche Bank AG	CNH	12,768,636	USD	1,990,000	$	1,987,457		12/16/15	$	(2,543	)
	MXN	248,025,688	USD	14,679,946		14,581,009		12/16/15		(98,936	)
	MYR	30,421,891	USD	7,885,814		6,926,523		10/23/15		(959,291	)
	MYR	13,561,289	USD	3,149,123		3,087,022		10/30/15		(62,101	)
	RON	72,185,000	USD	18,464,470		18,229,315		12/16/15		(235,155	)
	THB	1,190,234,000	USD	32,897,713		32,732,833		11/20/15		(164,880	)
	USD	14,302,644	CNH	95,144,018		14,535,087		09/01/16		(232,442	)
	USD	4,356,689	ILS	17,117,432		4,366,970		12/02/15		(10,280	)
	USD	4,288,000	INR	283,982,405		4,317,754		10/19/15		(29,754	)
	USD	3,529,000	INR	234,548,986		3,557,168		11/03/15		(28,168	)
	USD	20,684,776	MYR	91,654,241		20,870,149		10/05/15		(185,373	)
	USD	937,631	PHP	44,021,775		940,335		10/30/15		(2,704	)
	USD	2,355,000	SGD	3,377,470		2,367,219		12/16/15		(12,219	)
	USD	2,985,000	THB	109,310,700		3,006,173		11/20/15		(21,173	)
	USD	7,719,998	TWD	255,802,139		7,728,161		11/30/15		(8,163	)
	ZAR	53,113,215	USD	3,918,670		3,779,401		12/17/15		(139,267	)
HSBC Bank PLC	BRL	45,550,086	USD	11,815,507		11,480,555		10/02/15		(334,952	)
	MYR	91,654,241	USD	21,208,895		20,870,149		10/05/15		(338,746	)
	MYR	36,082,220	USD	8,472,789		8,218,696		10/09/15		(254,093	)
	PEN	6,659,934	USD	2,067,468		2,045,198		10/23/15		(22,270	)
	TRY	11,611,729	USD	3,783,000		3,746,580		12/16/15		(36,420	)
	USD	5,119,000	BRL	20,421,124		5,146,990		10/02/15		(27,990	)
	USD	4,149,000	MYR	18,539,807		4,220,307		10/30/15		(71,307	)
	USD	2,020,820	PHP	94,635,001		2,021,467		10/30/15		(647	)
	USD	5,669,767	PLN	21,601,104		5,671,508		12/16/15		(1,741	)
	USD	3,814,000	TRY	11,975,159		3,863,842		12/16/15		(49,842	)
	USD	639,077	ZAR	8,986,065		639,426		12/17/15		(348	)
	ZAR	22,931,366	USD	1,645,000		1,631,738		12/17/15		(13,262	)
HSBC Securities, Inc.	USD	11,329,000	CNH	74,736,235		11,417,404		09/01/16		(88,404	)
JPMorgan Securities, Inc.	MXN	65,174,675	USD	3,835,000		3,831,508		12/16/15		(3,492	)
	MYR	20,827,370	USD	4,744,276		4,741,036		10/30/15		(3,240	)
	TWD	511,303,895	USD	15,622,211		15,497,076		10/05/15		(125,135	)
	USD	13,747,395	BRL	57,075,059		14,223,156		11/04/15		(475,761	)
	USD	7,552,000	CNH	49,652,708		7,585,410		09/01/16		(33,410	)
	USD	7,808,918	KRW	9,320,880,689		7,853,378		11/02/15		(44,460	)
	USD	4,932,527	RUB	328,308,986		4,973,859		10/21/15		(41,332	)
	USD	2,614,000	TRY	8,144,858		2,627,977		12/16/15		(13,977	)
Morgan Stanley & Co.	BRL	25,123,782	USD	6,570,099		6,332,260		10/02/15		(237,839	)
	MXN	63,184,468	USD	3,818,139		3,714,508		12/16/15		(103,631	)
	MYR	42,696,076	USD	9,722,436		9,704,756		11/30/15		(17,679	)
	PLN	7,384,150	USD	1,962,276		1,938,756		12/16/15		(23,520	)
	USD	2,104,879	BRL	8,807,066		2,194,729		11/04/15		(89,850	)
	USD	7,450,860	TRY	23,345,408		7,532,507		12/16/15		(81,647	)
Royal Bank of Canada	BRL	12,888,509	USD	3,292,000		3,248,451		10/02/15		(43,549	)
	MXN	192,945,176	USD	11,376,484		11,342,919		12/16/15		(33,565	)
	USD	7,621,479	MXN	131,565,559		7,734,516		12/16/15		(113,037	)
Royal Bank of Scotland PLC	CLP	2,380,204,591	USD	3,453,000		3,415,555		10/13/15		(37,445	)
	HUF	5,795,021,290	USD	20,679,518		20,652,906		12/16/15		(26,612	)
	MXN	255,907,940	USD	15,307,000		15,044,394		12/16/15		(262,606	)
	PLN	55,171,000	USD	14,546,629		14,485,500		12/16/15		(61,129	)
	TRY	14,371,000	USD	4,637,452		4,636,871		12/16/15		(581	)
	USD	1,300,968	COP	4,022,307,461		1,301,917		10/05/15		(949	)

The accompanying notes are an integral part of these financial statements. 103

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2015 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Loss
Royal Bank of Scotland PLC (continued)	USD	1,325,423	HUF	375,585,000	$	1,338,549		12/16/15	$	(13,127	)
	USD	1,990,000	IDR	29,501,750,000		1,991,343		10/30/15		(1,343	)
	USD	11,886,223	ILS	46,620,146		11,897,036		12/16/15		(10,813	)
	USD	4,972,000	MXN	86,296,816		5,073,243		12/16/15		(101,243	)
	USD	4,914,000	TRY	15,398,019		4,968,244		12/16/15		(54,244	)
Standard Chartered Bank	TWD	208,411,715	USD	6,409,808		6,304,210		10/19/15		(105,598	)
	USD	3,600,000	CNH	23,252,112		3,619,225		12/16/15		(19,225	)
	USD	3,795,000	CNH	25,280,393		3,862,068		09/01/16		(67,068	)
	USD	1,990,000	NGN	415,910,000		1,992,116		01/05/16		(2,116	)
	USD	9,525,298	SGD	13,632,607		9,554,891		12/16/15		(29,593	)
	USD	3,625,000	TWD	120,769,594		3,649,539		10/29/15		(24,539	)
	ZAR	51,514,723	USD	3,843,000		3,665,657		12/17/15		(177,343	)
State Street Bank and Trust	EUR	3,819,575	USD	4,278,000		4,273,768		12/16/15		(4,232	)
UBS AG (London)	BRL	14,622,852	USD	3,878,000		3,685,579		10/02/15		(192,421	)
	MXN	198,095,110	USD	11,751,156		11,645,675		12/16/15		(105,481	)
	USD	13,535,434	CNH	88,339,011		13,750,097		12/16/15		(214,663	)
Westpac Banking Corp.	MYR	144,024,000	USD	37,494,533		32,784,885		10/30/15		(4,709,648	)
	USD	20,652,472	CNH	134,581,832		20,947,860		12/16/15		(295,388	)
	USD	7,552,000	CNH	49,577,936		7,573,987		09/01/16		(21,987	)
	USD	8,123,125	KRW	9,678,947,155		8,153,562		11/09/15		(30,437	)
TOTAL									$	(13,071,867	)

FUTURES CONTRACTS — At September 30, 2015, the Fund had the following futures contracts:

Type	Number of Contracts Long (Short)			Expiration Date		Current Value			Unrealized Gain (Loss)
Ultra Long U.S. Treasury Bonds		(130	)		December 2015	$	(20,852,813	)	$	(237,722	)
2 Year U.S. Treasury Notes		(47	)		December 2015		(10,294,469	)		(16,157	)
5 Year U.S. Treasury Notes		(247	)		December 2015		(29,767,359	)		(258,699	)
10 Year U.S. Treasury Notes		(83	)		December 2015		(10,684,953	)		(111,439	)
20 Year U.S. Treasury Bonds		(113	)		December 2015		(17,779,844	)		(201,684	)
TOTAL									$	(825,701	)

SWAP CONTRACTS — At September 30, 2015, the Fund had the following swap contracts:

OVER THE COUNTER INTEREST RATE SWAP CONTRACTS

Counterparty	Notional Amount (000s)		Termination Date	Payments Received	Payments Made	Upfront Payments Made (Received)		Unrealized Gain (Loss)*
Bank of America Securities LLC	INR	3,533,255	05/28/16	12 month MIBOR	7.369%	$	—	$	(63,736	)
	COP	20,906,520	12/11/16	Colombia IBR Overnight Interbank	4.340		—		87,651
	BRL	52,790	01/02/17	11.890%	1 month Brazilian Interbank Deposit Average		—		(554,188	)
	THB	2,285,790	04/07/17	1.778	6 Month Thai Reuters		—		35,854

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

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

OVER THE COUNTER INTEREST RATE SWAP CONTRACTS (continued)

Counterparty	Notional Amount (000s)			Termination Date	Payments Received	Payments Made	Upfront Payments Made (Received)		Unrealized Gain (Loss)*
Bank of America Securities LLC (continued)	KRW	7,833,870		11/04/17	2.060 %	3 month KWCDC	$	—	$	80,434
	BRL	92,070		01/02/18	13.962	1 month Brazilian Interbank Deposit Average		—		(659,097	)
	CLP	2,809,080		06/07/23	6 month CLICP	5.360%		—		(219,529	)
	MXN	158,630	(a)	09/03/27	8.590	Mexico Interbank TIIE 28 Days		—		189,655
Barclays Bank PLC	KRW	14,556,500		11/07/17	2.034	3 month KWCDC		—		141,876
	TWD	649,625		07/30/18	1.030	3 month TWD		—		95,018
		196,875		07/31/18	1.025	3 month TWD		—		27,871
	KRW	26,091,240	(a)	09/18/22	3 month KWCDC	3.300		—		(1,511,848	)
		6,345,000	(a)	11/21/22	3 month KWCDC	3.150		—		(323,082	)
		26,791,540	(a)	12/05/22	3 month KWCDC	3.275		—		(1,495,525	)
	MXN	703,500	(a)	06/29/27	8.010	Mexico Interbank TIIE 28 Days		—		125,957
	KRW	6,115,600		01/24/28	3 month KWCDC	3.000		22		(637,909	)
Citibank NA	BRL	67,890		01/04/16	1 month Brazilian Interbank Deposit Average	12.640		—		(124,655	)
	COP	20,669,680		12/11/16	Colombia IBR Overnight Interbank	4.330		—		87,480
	BRL	35,190		01/02/17	11.500	1 month Brazilian Interbank Deposit Average		—		(427,738	)
	KRW	26,353,510		03/07/17	2.875	3 month KWCDC		—		454,595
		50,242,550		07/29/17	1.625	3 month KWCDC		—		93,219
		7,346,590		10/14/17	2.240	3 month KWCDC		—		100,484
	BRL	17,340		01/02/18	14.460	1 month Brazilian Interbank Deposit Average		—		(88,338	)
	ZAR	162,000		05/30/20	6.623	3 month JIBAR		—		(525,487	)
	KRW	20,189,970		07/11/24	2.940	3 month KWCDC		—		1,616,240
	MXN	94,190	(a)	09/03/27	8.520	Mexico Interbank TIIE 28 Days		—		100,536
	KRW	19,730,000		03/13/28	3 month KWCDC	3.165		—		(708,328	)
Credit Suisse International (London)	CLP	5,864,500		03/28/16	6 month CLICP	3.860		—		(49,630	)
		4,742,700		03/31/16	6 month CLICP	3.850		—		(39,020	)
	BRL	45,140		01/02/17	12.580	1 month Brazilian Interbank Deposit Average		—		(349,732	)
	CLP	2,675,440		05/12/17	6 month CLICP	3.950		—		(12,458	)
		2,269,050		07/28/17	6 month CLICP	3.640		—		17,883
	BRL	17,400		01/02/18	11.960	1 month Brazilian Interbank Deposit Average		—		(294,906	)
		23,240		01/02/18	11.120	1 month Brazilian Interbank Deposit Average		—		(503,142	)

The accompanying notes are an integral part of these financial statements. 105

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2015 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

OVER THE COUNTER INTEREST RATE SWAP CONTRACTS (continued)

Counterparty	Notional Amount (000s)		Termination Date	Payments Received	Payments Made	Upfront Payments Made (Received)			Unrealized Gain (Loss)*
Credit Suisse International (London) (continued)	COP	20,678,330	04/15/19	3 month COP	5.110%	$	—		$	195,270
		3,635,890	05/02/24	Colombia IBR Overnight Interbank	6.055		—			85,939
Deutsche Bank AG	BRL	17,110	01/04/16	11.230%	1 month Brazilian Interbank Deposit Average		—			(81,368	)
		38,650	01/04/16	10.370	1 month Brazilian Interbank Deposit Average		—			(251,863	)
		56,320	01/04/16	10.347	1 month Brazilian Interbank Deposit Average		—			(375,246	)
		71,300	01/04/16	8.860	1 month Brazilian Interbank Deposit Average		—			(1,028,189	)
		185,660	01/04/16	1 month Brazilian Interbank Deposit Average	13.155		—			208,031
	INR	3,806,240	03/03/16	6 month MIBOR	7.660		—			12,145
	BRL	4,720	01/02/17	15.715	1 month Brazilian Interbank Deposit Average		—			1,652
		44,020	01/02/17	16.860	1 month Brazilian Interbank Deposit Average		—			134,111
		114,770	01/02/17	13.945	1 month Brazilian Interbank Deposit Average		—			(456,865	)
	THB	459,270	01/26/17	1.990	6 Month Thai Reuters		—			65,284
	KRW	11,710,120	03/03/17	2.850	3 month KWCDC		—			198,109
		7,077,400	10/28/17	2.173	3 month KWCDC		—			87,801
	BRL	9,840	01/02/18	11.150	1 month Brazilian Interbank Deposit Average		—			(211,046	)
		24,990	01/02/18	14.580	1 month Brazilian Interbank Deposit Average		—			(115,115	)
		31,520	01/02/18	11.450	1 month Brazilian Interbank Deposit Average		—			(612,146	)
		75,180	01/02/18	13.731	1 month Brazilian Interbank Deposit Average		—			(612,499	)
		127,930	01/02/18	11.500	1 month Brazilian Interbank Deposit Average		—			(2,471,721	)
	ZAR	66,000	06/07/18	7.110	3 month JIBAR		—			(23,436	)
		168,500	06/07/18	7.100	3 month JIBAR		—			(62,861	)
	CLP	2,048,400	07/28/19	6 month CLICP	4.000%		—			31,581
	ZAR	190,000	01/02/20	6.200	3 month JIBAR		(913	)		(746,606	)
		7,820	05/23/21	6.550	3 month JIBAR		—			(35,691	)

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

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

OVER THE COUNTER INTEREST RATE SWAP CONTRACTS (continued)

Counterparty	Notional Amount (000s)			Termination Date	Payments Received	Payments Made	Upfront Payments Made (Received)			Unrealized Gain (Loss)*
Deutsche Bank AG (continued)	KRW	17,289,860		08/23/23	3.620 %	3 month KWCDC	$	—		$	2,042,449
	BRL	22,680		01/02/25	1 month Brazilian Interbank Deposit Average	12.340%		—			550,232
	MXN	94,990		09/22/27	7.940	Mexico Interbank TIIE 28 Days		—			(714	)
JPMorgan Securities, Inc.	BRL	153,100		01/04/16	9.980	1 month Brazilian Interbank Deposit Average		—			(1,214,913	)
	INR	4,401,630		06/01/16	12 month MIBOR	7.346		—			(19,298	)
	THB	387,070		11/24/16	1.810	6 Month Thai Reuters		—			28,402
	BRL	75,160		01/02/17	1 month Brazilian Interbank Deposit Average	12.290		—			693,605
		266,920		01/02/17	1 month Brazilian Interbank Deposit Average	9.040		—			6,939,933
		25,640		01/02/18	14.830	1 month Brazilian Interbank Deposit Average		—			(92,304	)
		31,050		01/02/18	13.910	1 month Brazilian Interbank Deposit Average		—			(229,188	)
	COP	10,159,090		04/22/19	3 month COP	5.190		—			88,868
	ZAR	125,000		12/20/21	7.760	3 month JIBAR		(1,240	)		(112,791	)
Morgan Stanley & Co. International PLC	BRL	46,050		01/04/16	10.190	1 month Brazilian Interbank Deposit Average		—			(331,273	)
	THB	136,160		11/28/16	1.820	6 Month Thai Reuters		—			11,179
	BRL	5,160		01/02/17	16.490	1 month Brazilian Interbank Deposit Average		—			11,216
		54,300		01/02/17	15.954	1 month Brazilian Interbank Deposit Average		—			49,654
		58,030		01/02/17	15.575	1 month Brazilian Interbank Deposit Average		—			(1,263	)
	KRW	5,518,900		10/13/17	2.250	3 month KWCDC		—			76,385
		6,738,260		10/14/17	2.245	3 month KWCDC		—			92,801
		6,738,270		10/14/17	2.250	3 month KWCDC		—			93,440
	BRL	56,730		01/04/21	1 month Brazilian Interbank Deposit Average	11.980		—			1,400,372
	MXN	310,000		06/17/21	5.630	Mexico Interbank TIIE 28 Days		—			11,203
	COP	3,635,890		05/02/24	6.055			(5,860	)		(80,426	)
	KRW	28,000,000	(a)	03/03/28	3 month KWCDC	3.135		—			(972,613	)
TOTAL							$	(7,991	)	$	(2,363,368	)

* There are no upfront payments on the swap contracts, therefore the unrealized gain (loss) on the swap contracts is equal to their market value.

(a) Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2015.

The accompanying notes are an integral part of these financial statements. 107

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2015 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS

				Rates Exchanged		Market Value
Notional Amount (000s)			Termination Date	Payments Received	Payments Made	Upfront Payments Made (Received)			Unrealized Gain (Loss)
MXN	677,100		09/15/16	3.958%	Mexico Interbank TIIE 28 Days	$	71		$	95,790
	205,600		09/16/16	3.975	Mexico Interbank TIIE 28 Days		22			29,198
	206,210		09/19/16	3.980	Mexico Interbank TIIE 28 Days		37			25,899
$	57,860		09/21/16	3 month LIBOR	0.592%		182			(62,263	)
MXN	218,520		09/22/16	3.850	Mexico Interbank TIIE 28 Days		23			6,034
ZAR	103,550		06/13/19	7.640	3 month JIBAR		37			16,232
	135,580		09/08/19	7.310	3 month JIBAR		(276	)		(104,456	)
HUF	2,554,920	(a)	12/16/20	2.415	6 month BUBOR		95			(170,824	)
MXN	259,850		12/07/22	5.250	Mexico Interbank TIIE 28 Days		(908,000	)		146,802
$	9,400	(a)	12/16/22	3 month LIBOR	2.250		(138,214	)		(161,088	)
MXN	54,290		11/20/24	Mexico Interbank TIIE 28 Days	5.955		26			74,481
ZAR	52,850		12/18/24	3 month JIBAR	7.890		32			106,801
MXN	88,930		01/24/25	Mexico Interbank TIIE 28 Days	5.660		72			257,699
PLN	73,250		06/24/25	3.000	6 month WIBOR		285			935,140
EUR	6,770	(a)	12/16/25	6 month EURO	0.750		220,893			(33,529	)
$	9,100		12/16/30	3 month LIBOR	2.500		61,096			(262,195	)
	TOTAL					$	(763,619	)	$	899,721

(a) Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2015.

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

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS

												Market Value
Counterparty	Referenced Obligation	Notional Amount (000s)		Rates Received (Paid)			Termination Date		Credit Spread at September 30, 2015(b)			Upfront Payments Made (Received)			Unrealized Gain (Loss)
Protection Purchased:
Bank of America Securities LLC	People’s Republic of China 4.250%, 10/28/14	$	600		(1.000	)%		06/20/19		0.965	%	$	(2,664	)	$	1,732
			560		(1.000	)		06/20/19		0.965			(2,769	)		1,900
Barclays Bank PLC			3,170		(1.000	)		03/20/19		0.904			(8,423	)		(2,802	)
Citibank NA			29,550		(1.000	)		03/20/19		0.904			(99,174	)		(5,463	)
			44,310		(1.000	)		06/20/19		0.965			(197,608	)		128,792
JPMorgan Securities, Inc.			3,310		(1.000	)		03/20/19		0.904			(8,173	)		(3,548	)
			1,630		(1.000	)		06/20/19		0.965			(8,199	)		5,668
TOTAL												$	(327,010	)	$	126,279

(b) Credit spread on the Referenced Obligation, together with the term of the swap contract, are indicators of payment/performance risk. The likelihood of a credit event occurring which would require a fund to make a payment or otherwise be required to perform under the swap contract is generally greater as the credit spread and the term of the swap contract increase.

OVER THE COUNTER CROSS CURRENCY SWAP CONTRACTS

					Rates Exchanged			Market Value
Counterparty	Notional Amount of Currency Received		Notional Amount of Currency Delivered	Termination Date(c)	Receive	Pay		Upfront Payments Made (Received)			Unrealized Gain (Loss)
Citibank NA	TRY	12,250,000	5,573,248	03/10/16	11.070%		3 Month LIBOR	$	43,956		$	(1,330,132	)
Deutsche Bank AG		25,510,000	11,452,301	03/13/16	11.480		3 Month LIBOR		(89,778	)		(2,409,538	)
	ZAR	54,520,000	5,245,039	05/12/24	3 Month JBAR		3 Month LIBOR		29,057			(1,323,267	)
Citibank NA		26,400,000	2,540,263	05/13/24	3 Month JBAR		3 Month LIBOR		1,169			(636,871	)
Morgan Stanley & Co. International PLC		54,542,000	5,262,132	05/13/24	3 Month JBAR		3 Month LIBOR		4,955			(1,314,539	)
Deutsche Bank AG		42,202,250	4,054,984	05/23/19	3 Month JBAR		3 Month LIBOR		8,688			(1,004,938	)
		38,520,000	3,594,289	07/15/24	3 Month JBAR		3 Month LIBOR		4,617			(790,149	)
Morgan Stanley & Co. International PLC		29,540,000	2,768,510	07/17/24	3 Month JBAR		3 month LIBOR		(5,244	)		(614,165	)
		55,121,000	5,153,904	08/12/24	3 Month JBAR		3 month LIBOR		16,437			(1,169,602	)
Deutsche Bank AG	TRY	6,600,000	2,960,969	12/04/16	8.05		3 Month LIBOR		(2,257	)		(715,630	)
TOTAL								$	11,600		$	(11,308,831	)

(c) At the termination date, the notional amount of the currency received will be exchanged back for the notional amount of the currency delivered.

The accompanying notes are an integral part of these financial statements. 109

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

September 30, 2015 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

NON-DELIVERABLE BOND FORWARD CONTRACTS^#

Counterparty	Notional Amount (000s)		Reference Obligation	Settlement Date	Unrealized Gain (Loss)*
Deutsche Bank AG	COP	8,508,900	Titulos de Tesoreria 7.750%, 09/18/30	10/14/15	$	27,115
		21,429,300	Titulos de Tesoreria 10.000%, 07/24/24	10/14/15		11,694
		4,447,900	Titulos de Tesoreria 7.750%, 09/18/30	10/14/15		16,220
Bank of America Securities LLC		5,445,600	Titulos de Tesoreria 10.000%, 07/24/24	10/18/15		(42,635	)
HSBC Bank PLC		7,000,000	Titulos de Tesoreria 7.750%, 09/18/30	10/20/15		(39,128	)
Deutsche Bank AG		7,525,200	Titulos de Tesoreria 7.750%, 09/18/30	10/15/15		11,454
		4,239,900	Titulos de Tesoreria 10.000%, 07/24/24	10/15/15		3,797
		10,105,800	Titulos de Tesoreria 7.500%, 08/26/26	10/15/15		13,255
TOTAL					$	1,772

# Represents a short term forward contract to purchase the referenced obligation denominated in a non-deliverable foreign currency.

* There are no upfront payments on the bond forward contracts, therefore the unrealized gain (loss) of the bond forward contracts is equal to their market value.

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

GOLDMAN SACHS U.S. MORTGAGES FUND

Schedule of Investments

September 30, 2015 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – 111.1%
	Collateralized Mortgage Obligations – 5.7%
	Adjustable Rate Non-Agency(a) – 0.9%
	Adjustable Rate Mortgage Trust Series 2004-5, Class 2A1
$	146,273		2.704	%		04/25/35	$	141,162
	Bear Stearns Alt-A Trust Series 2005-5, Class 21A1
	883,492		2.353			07/25/35		844,074
	Countrywide Alternative Loan Trust Series 2005-16, Class A1
	638,431		1.829			06/25/35		554,666
	Countrywide Alternative Loan Trust Series 2005-38, Class A1
	175,046		1.684			09/25/35		157,050
	Harborview Mortgage Loan Trust Series 2005-16, Class 2A1A
	277,950		0.456			01/19/36		176,878
	Impac CMB Trust Series 2004-08, Class 1A
	63,290		0.919			10/25/34		51,452
	Morgan Stanley Mortgage Loan Trust Series 2004-8AR, Class 4A1
	647,692		2.481			10/25/34		643,973
								2,569,255
	Interest Only(b) – 0.6%
	CS First Boston Mortgage Securities Corp. Series 2003-19, Class 1A2
	3,766		5.250			07/25/33		115
	FHLMC REMIC Series 4273, Class PS(a)
	575,209		5.893			11/15/43		90,087
	FHLMC REMIC Series 4456, Class IO
	553,268		4.500			10/15/44		106,650
	FHLMC STRIPS Series 329, Class C1
	1,509,134		4.000			12/15/41		283,481
	FNMA REMIC Series 2010-126, Class LS(a)
	975,523		4.803			11/25/40		197,773
	FNMA REMIC Series 2012-146, Class IO
	3,502,059		3.500			01/25/43		760,899
	GNMA REMIC Series 2013-113, Class SD(a)
	396,859		6.491			08/16/43		74,599
	GNMA REMIC Series 2014-11, Class KI
	627,498		4.500			12/20/42		90,572
	GNMA REMIC Series 2015-72, Class JI
	271,127		3.500			05/20/45		40,321
	GNMA REMIC Series 2015-83, Class PI
	445,021		3.500			06/20/45		67,153
	Master Adjustable Rate Mortgages Trust Series 2003-2, Class 3AX(a)
	14,945		0.123			08/25/33		92
	Master Adjustable Rate Mortgages Trust Series 2003-2, Class 4AX(a)
	2,175		0.320			07/25/33		25
								1,711,767
	Inverse Floaters(a) – 0.5%
	FNMA REMIC Series 2013-96, Class SW
	478,816		5.906			09/25/43		77,642
	FNMA REMIC Series 2015-20, Class ES
	959,556		5.956			04/25/45		230,897
	GNMA REMIC Series 2010-1, Class SD
	36,195		5.574			01/20/40		6,168
	GNMA REMIC Series 2010-31, Class SA
	590,384		5.534			03/20/40		87,433

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – (continued)
	Inverse Floaters(a) – (continued)
	GNMA REMIC Series 2010-85, Class SN
$	90,904		5.724	%		07/20/40	$	16,179
	GNMA REMIC Series 2010-98, Class QS
	321,989		6.384			01/20/40		47,171
	GNMA REMIC Series 2011-17, Class SA
	377,483		5.884			09/20/40		56,089
	GNMA REMIC Series 2011-61, Class CS
	265,729		6.464			12/20/35		23,200
	GNMA REMIC Series 2011-79, Class AS
	131,988		5.894			07/20/37		4,248
	GNMA REMIC Series 2015-110, Class MS
	1,181,472		5.494			08/20/45		190,240
	GNMA REMIC Series 2015-111, Class SM
	993,075		5.984			08/20/45		183,167
	GNMA REMIC Series 2015-112, Class SB
	984,560		5.524			08/20/45		161,843
	GNMA REMIC Series 2015-126, Class HS
	2,000,000		6.001			09/20/45		371,180
	GNMA REMIC Series 2015-90, Class PI
	370,876		3.500			04/20/45		54,365
								1,509,822
	Planned Amortization Class – 0.4%
	FHLMC REMIC Series 3748
	1,000,000		4.000			11/15/39		1,069,295
	Sequential Fixed Rate – 1.6%
	FHLMC REMIC Series 2042, Class N
	118,082		6.500			03/15/28		133,263
	FNMA REMIC Series 2000-16, Class ZG
	251,682		8.500			06/25/30		298,608
	FNMA REMIC Series 2011-52, Class GB
	1,107,014		5.000			06/25/41		1,226,676
	FNMA REMIC Series 2011-99, Class DB
	1,075,000		5.000			10/25/41		1,192,589
	FNMA REMIC Series 2012-111, Class B
	201,737		7.000			10/25/42		230,618
	FNMA REMIC Series 2012-153, Class B
	707,003		7.000			07/25/42		829,134
	FNMA REMIC Series 2015
	1,000,000		6.054			10/01/45		158,218
	FNMA REMIC Series 2015-79
	3,075,000		5.506			10/01/45		412,242
								4,481,348
	Sequential Floating Rate(a) – 1.1%
	FHLMC REMIC Series 4103, Class BF
	1,974,711		0.557			12/15/38		1,979,783
	FNMA REMIC Series 2011-63, Class FG
	259,823		0.644			07/25/41		261,485
	New Residential Mortgage Loan Trust Series 2015-1A, Class A1(c)
	732,509		3.750			04/25/52		758,706
								2,999,974

The accompanying notes are an integral part of these financial statements. 111

GOLDMAN SACHS U.S. MORTGAGES FUND

Schedule of Investments (continued)

September 30, 2015 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – (continued)
	Support – 0.6%
	FNMA REMIC Series 2005-59, Class KZ
$	1,501,337		5.500	%		07/25/35	$	1,672,228
	TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS						$	16,013,689
	Commercial Mortgage-Backed Securities – 13.1%
	Sequential Fixed Rate – 4.5%
	Bear Stearns Commercial Mortgage Securities Trust Series 2007-PW18, Class A1A
$	3,873,706		5.602	%		06/11/50	$	4,133,488
	FHLMC Multifamily Structured Pass-Through Certificates Series K005, Class A2
	2,000,000		4.317			11/25/19		2,208,542
	FHLMC Multifamily Structured Pass-Through Certificates Series K027, Class A2
	1,400,000		2.637			01/25/23		1,429,425
	FHLMC Multifamily Structured Pass-Through Certificates Series K028, Class A2
	3,450,000		3.111			02/25/23		3,631,235
	FHLMC Multifamily Structured Pass-Through Certificates Series K044, Class A2
	1,400,000		2.811			01/25/25		1,417,146
								12,819,836
	Sequential Floating Rate(a) – 8.6%
	Banc of America Commercial Mortgage, Inc. Series 2007-2, Class AM
	150,000		5.794			04/10/49		157,470
	Citigroup Commercial Mortgage Trust Series 2008-C7, Class A1A
	2,249,692		6.263			12/10/49		2,421,681
	Commercial Mortgage Trust Series 2007-C9, Class A1A
	2,282,285		5.989			12/10/49		2,415,940
	Credit Suisse Commercial Mortgage Trust Series 2006-C3, Class A3
	5,739,171		5.998			06/15/38		5,801,430
	FHLMC Multifamily Structured Pass-Through Certificates Series K714, Class A2
	700,000		3.034			10/25/20		736,292
	GS Mortgage Securities Trust Series 2007-GG10, Class A4
	3,587,738		5.988			08/10/45		3,788,034
	LB-UBS Commercial Mortgage Trust Series 2007-C7, Class A3
	746,705		5.866			09/15/45		800,702
	ML-CFC Commercial Mortgage Trust Series 2006-2, Class A4
	3,423,816		5.879			06/12/46		3,483,787
	Morgan Stanley Capital I Trust Series 2007-HQ11, Class AM
	50,000		5.478			02/12/44		51,924
	Morgan Stanley Capital I Trust Series 2007-HQ13, Class AM
	50,000		5.931			12/15/44		51,425
	Morgan Stanley Capital I Trust Series 2007-T25, Class A1A
	1,095,859		5.509			11/12/49		1,139,522
	Wachovia Bank Commercial Mortgage Trust Series 2006-C26, Class A1A
	2,045,838		6.009			06/15/45		2,090,694

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – (continued)
	Sequential Floating Rate(a) – (continued)
	WF-RBS Commercial Mortgage Trust Series 2011-C2, Class A4(c)
$	1,300,000		4.869	%		02/15/44	$	1,461,311
								24,400,212
	TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES						$	37,220,048
	Federal Agencies – 92.3%
	Adjustable Rate FHLMC(a) – 0.1%
$	95,718		2.493	%		04/01/33	$	101,981
	44,788		2.360			09/01/33		47,723
	22,075		2.232			10/01/34		23,445
	37,209		2.375			11/01/34		39,744
	37,456		2.465			02/01/35		40,014
	126,233		2.451			06/01/35		134,753
								387,660
	Adjustable Rate FNMA(a) – 0.5%
	4,813		1.930			07/01/22		4,919
	15,091		1.909			07/01/27		15,585
	14,563		1.909			11/01/27		15,034
	6,326		1.909			01/01/31		6,574
	7,952		1.909			06/01/32		8,275
	9,710		1.930			08/01/32		10,076
	38,156		1.930			05/01/33		39,633
	14,301		1.806			06/01/33		14,827
	184,212		2.492			06/01/33		196,350
	10,941		2.440			07/01/33		11,647
	177,005		1.937			08/01/33		183,324
	499		2.625			09/01/33		533
	969		2.199			12/01/33		1,013
	94,261		2.266			12/01/33		99,779
	3,438		2.510			04/01/34		3,673
	256,632		2.780			08/01/34		274,500
	43,566		2.301			11/01/34		46,193
	58,739		2.322			02/01/35		62,634
	78,029		2.244			03/01/35		82,554
	48,757		2.437			04/01/35		51,973
	105,650		2.484			05/01/35		112,617
	12,868		1.909			11/01/35		13,299
	44,274		1.909			12/01/37		45,768
	32,444		1.909			01/01/38		33,525
	18,486		1.909			11/01/40		19,208
								1,353,513
	Adjustable Rate GNMA(a) – 0.5%
	27,015		1.750			06/20/23		27,541
	13,287		1.625			07/20/23		13,566
	13,414		1.625			08/20/23		13,698
	34,495		1.625			09/20/23		35,232
	10,470		1.750			03/20/24		10,699
	92,486		1.750			04/20/24		94,501
	10,248		1.750			05/20/24		10,473
	75,159		1.750			06/20/24		76,824
	17,047		2.000			06/20/24		17,504
	26,067		1.625			07/20/24		26,671

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

GOLDMAN SACHS U.S. MORTGAGES FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – (continued)
	Adjustable Rate GNMA(a) – (continued)
$	27,143		2.000	%		07/20/24	$	27,884
	47,725		1.625			08/20/24		48,838
	24,109		2.000			08/20/24		24,771
	22,874		1.625			09/20/24		23,411
	27,966		2.000			11/20/24		28,751
	11,180		2.000			12/20/24		11,496
	17,288		2.500			12/20/24		18,029
	19,415		2.000			01/20/25		19,967
	10,395		2.000			02/20/25		10,693
	36,064		2.000			05/20/25		37,118
	30,844		2.000			07/20/25		31,759
	13,553		1.750			02/20/26		13,903
	727		1.625			07/20/26		747
	18,592		1.750			01/20/27		19,102
	16,295		2.000			01/20/27		16,813
	13,935		1.750			02/20/27		14,320
	101,903		1.750			04/20/27		104,718
	10,783		1.750			05/20/27		11,083
	12,581		1.750			06/20/27		12,932
	4,638		1.625			11/20/27		4,772
	16,293		1.625			12/20/27		16,767
	33,569		1.750			01/20/28		34,548
	12,383		1.750			02/20/28		12,746
	13,838		1.750			03/20/28		14,246
	57,451		1.625			07/20/29		59,220
	31,925		1.625			08/20/29		32,911
	7,757		1.625			09/20/29		8,008
	31,940		1.625			10/20/29		32,960
	39,598		1.625			11/20/29		40,868
	8,635		1.625			12/20/29		8,908
	12,170		1.750			01/20/30		12,563
	5,626		1.750			02/20/30		5,809
	32,313		1.750			03/20/30		33,362
	35,973		1.750			04/20/30		37,138
	55,328		1.750			05/20/30		57,122
	40,134		2.000			05/20/30		41,706
	8,432		1.750			06/20/30		8,695
	79,195		2.000			07/20/30		82,192
	15,612		2.000			09/20/30		16,233
	27,705		1.625			10/20/30		28,631
								1,392,449
	FHLMC – 15.1%
	636		6.000			03/01/16		641
	117		5.000			09/01/16		119
	1,035		5.000			11/01/16		1,077
	4,445		5.000			01/01/17		4,611
	6,686		5.000			02/01/17		6,946
	6,335		5.000			03/01/17		6,571
	12,273		5.000			04/01/17		12,747
	397		5.000			05/01/17		413
	517		5.000			08/01/17		537
	40,862		5.000			09/01/17		42,484
	52,826		5.000			10/01/17		54,920
	32,759		5.000			11/01/17		34,058
	31,569		5.000			12/01/17		32,820

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – (continued)
	FHLMC – (continued)
$	39,543		5.000	%		01/01/18	$	41,145
	92,261		5.000			02/01/18		96,047
	87,738		5.000			03/01/18		91,432
	87,416		5.000			04/01/18		91,060
	10,682		4.500			05/01/18		11,116
	65,759		5.000			05/01/18		68,588
	18,435		5.000			06/01/18		19,225
	18,887		5.000			07/01/18		19,742
	7,806		5.000			08/01/18		8,139
	6,581		5.000			09/01/18		6,863
	23,071		5.000			10/01/18		24,122
	28,340		5.000			11/01/18		29,618
	12,516		5.000			12/01/18		13,061
	1,968		5.000			01/01/19		2,058
	467		5.000			02/01/19		493
	96,452		5.500			04/01/20		102,681
	357,712		5.000			11/01/22		391,287
	331,516		4.500			08/01/23		358,649
	94,272		2.500			03/01/30		96,327
	871,551		2.500			06/01/30		891,093
	50,767		7.000			04/01/31		59,819
	740,888		7.000			09/01/31		850,945
	244,746		7.000			04/01/32		289,603
	519,208		7.000			05/01/32		612,216
	162,592		5.000			10/01/33		178,974
	16,332		5.500			12/01/33		18,354
	249,522		5.500			04/01/35		278,938
	7,858		5.000			07/01/35		8,646
	174,723		5.000			12/01/35		193,861
	120,257		5.500			01/01/36		134,698
	343		5.500			02/01/36		384
	2,263		5.000			02/01/37		2,510
	55,000		6.000			08/01/37		61,966
	60,572		6.000			09/01/37		68,214
	22,400		6.000			10/01/37		25,206
	163,518		6.000			11/01/37		183,999
	172,615		6.000			12/01/37		194,237
	6,066		5.500			01/01/38		6,731
	165,937		6.000			01/01/38		186,755
	49,387		6.000			02/01/38		55,578
	8,416		6.000			03/01/38		9,534
	52,357		6.000			04/01/38		59,097
	20,965		6.000			05/01/38		23,954
	41,367		6.000			06/01/38		47,035
	28,004		6.000			07/01/38		31,930
	17,960		6.000			08/01/38		20,374
	183,260		6.000			09/01/38		206,256
	38,010		6.000			10/01/38		42,777
	2,499		6.000			11/01/38		2,857
	2,988		6.000			12/01/38		3,363
	135,999		6.000			01/01/39		153,053
	14,884		6.000			02/01/39		16,976
	680,551		7.000			02/01/39		798,325
	10,586		6.000			03/01/39		11,914
	4,331		6.000			04/01/39		4,930
	557,169		5.000			05/01/39		610,799

The accompanying notes are an integral part of these financial statements. 113

GOLDMAN SACHS U.S. MORTGAGES FUND

Schedule of Investments (continued)

September 30, 2015 (Unaudited)

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – (continued)
	FHLMC – (continued)
$	991,540		5.000	%		07/01/39	$	1,091,469
	62,322		6.000			04/01/40		70,133
	138,125		6.000			05/01/40		155,433
	46,946		5.000			08/01/40		51,553
	66,672		5.000			10/01/40		73,308
	115,803		4.500			02/01/41		125,547
	5,809		5.000			06/01/41		6,389
	485,286		4.000			10/01/41		523,749
	77,089		3.000			05/01/42		78,102
	308,679		3.500			06/01/42		324,185
	199,238		3.000			08/01/42		202,614
	3,236,414		4.000			09/01/42		3,485,845
	77,233		3.000			10/01/42		78,600
	505,162		3.500			10/01/42		527,066
	877,437		4.000			10/01/42		945,062
	7,603,762		3.000			11/01/42		7,739,242
	409,377		3.500			11/01/42		427,128
	1,827,249		3.000			12/01/42		1,864,723
	4,292,049		3.000			01/01/43		4,376,279
	290,222		3.000			02/01/43		294,954
	256,974		4.000			03/01/43		276,779
	4,659,099		3.500			04/01/43		4,862,571
	4,755,733		3.500			08/01/43		4,954,592
	912,649		3.500			06/01/44		956,071
	381,183		4.000			08/01/44		411,097
	32,995		4.000			11/01/44		35,585
	148,353		3.500			02/01/45		155,527
	538,908		3.500			03/01/45		564,547
								42,673,648
	FNMA – 38.5%
	74		5.500			04/01/16		74
	116		5.500			08/01/16		117
	2,337		5.500			11/01/16		2,372
	1,648		5.500			12/01/16		1,677
	2,863		5.500			01/01/17		2,922
	303		5.500			05/01/17		311
	1,309		5.500			07/01/17		1,341
	192		5.500			09/01/17		197
	3,238		5.500			01/01/18		3,330
	2,841		5.500			02/01/18		2,922
	818,045		2.800			03/01/18		846,222
	89,530		5.000			03/01/18		93,058
	7,004		5.500			04/01/18		7,319
	2,530,000		3.840			05/01/18		2,688,565
	1,544		5.500			05/01/18		1,619
	129,797		5.000			06/01/18		135,375
	377,721		4.000			08/01/18		395,574
	6,494		5.000			09/01/18		6,775
	7,561		7.000			11/01/18		7,771
	1,488		5.500			02/01/19		1,553
	10,409		5.500			04/01/19		10,978
	1,188		5.500			05/01/19		1,241
	9,555		5.500			07/01/19		10,103
	27,922		5.500			08/01/19		29,637
	13,474		5.500			09/01/19		14,352

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – (continued)
	FNMA – (continued)
$	26,934		5.500	%		10/01/19	$	28,623
	10,183		5.500			11/01/19		10,848
	7,275		5.500			12/01/19		7,673
	39,211		5.500			02/01/20		41,496
	145,701		4.500			03/01/20		151,855
	799,802		3.416			10/01/20		858,036
	15,127		5.500			01/01/21		16,121
	22,053		7.000			09/01/21		24,392
	48,442		6.000			04/01/22		54,585
	80,129		7.000			06/01/22		90,370
	30,703		7.000			07/01/22		33,919
	2,895		4.500			04/01/23		3,056
	2,527,565		5.000			06/01/25		2,781,152
	199,650		5.000			07/01/27		219,680
	486		7.000			01/01/29		488
	1,792		7.000			09/01/29		1,866
	583,226		3.000			08/01/30		607,809
	30,799		5.000			08/01/30		33,889
	4,403,215		3.000			09/01/30		4,588,811
	11,648		7.000			08/01/31		13,447
	798		7.000			03/01/32		936
	1,536		7.000			04/01/32		1,713
	3,024		7.000			06/01/32		3,082
	823		7.000			07/01/32		867
	59,489		6.000			01/01/33		68,013
	2,094		6.000			02/01/33		2,453
	1,293		5.500			07/01/33		1,452
	26,670		5.000			08/01/33		29,497
	7,290		5.500			09/01/33		8,189
	27,720		5.500			02/01/34		31,143
	7,428		5.500			03/01/34		8,346
	13,598		5.000			04/01/34		15,045
	12,045		5.500			04/01/34		13,548
	68		5.500			06/01/34		77
	60,054		5.500			07/01/34		67,638
	7,540		5.500			08/01/34		8,531
	35,543		5.500			10/01/34		40,100
	4,769		5.500			11/01/34		5,380
	200,673		5.500			12/01/34		226,338
	208,561		6.000			04/01/35		238,402
	15,878		5.500			05/01/35		17,832
	6,134		5.500			06/01/35		6,920
	9,915		5.000			07/01/35		11,030
	15,216		5.500			07/01/35		17,208
	8,248		5.500			08/01/35		9,311
	12,298		5.500			09/01/35		13,885
	389,389		5.000			10/01/35		429,305
	5,388		5.500			10/01/35		6,033
	104,586		6.000			10/01/35		121,693
	3,545		5.500			12/01/35		4,028
	2,902		6.000			12/01/35		3,347
	634,061		5.000			01/01/36		699,057
	160		5.500			02/01/36		180
	21,119		5.500			04/01/36		23,651
	3,046		6.000			04/01/36		3,511
	41,639		5.500			07/01/36		46,492

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

GOLDMAN SACHS U.S. MORTGAGES FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – (continued)
	FNMA – (continued)
$	3,929		5.500	%		02/01/37	$	4,418
	17,248		5.500			04/01/37		19,456
	67,092		6.000			04/01/37		76,984
	316		5.500			05/01/37		356
	61,435		5.000			06/01/37		68,262
	463		5.500			06/01/37		521
	7,122		5.500			07/01/37		8,007
	600,589		5.500			08/01/37		672,559
	104,726		6.500			10/01/37		123,062
	79,352		6.000			11/01/37		90,911
	230		5.500			12/01/37		259
	586		5.500			02/01/38		659
	8,012		5.500			03/01/38		9,010
	90,055		5.000			04/01/38		99,149
	28,510		5.500			04/01/38		32,141
	7,111		5.500			05/01/38		8,021
	2,826		5.500			06/01/38		3,177
	1,521		5.500			07/01/38		1,711
	3,508		5.500			08/01/38		3,929
	3,791		5.500			09/01/38		4,267
	112,902		6.000			09/01/38		129,429
	24,555		5.500			12/01/38		27,579
	749,737		5.000			01/01/39		839,501
	234,925		6.000			01/01/39		269,486
	415,402		6.500			01/01/39		485,575
	499,584		4.500			02/01/39		541,427
	5,486		5.500			02/01/39		6,200
	10,647		4.500			03/01/39		11,687
	468,267		7.000			03/01/39		534,714
	15,107		4.500			05/01/39		16,583
	12,182		5.500			06/01/39		13,695
	13,155		4.500			07/01/39		14,451
	9,943		4.000			08/01/39		10,609
	10,866		5.500			11/01/39		12,219
	82,202		4.500			02/01/40		90,335
	18,054		3.500			04/01/40		18,877
	67,903		4.500			06/01/40		74,632
	657,381		5.000			06/01/40		724,966
	38,165		5.000			07/01/40		42,088
	11,915		4.500			09/01/40		13,095
	333,097		4.500			08/01/41		362,284
	287,754		3.500			10/01/41		302,063
	258,837		3.500			01/01/42		271,627
	35,583		3.000			04/01/42		36,170
	121,581		3.500			04/01/42		127,064
	29,113		3.500			05/01/42		30,423
	788,039		3.500			06/01/42		823,538
	318,338		3.500			07/01/42		332,877
	471,985		3.000			08/01/42		481,407
	518,241		3.000			09/01/42		528,492
	151,397		3.500			09/01/42		158,606
	705,135		3.000			10/01/42		719,605
	372,972		3.500			10/01/42		391,320
	511,922		4.000			10/01/42		551,836
	788,112		3.000			11/01/42		804,586
	42,558		3.500			11/01/42		44,514

Principal Amount		Interest Rate			Maturity Date			Value
	Mortgage-Backed Obligations – (continued)
	FNMA – (continued)
$	3,142,214		3.000	%		12/01/42		$	3,205,513
	197,281		3.500			12/01/42			207,029
	4,239,192		3.000			01/01/43			4,327,264
	22,056		3.500			01/01/43			23,070
	936,591		4.000			01/01/43			1,009,616
	1,006,279		3.000			02/01/43			1,027,819
	983,927		3.500			02/01/43			1,031,002
	2,344,012		3.000			03/01/43			2,394,135
	3,764,677		3.500			03/01/43			3,942,021
	2,288,761		3.000			04/01/43			2,336,557
	832,300		2.500			05/01/43			816,204
	2,897,609		3.000			05/01/43			2,957,174
	35,682		3.500			05/01/43			37,323
	531,311		3.000			06/01/43			540,193
	963,157		3.500			06/01/43			1,010,236
	789,608		3.000			07/01/43			806,224
	3,047,533		3.500			07/01/43			3,191,585
	97,989		3.000			08/01/43			99,543
	1,433,804		3.500			08/01/43			1,498,355
	434,457		3.000			09/01/43			441,348
	47,873		3.000			10/01/43			48,632
	955,602		5.000			03/01/44			1,053,105
	72,783		3.500			08/01/44			75,981
	235,975		3.500			09/01/44			246,542
	1,208,099		4.000			10/01/44			1,301,327
	29,071		3.500			12/01/44			30,407
	131,071		5.000			12/01/44			144,445
	76,685		3.500			01/01/45			80,571
	507,005		3.500			02/01/45			531,734
	933,509		4.000			02/01/45			1,001,626
	405,361		3.500			03/01/45			425,478
	53,358		3.500			07/01/45			55,712
	8,282,120		3.500			08/01/45			8,647,126
	14,831,589		3.500			09/01/45			15,481,927
	10,000,000		3.000			TBA-30yr	(d)		10,132,812
	11,000,000		4.500			TBA-30yr	(d)		11,924,688
									109,172,497
	GNMA – 37.6%
	78,018		5.500			07/15/20			82,504
	254,850		3.950			07/15/25			277,961
	7,186		6.000			04/15/26			8,124
	687		6.500			01/15/32			788
	1,661		6.500			02/15/32			1,905
	788,089		5.500			04/15/33			897,886
	7,777		5.000			11/15/33			8,691
	1,796		6.500			08/15/34			2,112
	1,457		6.500			02/15/36			1,706
	4,055		6.500			03/15/36			4,751
	7,616		6.500			04/15/36			8,841
	22,773		6.500			05/15/36			26,678
	15,906		6.500			06/15/36			18,633
	100,925		6.500			07/15/36			119,773
	91,165		6.500			08/15/36			106,731
	137,671		6.500			09/15/36			160,622
	61,494		6.500			10/15/36			71,392

The accompanying notes are an integral part of these financial statements. 115

GOLDMAN SACHS U.S. MORTGAGES FUND

Schedule of Investments (continued)

September 30, 2015 (Unaudited)

Principal Amount		Interest Rate			Maturity Date			Value
	Mortgage-Backed Obligations – (continued)
	GNMA – (continued)
$	88,097		6.500	%		11/15/36		$	102,546
	34,409		6.500			12/15/36			39,979
	15,561		6.500			01/15/37			18,035
	4,073		6.500			03/15/37			4,773
	11,000		6.500			04/15/37			12,848
	8,157		6.500			05/15/37			9,441
	4,894		6.500			08/15/37			5,689
	28,093		6.500			09/15/37			32,549
	29,144		6.500			10/15/37			33,418
	16,066		6.500			11/15/37			18,821
	5,852		6.500			05/15/38			6,807
	7,650		6.500			11/15/38			8,936
	4,994		6.500			02/15/39			5,825
	222,110		4.500			12/20/39			241,288
	890,803		5.000			01/20/40			977,183
	59,445		4.500			02/20/40			64,796
	172,144		4.500			05/20/40			187,640
	597,232		5.000			07/15/40			666,884
	349,550		3.500			09/15/42			366,955
	1,756,475		3.500			10/15/44			1,839,692
	323,258		3.500			01/15/45			338,702
	1,343,658		3.500			02/15/45			1,407,851
	993,605		4.000			07/20/45			1,061,799
	18,961,135		3.500			08/20/45			19,895,860
	8,979,881		4.000			08/20/45			9,599,002
	9,000,000		3.500			09/20/45			9,443,672
	11,000,000		4.000			09/20/45			11,758,398
	7,000,000		3.500			TBA-30yr	(d)		7,330,156
	37,000,000		4.000			TBA-30yr	(d)		39,394,842
									106,673,485
	TOTAL FEDERAL AGENCIES							$	261,653,252
	TOTAL MORTGAGE-BACKED OBLIGATIONS
	(Cost $312,820,164)							$	314,886,989
	Asset-Backed Securities – 8.1%
	Auto(c) – 0.4%
	Ford Credit Auto Owner Trust Series 2015-1, Class A
$	1,200,000		2.120	%		07/15/26		$	1,204,795
	Collateralized Loan Obligations(a)(c) – 4.4%
	ARES XII CLO Ltd. Series 2007-12A, Class A
	1,052,142		0.912			11/25/20			1,040,918
	Brentwood CLO Corp. Series 2006-1A, Class A1B
	562,719		0.548			02/01/22			553,265
	Four Corners CLO II Ltd. Series 2006-2A, Class A
	1,143,420		0.565			01/26/20			1,129,276
	Halcyon Loan Advisors Funding Ltd. Series 2015-2A, Class A
	1,450,000		1.727			07/25/27			1,428,988
	OFSI Fund VI Ltd. Series 2014-6A, Class A1
	2,100,000		1.300			03/20/25			2,042,128
	Parallel Ltd. Series 2015-1A, Class A
	1,050,000		1.752			07/20/27			1,041,918

Principal Amount		Interest Rate			Maturity Date		Value
	Asset-Backed Securities – (continued)
	Collateralized Loan Obligations(a)(c) – (continued)
	Parallel Ltd. Series 2015-1A, Class B
$	250,000		2.352	%		07/20/27	$	243,746
	Shackleton CLO Ltd. Series 2014-5A, Class A
	1,600,000		1.811			05/07/26		1,586,309
	Trinitas CLO III Ltd. Series 2015-3A, Class A2
	1,800,000		1.702			07/15/27		1,784,342
	Z Capital Credit Partners CLO Ltd. Series 2015-1A, Class ACOM
	1,550,000		1.737			07/16/27		1,516,675
								12,367,565
	Home Equity(a) – 0.1%
	Countrywide Home Equity Loan Trust Series 2004-G, Class 2A
	20,912		0.427			12/15/29		19,579
	Countrywide Home Equity Loan Trust Series 2004-O, Class 1A
	104,553		0.487			02/15/34		94,123
	Residential Asset Mortgage Products, Inc. Series 2004-RZ1, Class AII
	108,858		0.679			03/25/34		105,395
								219,097
	Student Loan(a) – 3.2%
	Education Loan Asset-Backed Trust I Series 2013-1, Class A1(c)
	1,526,726		0.994			06/25/26		1,508,663
	Goal Capital Funding Trust Series 2007-1, Class A3
	629,928		0.416			09/25/28		623,286
	Nelnet Student Loan Trust Series 2006-2, Class A5
	2,400,000		0.395			01/25/30		2,345,712
	SLM Student Loan Trust Series 2006-2, Class A5
	2,685,540		0.405			07/25/25		2,666,875
	SLM Student Loan Trust Series 2006-4, Class A5
	1,148,617		0.395			10/27/25		1,137,956
	SLM Student Loan Trust Series 2014-2, Class A2
	800,000		0.544			10/25/21		793,726
								9,076,218
	TOTAL ASSET-BACKED SECURITIES
	(Cost $22,993,651)						$	22,867,675

Shares	Rate			Value
Investment Company(e) – 2.5%
Goldman Sachs Financial Square Government Fund – FST Shares
7,164,780		0.006	%	$	7,164,780
(Cost $7,164,780)
TOTAL INVESTMENTS – 121.7%
(Cost $342,978,595)				$	344,919,444
LIABILITIES IN EXCESS OF     OTHER ASSETS – (21.7)%					(61,579,408	)
NET ASSETS – 100.0%				$	283,340,036

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

GOLDMAN SACHS U.S. MORTGAGES FUND

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a)	Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on September 30, 2015.
(b)	Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate.
(c)	Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $17,301,040, which represents approximately 6.1% of net assets as of September 30, 2015.
(d)	TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total market value of TBA securities (excluding forward sales contracts, if any) amounts to $68,782,498 which represents approximately 24.3% of net assets as of September 30, 2015.
(e)	Represents an Affiliated Fund.

Investment Abbreviations:
CLO	—Collateralized Loan Obligation
FHLMC	—Federal Home Loan Mortgage Corp.
FNMA	—Federal National Mortgage Association
GNMA	—Government National Mortgage Association
LIBOR	—London Interbank Offered Rate
REMIC	—Real Estate Mortgage Investment Conduit
STRIPS	—Separate Trading of Registered Interest and Principal of Securities

ADDITIONAL INVESTMENT INFORMATION

FORWARD SALES CONTRACTS — At September 30, 2015, the Fund had the following forward sales contracts:

Description	Interest Rate			Maturity Date(a)	Settlement Date		Principal Amount			Value
FHLMC		3.500	%	TBA-30yr		10/14/15	$	(7,000,000	)	$	(7,282,187	)
FNMA		3.000		TBA-15yr		10/19/15		(3,000,000	)		(3,123,750	)
FNMA		3.500		TBA-30yr		10/14/15		(17,000,000	)		(17,730,470	)
TOTAL (Proceeds Receivable: $27,956,523)										$	(28,136,407	)

(a) TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned.

FUTURES CONTRACTS — At September 30, 2015, the Fund had the following futures contracts:

Type	Number of Contracts Long (Short)			Expiration Date	Current Value			Unrealized Gain (Loss)
Ultra Long U.S. Treasury Bonds		33		December 2015	$	5,293,406		$	93,952
2 Year U.S. Treasury Notes		(12	)	December 2015		(2,628,375	)		69
5 Year U.S. Treasury Notes		(13	)	December 2015		(1,566,703	)		384
10 Year U.S. Treasury Notes		117		December 2015		15,061,922			167,112
20 Year U.S. Treasury Bonds		(40	)	December 2015		(6,293,750	)		(74,158	)
TOTAL								$	187,359

The accompanying notes are an integral part of these financial statements. 117

GOLDMAN SACHS U.S. MORTGAGES FUND

Schedule of Investments (continued)

September 30, 2015 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION (continued)

SWAP CONTRACTS — At September 30, 2015, the Fund had the following swap contracts:

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS

				Rates Exchanged			Market Value
Notional Amount (000s)			Termination Date	Payments Received		Payments Made	Upfront Payments Made (Received)			Unrealized Gain (Loss)
$	10,100	(b)	06/24/21		2.923%	3 month LIBOR	$	(9,961	)	$	140,843
	12,720		09/02/22		2.810	3 month LIBOR		5,727			63,977
	4,100	(b)	12/16/22		3 month LIBOR	2.250%		(61,543	)		(69,004	)
	3,300	(b)	12/16/25		3 month LIBOR	2.500		(64,977	)		(67,951	)
	2,600	(b)	06/24/29		3 month LIBOR	3.218		16,361			(129,716	)
	3,040	(b)	09/02/30		3 month LIBOR	3.005		13,358			(61,113	)
	8,000		12/16/30		2.500	3 month LIBOR		(59,960	)		236,751
	2,600	(b)	12/16/35		3 month LIBOR	2.500		73,155			(91,439	)
	TOTAL						$	(87,840	)	$	22,348

(b) Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to September 30, 2015.

OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS

												Market Value
Counterparty	Referenced Obligation	Notional Amount (000s)		Rates Received (Paid)			Termination Date		Credit Spread at September 30, 2015(c)			Upfront Payments Made (Received)			Unrealized Gain (Loss)
Protection Sold:
Barclays Bank PLC	Tranches of Commercial Mortgage-Backed Index AAA Series 7	$	7,000		0.500	%		01/17/47		0.849	%	$	(224,341	)	$	(69,294	)
Deutsche Bank Securities, Inc.			7,500		0.500			01/17/47		0.849			(214,588	)		(100,020	)
Morgan Stanley & Co. International PLC			10,000		0.500			01/17/47		106.328			(413,044	)		(6,435	)
TOTAL												$	(851,973	)	$	(175,749	)

(c) Credit spread on the Referenced Obligation, together with the term of the swap contract, are indicators of payment/performance risk. The likelihood of a credit event occurring which would require a fund to make a payment or otherwise be required to perform under the swap contract is generally greater as the credit spread and the term of the swap contract increase.

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

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Schedule of Investments

September 30, 2015 (Unaudited)

ADDITIONAL INVESTMENT INFORMATION

JOINT REPURCHASE AGREEMENT ACCOUNT II — At September 30, 2015, certain Funds had undivided interests in the Joint Repurchase Agreement Account II, with a maturity date of October 1, 2015, as follows:

Fund	Principal Amount		Maturity Value		Collateral Allocation Value
Dynamic Emerging Markets Debt	$	5,600,000	$	5,600,019	$	5,714,593
Emerging Markets Debt		3,100,000		3,100,010		3,163,435

REPURCHASE AGREEMENTS — At September 30, 2015, the Principal Amounts of certain Funds’ interest in the Joint Repurchase Agreement Account II were as follows:

Counterparty	Interest Rate			Dynamic Emerging Markets Debt		Emerging Markets Debt
BNP Paribas Securities Co.		0.110	%	$	2,220,517	$	1,229,215
Citigroup Global Markets, Inc.		0.120			1,823,689		1,009,542
Merrill Lynch & Co., Inc.		0.140			1,555,794		861,243
TOTAL				$	5,600,000	$	3,100,000

At September 30, 2015, the Joint Repurchase Agreement Account II was fully collateralized by:

Issuer	Interest Rates			Maturity Dates
Federal Farm Credit Banks		0.270	%		05/14/18
Federal Home Loan Banks		1.625 to 5.625			06/13/16 to 09/07/32
Federal Home Loan Mortgage Corp.		2.500 to 8.000			10/01/16 to 07/01/45
Federal National Mortgage Association		1.250 to 6.500			04/01/16 to 10/01/45
Government National Mortgage Association		3.000 to 7.000			05/15/18 to 09/20/45
United States Inflation Indexed Bonds		0.125			07/15/22
United States Treasury Note		0.500 to 2.375			09/30/16 to 12/31/20
United States Treasury Stripped Securities		0.000			02/15/27 to 05/15/44

The accompanying notes are an integral part of these financial statements. 119

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Statements of Assets and Liabilities

September 30, 2015 (Unaudited)

	Dynamic Emerging Markets Debt Fund
Assets:
Investments of unaffiliated issuers, at value (cost $32,037,802, $1,124,345,784, $4,732,223,244, $3,698,512,602, $423,217,147, $1,304,915,290 and $335,813,815)	$	29,308,386
Investments of affiliated issuers, at value (cost $0, $0, $114,348,213, $202,666,754, $3,747,934, $21,654,935 and $7,164,780)		—
Repurchase agreement, at value which equals cost		5,600,000
Cash		719,893
Foreign currencies, at value (cost $141,283, $491,817, $0, $0, $15,114, $11,511,927 and $0, respectively)		141,832
Unrealized gain on swap contracts		53,368
Unrealized gain on non-deliverable bond forwards contracts		1,022
Unrealized gain on forward foreign currency exchange contracts		240,129
Variation margin on certain derivative contracts		—
Receivables:
Fund shares sold		475,561
Interest		409,532
Investments sold		312,356
Investments sold on an extended-settlement basis		—
Collateral on certain derivative contracts(a)		83,303
Reimbursement from investment adviser		39,560
Due from broker — upfront payment		2,128
Foreign tax reclaims		—
Collateral on Reverse Repurchase agreements		—
Upfront payments made on swap contracts		—
Other assets		3,165
Total assets		37,390,235
Liabilities:
Reverse Repurchase Agreement, at value		—
Forward sale contracts, at value (proceeds received $27,956,523 for U.S. Mortgages Fund)		—
Unrealized loss on swap contracts		102,240
Unrealized loss on forward foreign currency exchange contracts		415,431
Variation margin on certain derivative contracts		484
Payables:
Investments purchased		2,213,360
Investments purchased on an extended — settlement basis		—
Upfront payments received on swap contracts		38,933
Management fees		16,672
Distributions payable		12,778
Fund shares redeemed		9,223
Distribution and Service fees and Transfer Agency fees		1,019
Collateral on certain derivative contracts		—
Interest Payable on Borrowings		—
Due to broker — upfront payment		—
Payable for Unfunded Loan Commitments		—
Accrued expenses and other liabilities		135,159
Total liabilities		2,945,299
Net Assets:
Paid-in capital	$	39,599,374
Undistributed (distributions in excess of) net investment income		(1,379,981	)
Accumulated net realized gain (loss)		(821,326	)
Net unrealized gain (loss)		(2,953,131	)
NET ASSETS	$	34,444,936
Net Assets:
Class A	$	576,279
Class C		56,822
Institutional		33,768,549
Service		—
Separate Account Institutional		—
Class IR		21,740
Class R		21,546
Class R6(b)		—
Total Net Assets	$	34,444,936
Shares Outstanding $0.001 par value (unlimited shares authorized):
Class A		73,342
Class C		7,209
Institutional		4,283,839
Service		—
Separate Account Institutional		—
Class IR		2,764
Class R		2,734
Class R6(b)		—
Net asset value, offering and redemption price per share:(c)
Class A		$7.86
Class C		7.88
Institutional		7.88
Service		—
Separate Account Institutional		—
Class IR		7.86
Class R		7.88
Class R6(b)		—

(a) Includes segregated cash of $13,315, $2,881,532, $595,000, $647,008 and $520,000 for the Dynamic Emerging Markets Debt, Emerging Markets Debt, Investment Grade Credit, Local Emerging Markets Debt and U.S. Mortgages Funds, respectively, relating to initial margin requirements and collateral on futures transactions. Also includes amounts segregated for initial margin on swap transactions of $69,988, $6,038,805, $2,228,383, $1,127,503, $22,993,005 and $1,133,918 for the Dynamic Emerging Markets Debt, Emerging Markets Debt, High Yield Floating Rate, Investment Grade Credit, Local Emerging Markets Debt and U.S. Mortgages Funds, respectively.

(b) Commenced operations on July 31, 2015.

(c) Maximum public offering price per share for Class A Shares of Dynamic Emerging Markets Debt, Emerging Markets Debt, High Yield, High Yield Floating Rate, Investment Grade Credit, Local Emerging Markets Debt and U.S. Mortgages Funds is $8.23, $12.40, $6.55, $9.86, $9.38, $6.26 and $11.08, respectively. At redemption, Class C Shares may be subject to a contingent deferred sales charge, assessed on the amount equal to the lesser of the current net asset value (“NAV”) or the original purchase price of the shares.

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

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Emerging Markets Debt Fund			High Yield Fund			High Yield Floating Rate Fund			Investment Grade Credit Fund			Local Emerging Markets Debt Fund			U.S. Mortgages Fund
$	1,031,590,369		$	4,352,867,210		$	3,553,392,673		$	420,779,244		$	937,556,160		$	337,754,664
	—			114,348,213			202,665,903			3,747,934			21,654,935			7,164,780
	3,100,000			—			—			—			—			—
	508,518			51,679,010			52,451,727			4,166,050			9,647,304			2,925,790
	508,939			—			—			14,858			11,503,693			—
	2,695,190			—			—			—			16,502,507			—
	—			—			—			—			1,772			—
	9,460,848			239,515			138,030			—			14,335,203			—
	—			1,756,983			29,554			16,335			347,779			3,584
	3,637,984			17,771,458			5,503,281			395,141			3,201,722			120,718
	17,190,364			85,433,702			22,103,546			4,298,014			14,823,580			851,012
	9,869,186			63,166,053			3,329,642			933,175			21,815,398			5,918
	—			14,406,655			104,687,272			—			—			84,400,542
	8,920,337			—			2,228,383			1,722,503			23,640,013			1,653,918
	43,314			—			—			42,649			—			74,783
	—			—			—			—			—			—
	—			23,278			—			—			—			—
	494,000			10,558,829			399,000			—			—			—
	—			—			—			—			108,901			—
	10,827			36,860			25,108			3,891			9,399			2,314
	1,088,029,876			4,712,287,766			3,946,954,119			436,119,794			1,075,148,366			434,958,023
	8,123,805			119,075,938			4,500,000			—			154,438			—
	—			—			—			—			—			28,136,407
	3,737,026			—			—			1,135			30,048,427			175,749
	2,582,859			35,844			2,492			—			13,071,867			—
	68,919			—			—			72,840			—			15,410
	7,954,373			8,275,810			7,202			346			143,239			121,486,113
	373,282			17,219,462			91,794,002			—			—			501,802
	2,591,392			—			—			11,449			432,302			851,973
	701,006			2,580,275			1,712,057			120,466			700,790			76,107
	268,253			1,173,603			70,100			104,313			106,175			92,772
	31,451,334			139,085,936			33,044,064			1,494,825			35,030,699			84,332
	87,217			319,311			133,228			21,906			90,500			18,708
	—			—			—			—			6,110,000			40,000
	54,364			363,220			1,891			—			148			—
	—			—			—			—			42,924			—
	—			—			1,510,067			—			—			—
	306,605			581,662			138,940			99,877			526,514			138,614
	58,300,435			288,711,061			132,914,043			1,927,157			86,458,023			151,617,987
$	1,140,613,898		$	4,882,621,806		$	4,005,441,449		$	435,237,431		$	1,663,153,106		$	283,419,138
	22,905,969			(5,801,234	)		1,776,038			802,135			(94,194,507	)		949,533
	(48,243,072	)		(72,125,122	)		(47,198,857	)		838,357			(199,317,261	)		(2,823,559	)
	(85,547,354	)		(381,118,745	)		(145,978,554	)		(2,685,286	)		(380,950,995	)		1,794,924
$	1,029,729,441		$	4,423,576,705		$	3,814,040,076		$	434,192,637		$	988,690,343		$	283,340,036
$	90,928,812		$	338,621,576		$	6,838,780		$	26,625,431		$	169,989,182		$	33,701,241
	27,531,764			59,155,369			1,862,249			—			7,055,908			—
	897,149,191			3,983,236,865			3,804,051,060			159,974,679			806,229,348			50,853,562
	—			15,851,706			—			—			—			—
	—			—			—			246,483,593			—			196,621,709
	14,109,851			10,827,264			1,276,827			1,098,985			5,415,905			2,153,469
	—			15,874,386			11,160			—			—			—
	9,823			9,539			—			9,949			—			10,055
$	1,029,729,441		$	4,423,576,705		$	3,814,040,076		$	434,192,637		$	988,690,343		$	283,340,036
	7,677,019			54,094,654			709,400			2,948,326			28,444,129			3,161,906
	2,325,440			9,439,022			193,138			—			1,178,683			—
	75,645,001			634,481,161			394,232,477			17,710,496			135,036,364			4,759,757
	—			2,534,160			—			—			—			—
	—			—			—			27,280,719			—			18,445,052
	1,189,721			1,726,067			132,201			121,620			907,591			201,500
	—			2,536,657			1,157			—			—			—
	828			1,518			—			1,101			—			941
	$11.84			$6.26			$9.64			$9.03			$5.98			$10.66
	11.84			6.27			9.64			—			5.99			—
	11.86			6.28			9.65			9.03			5.97			10.68
	—			6.26			—			—			—			—
	—			—			—			9.04			—			10.66
	11.86			6.27			9.66			9.04			5.97			10.69
	—			6.26			9.65			—			—			—
	11.86			6.29			—			9.03			—			10.68

The accompanying notes are an integral part of these financial statements. 121

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Statements of Operations

For the Six Months Ended September 30, 2015 (Unaudited)

	Dynamic Emerging Markets Debt Fund
Investment income:
Interest, net of allowances — (net of foreign withholding taxes of $5,819, $671, $0, $0, $0, $393,348 and $0, respectively)	$	560,594
Dividends — unaffiliated issuers		—
Dividends — affiliated issuers		—
Total investment income		560,594
Expenses:
Management fees		94,521
Transfer Agency fees(a)		4,555
Distribution and Service fees(a)		1,215
Custody, accounting and administrative services		100,379
Professional fees		53,748
Registration fees		36,140
Printing and mailing costs		17,946
Trustee fees		6,107
Service Share fees — Shareholder Administration Plan		—
Service Share fees — Service Plan		—
Other		3,087
Total expenses		317,698
Less — expense reductions		(222,238	)
Net expenses		95,460
NET INVESTMENT INCOME		465,134
Realized and unrealized gain (loss):
Net realized gain (loss) from:
Investments — unaffiliated issuers		(371,512	)
Investments — affiliated issuers		—
Futures contracts		(1,295	)
Written options		—
Swap contracts		(59,616	)
Non-deliverable bond forward contracts		(2,239	)
Forward foreign currency exchange contracts		(24,812	)
Foreign currency transactions		(33,372	)
Net change in unrealized gain (loss) on:
Investments — unaffiliated issuers		(1,648,830	)
Investments — affiliated issuers		—
Futures contracts		9,979
Non-deliverable bond forward contracts		1,022
Swap contracts		28,898
Forward foreign currency exchange contracts		(109,594	)
Foreign currency translation		8,002
Net realized and unrealized loss		(2,203,369	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(1,738,235	)

(a) Class specific Distribution and Service and Transfer Agency fees were as follows:

Distribution and Service Fees						Transfer Agency Fees
Class A		Class C		Class R		Class A		Class C		Institutional		Service		Separate Account Institutional		Class IR		Class R		Class R6(b)
$	854	$	304	$	57	$	444	$	39	$	4,043	$	—	$	—	$	14	$	15	$	—
	120,158		149,579		—		62,482		19,445		236,803		—		—		9,394		—		1
	523,710		334,875		42,980		272,329		43,534		965,819		3,474		—		8,241		11,175		1
	19,253		9,594		28		10,012		1,247		836,855		—		—		641		7		—
	35,280		—		—		18,345		—		33,882		—		50,364		694		—		1
	217,222		42,811		—		112,956		5,565		217,348		—		—		2,497		—		—
	40,480		—		—		21,049		—		9,642		—		39,325		1,260		—		1

(b) Commenced operations on July 31, 2015.

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

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Emerging Markets Debt Fund			High Yield Fund			High Yield Floating Rate Fund			Investment Grade Credit Fund			Local Emerging Markets Debt Fund			U.S. Mortgages Fund
$	40,264,348		$	173,029,945		$	98,001,050		$	8,972,905		$	41,383,454		$	3,629,707
	—			131,695			—			54,569			—			—
	—			8,716			680,766			566			1,521			2,009
	40,264,348			173,170,356			98,681,816			9,028,040			41,384,975			3,631,716
	5,298,062			17,531,854			11,316,610			901,045			5,728,143			558,319
	328,125			1,304,573			848,762			103,286			338,366			71,277
	269,737			901,565			28,875			35,280			260,033			40,480
	199,043			206,492			537,873			53,205			477,266			134,156
	54,665			69,187			70,669			54,925			56,511			62,093
	46,219			77,201			53,794			21,749			53,998			31,281
	180,603			90,653			20,518			12,317			28,267			9,876
	10,313			26,490			20,045			10,642			9,690			8,626
	—			21,716			—			—			—			—
	—			21,716			—			—			—			—
	29,684			49,159			44,486			15,442			27,647			5,923
	6,416,451			20,300,606			12,941,632			1,207,891			6,979,921			922,031
	(162,875	)		(117,396	)		(345,131	)		(299,084	)		(842,248	)		(329,926	)
	6,253,576			20,183,210			12,596,501			908,807			6,137,673			592,105
	34,010,772			152,987,146			86,085,315			8,119,233			35,247,302			3,039,611
	(35,466,143	)		(55,903,592	)		(9,067,889	)		(1,579,368	)		(89,196,462	)		139,699
	—			—			(696,892	)		—			—			—
	4,505,745			(5,056,615	)		—			88,705			82,961			959,109
	—			—			—			—			—			(126,530	)
	(5,415,952	)		(1,627,583	)		(1,597,008	)		1,193,911			(5,457,181	)		37,372
	—			—			—			—			(1,002,857	)		—
	900,388			(287,990	)		(1,054,497	)		—			1,051,703			—
	2,293,455			1,026,354			1,175,402			—			(4,775,461	)		—
	(22,014,841	)		(355,213,026	)		(106,587,907	)		(19,936,569	)		(84,396,999	)		(2,302,311	)
	—			—			(21,352	)		—			—			—
	(50,079	)		781,597			—			(227,715	)		(425,412	)		308,477
	—			—			—			—			1,772			—
	7,164,837			1,098,882			330,099			(1,326,638	)		862,739			(378,197	)
	1,797,064			(1,248,256	)		(773,038	)		—			(2,516,709	)		—
	184,421			44,685			(50,096	)		276			1,152,222			—
	(46,101,105	)		(416,385,544	)		(118,343,178	)		(21,787,398	)		(184,619,684	)		(1,362,381	)
$	(12,090,333	)	$	(263,398,398	)	$	(32,257,863	)	$	(13,668,165	)	$	(149,372,382	)	$	1,677,230

The accompanying notes are an integral part of these financial statements. 123

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Statements of Changes in Net Assets

	Dynamic Emerging Markets Debt Fund
	For the Six Months Ended September 30, 2015 (Unaudited)			For the Fiscal Year Ended March 31, 2015
From operations:
Net investment income	$	465,134		$	1,223,040
Net realized gain (loss)		(492,846	)		(1,541,219	)
Net change in unrealized loss		(1,710,523	)		(1,117,846	)
Net increase (decrease) in net assets resulting from operations		(1,738,235	)		(1,436,025	)
Distributions to shareholders:
From net investment income
Class A Shares		(13,263	)		(9,355	)
Class B Shares(a)		—			—
Class C Shares		(954	)		(2,955	)
Institutional Shares		(422,756	)		(1,084,108	)
Service Shares		—			—
Class IR Shares		(476	)		(963	)
Class R Shares		(416	)		(846	)
Class R6 Shares(b)		—			—
From net realized gains
Class A Shares		—			—
Class C Shares		—			—
Institutional Shares		—			—
Service Shares		—			—
Class IR Shares		—			—
Class R Shares		—			—
Return of capital
Class A Shares		—			(677	)
Class B Shares(a)		—			—
Class C Shares		—			(214	)
Institutional Shares		—			(78,456	)
Service Shares		—			—
Class IR Shares		—			(70	)
Class R Shares		—			(61	)
Total distributions to shareholders		(437,865	)		(1,177,705	)
From share transactions:
Proceeds from sales of shares		20,479,315			11,813,819
Reinvestment of distributions		424,176			714,613
Cost of shares redeemed(c)		(626,272	)		(17,897,771	)
Net increase (decrease) in net assets resulting from share transactions		20,277,219			(5,369,339	)
TOTAL INCREASE (DECREASE)		18,101,119			(7,983,069	)
Net assets:
Beginning of period		16,343,817			24,326,886
End of period	$	34,444,936		$	16,343,817
Distribution in excess of net investment income	$	(1,379,981	)	$	(1,407,250	)

(a) Class B Shares were converted into Class A Shares at the close of business on November 14, 2014.

(b) Commenced operations on July 31, 2015.

(c) Net of $1,578 and $1,483, $22,254 and $23,053, and $98,815 and $223,350 of redemption fees for Dynamic Emerging Markets Debt, Emerging Markets Debt and High Yield Funds, respectively, for the six months ended September 30, 2015 and the fiscal year ended March 31, 2015, respectively.

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

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Emerging Markets Debt Fund						High Yield Fund
For the Six Months Ended September 30, 2015 (Unaudited)			For the Fiscal Year Ended March 31, 2015			For the Six Months Ended September 30, 2015 (Unaudited)			For the Fiscal Year Ended March 31, 2015
$	34,010,772		$	74,591,633		$	152,987,146		$	282,475,705
	(33,182,507	)		51,452,944			(61,849,426	)		25,338,002
	(12,918,598	)		(69,951,184	)		(354,536,118	)		(228,603,218	)
	(12,090,333	)		56,093,393			(263,398,398	)		79,210,489
	(2,339,709	)		(4,003,181	)		(11,335,495	)		(25,025,943	)
	—			—			—			(284,014	)
	(615,552	)		(1,082,903	)		(1,565,842	)		(3,635,326	)
	(30,480,352	)		(67,829,030	)		(139,089,758	)		(248,965,574	)
	—			—			(457,147	)		(851,009	)
	(369,827	)		(703,551	)		(359,976	)		(828,194	)
	—			—			(444,605	)		(892,063	)
	(93	)		—			(93	)		—
	—			—			—			(9,750,531	)
	—			—			—			(1,497,617	)
	—			—			—			(90,622,036	)
	—			—			—			(331,483	)
	—			—			—			(291,362	)
	—			—			—			(342,096	)
	—			—			—			(296,537	)
	—			—			—			(3,365	)
	—			—			—			(43,076	)
	—			—			—			(2,950,042	)
	—			—			—			(10,084	)
	—			—			—			(9,813	)
	—			—			—			(10,570	)
	(33,805,533	)		(73,618,665	)		(153,252,916	)		(386,640,735	)
	235,728,371			817,379,947			608,194,117			2,381,930,006
	32,179,429			71,347,084			146,027,416			365,387,845
	(899,004,541	)		(609,926,689	)		(1,493,410,873	)		(1,996,852,634	)
	(631,096,741	)		278,800,342			(739,189,340	)		750,465,217
	(676,992,607	)		261,275,070		��	(1,155,840,654	)		443,034,971
	1,706,722,048			1,445,446,978			5,579,417,359			5,136,382,388
$	1,029,729,441		$	1,706,722,048		$	4,423,576,705		$	5,579,417,359
$	22,905,969		$	22,700,730		$	(5,801,234	)	$	(5,535,464	)

The accompanying notes are an integral part of these financial statements. 125

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Statements of Changes in Net Assets (continued)

	High Yield Floating Rate Fund
	For the Six Months Ended September 30, 2015 (Unaudited)			For the Fiscal Year Ended March 31, 2015
From operations:
Net investment income	$	86,085,315		$	164,221,651
Net realized gain (loss)		(11,240,884	)		(31,551,633	)
Net change in unrealized gain (loss)		(107,102,294	)		(45,046,641	)
Net increase (decrease) in net assets resulting from operations		(32,257,863	)		87,623,377
Distributions to shareholders:
From net investment income
Class A Shares		(287,870	)		(414,673	)
Class C Shares		(28,890	)		(59,907	)
Institutional Shares		(85,741,673	)		(164,500,555	)
Separate Account Institutional Shares		—			—
Class IR Shares		(19,768	)		(36,691	)
Class R Shares		(198	)		(362	)
Class R6 Shares(a)		—			—
From net realized gains
Class A Shares		—			(745	)
Class C Shares		—			(243	)
Institutional Shares		—			(503,521	)
Separate Account Institutional Shares		—			—
Class IR Shares		—			(106	)
Class R Shares		—			(1	)
Return of capital
Class A Shares		—			—
Class C Shares		—			—
Institutional Shares		—			—
Class IR Shares		—			—
Total distributions to shareholders		(86,078,399	)		(165,516,804	)
From share transactions:
Proceeds from sales of shares		815,839,339			2,105,568,828
Reinvestment of distributions		85,666,238			164,611,767
Cost of shares redeemed		(1,065,096,239	)		(2,297,042,086	)
Net increase (decrease) in net assets resulting from share transactions		(163,590,662	)		(26,861,491	)
TOTAL INCREASE (DECREASE)		(281,926,924	)		(104,754,918	)
Net assets:
Beginning of period		4,095,967,000			4,200,721,918
End of period	$	3,814,040,076		$	4,095,967,000
Undistributed net investment income	$	1,776,038		$	1,769,122

(a) Commenced operations on July 31, 2015.

(b) Net of $31,073 and $110,728 of redemption fees for Local Emerging Markets Debt Fund for the six months ended September 30, 2015, and for fiscal year ended March 31, 2015, respectively.

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

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Investment Grade Credit Fund						Local Emerging Markets Debt Fund						U.S. Mortgages Fund
For the Six Months Ended September 30, 2015 (Unaudited)			For the Fiscal Year Ended March 31, 2015			For the Six Months Ended September 30, 2015 (Unaudited)			For the Fiscal Year Ended March 31, 2015			For the Six Months Ended September 30, 2015 (Unaudited)			For the Fiscal Year Ended March 31, 2015
$	8,119,233		$	16,206,086		$	35,247,302		$	90,787,502		$	3,039,611		$	4,639,878
	(296,752	)		10,622,770			(99,297,297	)		(132,303,398	)		1,009,650			5,632,371
	(21,490,646	)		3,122,983			(85,322,387	)		(183,094,157	)		(2,372,031	)		2,707,661
	(13,668,165	)		29,951,839			(149,372,382	)		(224,610,053	)		1,677,230			12,979,910
	(463,561	)		(808,807	)		(4,499,673	)		—			(399,132	)		(212,519	)
	—			—			(192,452	)		—			—			—
	(3,073,513	)		(5,947,438	)		(30,344,808	)		—			(674,711	)		(975,492	)
	(4,565,466	)		(9,498,885	)		—			—			—			—
	(18,880	)		(25,838	)		(103,346	)		—			(26,255	)		(22,895	)
	—			—			—			—			(2,754,914	)		(5,034,660	)
	(60	)		—			—			—			(47	)		—
	—			(490,118	)		—			—			—			—
	—			—			—			—			—			—
	—			(3,426,260	)		—			—			—			—
	—			(5,274,687	)		—			—			—			—
	—			(14,072	)		—			—			—			—
	—			—			—			—			—			—
	—			—			—			(5,527,377	)		—			—
	—			—			—			(659,120	)		—			—
	—			—			—			(93,999,207	)		—			—
	—			—			—			(296,968	)		—			—
	(8,121,480	)		(25,486,105	)		(35,140,279	)		(100,482,672	)		(3,855,059	)		(6,245,566	)
	30,387,352			117,910,821			206,314,889			787,207,165			33,005,396			109,326,915
	7,487,912			23,690,592			33,696,381			95,950,913			3,335,643			5,327,191
	(49,441,775	)		(156,510,008	)		(454,781,811	)(b)		(1,090,151,515	)(b)		(25,781,614	)		(73,294,927	)
	(11,566,511	)		(14,908,595	)		(214,770,541	)		(206,993,437	)		10,559,425			41,359,179
	(33,356,156	)		(10,442,861	)		(399,283,202	)		(532,086,162	)		8,381,596			48,093,523
	467,548,793			477,991,654			1,387,973,545			1,920,059,707			274,958,440			226,864,917
$	434,192,637		$	467,548,793		$	988,690,343		$	1,387,973,545		$	283,340,036		$	274,958,440
$	802,135		$	804,382		$	(94,194,507	)	$	(94,301,530	)	$	949,533		$	21,937

The accompanying notes are an integral part of these financial statements. 127

GOLDMAN SACHS DYNAMIC EMERGING MARKETS DEBT FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

			From investment operations								Distributions to shareholders
Year - Share Class	Net asset value, beginning of period		Net investment income(a)		Net realized and unrealized gain (loss)			Total from investment operations			From net investment income			From capital			Total distributions
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
2015 - A	$	8.59	$	0.17	$	(0.74	)	$	(0.57	)	$	(0.16	)	$	—		$	(0.16	)
2015 - C		8.61		0.14		(0.74	)		(0.60	)		(0.13	)		—			(0.13	)
2015 - Institutional		8.62		0.19		(0.75	)		(0.56	)		(0.18	)		—			(0.18	)
2015 - IR		8.60		0.19		(0.76	)		(0.57	)		(0.17	)		—			(0.17	)
2015 - R		8.62		0.16		(0.75	)		(0.59	)		(0.15	)		—			(0.15	)
FOR THE FISCAL YEAR ENDED MARCH 31,
2015 - A		9.45		0.37		(0.86	)		(0.49	)		(0.34	)		(0.03	)		(0.37	)
2015 - C		9.46		0.32		(0.87	)		(0.55	)		(0.27	)		(0.03	)		(0.30	)
2015 - Institutional		9.46		0.42		(0.86	)		(0.44	)		(0.37	)		(0.03	)		(0.40	)
2015 - IR		9.44		0.41		(0.86	)		(0.45	)		(0.36	)		(0.03	)		(0.39	)
2015 - R		9.46		0.36		(0.85	)		(0.49	)		(0.32	)		(0.03	)		(0.35	)
FOR THE PERIOD ENDED MARCH 31,
2014 - A (Commenced May 31, 2013)		10.00		0.31		(0.52	)		(0.21	)		(0.23	)		(0.11	)		(0.34	)
2014 - C (Commenced May 31, 2013)		10.00		0.25		(0.51	)		(0.26	)		(0.17	)		(0.11	)		(0.28	)
2014 - Institutional (Commenced May 31, 2013)		10.00		0.32		(0.50	)		(0.18	)		(0.25	)		(0.11	)		(0.36	)
2014 - IR (Commenced May 31, 2013)		10.00		0.31		(0.52	)		(0.21	)		(0.24	)		(0.11	)		(0.35	)
2014 - R (Commenced May 31, 2013)		10.00		0.27		(0.49	)		(0.22	)		(0.21	)		(0.11	)		(0.32	)

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.

(c) The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.

(d) Annualized.

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

GOLDMAN SACHS DYNAMIC EMERGING MARKETS DEBT FUND

Net asset value, end of period		Total return(b)			Net assets, end of period (in 000s)		Ratio of net expenses to average net assets			Ratio of total expenses to average net assets			Ratio of net investment income to average net assets			Portfolio turnover rate(c)
$	7.86		(6.69	)%	$	576		1.23	%(d)		3.37	%(d)		4.13	%(d)		50	%
	7.88		(7.13	)		57		1.98	(d)		4.12	(d)		3.38	(d)		50
	7.88		(6.62	)		33,769		0.89	(d)		3.01	(d)		4.45	(d)		50
	7.86		(6.68	)		22		0.98	(d)		3.12	(d)		4.39	(d)		50
	7.88		(6.90	)		22		1.48	(d)		3.62	(d)		3.88	(d)		50
	8.59		(5.43	)		665		1.24			3.45			4.13			179
	8.61		(5.91	)		62		1.99			3.66			3.37			179
	8.62		(4.87	)		15,571		0.90			2.57			4.47			179
	8.60		(4.98	)		23		1.00			2.77			4.37			179
	8.62		(5.44	)		23		1.49			3.27			3.87			179
	9.45		(2.03	)		99		1.27	(d)		3.67	(d)		3.97	(d)		140
	9.46		(2.52	)		59		2.01	(d)		5.31	(d)		3.27	(d)		140
	9.46		(1.67	)		24,119		0.93	(d)		4.21	(d)		4.17	(d)		140
	9.44		(1.98	)		24		1.03	(d)		4.19	(d)		4.00	(d)		140
	9.46		(2.14	)		24		1.52	(d)		5.22	(d)		3.50	(d)		140

The accompanying notes are an integral part of these financial statements. 129

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

			From investment operations								Distributions to shareholders
Year - Share Class	Net asset value, beginning of period		Net investment income(a)		Net realized and unrealized gain (loss)			Total from investment operations			From net investment income			From net realized gains			From capital			Total distributions
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
2015 - A	$	12.33	$	0.30	$	(0.49	)	$	(0.19	)	$	(0.30	)	$	—		$	—		$	(0.30	)
2015 - C		12.33		0.25		(0.49	)		(0.24	)		(0.25	)		—			—			(0.25	)
2015 - Institutional		12.35		0.32		(0.49	)		(0.17	)		(0.32	)		—			—			(0.32	)
2015 - IR		12.35		0.32		(0.50	)		(0.18	)		(0.31	)		—			—			(0.31	)
2015 - R6 (Commenced July 31, 2015)		12.18		0.11		(0.32	)		(0.21	)		(0.11	)		—			—			(0.11	)
FOR THE FISCAL YEARS ENDED MARCH 31,
2015 - A		12.40		0.52		(0.07	)		0.45			(0.52	)		—			—			(0.52	)
2015 - C		12.39		0.43		(0.07	)		0.36			(0.42	)		—			—			(0.42	)
2015 - Institutional		12.41		0.57		(0.07	)		0.50			(0.56	)		—			—			(0.56	)
2015 - IR		12.41		0.56		(0.07	)		0.49			(0.55	)		—			—			(0.55	)
2014 - A		13.28		0.55		(0.70	)		(0.15	)		(0.50	)		(0.20	)		(0.03	)		(0.73	)
2014 - C		13.27		0.46		(0.70	)		(0.24	)		(0.41	)		(0.20	)		(0.03	)		(0.64	)
2014 - Institutional		13.29		0.59		(0.69	)		(0.10	)		(0.55	)		(0.20	)		(0.03	)		(0.78	)
2014 - IR		13.29		0.58		(0.69	)		(0.11	)		(0.54	)		(0.20	)		(0.03	)		(0.77	)
2013 - A		12.95		0.61		0.76			1.37			(0.65	)		(0.39	)		—			(1.04	)
2013 - C		12.94		0.50		0.77			1.27			(0.55	)		(0.39	)		—			(0.94	)
2013 - Institutional		12.96		0.65		0.77			1.42			(0.70	)		(0.39	)		—			(1.09	)
2013 - IR		12.96		0.64		0.77			1.41			(0.69	)		(0.39	)		—			(1.08	)
2012 - A		12.28		0.61		0.81			1.42			(0.61	)		(0.14	)		—			(0.75	)
2012 - C		12.27		0.52		0.80			1.32			(0.51	)		(0.14	)		—			(0.65	)
2012 - Institutional		12.29		0.65		0.81			1.46			(0.65	)		(0.14	)		—			(0.79	)
2012 - IR		12.29		0.63		0.82			1.45			(0.64	)		(0.14	)		—			(0.78	)
2011 - A		11.99		0.59		0.42			1.01			(0.71	)		(0.01	)		—			(0.72	)
2011 - C		11.98		0.49		0.43			0.92			(0.62	)		(0.01	)		—			(0.63	)
2011 - Institutional		12.00		0.63		0.42			1.05			(0.75	)		(0.01	)		—			(0.76	)
2011 - IR (Commenced July 30, 2010)		12.44		0.41		(0.04	)		0.37			(0.51	)		(0.01	)		—			(0.52	)

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.

(c) The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.

(d) Annualized.

(e) Portfolio turnover rates exclude portfolio securities received as a result of in-kind subscriptions.

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

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Net asset value, end of period		Total return(b)			Net assets, end of period (in 000s)		Ratio of net expenses to average net assets			Ratio of total expenses to average net assets			Ratio of net investment income to average net assets			Portfolio turnover rate(c)
$	11.84		(1.60	)%	$	90,929		1.23	%(d)		1.26	%(d)		4.90	%(d)		55	%
	11.84		(1.97	)		27,532		1.98	(d)		2.01	(d)		4.15	(d)		55
	11.86		(1.43	)		897,149		0.89	(d)		0.92	(d)		5.18	(d)		55
	11.86		(1.47	)		14,110		0.98	(d)		1.01	(d)		5.15	(d)		55
	11.86		(1.71	)		10		0.89	(d)		0.93	(d)		5.65	(d)		55
	12.33		3.60			94,832		1.24			1.25			4.17			113
	12.33		2.92			30,935		1.99			2.00			3.42			113
	12.35		4.04			1,566,532		0.90			0.91			4.52			113
	12.35		3.94			14,423		0.99			1.00			4.41			113
	12.40		(0.88	)		100,723		1.25			1.26			4.38			121
	12.39		(1.63	)		32,020		2.00			2.01			3.65			121
	12.41		(0.54	)		1,296,153		0.91			0.92			4.76			121
	12.41		(0.63	)		16,552		1.00			1.01			4.65			121
	13.28		10.64			211,379		1.23			1.26			4.48			97
	13.27		9.82			49,527		1.98			2.01			3.73			97
	13.29		11.04			1,329,643		0.89			0.92			4.83			97
	13.29		10.91			23,970		0.97			1.01			4.69			97
	12.95		11.87			169,491		1.22			1.27			4.84			86
	12.94		11.05			31,893		1.97			2.02			4.11			86
	12.96		12.24			720,098		0.88			0.93			5.18			86
	12.96		12.14			6,515		0.97			1.02			5.05			86
	12.28		8.46			156,901		1.22			1.29			4.75			116	(e)
	12.27		7.65			31,205		1.97			2.04			4.00			116	(e)
	12.29		8.82			436,068		0.88			0.95			5.12			116	(e)
	12.29		2.96			1,392		0.97	(d)		1.05	(d)		4.96	(d)		116	(e)

The accompanying notes are an integral part of these financial statements. 131

GOLDMAN SACHS HIGH YIELD FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

			From investment operations								Distributions to shareholders
Year - Share Class	Net asset value, beginning of period		Net investment income(a)		Net realized and unrealized gain (loss)			Total from investment operations			From net investment income			From net realized gains			From capital			Total distributions
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
2015 - A	$	6.80	$	0.18	$	(0.54	)	$	(0.36	)	$	(0.18	)	$	—		$	—		$	(0.18	)
2015 - C		6.81		0.16		(0.54	)		(0.38	)		(0.16	)		—			—			(0.16	)
2015 - Institutional		6.82		0.19		(0.54	)		(0.35	)		(0.19	)		—			—			(0.19	)
2015 - Service		6.79		0.18		(0.53	)		(0.35	)		(0.18	)		—			—			(0.18	)
2015 - IR		6.81		0.19		(0.54	)		(0.35	)		(0.19	)		—			—			(0.19	)
2015 - R		6.80		0.17		(0.54	)		(0.37	)		(0.17	)		—			—			(0.17	)
2015 - R6 (Commenced July 31, 2015)		6.65		0.06		(0.36	)		(0.30	)		(0.06	)		—			—			(0.06	)
FOR THE FISCAL YEARS ENDED MARCH 31,
2015 - A		7.23		0.37		(0.28	)		0.09			(0.38	)		(0.14	)		—	(e)		(0.52	)
2015 - C		7.24		0.32		(0.29	)		0.03			(0.32	)		(0.14	)		—	(e)		(0.46	)
2015 - Institutional		7.25		0.40		(0.29	)		0.11			(0.40	)		(0.14	)		—	(e)		(0.54	)
2015 - Service		7.23		0.36		(0.30	)		0.06			(0.36	)		(0.14	)		—	(e)		(0.50	)
2015 - IR		7.25		0.39		(0.30	)		0.09			(0.39	)		(0.14	)		—	(e)		(0.53	)
2015 - R		7.23		0.35		(0.28	)		0.07			(0.36	)		(0.14	)		—	(e)		(0.50	)
2014 - A		7.40		0.43		0.09			0.52			(0.43	)		(0.26	)		—			(0.69	)
2014 - C		7.41		0.38		0.08			0.46			(0.37	)		(0.26	)		—			(0.63	)
2014 - Institutional		7.42		0.46		0.08			0.54			(0.45	)		(0.26	)		—			(0.71	)
2014 - Service		7.40		0.42		0.09			0.51			(0.42	)		(0.26	)		—			(0.68	)
2014 - IR		7.41		0.45		0.10			0.55			(0.45	)		(0.26	)		—			(0.71	)
2014 - R		7.40		0.41		0.09			0.50			(0.41	)		(0.26	)		—			(0.67	)
2013 - A		7.12		0.45		0.42			0.87			(0.46	)		(0.13	)		—			(0.59	)
2013 - C		7.13		0.40		0.42			0.82			(0.41	)		(0.13	)		—			(0.54	)
2013 - Institutional		7.14		0.48		0.42			0.90			(0.49	)		(0.13	)		—			(0.62	)
2013 - Service		7.11		0.44		0.43			0.87			(0.45	)		(0.13	)		—			(0.58	)
2013 - IR		7.13		0.47		0.42			0.89			(0.48	)		(0.13	)		—			(0.61	)
2013 - R		7.12		0.44		0.41			0.85			(0.44	)		(0.13	)		—			(0.57	)
2012 - A		7.38		0.49		(0.18	)		0.31			(0.50	)		(0.07	)		—			(0.57	)
2012 - C		7.39		0.44		(0.19	)		0.25			(0.44	)		(0.07	)		—			(0.51	)
2012 - Institutional		7.40		0.51		(0.18	)		0.33			(0.52	)		(0.07	)		—			(0.59	)
2012 - Service		7.38		0.48		(0.19	)		0.29			(0.49	)		(0.07	)		—			(0.56	)
2012 - IR		7.39		0.50		(0.17	)		0.33			(0.52	)		(0.07	)		—			(0.59	)
2012 - R		7.38		0.47		(0.18	)		0.29			(0.48	)		(0.07	)		—			(0.55	)
2011 - A		7.07		0.55		0.30			0.85			(0.54	)		—			—			(0.54	)
2011 - C		7.08		0.49		0.31			0.80			(0.49	)		—			—			(0.49	)
2011 - Institutional		7.09		0.57		0.31			0.88			(0.57	)		—			—			(0.57	)
2011 - Service		7.06		0.53		0.32			0.85			(0.53	)		—			—			(0.53	)
2011 - IR		7.07		0.56		0.32			0.88			(0.56	)		—			—			(0.56	)
2011 - R		7.07		0.53		0.31			0.84			(0.53	)		—			—			(0.53	)

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.

(c) The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.

(d) Annualized.

(e) Amount is less than $0.005 per share.

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

GOLDMAN SACHS HIGH YIELD FUND

Net asset value, end of period		Total return(b)			Net assets, end of period (in 000s)		Ratio of net expenses to average net assets			Ratio of total expenses to average net assets			Ratio of net investment income to average net assets			Portfolio turnover rate(c)
$	6.26		(5.39	)%	$	338,622		1.05	%(d)		1.05	%(d)		5.40	%(d)		20	%
	6.27		(5.73	)		59,155		1.80	(d)		1.80	(d)		4.67	(d)		20
	6.28		(5.21	)		3,983,237		0.71	(d)		0.71	(d)		5.75	(d)		20
	6.26		(5.33	)		15,852		1.21	(d)		1.21	(d)		5.26	(d)		20
	6.27		(5.26	)		10,827		0.80	(d)		0.80	(d)		5.67	(d)		20
	6.26		(5.51	)		15,874		1.30	(d)		1.30	(d)		5.17	(d)		20
	6.29		(4.50	)		10		0.72	(d)		0.73	(d)		5.92	(d)		20
	6.80		1.21			483,328		1.06			1.06			5.30			55
	6.81		0.46			71,577		1.81			1.81			4.54			55
	6.82		1.56			4,975,618		0.72			0.72			5.62			55
	6.79		0.90			17,506		1.22			1.22			5.12			55
	6.81		1.32			13,971		0.81			0.81			5.54			55
	6.80		0.95			17,417		1.31			1.31			5.03			55
	7.23		7.41			549,354		1.05			1.05			5.95			48
	7.24		6.61			88,607		1.81			1.81			5.21			48
	7.25		7.77			4,436,484		0.72			0.72			6.30			48
	7.23		7.24			17,066		1.22			1.22			5.79			48
	7.25		7.68			15,142		0.81			0.81			6.22			48
	7.23		7.14			18,075		1.31			1.31			5.70			48
	7.40		12.67			576,060		1.05			1.05			6.27			68
	7.41		11.83			106,063		1.80			1.80			5.52			68
	7.42		13.03			5,167,948		0.71			0.71			6.61			68
	7.40		12.65			17,512		1.21			1.21			6.11			68
	7.41		13.09			19,711		0.80			0.80			6.55			68
	7.40		12.39			18,565		1.30			1.30			6.01			68
	7.12		4.53			630,049		1.06			1.06			6.97			71
	7.13		3.76			108,682		1.81			1.81			6.21			71
	7.14		4.89			4,988,221		0.72			0.72			7.25			71
	7.11		4.22			21,420		1.22			1.22			6.81			71
	7.13		4.79			37,059		0.81			0.81			7.13			71
	7.12		4.28			17,087		1.31			1.31			6.69			71
	7.38		12.56			862,655		1.05			1.06			7.63			46
	7.39		11.72			114,921		1.80			1.81			6.85			46
	7.40		12.93			4,492,556		0.71			0.72			7.94			46
	7.38		12.54			23,208		1.21			1.22			7.44			46
	7.39		12.99			3,081		0.80			0.81			7.79			46
	7.38		12.29			13,279		1.30			1.31			7.36			46

The accompanying notes are an integral part of these financial statements. 133

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

			From investment operations									Distributions to shareholders
Year - Share Class	Net asset value, beginning of period		Net investment income(a)			Net realized and unrealized gain (loss)			Total from investment operations			From net investment income			From net realized gains			From capital			Total distributions
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
2015 - A	$	9.92	$	0.18		$	(0.27	)	$	(0.09	)	$	(0.19	)	$	—		$	—		$	(0.19	)
2015 - C		9.92		0.15			(0.28	)		(0.13	)		(0.15	)		—			—			(0.15	)
2015 - Institutional		9.93		0.20			(0.28	)		(0.08	)		(0.20	)		—			—			(0.20	)
2015 - IR		9.94		0.20			(0.28	)		(0.08	)		(0.20	)		—			—			(0.20	)
2015 - R		9.92		0.17			(0.27	)		(0.10	)		(0.17	)		—			—			(0.17	)
FOR THE FISCAL YEARS ENDED MARCH 31,
2015 - A		10.07		0.34			(0.14	)		0.20			(0.35	)		—	(e)		—			(0.35	)
2015 - C		10.08		0.27			(0.15	)		0.12			(0.28	)		—	(e)		—			(0.28	)
2015 - Institutional		10.09		0.38			(0.16	)		0.22			(0.38	)		—	(e)		—			(0.38	)
2015 - IR		10.09		0.37			(0.14	)		0.23			(0.38	)		—	(e)		—			(0.38	)
2015 - R		10.08		0.32			(0.15	)		0.17			(0.33	)		—	(e)		—			(0.33	)
2014 - A		10.11		0.33			(0.02	)		0.31			(0.33	)		(0.02	)		—			(0.35	)
2014 - C		10.12		0.26			(0.03	)		0.23			(0.25	)		(0.02	)		—			(0.27	)
2014 - Institutional		10.13		0.37			(0.03	)		0.34			(0.36	)		(0.02	)		—			(0.38	)
2014 - IR		10.13		0.36			(0.03	)		0.33			(0.35	)		(0.02	)		—			(0.37	)
2014 - R		10.12		0.31			(0.03	)		0.28			(0.30	)		(0.02	)		—			(0.32	)
2013 - A		9.91		0.37			0.20			0.57			(0.36	)		—			(0.01	)		(0.37	)
2013 - C		9.90		0.29			0.23			0.52			(0.29	)		—			(0.01	)		(0.30	)
2013 - Institutional		9.91		0.40			0.23			0.63			(0.40	)		—			(0.01	)		(0.41	)
2013 - IR		9.91		0.40			0.22			0.62			(0.39	)		—			(0.01	)		(0.40	)
2013 - R		9.91		0.35			0.21			0.56			(0.34	)		—			(0.01	)		(0.35	)
2012 - A		10.00		0.33			(0.11	)		0.22			(0.31	)		—			—			(0.31	)
2012 - C		9.99		0.26			(0.12	)		0.14			(0.23	)		—			—			(0.23	)
2012 - Institutional		9.99		0.35			(0.09	)		0.26			(0.34	)		—			—			(0.34	)
2012 - IR		10.00		0.34			(0.10	)		0.24			(0.33	)		—			—			(0.33	)
2012 - R		10.00		0.28			(0.09	)		0.19			(0.28	)		—			—			(0.28	)
FOR THE PERIOD ENDED March 31,
2011 - A (Commenced March 31, 2011)		10.00		—	(e)		—	(e)		—	(e)		—			—			—			—
2011 - C (Commenced March 31, 2011)		10.00		—	(e)		(0.01	)		(0.01	)		—			—			—			—
2011 - Institutional (Commenced March 31, 2011)		10.00		—	(e)		(0.01	)		(0.01	)		—			—			—			—
2011 - IR (Commenced March 31, 2011)		10.00		—	(e)		—	(e)		—	(e)		—			—			—			—
2011 - R (Commenced March 31, 2011)		10.00		—	(e)		—	(e)		—	(e)		—			—			—			—

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.

(c) The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.

(d) Annualized.

(e) Amount is less than $0.005 per share.

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

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

Net asset value, end of period		Total return(b)			Net assets, end of period (in 000s)		Ratio of net expenses to average net assets			Ratio of total expenses to average net assets			Ratio of net investment income (loss) to average net assets			Portfolio turnover rate(c)
$	9.64		(0.98	)%	$	6,839		0.94	%(d)		0.95	%(d)		3.74	%(d)		24	%
	9.64		(1.35	)		1,862		1.69	(d)		1.70	(d)		3.01	(d)		24
	9.65		(0.80	)		3,804,051		0.60	(d)		0.61	(d)		4.10	(d)		24
	9.66		(0.85	)		1,277		0.69	(d)		0.70	(d)		4.00	(d)		24
	9.65		(0.99	)		11		1.17	(d)		1.19	(d)		3.51	(d)		24
	9.92		2.01			6,193		0.94			0.95			3.38			55
	9.92		1.15			1,936		1.69			1.70			2.71			55
	9.93		2.26			4,087,016		0.60			0.61			3.81			55
	9.94		2.27			811		0.70			0.71			3.72			55
	9.92		1.67			11		1.16			1.17			3.23			55
	10.07		3.09			24,741		0.96			0.97			3.28			44
	10.08		2.33			2,465		1.72			1.73			2.58			44
	10.09		3.45			4,171,873		0.63			0.63			3.65			44
	10.09		3.36			1,631		0.72			0.73			3.59			44
	10.08		2.83			11		1.21			1.22			3.08			44
	10.11		5.89			8,367		1.04			1.04			3.69			72
	10.12		5.31			1,648		1.79			1.79			2.93			72
	10.13		6.47			1,710,411		0.70			0.70			3.99			72
	10.13		6.36			4,116		0.80			0.80			4.00			72
	10.12		5.73			11		1.28			1.29			3.47			72
	9.91		2.24			1,910		1.08			1.13			3.41			73
	9.90		1.40			517		1.83			1.88			2.69			73
	9.91		2.58			644,969		0.74			0.79			3.63			73
	9.91		2.48			116		0.83			0.88			3.51			73
	9.91		1.99			10		1.33			1.38			2.86			73
	10.00		—			10		1.08	(d)		1.47	(d)		(1.08	)(d)		—
	9.99		—			10		1.83	(d)		2.22	(d)		(1.83	)(d)		—
	9.99		—			118,817		0.74	(d)		1.13	(d)		(0.74	)(d)		—
	10.00		—			10		0.83	(d)		1.22	(d)		(0.83	)(d)		—
	10.00		—			10		1.33	(d)		1.72	(d)		(1.33	)(d)		—

The accompanying notes are an integral part of these financial statements. 135

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

			From investment operations								Distributions to shareholders
Year - Share Class	Net asset value, beginning of period		Net investment income(a)		Net realized and unrealized gain (loss)			Total from investment operations			From net investment income			From net realized gains			Total distributions
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
2015 - A	$	9.47	$	0.15	$	(0.44	)	$	(0.29	)	$	(0.15	)	$	—		$	(0.15	)
2015 - Institutional		9.48		0.17		(0.45	)		(0.28	)		(0.17	)		—			(0.17	)
2015 - Separate Account Institutional		9.48		0.17		(0.44	)		(0.27	)		(0.17	)		—			(0.17	)
2015 - IR		9.48		0.16		(0.44	)		(0.28	)		(0.16	)		—			(0.16	)
2015 - R6 (Commenced July 31, 2015)		9.13		0.05		(0.10	)		(0.05	)		(0.05	)		—			(0.05	)
FOR THE FISCAL YEARS ENDED MARCH 31,
2015 - A		9.39		0.29		0.26			0.55			(0.29	)		(0.18	)		(0.47	)
2015 - Institutional		9.39		0.32		0.27			0.59			(0.32	)		(0.18	)		(0.50	)
2015 - Separate Account Institutional		9.39		0.32		0.27			0.59			(0.32	)		(0.18	)		(0.50	)
2015 - IR		9.39		0.31		0.27			0.58			(0.31	)		(0.18	)		(0.49	)
2014 - A		9.71		0.30		(0.18	)		0.12			(0.30	)		(0.14	)		(0.44	)
2014 - Institutional		9.71		0.34		(0.18	)		0.16			(0.34	)		(0.14	)		(0.48	)
2014 - Separate Account Institutional		9.71		0.33		(0.17	)		0.16			(0.34	)		(0.14	)		(0.48	)
2014 - IR		9.71		0.32		(0.17	)		0.15			(0.33	)		(0.14	)		(0.47	)
2013 - A		9.53		0.31		0.51			0.82			(0.31	)		(0.33	)		(0.64	)
2013 - Institutional		9.53		0.34		0.52			0.86			(0.35	)		(0.33	)		(0.68	)
2013 - Separate Account Institutional		9.53		0.34		0.52			0.86			(0.35	)		(0.33	)		(0.68	)
2013 - IR		9.53		0.34		0.51			0.85			(0.34	)		(0.33	)		(0.67	)
2012 - A		9.50		0.37		0.50			0.87			(0.37	)		(0.47	)		(0.84	)
2012 - Institutional		9.51		0.40		0.50			0.90			(0.41	)		(0.47	)		(0.88	)
2012 - Separate Account Institutional		9.51		0.40		0.50			0.90			(0.41	)		(0.47	)		(0.88	)
2012 - IR (Commenced July 29, 2011)		9.86		0.25		0.15			0.40			(0.26	)		(0.47	)		(0.73	)
2011 - A		9.14		0.38		0.37			0.75			(0.38	)		(0.01	)		(0.39	)
2011 - Institutional		9.14		0.41		0.38			0.79			(0.41	)		(0.01	)		(0.42	)
2011 - Separate Account Institutional		9.14		0.41		0.38			0.79			(0.41	)		(0.01	)		(0.42	)

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.

(c) The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.

(d) Annualized.

(e) Portfolio turnover rates exclude portfolio securities received as a result of in-kind subscriptions.

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

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

Net asset value, end of period		Total return(b)			Net assets, end of period (in 000s)		Ratio of net expenses to average net assets			Ratio of total expenses to average net assets			Ratio of net investment income to average net assets			Portfolio turnover rate(c)
$	9.03		(3.06	)%	$	26,625		0.72	%(d)		0.85	%(d)		3.29	%(d)		35	%
	9.03		(3.00	)		159,975		0.38	(d)		0.52	(d)		3.63	(d)		35
	9.04		(2.89	)		246,484		0.38	(d)		0.51	(d)		3.63	(d)		35
	9.04		(2.94	)		1,099		0.47	(d)		0.61	(d)		3.54	(d)		35
	9.03		(0.49	)		10		0.37	(d)		0.52	(d)		3.62	(d)		35
	9.47		5.94			29,522		0.72			0.86			3.07			84
	9.48		6.41			177,283		0.38			0.52			3.41			84
	9.48		6.41			259,668		0.38			0.52			3.40			84
	9.48		6.32			1,075		0.47			0.61			3.31			84
	9.39		1.41			24,839		0.72			0.85			3.22			86
	9.39		1.76			165,755		0.38			0.51			3.57			86
	9.39		1.76			286,845		0.38			0.51			3.56			86
	9.39		1.66			552		0.47			0.60			3.37			86
	9.71		8.73			30,216		0.71			0.84			3.17			162
	9.71		9.09			274,095		0.37			0.50			3.51			162
	9.71		9.09			289,032		0.37			0.50			3.51			162
	9.71		8.99			723		0.47			0.59			3.46			162
	9.53		9.34			155,684		0.71			0.85			3.78			120
	9.53		9.71			163,886		0.37			0.51			4.12			120
	9.53		9.71			237,266		0.37			0.51			4.13			120
	9.53		4.26			1,300		0.46	(d)		0.60	(d)		3.91	(d)		120
	9.50		8.37			147,820		0.74			0.87			3.98			100	(e)
	9.51		8.73			143,057		0.40			0.53			4.33			100	(e)
	9.51		8.77			262,907		0.37			0.50			4.36			100	(e)

The accompanying notes are an integral part of these financial statements. 137

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

			From investment operations								Distributions to shareholders
Year - Share Class	Net asset value, beginning of period		Net investment income(a)		Net realized and unrealized gain (loss)			Total from investment operations			From net investment income			From net realized gains			From capital			Total distributions
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
2015 - A	$	6.96	$	0.17	$	(0.98	)	$	(0.81	)	$	(0.17	)	$	—		$	—		$	(0.17	)
2015 - C		6.98		0.15		(0.99	)		(0.84	)		(0.15	)		—			—			(0.15	)
2015 - Institutional		6.97		0.19		(1.00	)		(0.81	)		(0.19	)		—			—			(0.19	)
2015 - IR		6.96		0.18		(0.99	)		(0.81	)		(0.18	)		—			—			(0.18	)
FOR THE FISCAL YEARS ENDED MARCH 31,
2015 - A		8.43		0.37		(1.41	)		(1.04	)		—			—			(0.43	)		(0.43	)
2015 - C		8.44		0.33		(1.42	)		(1.09	)		—			—			(0.37	)		(0.37	)
2015 - Institutional		8.43		0.41		(1.41	)		(1.00	)		—			—			(0.46	)		(0.46	)
2015 - IR		8.43		0.41		(1.43	)		(1.02	)		—			—			(0.45	)		(0.45	)
2014 - A		9.71		0.40		(1.27	)		(0.87	)		(0.03	)		(0.13	)		(0.25	)		(0.41	)
2014 - C		9.72		0.34		(1.28	)		(0.94	)		—			(0.13	)		(0.21	)		(0.34	)
2014 - Institutional		9.71		0.43		(1.27	)		(0.84	)		(0.06	)		(0.13	)		(0.25	)		(0.44	)
2014 - IR		9.71		0.42		(1.27	)		(0.85	)		(0.05	)		(0.13	)		(0.25	)		(0.43	)
2013 - A		9.38		0.45		0.38			0.83			(0.46	)		(0.04	)		—			(0.50	)
2013 - C		9.40		0.38		0.37			0.75			(0.39	)		(0.04	)		—			(0.43	)
2013 - Institutional		9.38		0.48		0.38			0.86			(0.49	)		(0.04	)		—			(0.53	)
2013 - IR		9.38		0.47		0.38			0.85			(0.48	)		(0.04	)		—			(0.52	)
2012 - A		9.59		0.42		(0.16	)		0.26			(0.44	)		(0.03	)		—			(0.47	)
2012 - C		9.61		0.37		(0.18	)		0.19			(0.37	)		(0.03	)		—			(0.40	)
2012 - Institutional		9.59		0.48		(0.19	)		0.29			(0.47	)		(0.03	)		—			(0.50	)
2012 - IR		9.59		0.46		(0.18	)		0.28			(0.46	)		(0.03	)		—			(0.49	)
2011 - A		9.31		0.41		0.60			1.01			(0.64	)		(0.09	)		—			(0.73	)
2011 - C		9.33		0.32		0.61			0.93			(0.56	)		(0.09	)		—			(0.65	)
2011 - Institutional		9.31		0.44		0.60			1.04			(0.67	)		(0.09	)		—			(0.76	)
2011 - IR (Commenced July 30, 2010)		9.43		0.28		0.46			0.74			(0.49	)		(0.09	)		—			(0.58	)

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.

(c) The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.

(d) Annualized.

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

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

Net asset value, end of period		Total return(b)			Net assets, end of period (in 000s)		Ratio of net expenses to average net assets			Ratio of total expenses to average net assets			Ratio of net investment income to average net assets			Portfolio turnover rate(c)
$	5.98		(11.93	)%	$	169,989		1.25	%(d)		1.37	%(d)		5.23	%(d)		49	%
	5.99		(12.37	)		7,056		2.00	(d)		2.14	(d)		4.51	(d)		49
	5.97		(11.90	)		806,229		0.91	(d)		1.05	(d)		5.60	(d)		49
	5.97		(11.82	)		5,416		0.99	(d)		1.09	(d)		5.44	(d)		49
	6.96		(12.92	)		140,301		1.25			1.36			4.76			145
	6.98		(13.43	)		9,734		2.01			2.14			4.04			145
	6.97		(12.50	)		1,234,553		0.92			1.05			5.11			145
	6.96		(12.70	)		3,386		1.01			1.14			5.06			145
	8.43		(9.01	)		96,925		1.25			1.36			4.55			146
	8.44		(9.68	)		17,641		2.01			2.12			3.80			146
	8.43		(8.70	)		1,797,975		0.92			1.02			4.88			146
	8.43		(8.78	)		7,518		1.01			1.11			4.73			146
	9.71		9.07			190,480		1.26			1.38			4.78			115
	9.72		8.14			32,071		2.00			2.13			3.98			115
	9.71		9.46			3,252,343		0.91			1.04			5.05			115
	9.71		9.34			20,878		1.00			1.12			4.91			115
	9.38		2.71			166,407		1.27			1.38			4.31			183
	9.40		1.96			20,704		2.02			2.13			3.98			183
	9.38		3.06			1,586,055		0.93			1.04			5.18			183
	9.38		2.97			7,393		1.02			1.13			4.91			183
	9.59		11.30			1,055,640		1.35			1.43			4.30			154
	9.61		10.45			16,724		2.10			2.18			3.37			154
	9.59		11.68			1,048,186		1.01			1.09			4.63			154
	9.59		8.13			8,247		1.10	(d)		1.16	(d)		4.40	(d)		154

The accompanying notes are an integral part of these financial statements. 139

GOLDMAN SACHS U.S. MORTGAGES FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

			From investment operations							Distributions to shareholders
Year - Share Class	Net asset value, beginning of period		Net investment income(a)		Net realized and unrealized gain (loss)			Total from investment operations		From net investment income			From net realized gains			Total distributions
FOR THE SIX MONTHS ENDED SEPTEMBER 30, (UNAUDITED)
2015 - A	$	10.74	$	0.10	$	(0.05	)	$	0.05	$	(0.13	)	$	—		$	(0.13	)
2015 - Institutional		10.77		0.12		(0.06	)		0.06		(0.15	)		—			(0.15	)
2015 - Separate Account Institutional		10.75		0.12		(0.06	)		0.06		(0.15	)		—			(0.15	)
2015 - IR		10.77		0.11		(0.05	)		0.06		(0.14	)		—			(0.14	)
2015 - R6 (Commenced July 31, 2015)		10.67		0.04		0.02			0.06		(0.05	)		—			(0.05	)
FOR THE FISCAL YEARS ENDED MARCH 31,
2015 - A		10.45		0.17		0.35			0.52		(0.23	)		—			(0.23	)
2015 - Institutional		10.47		0.19		0.38			0.57		(0.27	)		—			(0.27	)
2015 - Separate Account Institutional		10.45		0.20		0.37			0.57		(0.27	)		—			(0.27	)
2015 - IR		10.48		0.18		0.37			0.55		(0.26	)		—			(0.26	)
2014 - A		10.60		0.13		(0.06	)		0.07		(0.22	)		—			(0.22	)
2014 - Institutional		10.62		0.18		(0.08	)		0.10		(0.25	)		—			(0.25	)
2014 - Separate Account Institutional		10.60		0.16		(0.06	)		0.10		(0.25	)		—			(0.25	)
2014 - IR		10.63		0.20		(0.11	)		0.09		(0.24	)		—			(0.24	)
2013 - A		10.58		0.12		0.31			0.43		(0.22	)		(0.19	)		(0.41	)
2013 - Institutional		10.60		0.16		0.30			0.46		(0.25	)		(0.19	)		(0.44	)
2013 - Separate Account Institutional		10.58		0.16		0.30			0.46		(0.25	)		(0.19	)		(0.44	)
2013 - IR		10.60		0.17		0.31			0.48		(0.26	)		(0.19	)		(0.45	)
2012 - A		10.20		0.17		0.42			0.59		(0.21	)		—			(0.21	)
2012 - Institutional		10.21		0.20		0.44			0.64		(0.25	)		—			(0.25	)
2012 - Separate Account Institutional		10.20		0.21		0.42			0.63		(0.25	)		—			(0.25	)
2012 - IR (Commenced July 29, 2011)		10.45		0.14		0.19			0.33		(0.18	)		—			(0.18	)
2011 - A		9.99		0.22		0.22			0.44		(0.23	)		—			(0.23	)
2011 - Institutional		10.00		0.25		0.23			0.48		(0.27	)		—			(0.27	)
2011 - Separate Account Institutional		9.99		0.25		0.23			0.48		(0.27	)		—			(0.27	)

(a) Calculated based on the average shares outstanding methodology.

(b) Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.

(c) The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher.

(d) Annualized.

(e) Portfolio turnover rates exclude portfolio securities received as a result of in-kind subscriptions.

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

GOLDMAN SACHS U.S. MORTGAGES FUND

Net asset value, end of period		Total return(b)			Net assets, end of period (in 000s)		Ratio of net expenses to average net assets			Ratio of total expenses to average net assets			Ratio of net investment income to average net assets			Portfolio turnover rate(c)
$	10.66		0.48	%	$	33,701		0.72	%(d)		0.96	%(d)		1.88	%(d)		518	%
	10.68		0.56			50,854		0.38	(d)		0.62	(d)		2.22	(d)		518
	10.66		0.56			196,622		0.38	(d)		0.62	(d)		2.22	(d)		518
	10.69		0.61			2,153		0.48	(d)		0.71	(d)		2.12	(d)		518
	10.68		0.56			10		0.43	(d)		0.72	(d)		2.16	(d)		518
	10.74		5.01			31,690		0.71			0.95			1.60			1,367
	10.77		5.46			45,891		0.37			0.62			1.82			1,367
	10.75		5.46			195,609		0.37			0.63			1.86			1,367
	10.77		5.26			1,768		0.46			0.71			1.68			1,367
	10.45		0.64			3,850		0.72			0.96			1.22			1,399
	10.47		0.99			11,692		0.38			0.63			1.71			1,399
	10.45		0.98			211,306		0.38			0.62			1.58			1,399
	10.48		0.88			16		0.49			0.73			1.91			1,399
	10.60		4.07			4,488		0.71			0.91			1.13			1,617
	10.62		4.42			13,664		0.37			0.56			1.47			1,617
	10.60		4.42			295,322		0.37			0.56			1.49			1,617
	10.63		4.61			1		0.30			0.49			1.57			1,617
	10.58		5.82			5,437		0.71			0.91			1.62			1,342
	10.60		6.28			9,984		0.37			0.57			1.89			1,342
	10.58		6.18			375,451		0.37			0.57			1.97			1,342
	10.60		3.20			1		0.46	(d)		0.66	(d)		2.06	(d)		1,342
	10.20		4.46			5,511		0.74			0.92			2.14			905	(e)
	10.21		4.81			54,096		0.40			0.58			2.41			905	(e)
	10.20		4.84			348,447		0.37			0.55			2.42			905	(e)

The accompanying notes are an integral part of these financial statements. 141

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements

September 30, 2015 (Unaudited)

1. ORGANIZATION

Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The following table lists those series of the Trust that are included in this report (collectively, the “Funds” or individually a “Fund”), along with their corresponding share classes and respective diversification status under the Act:

Fund	Share Classes Offered	Diversified/ Non-diversified
Dynamic Emerging Markets Debt	A, C, Institutional, IR and R	Non-diversified
Emerging Markets Debt	A, C, Institutional, IR and R6*	Non-diversified
Local Emerging Markets Debt	A, C, Institutional and IR	Non-diversified
High Yield	A, C, Institutional, Service, IR, R and R6*	Diversified
High Yield Floating Rate	A, C, Institutional, IR and R	Diversified
Investment Grade Credit, U.S. Mortgages	A, Institutional, IR, Separate Account Institutional and R6*	Diversified

* Class R6 Shares commenced operations on July 31, 2015.

Class A Shares of the Dynamic Emerging Markets Debt, Emerging Markets Debt, High Yield, High Yield Floating Rate, Investment Grade Credit, Local Emerging Markets Debt and U.S. Mortgages Funds are sold with a front-end sales charge of up to 4.50%, 4.50%, 4.50%, 2.25%, 3.75%, 4.50% and 3.75%, respectively. Class C Shares are sold with a contingent deferred sales charge (“CDSC”) of 1.00%, which is imposed on redemptions made within 12 months of purchase. Institutional, Service, Separate Account Institutional, Class IR, Class R and Class R6 Shares are not subject to a sales charge.

At the close of business on November 14, 2014, Class B Shares of the High Yield Fund were converted to Class A Shares of the Fund.

Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman, Sachs & Co. (“Goldman Sachs”), serves as investment adviser to the Funds pursuant to a management agreement (the “Agreement”) with the Trust.

2. SIGNIFICANT ACCOUNTING POLICIES

The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions.

A.  Investment Valuation — The Funds’ valuation policy is to value investments at fair value.

B.  Investment Income and Investments — Investment income includes interest income and dividend income, net of any foreign withholding taxes, less any amounts reclaimable. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions received from the Funds’ investments in U.S. real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain or a return of capital. A return of capital is recorded by the Funds as a reduction to the cost basis of the REIT. Income distributions are recognized in accordance with the character that is distributed. Capital gain distributions are recorded as capital gains in the financial statements. Income distributions are recorded in income.

For derivative contracts, realized gains and losses are recorded upon settlement of the contract. Upfront payments are made or received upon entering into a swap agreement and are reflected in the Statement of Assets and Liabilities. Upfront payments are

142

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

2. SIGNIFICANT ACCOUNTING POLICIES (continued)

recognized over the contract’s term/event as realized gains or losses, with the exception of forward starting interest rate swaps whose realized gains or losses are recognized from the effective start date.

For securities with paydown provisions, principal payments received are treated as a proportionate reduction to the cost basis of the securities, and excess or shortfall amounts are recorded as income.

For treasury inflation protected securities (“TIPS”), adjustments to principal due to inflation/deflation are reflected as increases/decreases to interest income with a corresponding adjustment to cost.

C.  Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), and non-class specific expenses of each Fund are allocated daily based upon the proportion of net assets of each class. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service, Transfer Agency and Service and Shareholder Administration fees. Non-class specific expenses directly incurred by a Fund are charged to that Fund, while such expenses incurred by the Trust are allocated across the applicable Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses.

D.  Redemption Fees — A 2% redemption fee will be imposed on the redemption of shares (including by exchange) held for 60 calendar days or less with respect to the High Yield Fund and 30 calendar days or less with respect to the Dynamic Emerging Markets Debt, Emerging Markets Debt and Local Emerging Markets Debt Funds. For this purpose, the Funds use a first-in first-out method so that shares held longest will be treated as being redeemed first and shares held shortest will be treated as being redeemed last. Redemption fees are reimbursed to a Fund and are reflected as a reduction in share redemptions. Redemption fees are credited to Paid-in Capital and are allocated to each share class of a Fund on a pro-rata basis.

E.  Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Funds are not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid annually.

Net capital losses are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.

Under the Regulated Investment Company Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.

The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each Fund’s distributions may be shown in the accompanying financial statements as either from net investment income, net realized gain or capital. Certain components of the Funds’ net assets on the Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.

F.  Foreign Currency Translation — The accounting records and reporting currency of the Funds are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars using the current exchange rates at the close of each business day. The effect of changes in foreign currency exchange rates on investments is included within net realized and unrealized gain (loss) on investments. Changes in the value of other assets and liabilities as a result of fluctuations in foreign exchange rates are included in the Statements of Operations within net change in unrealized gain (loss) on foreign currency translations. Transactions denominated in foreign currencies are translated into U.S. dollars on the date the transaction occurred, the effects of which are included within net realized gain (loss) on foreign currency transactions.

143

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2015 (Unaudited)

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS

The fair value of a financial instrument is 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). 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 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).

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Funds’ policy, transfers between different levels of the fair value hierarchy resulting from such changes are deemed to have occurred as of the beginning of the reporting period.

The Board of Trustees (“Trustees”) has adopted Valuation Procedures that govern the valuation of the portfolio investments held by the Funds, 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 Funds’ portfolio 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.

A.  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 and investment companies 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 it is believed by GSAM to not represent fair value, equity securities and exchange traded investment companies are valued at the last bid price for long positions and at the last ask price for short positions. Investments in investment companies (other than those that are exchange traded) are valued at the NAV on the valuation date. 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.

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. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under 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.

144

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (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. Short-term debt obligations that mature in sixty days or less and that do not exhibit signs of credit deterioration are valued at amortized cost, which approximates fair value. With the exception of treasury securities of G8 countries (not held in money market funds), which are generally classified as Level 1, these investments are generally classified as Level 2 of the fair value hierarchy.

i.  Inverse Floaters — The interest rate on inverse floating rate securities (“inverse floaters”) resets in the opposite direction from the market rate of interest to which the inverse floaters are indexed. An inverse floater may be considered to be leveraged to the extent that its interest rate varies by a magnitude that exceeds the magnitude of the change in the index rate of interest. The higher the degree of leverage of an inverse floater, the greater the volatility of its market value.

ii.  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.

iii.  Mortgage Dollar Rolls — Mortgage dollar rolls are transactions whereby a Fund sells mortgage-backed-securities and simultaneously contracts with the same counterparty to repurchase similar securities on a specified future date. During the settlement period, a Fund will not be entitled to accrue interest and receive principal payments on the securities sold.

iv.  Senior Term Loans — Senior term loans (“Loans”) are interests in amounts owed by corporate, governmental, or other borrowers to lenders or lending syndicates. Loans are arranged through private negotiations between the borrower and one or more financial institutions (“Lenders”). A Fund’s investments in Loans are in the form of either participations in Loans (“Participations”) or assignments of all or a portion of Loans from third parties (“Assignments”). With respect to Participations, a Fund has the right to receive payments of principal, interest and any fees to which it is entitled from the Lender selling the Participations and only upon receipt by the Lender of the payments from the borrower. A Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement with respect to Participations. Conversely, Assignments result in a Fund having a direct contractual relationship with the borrower, and the Fund may be permitted to enforce compliance by the borrower with the terms of the loan agreement.

The High Yield and High Yield Floating Rate Funds may also enter into certain credit arrangements, all or a portion of which may be unfunded. Unfunded loan commitments represent the remaining obligation of a Fund to the borrower. A Fund is obligated to fund these commitments at the borrower’s discretion. A Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit of a Loan. All Loans and unfunded loan commitments involve interest rate risk, liquidity risk and credit risk, including the potential default or insolvency of the borrower. Loans, including unfunded loan commitments, are marked to market daily using pricing vendor quotations and the change in value, if any, is recorded as an unrealized gain or loss.

145

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2015 (Unaudited)

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

v.  Treasury Inflation Protected Securities — TIPS are treasury securities in which the principal amount is adjusted daily to keep pace with inflation, as measured by the U.S. Consumer Pricing Index for Urban Consumers. The repayment of the original bond principal upon maturity is guaranteed by the full faith and credit of the U.S. Government.

vi.  Structured Notes — The values of structured notes are based on the price movements of a reference security or index. Upon termination, a Fund will receive a payment from the issuer based on the value of the referenced instrument (notional amount multiplied by price of the referenced instrument) and record a realized gain or loss.

vii.  When-Issued Securities and Forward Commitments — When-issued securities, including TBA (“To Be Announced”) securities, are securities that are authorized but not yet issued in the market and purchased in order to secure what is considered to be an advantageous price or yield to a Fund. A forward commitment involves entering into a contract to purchase or sell securities, typically on an extended settlement basis, for a fixed price at a future date. The purchase of securities on a when-issued or forward commitment basis involves a risk of loss if the value of the security to be purchased declines before the settlement date. Conversely, the sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. Although a Fund will generally purchase securities on a when-issued or forward commitment basis with the intention of acquiring the securities for its portfolio, the Fund may dispose of when-issued securities or forward commitments prior to settlement which may result in a realized gain or loss.

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 of the Institutional Share class (the FST Share class for Money Market Funds) 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 Funds invest in Underlying Funds that fluctuate in value, the Funds’ 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.

The Underlying Funds may invest in debt securities which, if 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. Short-term debt obligations that mature in sixty days or less and that do not exhibit signs of credit deterioration are valued at amortized cost, which approximates fair value. With the exception of treasury securities of G8 countries (not held in money market funds), which are generally classified as Level 1, these investments are generally classified as Level 2 of the fair value hierarchy.

The Underlying Funds may invest in equity securities and investment companies. Investments in equity securities and investment companies traded on a 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 it is believed by the investment adviser to not represent fair value, equity securities and exchange traded investment companies are valued at the last bid price for long positions and at the last ask price for short positions. Investments in investment companies (other than those that are exchange traded) are valued at the NAV on the valuation date. 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.

The Underlying Funds may invest in 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. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under 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.

146

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. The Funds enter 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.

Exchange-traded derivatives, including futures and options contracts, are valued at the last sale or settlement price and 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.

A forward foreign currency contract is a forward contract in which a 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 at the applicable forward rate. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.

A non-deliverable bond forward is a short term forward contract between two parties to buy or sell a bond denominated in a non-deliverable foreign currency at a specified future time and price. Non-deliverable bond forwards are marked-to-market daily using market quotations. Unrealized gains or losses on non-deliverable bond forwards are recorded by a Fund on a daily basis, and realized gains or losses are recorded on the termination date or sale of a contract.

ii.  Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security and are valued based on exchanged settlement prices or independent market quotes. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price for long positions and at the last ask price for short positions, at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, a 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 a 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 a 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 interest rate swap contracts.

Upon the purchase of a call option or a put option by a 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 a 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 a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed

147

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2015 (Unaudited)

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

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, a 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.

An interest rate swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals, based upon or calculated by reference to changes in interest rates on a specified notional principal amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.

A credit default swap is an agreement that involves one party (the buyer of protection) making a stream of payments to another party (the seller of protection) in exchange for the right to receive protection on a reference security or obligation, including a group of assets or exposure to the performance of an index. A Fund’s investment in credit default swaps may involve greater risks than if the Fund had invested in the referenced obligation directly. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. If a Fund buys protection through a credit default swap and no credit event occurs, its payments are limited to the periodic payments previously made to the counterparty. Upon the occurrence of a specified credit event, a Fund, as a buyer of credit protection, is entitled to receive an amount equal to the notional amount of the swap and deliver to the seller the defaulted reference obligation in a physically settled trade. A Fund may also receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade.

As a seller of protection, a Fund generally receives a payment stream throughout the term of the swap, provided that there is no credit event. In addition, if a Fund sells protection through a credit default swap, a Fund could suffer a loss because the value of the referenced obligation and the premium payments received may be less than the notional amount of the swap paid to the buyer of protection. Upon the occurrence of a specified credit event, a Fund, as a seller of credit protection, may be required to take possession of the defaulted reference obligation and pay the buyer an amount equal to the notional amount of the swap in a physically settled trade. A Fund may also pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in cash settled trade. Recovery values are at times established through the credit event auction process in which market participants are ensured that a transparent price has been set for the defaulted security or obligation. In addition, a Fund is entitled to a return of any assets, which have been pledged as collateral to the counterparty.

The maximum potential amount of future payments (undiscounted) that a Fund as seller of protection could be required to make under a credit default swap would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations or net amounts received from a settlement of a credit default swap for the same reference security or obligation where a Fund bought credit protection.

A cross currency swap is an agreement which a Fund may enter into to gain or mitigate exposure to currency risk. A cross currency swap is an agreement to exchange cash flows on a notional amount of two or more currencies based on the relative value differential among them. Such swaps may involve initial and final exchanges that correspond to the agreed upon notional amount. Cross currency swaps usually involve the delivery of the entire principle value of one designated currency in exchange for other designated currency. Therefore, the entire principle value of a cross currency swap is subject to risk that the other party to the swap will default on its contractual delivery obligations. If there is a default by the counterparty, the Fund may have contractual remedies pursuant to the agreements related to the transaction.

A total return swap is an agreement that gives a Fund the right to receive the appreciation in the value of a specified security, index 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, a Fund may also be required to pay the dollar value of that decline to the counterparty.

148

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

Short Term Investments — Short-term investments having a maturity of 60 days or less are generally valued at amortized cost which approximates fair market value. These investments are classified as Level 2 of the fair value hierarchy.

i.  Repurchase Agreements — Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase the securities at a mutually agreed upon date and price, under the terms of a Master Repurchase Agreement (“MRA”). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes. The underlying securities for all repurchase agreements are held at the Funds’ custodian or designated sub-custodians under tri-party repurchase agreements.

An MRA governs transactions between a Fund and select counterparties. An MRA contains provisions for, among other things, initiation of the transaction, income payments, events of default and maintenance of securities for both repurchase and reverse repurchase agreements. An MRA also permits offsetting with collateral to create one single net payment in the event of default or similar events, including the bankruptcy or insolvency of a counterparty.

If the seller defaults, a Fund could suffer a loss to the extent that the proceeds from the sale of the underlying securities and other collateral held by the Fund are less than the repurchase price and the Fund’s costs associated with delay and enforcement of the repurchase agreement. In addition, in the event of default or insolvency of the seller, a court could determine that a Fund’s interest in the collateral is not enforceable, resulting in additional losses to the Fund.

Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and terms and conditions contained therein, the Funds, together with other funds of the Trust and registered investment companies having management agreements with GSAM or its affiliates, may transfer uninvested cash into joint accounts, the daily aggregate balance of which is invested in one or more repurchase agreements. Under these joint accounts, the Funds maintain pro-rata credit exposure to the underlying repurchase agreements’ counterparties. With the exception of certain transaction fees, the Funds are not subject to any expenses in relation to these investments.

Secured Borrowings — Secured borrowings are valued at their contractual amounts, which approximates fair value and are generally classified as Level 2 of the fair value hierarchy.

i.  Reverse Repurchase Agreements — Reverse repurchase agreements involve the sale of securities held by the Funds subject to the Funds’ agreement to repurchase the securities at a mutually agreed upon date and price (including interest), under the terms of an MRA.

The Funds are required to deliver securities as collateral to the counterparty that exceeds the value of the reverse repurchase agreement. The gross value of reverse repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

If the buyer defaults on its commitment to sell back the securities, a Fund could suffer a loss to the extent that the amount borrowed is less than the replacement cost of similar securities and the Fund’s costs associated with delay and enforcement of the reverse repurchase agreement. In addition, in the event of default or insolvency of the buyer, a court could determine that a Fund’s interest in the amount borrowed is not enforceable, resulting in additional losses to the Fund.

B.  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 Funds’ 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 a Fund’s NAV. Significant events which could affect a large number of securities in a

149

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2015 (Unaudited)

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

particular market may include, but are not limited to: significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions; or unscheduled market closings. Significant events which could also affect a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; ratings downgrades; and bankruptcies. 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.

GSAM did not develop the unobservable inputs (examples include but are not limited to single source broker quotations, third party pricing, etc.) for the valuation of Level 3 Assets and Liabilities.

C.  Fair Value Hierarchy — The following is a summary of the Funds’ investments and derivatives classified in the fair value hierarchy as of September 30, 2015:

DYNAMIC EMERGING MARKETS DEBT
Investment Type	Level 1		Level 2		Level 3
Assets
Fixed Income
Sovereign Debt Obligations	$	—	$	21,566,409	$	—
Corporate Obligations		—		4,881,358		—
Structured Notes		—		1,145,440		—
Municipal Debt Obligations		—		386,847		—
U.S. Treasury Obligations		1,328,332		—		—
Short-term Investments		—		5,600,000		—
Total	$	1,328,332	$	33,580,054	$	—

150

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

DYNAMIC EMERGING MARKETS DEBT (continued)
Derivative Type	Level 1			Level 2			Level 3
Assets(a)
Forward Foreign Currency Exchange Contracts	$	—		$	240,129		$	—
Futures Contracts		8,618			—			—
Interest Rate Swap Contracts		—			53,998			—
Credit Default Swap Contracts		—			4,002			—
Non-Deliverable Bond Forward Contracts		—			1,022			—
Total	$	8,618		$	299,151		$	—
Liabilities(a)
Forward Foreign Currency Exchange Contracts	$	—		$	(415,431	)	$	—
Futures Contracts		(3,227	)		—			—
Interest Rate Swap Contracts		—			(104,150	)		—
Credit Default Swap Contracts		—			(4,690	)		—
Total	$	(3,227	)	$	(524,271	)	$	—
EMERGING MARKETS DEBT
Investment Type	Level 1			Level 2			Level 3
Assets
Fixed Income
Sovereign Debt Obligations	$	—		$	696,334,566		$	—
Foreign Debt Obligation		—			4,680,095			—
Corporate Obligations		—			270,228,674			—
U.S. Treasury Obligations and/or Other U.S. Government Agencies		19,491,429			24,999,575			—
Structured Note		—			3,119,546			—
Municipal Debt Obligations		—			12,736,484			—
Short-term Investments		—			3,100,000			—
Total	$	19,491,429		$	1,015,198,940		$	—
Liabilities
Reverse Repurchase Agreements	$	—		$	(8,123,805	)	$	—

151

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2015 (Unaudited)

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

EMERGING MARKETS DEBT (continued)
Derivative Type	Level 1			Level 2			Level 3
Assets(a)
Forward Foreign Currency Exchange Contracts	$	—		$	9,460,848		$	—
Futures Contracts		2,478,263			—			—
Interest Rate Swap Contracts		—			2,392,059			—
Credit Default Swap Contracts		—			303,131			—
Total	$	2,478,263		$	12,156,038		$	—
Liabilities(a)
Forward Foreign Currency Exchange Contracts	$	—		$	(2,582,859	)	$	—
Futures Contracts		(727,283	)		—			—
Interest Rate Swap Contracts		—			(3,669,745	)		—
Credit Default Swap Contracts		—			(459,041	)		—
Total	$	(727,283	)	$	(6,711,645	)	$	—
HIGH YIELD
Investment Type	Level 1			Level 2			Level 3
Assets
Fixed Income
Corporate Obligations	$	—		$	4,098,942,167		$	—
Senior Term Loans		—			231,076,689			10,348,625
Common Stock and/or Other Equity Investments(b)
North America		6,803,801			3,526,380			39
Warrants		—			2,169,509			—
Investment Company		114,348,213			—			—
Total	$	121,152,014		$	4,335,714,745		$	10,348,664
Liabilities
Reverse Repurchase Agreements	$	—		$	(119,075,938	)	$	—
Derivative Type
Assets(a)
Forward Foreign Currency Exchange Contracts	$	—		$	239,515		$	—
Futures Contracts		1,452,986			—			—
Total	$	1,452,986		$	239,515		$	—
Liabilities(a)
Forward Foreign Currency Exchange Contracts	$	—		$	(35,844	)	$	—
Futures Contracts		(3,411,763	)		—			—
Total	$	(3,411,763	)	$	(35,844	)	$	—

152

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

HIGH YIELD FLOATING RATE
Investment Type	Level 1		Level 2			Level 3
Assets
Fixed Income
Senior Term Loans	$	—	$	3,121,171,498		$	47,648,777
Corporate Obligations		—		376,567,466			—
Asset-Backed Securities		—		8,004,932			—
Investment Companies		202,665,903		—			—
Total	$	202,665,903	$	3,505,743,896		$	47,648,777
Liabilities
Reverse Repurchase Agreements	$	—	$	(4,500,000	)	$	—
Derivative Type
Assets(a)
Forward Foreign Currency Exchange Contracts	$	—	$	138,030		$	—
Liabilities(a)
Forward Foreign Currency Exchange Contracts	$	—	$	(2,492	)	$	—
Interest Rate Swap Contracts		—		(993,415	)		—
Total	$	—	$	(995,907	)	$	—

The following is a reconciliation of Level 3 investments for the six months ended September 30, 2015:

	Senior Term Loans
Beginning Balance as of April 1, 2015	$	79,279,669
Realized gain (loss)		51,079
Net change in unrealized gain (loss) relating to instruments still held at reporting date		(5,410,260	)
Purchases		12,970,581
Sales		(5,591,575	)
Amortization		96,346
Transfers into Level 3		33,055,114
Transfers out of Level 3		(66,802,177	)
Ending Balance as of September 30, 2015	$	47,648,777

Securities transferred in and out of Level 3 were primarily due to pricing of floating rate bank loans based on single broker quotes.

153

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2015 (Unaudited)

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

INVESTMENT GRADE CREDIT
Investment Type	Level 1			Level 2			Level 3
Assets
Fixed Income
Corporate Obligations	$	—		$	363,650,511		$	—
Mortgage-Backed Obligations		—			9,470,085			—
U.S. Treasury Obligations and/or Other U.S. Government Agencies		10,961,775			642,069			—
Foreign Debt Obligations		—			18,809,574			—
Municipal Debt Obligations		—			15,484,930			—
Common Stock and/or Other Equity Investments(b)
North America		—			1,760,300			—
Investment Company		3,747,934			—			—
Total	$	14,709,709		$	409,817,469		$	—
Derivative Type
Assets(a)
Futures Contracts	$	370,089		$	—		$	—
Interest Rate Swap Contracts		—			307,428			—
Total	$	370,089		$	307,428		$	—
Liabilities(a)
Futures Contracts	$	(183,289	)	$	—		$	—
Interest Rate Swap Contracts		—			(740,220	)		—
Credit Default Swap Contracts		—			(1,135	)		—
Total	$	(183,289	)	$	(741,355	)	$	—
LOCAL EMERGING MARKETS DEBT
Investment Type	Level 1			Level 2			Level 3
Assets
Fixed Income
Sovereign Debt Obligations	$	—		$	685,506,045		$	—
Corporate Obligations		—			53,478,632			—
Structured Notes		—			107,097,890			—
Municipal Debt Obligations		—			7,275,799			—
U.S. Treasury Obligations		84,197,794			—			—
Investment Company		21,654,935			—			—
Total	$	105,852,729		$	853,358,366		$	—
Liabilities
Reverse Repurchase Agreements	$	—		$	(154,438	)	$	—

154

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

LOCAL EMERGING MARKETS DEBT (continued)
Derivative Type	Level 1			Level 2			Level 3
Assets(a)
Forward Foreign Currency Exchange Contracts	$	—		$	14,335,203		$	—
Interest Rate Swap Contracts		—			18,058,491			—
Credit Default Swap Contracts		—			138,092			—
Non-Deliverable Bond Forward Contracts		—			83,535			—
Total	$	—		$	32,615,321		$	—
Liabilities(a)
Forward Foreign Currency Exchange Contracts	$	—		$	(13,071,867	)	$	—
Futures Contracts		(825,701	)		—			—
Interest Rate Swap Contracts		—			(19,522,138	)		—
Credit Default Swap Contracts		—			(11,813	)		—
Cross Currency Swap Contracts		—			(11,308,831	)		—
Non-Deliverable Bond Forward Contracts					(81,763	)
Total	$	(825,701	)	$	(43,996,412	)	$	—
U.S. MORTGAGES
Investment Type	Level 1			Level 2			Level 3
Assets
Fixed Income
Mortgage-Backed Obligations	$	—		$	314,886,989		$	—
Asset-Backed Securities		—			22,867,675			—
Investment Company		7,164,780			—			—
Total	$	7,164,780		$	337,754,664		$	—
Liabilities
Fixed Income
Mortgage-Backed Obligations — Forward Sales Contracts	$	—		$	(28,136,407	)	$	—
Derivative Type
Assets(a)
Futures Contracts	$	261,517		$	—		$	—
Interest Rate Swap Contracts		—			441,571			—
Total	$	261,517		$	441,571		$	—
Liabilities(a)
Futures Contracts	$	(74,158	)	$	—		$	—
Interest Rate Swap Contracts		—			(419,223	)		—
Credit Default Swap Contracts		—			(175,749	)		—
Total	$	(74,158	)	$	(594,972	)	$	—

(a) Amount shown represents unrealized gain (loss) at period end.

(b) To adjust for the time difference between local market close and the calculation of NAV. The Fund utilizes fair value model prices for international equities provided by an independent fair value service resulting in a Level 2 classification.

For further information regarding security characteristics, see the Schedules of Investments.

155

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2015 (Unaudited)

4. INVESTMENTS IN DERIVATIVES

The following tables set forth, by certain risk types, the gross value of derivative contracts as of September 30, 2015. These instruments were used to meet the Funds’ investment objectives and to obtain and/or manage exposure related to the risks below. The values in the tables below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Funds’ net exposure.

Dynamic Emerging Markets Debt
Risk	Statements of Assets and Liabilities	Assets			Statements of Assets and Liabilities	Liabilities
Interest rate	Receivable for unrealized gain on swap contracts; Variation margin on certain derivative contracts	$	63,638	(a)	Payable for unrealized loss on swap contracts; Variation margin on certain derivative contracts	$	(107,377)	(a)(b)
Credit	Receivable for unrealized gain on swap contracts		4,002		Payable for unrealized loss on swap contracts		(4,690)	(b)
Currency	Receivable for unrealized gain on forward foreign currency exchange contracts		240,129		Payable for unrealized loss on forward foreign currency exchange contracts		(415,431)
Total		$	307,769			$	(527,498)
Emerging Markets Debt
Risk	Statements of Assets and Liabilities	Assets			Statements of Assets and Liabilities	Liabilities
Interest rate	Receivable for unrealized gain on swap contracts; Variation margin on certain derivative contracts	$	4,870,322	(a)	Payable for unrealized loss on swap contracts; Variation margin on certain derivative contracts	$	(4,397,028)	(a)(b)
Credit	Receivable for unrealized gain on swap contracts		303,131		Payable for unrealized loss on swap contracts		(459,041)
Currency	Receivable for unrealized gain on forward foreign currency exchange contracts		9,460,848		Payable for unrealized loss on forward foreign currency exchange contracts		(2,582,859)
Total		$	14,634,301			$	(7,438,928)

High Yield
Risk	Statements of Assets and Liabilities	Assets			Statements of Assets and Liabilities	Liabilities
Interest rate	Variation margin on certain derivative contracts	$	1,452,986	(a)	Variation margin on certain derivative contracts	$	(3,215,040)	(a)
Currency	Receivable for unrealized gain on forward foreign currency exchange contracts		239,515		Payable for unrealized loss on forward foreign currency exchange contracts		(35,844)
Total		$	1,692,501			$	(3,250,884)
High Yield Floating Rate
Risk	Statements of Assets and Liabilities	Assets			Statements of Assets and Liabilities	Liabilities
Interest rate	Receivable for unrealized gain on swap contracts		—		Payable for unrealized loss on swap contracts	$	(993,415)	(a)
Currency	Receivable for unrealized gain on forward foreign currency exchange contracts		138,030		Payable for unrealized loss on forward foreign currency exchange contracts		(2,492)
Total		$	138,030			$	(995,907)

156

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

4. INVESTMENTS IN DERIVATIVES (continued)

Investment Grade Credit
Risk	Statements of Assets and Liabilities	Assets			Statements of Assets and Liabilities	Liabilities
Interest rate	Receivable for unrealized gain on swap contracts; Variation margin on certain derivative contracts	$	677,517	(a)	Payable for unrealized loss on swap contracts; Variation margin on certain derivative contracts	$	(923,509)	(a)
Credit	Receivable for unrealized gain on swap contracts		—		Payable for unrealized loss on swap contracts		(1,135)	(a)(b)
Total		$	677,517			$	(924,644)
Local Emerging Markets Debt
Risk	Statements of Assets and Liabilities	Assets			Statements of Assets and Liabilities	Liabilities
Interest rate	Receivable for unrealized gain on swap contracts; Variation margin on certain derivative contracts	$	18,142,026	(a)	Payable for unrealized loss on swap contracts; Variation margin on certain derivative contracts	$	(20,429,602)	(a)(b)
Credit	Receivable for unrealized gain on swap contracts		138,092		Payable for unrealized loss on swap contracts		(11,813)	(b)
Currency	Receivable for unrealized gain on forward foreign currency exchange contracts		14,335,203		Payable for unrealized loss on forward foreign currency exchange contracts		(24,380,698)
Total		$	32,615,321			$	(44,822,113)
U.S. Mortgages
Risk	Statements of Assets and Liabilities	Assets			Statements of Assets and Liabilities	Liabilities
Interest rate	Receivable for unrealized gain on swap contracts; Variation margin on certain derivative contracts	$	703,088	(a)	Payable for unrealized loss on swap contracts; Variation margin on certain derivative contracts	$	(493,381)	(a)(b)
Credit	Receivable for unrealized gain on swap contracts		—		Payable for unrealized loss on swap contracts		(175,749)	(b)
Total		$	703,088			$	(669,130)

(a) Includes unrealized gain (loss) on futures contracts and centrally cleared swaps described in the Additional Investment Information sections of the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

(b) Aggregate of amounts include $112,891, $4,128,786, $0, $993,415, $741,380, $0 and $597,014 for Dynamic Emerging Markets Debt, Emerging Markets Debt, High Yield, High Yield Floating Rate, Investment Grade Credit, Local Emerging Markets Debt and U.S. Mortgages Funds, respectively, which represent the payments to be made pursuant to bilateral agreements should counterparties exercise their “right to terminate” provisions based on, among others, the Funds’ performance, their failure to pay on their obligations or failure to pledge collateral. Such amounts do not include incremental charges directly associated with the close-out of the agreements. They also do not reflect the fair value of any assets pledged as collateral which, through the daily margining process, substantially offsets the aforementioned amounts and for which the Funds are entitled to a full return.

The following tables set forth, by certain risk types, the Funds’ gains (losses) related to these derivatives and their indicative volumes for the six months ended September 30, 2015. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments.

157

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2015 (Unaudited)

4. INVESTMENTS IN DERIVATIVES (continued)

These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statements of Operations:

Dynamic Emerging Markets Debt
Risk	Statements of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)			Average Number of Contracts(a)
Interest rate	Net realized gain (loss) from futures contracts and swap contracts/Net change in unrealized gain (loss) on futures contracts and swap contracts	$	(58,600	)	$	34,197			82
Credit	Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts		(4,550	)		5,702			40
Currency	Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts		(24,812	)		(109,594	)		230
Total		$	(87,962	)	$	(69,695	)		352
Emerging Markets Debt
Risk	Statements of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)			Average Number of Contracts(a)
Interest rate	Net realized gain (loss) from futures contracts and swap contracts/Net change in unrealized gain (loss) on futures contracts and swap contracts	$	(258,420	)	$	6,042,284			2,636
Credit	Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts		(651,787	)		1,072,474			37
Currency	Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts		900,388			1,797,064			169
Total		$	(9,819	)	$	8,911,822			2,842
High Yield
Risk	Statements of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)			Average Number of Contracts(a)
Interest rate	Net realized gain (loss) from futures contracts and swap contracts/Net change in unrealized gain (loss) on futures contracts and swap contracts	$	(1,006,373	)	$	1,880,479			5,308
Credit	Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts		(621,210	)		—			1
Currency	Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts		1,051,703			(1,248,256	)		4
Total		$	(575,880	)	$	632,223			5,313

158

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

4. INVESTMENTS IN DERIVATIVES (continued)

High Yield Floating Rate
Risk	Statements of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)			Average Number of Contracts(a)
Interest rate	Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts	$	(1,597,008	)	$	330,099			2
Currency	Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts		(1,054,497	)		(773,038	)		4
Total		$	(2,651,505	)	$	(442,939	)		6
Investment Grade Credit
Risk	Statements of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)			Average Number of Contracts(a)
Interest rate	Net realized gain (loss) from investments, futures contracts and swap contracts/Net change in unrealized gain (loss) on investments, futures contracts and swap contracts	$	1,014,040		$	(1,413,797	)		643
Credit	Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts		171			(1,135	)		1
Total		$	1,014,211		$	(1,414,932	)		644

Local Emerging Markets Debt
Risk	Statements of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)			Average Number of Contracts(a)
Interest rate	Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts	$	(5,418,667	)	$	4,677,176			822
Credit	Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts		(424,560	)		789,917			40
Currency	Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts		347,001			(7,544,703	)		231
Total		$	(5,496,226	)	$	(2,077,610	)		1,093
U.S. Mortgages
Risk	Statements of Operations	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)			Average Number of Contracts(a)
Interest rate	Net realized gain (loss) from investments, futures contracts, swap contracts and written options/Net change in unrealized gain (loss) on futures contracts and swap contracts	$	817,679		$	204,385			154
Credit	Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts		48,067			(274,106	)		2
Currency	Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts		(126,530	)		—			1
Total		$	739,216		$	(69,721	)		157

(a) Average number of contracts is based on the average of month end balances for the six months ended September 30, 2015.

159

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2015 (Unaudited)

4. INVESTMENTS IN DERIVATIVES (continued)

In order to better define its contractual rights and to secure rights that will help a Fund mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivatives counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs OTC derivatives, (including forward foreign currency exchange contracts, and certain options and swaps) and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.

Collateral and margin requirements differ between exchange traded derivatives and OTC derivatives. Margin requirements are established by the broker or clearing house for exchange-traded and centrally cleared derivatives (financial futures contracts, options and centrally cleared swaps) pursuant to governing agreements for those instrument types. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms are contract-specific for OTC derivatives. For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by a Fund and the counterparty. Additionally, a Fund may be required to post initial margin to the counterparty, the terms of which would be outlined in the confirmation of the OTC transaction.

For financial reporting purposes, cash collateral that has been pledged to cover obligations of a Fund and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as receivables/payables for collateral on certain derivative contracts. Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold before a transfer is required to be made. To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. A Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes to be of good standing and by monitoring the financial stability of those counterparties.

Additionally, the netting of assets and liabilities and the offsetting of collateral pledged or received are based on contractual netting/set-off provisions in the ISDA Master Agreement or similar agreements. However, in the event of a default or insolvency of a counterparty, a court could determine that such rights are not enforceable due the restrictions or prohibitions against the right of setoff that may be imposed due to a particular jurisdiction’s bankruptcy or insolvency laws.

The following tables set forth the Funds’ net exposure for derivative instruments that are subject to enforceable master netting arrangements or similar agreements as of September 30, 2015:

Dynamic Emerging Markets Debt Fund
	Derivative Assets(1)							Derivative Liabilities(1)									Net Derivative Asset (Liabilities)			Collateral (Received) Pledged(1)		Net Amount(2)
Counterparty	Swaps		Forward Currency Contracts			Total		Swaps			Forward Currency Contracts			Total
Bank of America Securities LLC	$	1,725	$	3,706		$	5,431	$	(10,792	)	$	(2,497	)	$	(13,289	)	$	(7,858	)	$	—	$	(7,858	)
Barclays Bank PLC		—		6,215			6,215		(8,820	)		(7,358	)		(16,178	)		(9,963	)		—		(9,963	)
BNP Paribas SA		—		9,419			9,419		—			(2,830	)		(2,830	)		6,589			—		6,589
Citibank NA		5,040		832			5,872		(13,730	)		(55,141	)		(68,871	)		(62,999	)		—		(62,999	)
Credit Suisse International (London)		900		28,700			29,600		(12,638	)		(2,475	)		(15,113	)		14,487			—		14,487
Deutsche Bank AG		23,584		29,965	*		53,549		(48,322	)		(64,574	)*		(112,896	)		(59,347	)		—		(59,347	)
HSBC Bank PLC		—		5,293			5,293		—			(34,809	)		(34,809	)		(29,516	)		—		(29,516	)
HSBC Securities, Inc.		—		—			—		—			(1,280	)		(1,280	)		(1,280	)		—		(1,280	)
JPMorgan Securities, Inc.		15,750		52,344			68,094		(3,114	)		(3,218	)		(6,332	)		61,762			—		61,762

160

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

4. INVESTMENTS IN DERIVATIVES (continued)

Dynamic Emerging Markets Debt Fund (continued)
	Derivative Assets(1)						Derivative Liabilities(1)									Net Derivative Asset (Liabilities)			Collateral (Received) Pledged(1)		Net Amount(2)
Counterparty	Swaps		Forward Currency Contracts		Total		Swaps			Forward Currency Contracts			Total
Morgan Stanley & Co.	$	—	$	5,189	$	5,189	$	—		$	(48,316	)	$	(48,316	)	$	(43,127	)	$	—	$	(43,127	)
Morgan Stanley & Co. International PLC		6,149		—		6,149		(4,604	)		—			(4,604	)		1,545			—		1,545
Royal Bank of Canada		—		25,576		25,576		—			(2,561	)		(2,561	)		23,015			—		23,015
Royal Bank of Scotland PLC		—		2,993		2,993		—			(104,437	)		(104,437	)		(101,444	)		—		(101,444	)
Standard Chartered Bank		—		41,893		41,893		—			(25,069	)		(25,069	)		16,824			—		16,824
UBS AG (London)		—		12,772		12,772		—			(13,055	)		(13,055	)		(283	)		—		(283	)
Westpac Banking Corp.		—		16,254		16,254		—			(47,811	)		(47,811	)		(31,557	)		—		(31,557	)
Total	$	53,148	$	241,151	$	294,299	$	(102,020	)	$	(415,431	)	$	(517,451	)	$	(223,152	)	$	—	$	(223,152	)

* Includes Non-Deliverable Bond Forward Contracts assets of $1,022 and liabilities of $0.

(1) Gross amounts available for offset but not netted in the Statement of Assets and Liabilities.

(2) Net amount represents the net amount due (to) from counterparty in the event of a default based on the contractual set-off rights under the agreement. Net amount excludes any over-collateralized amounts.

Emerging Markets Debt Fund
	Derivative Assets(1)						Derivative Liabilities(1)
Counterparty	Swaps		Forward Currency Contracts		Total		Swaps			Forward Currency Contracts			Total			Net Derivative Asset (Liabilities)			Collateral (Received) Pledged(1)		Net Amount(2)
Bank of America Securities LLC	$	238,711	$	1,932,726	$	2,171,437	$	(265,174	)	$	(229,494	)	$	(494,668	)	$	1,676,769		$	—	$	1,676,769
Barclays Bank PLC		139,955		183,488		323,443		(482,364	)		(256,955	)		(739,319	)		(415,876	)		415,876		—
BNP Paribas SA		—		8,813		8,813		—			(21,954	)		(21,954	)		(13,141	)		—		(13,141	)
Citibank NA		727,970		430,466		1,158,436		(268,945	)		(112,086	)		(381,031	)		777,405			—		777,405
Credit Suisse International (London)		—		16,312		16,312		—			(54,453	)		(54,453	)		(38,141	)		—		(38,141	)
Deutsche Bank AG		543,072		374,762		917,834		(402,854	)		(219,078	)		(621,932	)		295,902			—		295,902
HSBC Bank PLC		—		179,312		179,312		—			(101,571	)		(101,571	)		77,741			—		77,741
HSBC Securities, Inc.		—		—		—		—			(41,763	)		(41,763	)		(41,763	)		—		(41,763	)
JPMorgan Securities, Inc.		817,626		328,540		1,146,166		(678,221	)		(359,917	)		(1,038,138	)		108,028			—		108,028
Morgan Stanley & Co.		—		301,051		301,051		—			(239,486	)		(239,486	)		61,565			—		61,565
Morgan Stanley & Co. International PLC		217,587		—		217,587		(1,629,199	)		—			(1,629,199	)		(1,411,612	)		1,180,000		(231,612	)
Royal Bank of Canada		—		2,924,335		2,924,335		—			(99,373	)		(99,373	)		2,824,962			—		2,824,962
Royal Bank of Scotland PLC		—		82,965		82,965		—			(203,225	)		(203,225	)		(120,260	)		—		(120,260	)
Standard Chartered Bank		—		152,510		152,510		—			(199,344	)		(199,344	)		(46,834	)		—		(46,834	)
State Street Bank and Trust		—		1,970,843		1,970,843		—			(1,876	)		(1,876	)		1,968,967			—		1,968,967
UBS AG (London)		—		153,928		153,928		—			(275,035	)		(275,035	)		(121,107	)		—		(121,107	)
Westpac Banking Corp.		—		420,797		420,797		—			(167,249	)		(167,249	)		253,548			—		253,548
Total	$	2,684,921	$	9,460,848	$	12,145,769	$	(3,726,757	)	$	(2,582,859	)	$	(6,309,616	)	$	5,836,153		$	1,595,876	$	7,432,029

(1) Gross amounts available for offset but not netted in the Statement of Assets and Liabilities.

(2) Net amount represents the net amount due (to) from counterparty in the event of a default based on the contractual set-off rights under the agreement. Net amount excludes any over-collateralized amounts.

161

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2015 (Unaudited)

4. INVESTMENTS IN DERIVATIVES (continued)

Local Emerging Markets Debt Fund
	Derivative Assets(1)							Derivative Liabilities(1)
Counterparty	Swaps		Forward Currency Contracts			Total		Swaps			Forward Currency Contracts			Total			Net Derivative Asset (Liabilities)			Collateral (Received) Pledged(1)		Net Amount(2)
Bank of America Securities LLC	$	397,226	$	—		$	397,226	$	(1,496,550	)	$	(459,050	)*	$	(1,955,600	)	$	(1,558,374	)	$	—	$	(1,558,374	)
Barclays Bank PLC		390,722		498,192			888,914		(3,971,166	)		(506,290	)		(4,477,456	)		(3,588,542	)		—		(3,588,542	)
BNP Paribas SA		—		207,037			207,037		—			(297,807	)		(297,807	)		(90,770	)		—		(90,770	)
Citibank NA		2,575,883		63,965			2,639,848		(3,841,549	)		(216,609	)		(4,058,158	)		(1,418,310	)		—		(1,418,310	)
Credit Suisse International (London)		299,092		4,685,718			4,984,810		(1,248,888	)		(147,320	)		(1,396,208	)		3,588,602			—		3,588,602
Deutsche Bank AG		3,331,395		1,167,976	*		4,499,371		(13,328,888	)		(2,192,449	)		(15,521,337	)		(11,021,966	)		—		(11,021,966	)
HSBC Bank PLC		—		312,803			312,803		—			(1,190,746	)*		(1,190,746	)		(877,943	)		—		(877,943	)
HSBC Securities, Inc.		—		—			—		—			(88,404	)		(88,404	)		(88,404	)		—		(88,404	)
JPMorgan Chase Bank NA		—		925,600			925,600		—			—			—			925,600			—		925,600
JPMorgan Securities, Inc.		7,752,928		—			7,752,928		(1,668,494	)		(740,807	)		(2,409,301	)		5,343,627			—		5,343,627
Morgan Stanley & Co.		—		633,358			633,358		—			(554,166	)		(554,166	)		79,192			—		79,192
Morgan Stanley & Co. International PLC		1,746,250		—			1,746,250		(4,483,881	)		—			(4,483,881	)		(2,737,631	)		—		(2,737,631	)
Royal Bank of Canada		—		3,916,244			3,916,244		—			(190,151	)		(190,151	)		3,726,093			—		3,726,093
Royal Bank of Scotland PLC		—		344,250			344,250		—			(570,092	)		(570,092	)		(225,842	)		—		(225,842	)
Standard Chartered Bank		—		741,004			741,004		—			(425,482	)		(425,482	)		315,522			—		315,522
State Street Bank and Trust		—		—			—		—			(4,232	)		(4,232	)		(4,232	)		—		(4,232	)
UBS AG (London)		—		302,764			302,764		—			(512,565	)		(512,565	)		(209,801	)		—		(209,801	)
Westpac Banking Corp.		—		619,827			619,827		—			(5,057,460	)		(5,057,460	)		(4,437,633	)		—		(4,437,633	)
Total	$	16,493,496	$	14,418,738		$	30,912,234	$	(30,039,416	)	$	(13,153,630	)	$	(43,193,046	)	$	(12,280,812	)	$	—	$	(12,280,812	)

* Includes Non-Deliverable Bond Forward Contracts assets of $83,535 and liabilities of $81,763.

(1) Gross amounts available for offset but not netted in the Statement of Assets and Liabilities.

(2) Net amount represents the net amount due (to) from counterparty in the event of a default based on the contractual set-off rights under the agreement. Net amount excludes any over-collateralized amounts.

5. AGREEMENTS AND AFFILIATED TRANSACTIONS

A.  Management Agreement — Under the Agreement, GSAM manages the Funds, subject to the general supervision of the Trustees.

As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Funds’ business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of each Fund’s average daily net assets.

162

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

For the six months ended September 30, 2015, contractual and effective net management fees with GSAM were at the following rates:

	Contractual Management Rate																		Effective Net Management Rate^
Fund	First $1 Billion			Next $1 Billion			Next $3 Billion			Next $3 Billion			Over $8 Billion			Effective Rate
Dynamic Emerging Markets Debt		0.90	%		0.90	%		0.81	%		0.77	%		0.75	%		0.90	%		0.80	%#
Emerging Markets Debt		0.80			0.80			0.72			0.68			0.67			0.80			0.80
High Yield		0.70			0.70			0.63			0.60			0.59			0.65			0.65
High Yield Floating Rate		0.60			0.54			0.51			0.50			0.49			0.55			0.54
Investment Grade Credit		0.40			0.36			0.34			0.33			0.32			0.40			0.34	#
Local Emerging Markets Debt		0.90			0.90			0.81			0.77			0.75			0.90			0.80	#
U.S. Mortgages		0.40			0.36			0.34			0.33			0.32			0.40			0.34	#

# GSAM has agreed to waive a portion of its management fee in order to achieve the effective net management fee rates shown above through at least July 29, 2016 for the Dynamic Emerging Markets Debt, Investment Grade Credit, Local Emerging Markets Debt and U.S. Mortgages Funds. Prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. Where the application of the above contractual management fee breakpoint schedule of a Fund would result in a lower management fee rate, the breakpoint schedule will be applied to the Fund’s assets.

^ Effective Net Management Rate includes the impact of management fee waivers of affiliated underlying funds, if any.

The High Yield, High Yield Floating Rate, Investment Grade Credit, Local Emerging Markets Debt and U.S. Mortgages Funds invest in the Institutional Shares of the Goldman Sachs Financial Square Government Fund. This Underlying Fund is considered to be affiliated with the Funds. GSAM has contractually agreed to waive irrevocably a portion of any underlying fund’s management fee in an amount equal to the management fee paid to GSAM due to the Funds’ investment in an affiliated fund for which it also serves as investment advisor. For the six months ended September 30, 2015, GSAM waived $17,396, $345,131, $5,009, $28,474 and $34,357, of such Fund’s management fee for the High Yield, High Yield Floating Rate, Investment Grade Credit, Local Emerging Markets Debt and U.S. Mortgages Funds, respectively.

B.  Distribution and Service Plans — The Trust, on behalf of each Fund, has adopted Distribution and Service Plans (the “Plans”). Under the Plans, Goldman Sachs, which serves as distributor (the “Distributor”), is entitled to a fee accrued daily and paid monthly, for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers, at the following annual rates calculated on a Fund’s average daily net assets of each respective share class:

	Distribution and Service Plan Rates
	Class A*			Class C			Class R*
Distribution Plan		0.25	%		0.75	%		0.50	%
Service Plan		—			0.25			—

* With respect to Class A and Class R Shares, the Distributor at its discretion may use compensation for distribution services paid under the Distribution Plan to compensate service organizations for personal and account maintenance services and expenses as long as such total compensation does not exceed the maximum cap on “service fees” imposed by the Financial Industry Regulatory Authority.

163

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2015 (Unaudited)

5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

C.  Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Funds pursuant to a Distribution Agreement, may retain a portion of the Class A Shares front end sales charge and Class C Shares’ CDSC. During the six months ended September 30, 2015, Goldman Sachs advised that it retained the following amounts:

	Front End Sales Charge		Contingent Deferred Sales Charge
Fund	Class A		Class C
Emerging Market Debt	$	3,984	$	10
High Yield		7,700		5
High Yield Floating Rate		317		—
Investment Grade Credit		1,046		N/A
Local Emerging Markets Debt		656		—
U.S. Mortgages		205		N/A

D.  Service Plan and Shareholder Administration Plan — The Trust, on behalf of each Fund that offers Service Shares, has adopted a Service Plan and a Shareholder Administration Plan. These plans allow for service organizations to provide varying levels of personal and account maintenance and shareholder administration services to their customers who are beneficial owners of such shares. The Service Plan and Shareholder Administration Plan each provide for compensation to the service organizations which is accrued daily and paid monthly at an annual rate of 0.25% (0.50% in aggregate) of the average daily net assets of the Service Shares.

E.  Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Funds for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at annual rates as follows: 0.13% of the average daily net assets of Class A, Class C, Class IR and Class R Shares; 0.02% of the average daily net assets of Class R6 Shares; and 0.04% of the average daily net assets of Institutional, Separate Account Institutional and Service Shares.

F.  Other Expense Agreements and Affiliated Transactions — GSAM has agreed to limit certain “Other Expenses” of the Funds (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration

fees (as applicable), taxes, interest, brokerage fees, shareholder meeting, litigation, indemnification and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Funds are not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitations as an annual percentage rate of average daily net assets for the Dynamic Emerging Markets Debt, Emerging Markets Debt, High Yield, High Yield Floating Rate, Investment Grade Credit, Local Emerging Markets Debt and U.S. Mortgages Funds are 0.054%, 0.054%, 0.024%, 0.104%, 0.004%, 0.074% and 0.074%, respectively. These Other Expense limitations will remain in place through at least July 29, 2016, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Funds have entered into certain offset arrangements with the transfer agent, which may result in a reduction of the Funds’ expenses and are received irrespective of the application of the “Other Expense” limitations described above.

164

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

For the six months ended September 30, 2015, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:

Fund	Management Fees Waivers		Other Expense Reimbursements		Total Expense Reductions
Dynamic Emerging Markets Debt	$	10,502	$	211,736	$	222,238
Emerging Markets Debt		—		162,875		162,875
High Yield		117,396		—		117,396
High Yield Floating Rate		345,131		—		345,131
Investment Grade Credit		135,157		163,927		299,084
Local Emerging Markets Debt		636,457		205,791		842,248
U.S. Mortgages		83,748		246,178		329,926

G.  Line of Credit Facility — As of September 30, 2015, the Funds participated in a $1,205,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and registered investment companies having management agreements with GSAM or its affiliates (“Other Borrowers”). Pursuant to the terms of the facility, the Funds and Other Borrowers could increase the credit amount by up to an additional $115,000,000, for a total of up to $1,320,000,000. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the six months ended September 30, 2015, the Funds did not have any borrowings under the facility.

H.  Other Transactions with Affiliates — For the six months ended September 30, 2015, Goldman Sachs earned $382, $44,955, $59,131, $9,946, $20,449 and $5,192 in brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant on behalf of the Dynamic Emerging Markets Debt, Emerging Markets Debt, High Yield, Investment Grade Credit, Local Emerging Markets Debt and U.S. Mortgages Funds, respectively.

As of September 30, 2015, the Goldman Sachs Satellite Strategies Portfolio was the beneficial owner of 10% and 5% of total outstanding shares of the Emerging Markets Debt and Local Emerging Markets Debt Funds, respectively.

As of September 30, 2015, the Goldman Sachs Group, Inc. was the beneficial owner of 5% or more of outstanding Class C, Institutional, Class IR, Class R and Class R6 Shares of the following Funds:

	Class C			Institutional			Class IR			Class R			Class R6
Dynamic Emerging Markets Debt		15	%		26	%		100	%		100	%		—	%
Emerging Markets Debt		—			—			—			—			100
High Yield		—			—			—			—			99
High Yield Floating Rate		—			—			—			100			—
Investment Grade Credit		—			—			—			100			—
U.S. Mortgages		—			—			—			—			100

165

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2015 (Unaudited)

5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

The table below shows the transactions in and earnings from investments in the Underlying Fund for the six months ended September 30, 2015:

Fund	Underlying Fund	Market Value 3/31/15		Purchases at Cost		Proceeds from Sales			Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)			Market Value 9/30/15		Dividend Income
High Yield	Goldman Sachs Financial Square Government Fund	$	9,991,607	$	1,213,877,375	$	(1,109,520,769	)	$	—		$	—		$	114,348,213	$	8,716
High Yield Floating Rate	Goldman Sachs Financial Square Government Fund		343,301,170		867,316,288		(1,007,974,905	)		—			—			202,642,553		18,180
High Yield Floating Rate	High Yield Fund		47,234,307		662,586		(47,155,299	)		(696,892	)		(21,352	)		23,350		662,586
Investment Grade Credit	Goldman Sachs Financial Square Government Fund		1,996,322		89,507,269		(87,755,657	)		—			—			3,747,934		566
Local Emerging Markets Debt	Goldman Sachs Financial Square Government Fund		19		390,138,360		(368,483,444	)		—			—			21,654,935		1,521
U.S. Mortgages	Goldman Sachs Financial Square Government Fund		82,588,296		104,271,345		(179,694,861	)		—			—			7,164,780		2,009

166

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

6. PORTFOLIO SECURITIES TRANSACTIONS

The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended September 30, 2015, were as follows:

Fund	Purchases of U.S. Government and Agency Obligations		Purchased (Excluding U.S. Government and Agency Obligations)		Sales and Maturities of U.S. Government and Agency Obligations		Sales and Maturities (Excluding U.S. Government and Agency Obligations)
Dynamic Emerging Markets Debt	$	4,106,259	$	20,656,302	$	3,283,103	$	6,162,200
Emerging Markets Debt		231,676,046		443,765,470		381,782,935		835,414,697
High Yield		—		1,023,475,609		—		1,831,006,158
High Yield Floating Rate		—		931,959,985		—		1,058,996,648
Investment Grade Credit		30,799,456		122,597,154		29,584,589		133,769,665
Local Emerging Markets Debt		229,411,348		336,274,063		221,903,968		555,188,902
U.S. Mortgages		1,733,379,447		22,013,868		1,703,577,150		3,483,909

The table below summarizes the reverse repurchase agreement activity for the six months ended September 30, 2015:

Fund	Average amount of borrowings		Weighted average interest rate (Paid) Received			Number of days outstanding during the period
Emerging Markets Debt	$	9,190,934		1.32	%		19
High Yield		93,930,640		0.98			35
High Yield Floating Rate		425,137		1.21			8
Local Emerging Markets Debt		40,441		1.53			23

The following tables set forth the Funds’ different types of investments pledged as collateral and the remaining contractual maturities of the reverse repurchase agreements as of September 30, 2015:

Emerging Markets Debt Fund
	Remaining Contractual Maturity of the Agreements As of September 30, 2015
	Overnight		Up to 30 days		30-60 days		Greater Than 90 days		Total
Reverse Repurchase Agreements
Corporate Obligations	$	—	$	—	$	—	$	2,621,905	$	2,621,905
Sovereign Debt Obligations		—		—		—		5,501,900		5,501,900
Total Borrowings	$	—	$	—	$	—	$	8,123,805	$	8,123,805
High Yield Fund
	Remaining Contractual Maturity of the Agreements As of September 30, 2015
	Overnight		Up to 30 days		30-60 days		Greater Than 90 days		Total
Reverse Repurchase Agreements
Corporate Obligations	$	—	$	4,679,000	$	—	$	114,396,938	$	119,075,938
Total Borrowings	$	—	$	4,679,000	$	—	$	114,396,938	$	119,075,938

167

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2015 (Unaudited)

6. PORTFOLIO SECURITIES TRANSACTIONS (continued)

High Yield Floating Rate Fund
	Remaining Contractual Maturity of the Agreements As of September 30, 2015
	Overnight		Up to 30 days		30-60 days		Greater Than 90 days		Total
Reverse Repurchase Agreements
Corporate Obligations	$	—	$	—	$	—	$	4,500,000	$	4,500,000
Total Borrowings	$	—	$	—	$	—	$	4,500,000	$	4,500,000
Local Emerging Markets Debt Fund
	Remaining Contractual Maturity of the Agreements As of September 30, 2015
	Overnight		Up to 30 days		30-60 days		Greater Than 90 days		Total
Reverse Repurchase Agreements
Sovereign Debt Obligations	$	—	$	—	$	—	$	154,438	$	154,438
Total Borrowings	$	—	$	—	$	—	$	154,438	$	154,438

7. TAX INFORMATION

As the Fund’s most recent fiscal year ended March 31,2015, the Fund’s timing differences, on tax basis were as follows:

	Dynamic Emerging Markets Debt			Emerging Markets Debt			High Yield			High Yield Floating Rate			Investment Grade Credit			Local Emerging Markets Debt			U.S. Mortgages
Capital loss carryforwards:
Perpetual Short-Term	$	—		$	(8,640,181	)	$	—		$	(9,846,677	)	$	—		$	(61,512,159	)	$	(2,122,943	)
Perpetual Long-Term		(57,537	)		(348,847	)		—			(2,603,172	)		—			(15,656,599	)		—
Total capital loss carryforwards	$	(57,537	)	$	(8,989,028	)	$	—		$	(12,449,849	)	$	—		$	(77,168,758	)	$	(2,122,943	)
Timing differences (Qualified Late Year Loss Deferral, Straddle Loss Deferral, Distributions Payable)	$	(1,601,352	)	$	(2,167,235	)	$	(16,477,166	)	$	(21,547,317	)	$	(207,357	)	$	(96,299,862	)	$	(106,411	)

As of September 30,2015, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:

	Dynamic Emerging Markets Debt			Emerging Markets Debt			High Yield			High Yield Floating Rate			Investment Grade Credit			Local Emerging Markets Debt			U.S. Mortgages
Tax Cost	$	37,727,878		$	1,130,947,131		$	4,847,193,898		$	3,903,208,055		$	427,004,011		$	1,339,724,305		$	343,034,298
Gross unrealized gain		98,890			8,538,775			37,447,996			4,874,879			8,900,918			2,233,450			4,358,964
Gross unrealized loss		(2,918,382	)		(104,795,537	)		(417,426,471	)		(152,024,358	)		(11,377,751	)		(382,746,660	)		(2,473,818	)
Net unrealized gains (losses)	$	(2,819,492	)	$	(96,256,762	)	$	(379,978,475	)	$	(147,149,479	)	$	(2,476,833	)	$	(380,513,210	)	$	1,885,146

168

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

7. TAX INFORMATION (continued)

The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales, differences related to the tax treatment of inflation protected securities, underlying fund investments, swap transactions, and material modification of debt securities.

GSAM has reviewed the Funds’ tax provisions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Funds’ financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.

8. OTHER RISKS

The Funds’ risks include, but are not limited to, the following:

Foreign Custody Risk — A Fund that invests in foreign securities 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 a 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.

Large Shareholder Transactions Risk — A 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 a Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of a Fund. Such large shareholder redemptions may cause the Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact a 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 a 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 a Fund’s performance to the extent that a Fund is delayed in investing new cash and, as a result, maintains a larger cash position than it ordinarily would.

Leverage Risk — Leverage creates exposure to potential gains and losses in excess of the initial amount invested. Borrowings and the use of derivatives may result in leverage and may make the Funds more volatile. When the Funds use leverage, the sum of each Fund’s investment exposure may significantly exceed the amount of assets invested in each Fund, although these exposures may vary over time. Relatively small market movements may result in large changes in the value of a leveraged investment. Each Fund will identify liquid assets on its books or otherwise cover transactions that may give rise to such risk, to the extent required by applicable law. The use of leverage may cause the Funds to liquidate portfolio positions to satisfy their obligations or to meet segregation requirements when it may not be advantageous to do so. The use of leverage by each Fund can substantially increase the adverse impact to which each Fund’s investment portfolio may be subject.

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.

Investments in Other Investment Companies — As a shareholder of another investment company, including an exchange-traded fund (“ETF”), a Fund will directly 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.

169

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2015 (Unaudited)

8. OTHER RISKS (continued)

Liquidity Risk — The Funds 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 that a Fund will not be able to pay redemption proceeds within the allowable time period because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, a Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. 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.

Market and Credit Risks — In the normal course of business, the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Funds 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 Funds have unsettled or open transactions defaults.

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 Funds invest. Loss may also result from the imposition of exchange controls, confiscations and other government restrictions by the United States or other governments, or from problems in registration, settlement or custody. 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 Funds have exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that the Funds also invest in securities of issuers located in emerging markets, these risks may be more pronounced.

Non-Diversification Risk — Each of the Dynamic Emerging Markets Debt Fund, Emerging Markets Debt Fund and Local Emerging Markets Debt Fund is non-diversified, meaning that it is permitted to invest a larger percentage of its assets in fewer issuers than diversified mutual funds. Thus, a Fund may be more susceptible to adverse developments affecting any single issuer held in its portfolio, and may be more susceptible to greater losses because of these developments.

Portfolio Concentration Risk — As a result of certain Funds’ ability to invest a large percentage of their assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Funds’ investments more than if its investments were not so concentrated.

Redemption Proceeds Risk — The High Yield Floating Rate Fund may at times purchase securities with settlement periods that are longer than the time period required to pay redemption proceeds. In unusual circumstances, the High Yield Floating Rate Fund may pay redemption proceeds up to seven calendar days following receipt of a properly executed redemption request.

9. INDEMNIFICATIONS

Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Funds. Additionally, in the course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.

10. SUBSEQUENT EVENTS

Subsequent events after the Statement of Assets and Liabilities date have been evaluated through the date the financial statements were issued. GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.

170

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

11. SUMMARY OF SHARE TRANSACTIONS

Share activity is as follows:

	Dynamic Emerging Markets Debt Fund
	For the Six Months Ended September 30, 2015 (Unaudited)						For the Fiscal Year Ended March 31, 2015
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		8,674		$	73,236			83,224		$	746,648
Reinvestment of distributions		1,587			13,263			1,126			9,998
Shares redeemed		(14,386	)		(114,101	)		(17,396	)		(159,747	)
		(4,125	)		(27,602	)		66,954			596,899
Class C Shares
Shares sold		—			—			6,046			57,386
Reinvestment of distributions		114			953			339			3,169
Shares redeemed		(67	)		(556	)		(5,488	)		(48,905	)
		47			397			897			11,650
Institutional Shares
Shares sold		2,489,203			20,406,079			1,193,549			11,009,785
Reinvestment of distributions		48,911			409,064			75,352			699,506
Shares redeemed		(61,403	)		(511,615	)		(2,011,428	)		(17,689,119	)
		2,476,711			20,303,528			(742,527	)		(5,979,828	)
Class IR Shares
Reinvestment of distributions		57			478			111			1,033
		57			478			111			1,033
Class R Shares
Reinvestment of distributions		50			418			98			907
		50			418			98			907
NET INCREASE (DECREASE)		2,472,740		$	20,277,219			(674,467	)	$	(5,369,339	)

171

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2015 (Unaudited)

11. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:

	Emerging Markets Debt Fund
	For the Six Months Ended September 30, 2015 (Unaudited)						For the Fiscal Year Ended March 31, 2015
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		1,373,673		$	16,857,075			5,480,596		$	68,967,346
Reinvestment of distributions		187,130			2,279,358			306,625			3,864,644
Shares redeemed		(1,571,924	)		(19,118,847	)		(6,225,076	)		(78,511,124	)
		(11,121	)		17,586			(437,855	)		(5,679,134	)
Class C Shares
Shares sold		167,081			2,059,396			621,261			7,784,884
Reinvestment of distributions		43,578			530,737			70,856			892,311
Shares redeemed		(394,240	)		(4,813,082	)		(767,711	)		(9,603,101	)
		(183,581	)		(2,222,949	)		(75,594	)		(925,906	)
Institutional Shares
Shares sold		17,497,155			215,179,514			58,091,034			733,756,282
Reinvestment of distributions		2,368,035			28,999,515			5,223,093			65,886,452
Shares redeemed		(71,056,749	)		(873,356,924	)		(40,922,189	)		(512,115,905	)
		(51,191,559	)		(629,177,895	)		22,391,938			287,526,829
Class IR Shares
Shares sold		132,704			1,622,381			543,341			6,871,435
Reinvestment of distributions		30,313			369,734			55,699			703,677
Shares redeemed		(141,113	)		(1,715,683	)		(765,154	)		(9,696,559	)
		21,904			276,432			(166,114	)		(2,121,447	)
Class R6 Shares(a)
Shares sold		822			10,005			—			—
Reinvestment of distributions		7			85			—			—
Shares redeemed		(1	)		(5	)		—			—
		828			10,085			—			—
NET INCREASE (DECREASE)		(51,363,529	)	$	(631,096,741	)		21,712,375		$	278,800,342

(a) Commenced operations on July 31, 2015.

172

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

11. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:

	High Yield Fund
	For the Six Months Ended September 30, 2015 (Unaudited)						For the Fiscal Year Ended March 31, 2015
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		4,327,246		$	29,010,861			39,958,551		$	276,716,359
Reinvestment of distributions		1,652,030			10,962,130			4,906,817			33,949,036
Shares converted from Class B(a)		—			—			245,694			1,734,547
Shares redeemed		(22,969,449	)		(153,420,655	)		(49,989,159	)		(347,321,401	)
		(16,990,173	)		(113,447,664	)		(4,878,097	)		(34,921,459	)
Class B Shares(a)
Shares sold		—			—			14,821			106,884
Reinvestment of distributions		—			—			34,315			246,511
Shares converted to Class A		—			—			(245,017	)		(1,734,547	)
Shares redeemed		—			—			(1,411,801	)		(10,016,371	)
		—			—			(1,607,682	)		(11,397,523	)
Class C Shares
Shares sold		185,932			1,248,345			926,449			6,542,861
Reinvestment of distributions		190,005			1,259,273			603,595			4,179,897
Shares redeemed		(1,451,616	)		(9,674,407	)		(3,249,436	)		(22,799,136	)
		(1,075,679	)		(7,166,789	)		(1,719,392	)		(12,076,378	)
Institutional Shares
Shares sold		85,567,578			574,185,679			300,506,357			2,086,719,807
Reinvestment of distributions		19,973,214			132,668,322			46,674,753			323,636,798
Shares redeemed		(200,708,574	)		(1,322,843,384	)		(229,051,072	)		(1,603,158,563	)
		(95,167,782	)		(615,989,383	)		118,130,038			807,198,042
Service Shares
Shares sold		230,284			1,543,147			655,753			4,542,455
Reinvestment of distributions		50,998			337,097			147,834			1,020,779
Shares redeemed		(323,587	)		(2,141,597	)		(587,740	)		(4,125,478	)
		(42,305	)		(261,353	)		215,847			1,437,756
Class IR Shares
Shares sold		134,367			890,379			563,770			4,005,197
Reinvestment of distributions		54,137			359,364			162,720			1,129,338
Shares redeemed		(512,874	)		(3,426,202	)		(764,994	)		(5,356,176	)
		(324,370	)		(2,176,459	)		(38,504	)		(221,641	)
Class R Shares
Shares sold		195,648			1,305,701			468,959			3,296,443
Reinvestment of distributions		66,726			441,141			177,172			1,225,486
Shares redeemed		(288,069	)		(1,904,623	)		(582,783	)		(4,075,509	)
		(25,695	)		(157,781	)		63,348			446,420
Class R6 Shares(b)
Shares sold		1,505			10,005			—			—
Reinvestment of distributions		14			89			—			—
Shares redeemed		(1	)		(5	)		—			—
		1,518			10,089			—			—
NET INCREASE (DECREASE)		(113,624,486	)	$	(739,189,340	)		110,165,558		$	750,465,217

(a) Class B Shares were converted into Class A Shares at the close of business on November 14, 2014.

(b) Commenced operations on July 31, 2015.

173

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2015 (Unaudited)

11. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:

	High Yield Floating Rate Fund
	For the Six Months Ended September 30, 2015 (Unaudited)						For the Fiscal Year Ended March 31, 2015
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		1,635,948		$	16,292,173			457,661		$	4,574,505
Reinvestment of distributions		29,010			285,915			41,231			412,356
Shares redeemed		(1,580,042	)		(15,546,029	)		(2,330,202	)		(23,313,468	)
		84,916			1,032,059			(1,831,310	)		(18,326,607	)
Class C Shares
Shares sold		13,559			133,095			50,989			509,881
Reinvestment of distributions		2,927			28,760			5,673			56,497
Shares redeemed		(18,491	)		(181,611	)		(106,112	)		(1,054,285	)
		(2,005	)		(19,756	)		(49,450	)		(487,907	)
Institutional Shares
Shares sold		80,750,394			798,869,089			210,661,401			2,100,478,441
Reinvestment of distributions		8,677,825			85,331,593			16,464,494			164,105,775
Shares redeemed		(106,846,405	)		(1,049,303,984	)		(229,072,256	)		(2,271,827,355	)
		(17,418,186	)		(165,103,302	)		(1,946,361	)		(7,243,139	)
Class IR Shares
Shares sold		55,145			544,982			598			6,001
Reinvestment of distributions		2,014			19,772			3,683			36,777
Shares redeemed		(6,519	)		(64,615	)		(84,289	)		(846,978	)
		50,640			500,139			(80,008	)		(804,200	)
Class R Shares
Reinvestment of distributions		20			198			37			362
		20			198			37			362
NET DECREASE		(17,284,615	)	$	(163,590,662	)		(3,907,092	)	$	(26,861,491	)

174

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

11. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:

	Investment Grade Credit Fund
	For the Six Months Ended September 30, 2015 (Unaudited)						For the Fiscal Year Ended March 31, 2015
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		329,360		$	3,041,158			1,190,648		$	11,277,131
Reinvestment of distributions		49,490			453,498			134,424			1,271,629
Shares redeemed		(546,712	)		(5,011,335	)		(854,822	)		(8,111,154	)
		(167,862	)		(1,516,679	)		470,250			4,437,606
Institutional Shares
Shares sold		1,095,142			10,026,692			5,165,029			49,252,878
Reinvestment of distributions		334,543			3,065,281			984,707			9,319,224
Shares redeemed		(2,427,567	)		(22,178,211	)		(5,093,194	)		(48,305,536	)
		(997,882	)		(9,086,238	)		1,056,542			10,266,566
Separate Account Institutional Shares
Shares sold		1,871,860			17,122,945			5,965,384			56,771,992
Reinvestment of distributions		430,954			3,950,198			1,379,298			13,059,830
Shares redeemed		(2,416,722	)		(22,121,060	)		(10,488,332	)		(99,963,643	)
		(113,908	)		(1,047,917	)		(3,143,650	)		(30,131,821	)
Class IR Shares
Shares sold		20,248			186,552			64,077			608,820
Reinvestment of distributions		2,060			18,880			4,215			39,909
Shares redeemed		(14,114	)		(131,164	)		(13,656	)		(129,675	)
		8,194			74,268			54,636			519,054
Class R6 Shares(a)
Shares sold		1,096			10,005			—			—
Reinvestment of distributions		6			55			—			—
Shares redeemed		(1	)		(5	)		—			—
		1,101			10,055			—			—
NET DECREASE		(1,270,357	)	$	(11,566,511	)		(1,562,222	)	$	(14,908,595	)

(a) Commenced operations on July 31, 2015.

175

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

September 30, 2015 (Unaudited)

11. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:

	Local Emerging Markets Debt Fund
	For the Six Months Ended September 30, 2015 (Unaudited)						For the Fiscal Year Ended March 31, 2015
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		11,544,526		$	79,940,945			16,069,534		$	126,076,171
Reinvestment of distributions		683,667			4,490,808			695,776			5,432,141
Shares redeemed		(3,931,233	)		(25,797,363	)		(8,119,852	)		(64,506,760	)
		8,296,960			58,634,390			8,645,458			67,001,552
Class C Shares
Shares sold		84,864			575,338			155,906			1,242,741
Reinvestment of distributions		25,613			170,057			67,940			547,360
Shares redeemed		(327,092	)		(2,210,400	)		(918,147	)		(7,285,782	)
		(216,615	)		(1,465,005	)		(694,301	)		(5,495,681	)
Institutional Shares
Shares sold		18,348,676			121,821,144			83,380,084			659,418,229
Reinvestment of distributions		4,365,616			28,954,293			11,170,642			89,721,804
Shares redeemed		(64,905,726	)		(425,387,508	)		(130,608,217	)		(1,014,278,781	)
		(42,191,434	)		(274,612,071	)		(36,057,491	)		(265,138,748	)
Class IR Shares
Shares sold		625,598			3,977,462			57,192			470,024
Reinvestment of distributions		12,429			81,223			30,754			249,608
Shares redeemed		(216,744	)		(1,386,540	)		(494,051	)		(4,080,192	)
		421,283			2,672,145			(406,105	)		(3,360,560	)
NET DECREASE		(33,689,806	)	$	(214,770,541	)		(28,512,439	)	$	(206,993,437	)

176

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

11. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:

	U.S. Mortgages Fund
	For the Six Months Ended September 30, 2015 (Unaudited)						For the Fiscal Year Ended March 31, 2015
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		630,914		$	6,722,962			3,325,832		$	35,532,187
Reinvestment of distributions		37,436			399,062			19,884			212,482
Shares redeemed		(455,921	)		(4,856,171	)		(764,578	)		(8,162,992	)
		212,429			2,265,853			2,581,138			27,581,677
Institutional Shares
Shares sold		1,086,920			11,607,252			4,837,392			51,479,259
Reinvestment of distributions		60,579			647,196			87,568			935,781
Shares redeemed		(648,596	)		(6,923,388	)		(1,780,772	)		(19,044,650	)
		498,903			5,331,060			3,144,188			33,370,390
Class IR Shares
Shares sold		55,061			587,160			175,347			1,864,094
Reinvestment of distributions		2,457			26,255			2,119			22,718
Shares redeemed		(20,153	)		(215,547	)		(14,878	)		(159,478	)
		37,365			397,868			162,588			1,727,334
Separate Account Institutional Shares
Shares sold		1,324,454			14,078,017			1,921,086			20,451,375
Reinvestment of distributions		212,239			2,263,087			390,503			4,156,210
Shares redeemed		(1,295,087	)		(13,786,503	)		(4,325,419	)		(45,927,807	)
		241,606			2,554,601			(2,013,830	)		(21,320,222	)
Class R6 Shares(a)
Shares sold		938			10,005			—			—
Reinvestment of distributions		4			43			—			—
Shares redeemed		(1	)		(5	)		—			—
		941			10,043			—			—
NET INCREASE		991,244		$	10,559,425			3,874,084		$	41,359,179

(a) Commenced operations on July 31, 2015.

177

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Fund Expenses — Six Month Period Ended September 30, 2015 (Unaudited)

As a shareholder of Class A, Class C, Institutional, Service, Separate Account Institutional, Class IR, Class R and Class R6 Shares of a Fund, you incur two types of costs: (1) transaction costs, including sales charges on purchase payments (with respect to Class A Shares), contingent deferred sales charges on redemptions (with respect to Class C Shares), and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (with respect to Class A, Class C and Class R Shares); and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in Class A, Class C, Institutional, Service, Separate Account Institutional, Class IR, Class R or Class R6 Shares of the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from April 1, 2015 through September 30, 2015, which represents a period of 183 out of 366 days.

Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual net expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Dynamic Emerging Markets Debt Fund							Emerging Markets Debt Fund							High Yield Fund							High Yield Floating Rate Fund
Share Class	Beginning Account Value 4/1/15		Ending Account Value 9/30/15			Expenses Paid for the 6 months ended 9/30/15*		Beginning Account Value 4/1/15		Ending Account Value 9/30/15			Expenses Paid for the 6 months ended 9/30/15*		Beginning Account Value 4/1/15		Ending Account Value 9/30/15			Expenses Paid for the 6 months ended 9/30/15*		Beginning Account Value 4/1/15		Ending Account Value 9/30/15			Expenses Paid for the 6 months ended 9/30/15*
Class A
Actual	$	1,000.00	$	933.10		$	5.94	$	1,000.00	$	984.00		$	6.10	$	1,000.00	$	946.10		$	5.11	$	1,000.00	$	990.20		$	4.68
Hypothetical 5% return		1,000.00		1,018.85	+		6.21		1,000.00		1,018.85	+		6.21		1,000.00		1,019.75	+		5.30		1,000.00		1,020.30	+		4.75
Class C
Actual		1,000.00		928.70			9.55		1,000.00		980.30			9.80		1,000.00		942.70			8.74		1,000.00		986.50			8.39
Hypothetical 5% return		1,000.00		1,015.10	+		9.97		1,000.00		1,015.10	+		9.97		1,000.00		1,016.00	+		9.07		1,000.00		1,016.55	+		8.52
Institutional
Actual		1,000.00		933.80			4.30		1,000.00		985.70			4.42		1,000.00		947.90			3.46		1,000.00		992.00			2.99
Hypothetical 5% return		1,000.00		1,020.55	+		4.50		1,000.00		1,020.55	+		4.50		1,000.00		1,021.45	+		3.59		1,000.00		1,022.00	+		3.03
Service
Actual		N/A		N/A			N/A		N/A		N/A			N/A		1,000.00		946.70			5.89		N/A		N/A			N/A
Hypothetical 5% return		N/A		N/A			N/A		N/A		N/A			N/A		1,000.00		1,018.95	+		6.11		N/A		N/A			N/A
Class IR
Actual		1,000.00		933.20			4.74		1,000.00		985.30			4.86		1,000.00		947.40			3.89		1,000.00		991.50			3.44
Hypothetical 5% return		1,000.00		1,020.10	+		4.95		1,000.00		1,020.10	+		4.95		1,000.00		1,021.00	+		4.04		1,000.00		1,021.55	+		3.49
Class R
Actual		1,000.00		931.00			7.14		N/A		N/A			N/A		1,000.00		944.90			6.32		1,000.00		990.10			5.82
Hypothetical 5% return		1,000.00		1,017.60	+		7.47		N/A		N/A			N/A		1,000.00		1,018.50	+		6.56		1,000.00		1,019.15	+		5.91
Class R6(a)
Actual		N/A		N/A			N/A		1,000.00		982.90			1.47		1,000.00		955.00			1.17		N/A		N/A			N/A
Hypothetical 5% return		N/A		N/A			N/A		1,000.00		1,006.85	+		1.49		1,000.00		1,007.13	+		1.20		N/A		N/A			N/A

178

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Fund Expenses — Six Month Period Ended September 30, 2015 (Unaudited) (continued)

	Investment Grade Credit Fund							Local Emerging Markets Debt Fund							U.S. Mortgages Fund
Share Class	Beginning Account Value 4/1/15		Ending Account Value 9/30/15			Expenses Paid for the 6 months ended 9/30/15*		Beginning Account Value 4/1/15		Ending Account Value 9/30/15			Expenses Paid for the 6 months ended 9/30/15*		Beginning Account Value 4/1/15		Ending Account Value 9/30/15			Expenses Paid for the 6 months ended 9/30/15*
Class A
Actual	$	1,000.00	$	969.40		$	3.54	$	1,000.00	$	880.70		$	5.88	$	1,000.00	$	1,004.80		$	3.61
Hypothetical 5% return		1,000.00		1,021.40	+		3.64		1,000.00		1,018.75	+		6.31		1,000.00		1,021.40	+		3.64
Class C
Actual		N/A		N/A			N/A		1,000.00		876.30			9.38		N/A		N/A			N/A
Hypothetical 5% return		N/A		N/A			N/A		1,000.00		1,015.00	+		10.08		N/A		N/A			N/A
Institutional
Actual		1,000.00		970.00			1.87		1,000.00		881.00			4.28		1,000.00		1,005.60			1.91
Hypothetical 5% return		1,000.00		1,023.10	+		1.92		1,000.00		1,020.45	+		4.60		1,000.00		1,023.10	+		1.92
Class IR
Actual		1,000.00		970.60			2.32		1,000.00		881.80			4.66		1,000.00		1,006.10			2.41
Hypothetical 5% return		1,000.00		1,022.65	+		2.38		1,000.00		1,020.05	+		5.00		1,000.00		1,022.60	+		2.43
Separate Account Institutional
Actual		1,000.00		971.10			1.87		N/A		N/A			N/A		1,000.00		1,005.60			1.91
Hypothetical 5% return		1,000.00		1,023.10	+		1.92		N/A		N/A			N/A		1,000.00		1,023.10	+		1.92
Class R6(a)
Actual		1,000.00		995.10			0.62		N/A		N/A			N/A		1,000.00		1,000.00			0.72
Hypothetical 5% return		1,000.00		1,007.72	+		0.62		N/A		N/A			N/A		1,000.00		1,007.62	+		0.72

* Expenses for each share class are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended September 30, 2015. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows:

Fund	Class A			Class C			Institutional			Service			Separate Account Institutional			Class IR			Class R			R6(a)
Dynamic Emerging Markets Debt		1.23	%		1.98	%		0.89	%		N/A			N/A			0.98	%		1.48	%		N/A
Emerging Markets Debt		1.23			1.98			0.89			N/A			N/A			0.98			N/A			0.89	%
High Yield		1.05			1.80			0.71			1.21	%		N/A			0.80			1.30			0.72
High Yield Floating Rate		0.94			1.69			0.60			N/A			N/A			0.69			1.17			N/A
Investment Grade Credit		0.72			N/A			0.38			N/A			0.47	%		0.47			N/A			0.37
Local Emerging Markets Debt		1.25			2.00			0.91			N/A			N/A			0.99			N/A			N/A
U.S. Mortgages		0.72			N/A			0.38			N/A			0.48			0.48			N/A			0.43

+ Hypothetical expenses are based on each Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses

(a) Commenced operations on July 31, 2015.

179

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Statement Regarding Basis for Approval of Management Agreement (Unaudited)

Background

The Goldman Sachs Dynamic Emerging Markets Debt Fund, Goldman Sachs Emerging Markets Debt Fund, Goldman Sachs High Yield Fund, Goldman Sachs High Yield Floating Rate Fund, Goldman Sachs Investment Grade Credit Fund, Goldman Sachs Local Emerging Markets Debt Fund, and Goldman Sachs U.S. Mortgages Fund (the “Funds”) are investment portfolios of Goldman Sachs Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Funds at regularly scheduled meetings held throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Funds.

The Management Agreement was most recently approved for continuation until June 30, 2016 by the Board of Trustees, including those Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 10-11, 2015 (the “Annual Meeting”).

The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held three meetings over the course of the year since the Management Agreement was last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Management Agreement were considered by the Board, or the Independent Trustees, as applicable. Such matters included:

(a) the nature and quality of the advisory, administrative, and other services provided to the Funds by the Investment Adviser and its affiliates, including information about:

(i) the structure, staff, and capabilities of the Investment Adviser and its portfolio management teams;

(ii) the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services and operations); controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance and strategy and central funding); sales and distribution support groups and others (e.g., information technology and training);

(iii) trends in employee headcount;

(iv) the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and

(v) the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management;

(b) information on the investment performance of each Fund, including comparisons to the performance of similar mutual funds, as provided by a third-party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), benchmark performance indices, and composites of accounts with comparable investment strategies managed by the Investment Adviser (with the exception of the Investment Grade Credit Fund), and general investment outlooks in the markets in which the Funds invest;

(c) information provided by the Investment Adviser indicating the Investment Adviser’s views on whether a Fund’s peer group and/or benchmark index had high, medium, or low relevance given the Fund’s particular investment strategy;

(d) the terms of the Management Agreement and other agreements with affiliated service providers entered into by the Trust on behalf of the Funds;

(e) fee and expense information for the Funds, including:

(i) the relative management fee and expense levels of each Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider;

(ii) the expense trends over time of each Fund; and

(iii) to the extent the Investment Adviser manages other types of accounts (such as bank collective trusts, private wealth management accounts, institutional separate accounts, sub-advised mutual funds, and non-U.S. funds) having investment objectives and policies similar to those of the Funds, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser;

(f) with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Funds;

(g) the undertakings of the Investment Adviser to waive a portion of its management fees (with respect to the Dynamic Emerging Markets Debt, Investment Grade Credit, Local Emerging Markets Debt, and U.S. Mortgages Funds) and to

180

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)

limit certain expenses of each Fund that exceed specified levels, and a summary of contractual fee reductions made by the Investment Adviser and/or its affiliates over the past several years with respect to the Funds;

(h) information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of each Fund and the Trust as a whole to the Investment Adviser and its affiliates;

(i) whether each Fund’s existing management fee schedule adequately addressed any economies of scale;

(j) a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Funds, including the fees received by the Investment Adviser’s affiliates from the Funds for transfer agency, portfolio trading, distribution and other services;

(k) a summary of potential benefits derived by the Funds as a result of their relationship with the Investment Adviser;

(l) information regarding portfolio trading and how the Investment Adviser carries out its duty to seek best execution;

(m) portfolio manager ownership of Fund shares; the manner in which portfolio manager compensation is determined; and the number and types of accounts managed by the portfolio managers;

(n) the nature and quality of the services provided to the Funds by their unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administration services provided under the Management Agreement; and

(o) the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Funds’ compliance program; and periodic compliance reports.

The Trustees also received an overview of the Funds’ distribution arrangements. They received information regarding the Funds’ assets, share purchase and redemption activity and the payment of Rule 12b-1 distribution and service fees by the Funds and non-Rule 12b-1 shareholder service and/or administration fees by the Dynamic Emerging Markets Debt, Emerging Markets Debt, High Yield, High Yield Floating Rate, and Local Emerging Markets Debt Funds. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution, and/or servicing of Fund shares.

The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Funds and other mutual fund portfolios for which the Board of Trustees has responsibility. In evaluating the Management Agreement at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser and its affiliates, their services, and the Funds. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Adviser and its affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present. The Independent Trustees also discussed the broad range of other investment choices that are available to Fund investors, including the availability of comparable funds managed by other advisers.

Nature, Extent, and Quality of the Services Provided Under the Management Agreement

As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Funds by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates. The Trustees noted the transition in the leadership and changes in personnel of various of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. They also noted the Investment Adviser’s commitment to maintaining high quality systems. The Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Funds and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also recognized that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Funds and the Investment Adviser.

Investment Performance

The Trustees also considered the investment performance of the Funds. In this regard, they compared the investment performance of each Fund to its peers using rankings and ratings (rankings only with respect to the Dynamic Emerging Markets Debt Fund, which commenced operations in 2013) compiled by the Outside Data Provider as of December 31, 2014, and updated performance information prepared by the Investment Adviser using the peer groups identified by the Outside Data Provider as of

181

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)

March 31, 2015. The information on each Fund’s investment performance was provided for the one-, three-, five-, and ten-year periods ending on the applicable dates, to the extent that each Fund had been in existence for those periods. The Trustees also reviewed each Fund’s investment performance over time (including on a year-by-year basis) relative to its performance benchmark. As part of this review, they considered the investment performance trends of the Funds over time, and reviewed the investment performance of each Fund in light of its investment objective and policies and market conditions. The Trustees also received information comparing the Funds’ performance (with the exception of the Investment Grade Credit Fund) to that of composites of accounts with comparable investment strategies managed by the Investment Adviser.

In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and portfolio management personnel, in which Fund performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Funds’ risk profiles, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management.

The Trustees observed that the Dynamic Emerging Markets Debt Fund’s Institutional Shares had placed in the third quartile of the Fund’s peer group and had underperformed the Fund’s benchmark index for the one-year period ended March 31, 2015. They noted that the Emerging Markets Debt Fund’s Institutional Shares had placed in the first quartile of the Fund’s peer group for the one-, three-, five-, and ten-year periods, and had outperformed the Fund’s benchmark index for the ten-year period and underperformed for the one-, three-, and five-year periods ended March 31, 2015. They also noted changes to the Fund’s permissible investments in July 2014 that allow the Fund to invest in municipal securities. The Trustees noted that the High Yield Fund’s Institutional Shares had placed in the top half of the Fund’s peer group and had underperformed the Fund’s benchmark index for the one-, three-, five-, and ten-year periods ended March 31, 2015. They observed that the High Yield Floating Rate Fund’s Institutional Shares had placed in the first quartile of the Fund’s peer group for the one-year period and in the third quartile for the three-year period, and had underperformed the Fund’s benchmark index for the one- and three-year periods ended March 31, 2015. The Trustees noted that the Investment Grade Credit Fund’s Institutional Shares had placed in the second quartile of the Fund’s peer group for the one-, three-, and five-year periods and in the third quartile for the ten-year period, and had outperformed the Fund’s benchmark index for the three- and five-year periods and underperformed for the one- and ten-year periods ended March 31, 2015. They noted that the Local Emerging Markets Debt Fund’s Institutional Shares had placed in the fourth quartile of the Fund’s peer group and had underperformed the Fund’s benchmark index for the one-, three-, and five-year periods ended March 31, 2015. The Trustees considered that the U.S. Mortgages Fund’s Institutional Shares had placed in the first quartile of the Fund’s peer group for the one-, three-, five-, and ten-year periods, and had outperformed the Fund’s benchmark index for the one-, three-, and five-year periods and underperformed for the ten-year period ended March 31, 2015. They also noted changes to the Fund’s permissible investments in July 2014 that allow the Fund to invest in collateralized loan obligations.

Costs of Services Provided and Competitive Information

The Trustees considered the contractual terms of the Management Agreement and the fee rates payable by each Fund thereunder. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Funds, which included both advisory and administrative services that were directed to the needs and operations of the Funds as registered mutual funds.

In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Funds. The analyses provided a comparison of the Funds’ management fees and breakpoints to those of relevant peer groups and category universes; an expense analysis which compared each Fund’s overall net and gross expenses to a peer group and a category universe; and a five-year history (or, in the case of Funds that commenced investment operations within a shorter period, since the year in which it commenced operations) comparing each Fund’s net expenses to the peer and category medians. The analyses also compared each Fund’s transfer agency, custody, and distribution fees, other expenses and fee waivers/reimbursements to those of the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Funds.

In addition, the Trustees considered the Investment Adviser’s undertakings to waive a portion of its management fees (with respect to the Dynamic Emerging Markets Debt, Investment Grade Credit, Local Emerging Markets Debt, and U.S. Mortgages Funds) and to limit certain expenses of each Fund that exceed specified levels. They also considered, to the extent that the Investment Adviser manages other types of accounts having investment objectives and policies similar to those of the Funds, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Funds differed in various significant respects from the services provided to other types of accounts which, in many cases, operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-intensive.

182

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)

In addition, the Trustees noted that shareholders are able to redeem their Fund shares at any time if shareholders believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.

Profitability

The Trustees reviewed the Investment Adviser’s revenues and pre-tax profit margins with respect to the Trust and each of the Funds. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service), and information on the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also noted that the internal audit group within the Goldman Sachs organization had audited the expense allocation methodology and was satisfied with the reasonableness, consistency, and accuracy of the Investment Adviser’s expense allocation methodology and profitability analysis calculations. Profitability data for the Trust and each Fund were provided for 2014 and 2013, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability. The Trustees considered the Investment Adviser’s revenues and pre-tax profit margins both in absolute terms and in comparison to information on the reported pre-tax profit margins earned by certain other asset management firms.

Economies of Scale

The Trustees considered the information that had been provided regarding the Investment Adviser’s profitability. The Trustees also considered the breakpoints in the fee rate payable under the Management Agreement for each of the Funds at the following annual percentage rates of the average daily net assets of the Funds:

Average Daily Net Assets	Dynamic Emerging Markets Debt Fund			Emerging Markets Debt Fund			High Yield Fund			High Yield Floating Rate Fund			Investment Grade Credit Fund			Local Emerging Markets Debt Fund			U.S. Mortgages Fund
First $1 billion		0.90	%		0.80	%		0.70	%		0.60	%		0.40	%		0.90	%		0.40	%
Next $1 billion		0.90			0.80			0.70			0.54			0.36			0.90			0.36
Next $3 billion		0.81			0.72			0.63			0.51			0.34			0.81			0.34
Next $3 billion		0.77			0.68			0.60			0.50			0.33			0.77			0.33
Over $8 billion		0.75			0.67			0.59			0.49			0.32			0.75			0.32

The Trustees noted that the breakpoints were designed to share potential economies of scale, if any, with the Funds and their shareholders as assets under management reach those asset levels. The Trustees considered the amounts of assets in the Funds; the Funds’ recent share purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and their realized profits; information comparing fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer groups; and the Investment Adviser’s undertakings to waive a portion of its management fees (with respect to the Dynamic Emerging Markets Debt, Investment Grade Credit, Local Emerging Markets Debt, and U.S. Mortgages Funds) and to limit certain expenses of each Fund that exceed specified levels. Upon reviewing these matters at the Annual Meeting, the Trustees concluded that the fee breakpoints represented a means of assuring that benefits of scalability, if any, would be passed along to shareholders at the specified asset levels. They also noted that the Investment Adviser had passed along savings to shareholders of the High Yield and High Yield Floating Rate Funds, which each had asset levels above at least the first breakpoint during the prior fiscal year.

Other Benefits to the Investment Adviser and Its Affiliates

The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationships with the Funds as stated above, including: (a) transfer agency fees received by Goldman, Sachs & Co. (“Goldman Sachs”); (b) futures commissions earned by Goldman Sachs for executing futures transactions on behalf of the Funds; (c) trading efficiencies resulting from aggregation of orders of the Funds with those for other funds or accounts managed by the Investment Adviser; (d) the Investment Adviser’s ability to leverage the infrastructure designed to service the Funds on behalf of its other clients; (e) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (f) Goldman Sachs’ retention of certain fees as Fund Distributor; (g) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Funds; and (h) the possibility that the working relationship between the Investment Adviser and the Funds’ third-party service providers may cause those service providers to be more likely

183

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)

to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.

Other Benefits to the Funds and Their Shareholders

The Trustees also noted that the Funds receive certain potential benefits as a result of their relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Funds with those of other funds or accounts managed by the Investment Adviser; (b) enhanced servicing from vendors because of the volume of business generated by the Investment Adviser and its affiliates; (c) enhanced servicing from broker-dealers because of the volume of business generated by the Investment Adviser and its affiliates; (d) the Investment Adviser’s ability to negotiate favorable terms with derivatives counterparties on behalf of the Funds as a result of the size and reputation of the Goldman Sachs organization; (e) the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (f) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Funds because of the reputation of the Goldman Sachs organization; (g) the Funds’ access, through the Investment Adviser, to certain firmwide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; and (h) the Funds’ access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature of the mutual fund marketplace, and considered that many of the Funds’ shareholders invested in the Funds in part because of the Funds’ relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.

Conclusion

In connection with their consideration of the Management Agreement, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by each of the Funds were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and each Fund’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit each Fund and its shareholders and that the Management Agreement should be approved and continued with respect to each Fund until June 30, 2016.

184

FUNDS PROFILE

Goldman Sachs Funds

Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.

Today, the Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.02 trillion in assets under supervision as of September 30, 2015, Goldman Sachs Asset Management (“GSAM”) has portfolio management teams located around the world and our investment professionals bring firsthand knowledge of local markets to every investment decision. Assets under supervision includes assets under management and other client assets for which Goldman Sachs does not have full discretion. GSAM leverages the resources of Goldman, Sachs & Co. subject to legal, internal and regulatory restrictions.

Money Market¹

Financial Square Funds^SM

n Financial Square Tax-Exempt Funds

n Financial Square Treasury Solutions Fund²

n Financial Square Government Fund

n Financial Square Money Market Fund

n Financial Square Prime Obligations Fund

n Financial Square Treasury Instruments Fund

n Financial Square Treasury Obligations Fund

n Financial Square Federal Instruments Fund

Fixed Income

Short Duration and Government

n Enhanced Income Fund

n High Quality Floating Rate Fund

n Limited Maturity Obligations Fund

n Short Duration Government Fund

n Short Duration Income Fund

n Government Income Fund

n Inflation Protected Securities Fund

Multi-Sector

n Core Fixed Income Fund

n Bond Fund

n Global Income Fund

n Strategic Income Fund

Municipal and Tax-Free

n High Yield Municipal Fund

n Dynamic Municipal Income Fund³

n Short Duration Tax-Free Fund

Single Sector

n Investment Grade Credit Fund

n U.S. Mortgages Fund

n High Yield Fund

n High Yield Floating Rate Fund

n Emerging Markets Debt Fund

n Local Emerging Markets Debt Fund

n Dynamic Emerging Markets Debt Fund

Fixed Income Alternatives

n Long Short Credit Strategies Fund

n Fixed Income Macro Strategies Fund

Fundamental Equity

n Growth and Income Fund

n Small Cap Value Fund

n Small/Mid Cap Value Fund

n Mid Cap Value Fund

n Large Cap Value Fund

n Capital Growth Fund

n Strategic Growth Fund

n Focused Growth Fund

n Small/Mid Cap Growth Fund

n Focused Value Fund

n Flexible Cap Growth Fund

n Concentrated Growth Fund

n Technology Opportunities Fund⁴

n Growth Opportunities Fund

n Rising Dividend Growth Fund

n Dynamic U.S. Equity Fund⁵

n Income Builder Fund

Tax-Advantaged Equity

n U.S. Tax-Managed Equity Fund

n International Tax-Managed Equity Fund

n U.S. Equity Dividend and Premium Fund

n International Equity Dividend and Premium Fund

Equity Insights

n Small Cap Equity Insights Fund

n U.S. Equity Insights Fund

n Small Cap Growth Insights Fund

n Large Cap Growth Insights Fund

n Large Cap Value Insights Fund

n Small Cap Value Insights Fund

n International Small Cap Insights Fund

n International Equity Insights Fund

n Emerging Markets Equity Insights Fund

Fundamental Equity International

n Strategic International Equity Fund

n Focused International Equity Fund

n International Small Cap Fund

n Asia Equity Fund

n Emerging Markets Equity Fund⁶

n N-11 Equity Fund

Select Satellite⁷

n Real Estate Securities Fund

n International Real Estate Securities Fund

n Global Real Estate Securities Fund

n Commodity Strategy Fund

n Dynamic Commodity Strategy Fund

n Dynamic Allocation Fund

n Absolute Return Tracker Fund

n Long Short Fund

n Managed Futures Strategy Fund

n MLP Energy Infrastructure Fund

n Multi-Manager Alternatives Fund

n Multi-Asset Real Return Fund

n Retirement Portfolio Completion Fund

n Absolute Return Multi-Asset Fund

Total Portfolio Solutions⁷

n Global Managed Beta Fund

n Multi-Manager Non-Core Fixed Income Fund

n Multi-Manager U.S. Dynamic Equity Fund

n Multi-Manager Global Equity Fund

n Multi-Manager International Equity Fund

n Tactical Tilt Implementation Fund

n Balanced Strategy Portfolio

n Multi-Manager Real Assets Strategy Fund

n Growth and Income Strategy Portfolio

n Growth Strategy Portfolio

n Equity Growth Strategy Portfolio

n Satellite Strategies Portfolio

n Enhanced Dividend Global Equity Portfolio

n Tax Advantaged Global Equity Portfolio

¹  An investment in a money market fund is neither insured nor guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) or any other government agency. Although the Funds seek to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Funds.

²  Effective on September 30, 2015, the Goldman Sachs Financial Square Federal Fund was renamed the Goldman Sachs Financial Square Treasury Solutions Fund.

³  Effective on December 18, 2014, the Goldman Sachs Municipal Income Fund was renamed the Goldman Sachs Dynamic Municipal Income Fund.

⁴  Effective on July 31, 2015, the Goldman Sachs Technology Tollkeeper Fund was renamed the Goldman Sachs Technology Opportunities Fund.

⁵  Effective on April 30, 2015, the Goldman Sachs U.S. Equity Fund was renamed the Goldman Sachs Dynamic U.S. Equity Fund.

⁶  Effective at the close of business on October 23, 2015, the Goldman Sachs BRIC Fund (Brazil, Russia, India, China) was reorganized with and into the Goldman Sachs Emerging Markets Equity Fund.

⁷  Individual Funds within the Total Portfolio Solutions and Select Satellite categories will have various placement on the risk/return spectrum and may have greater or lesser risk than that indicated by the placement of the general Total Portfolio Solutions or Select Satellite category.

Financial Square Funds^SM is a registered service mark of Goldman, Sachs & Co.

*This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds.

TRUSTEES Ashok N. Bakhru, Chairman Kathryn A. Cassidy John P. Coblentz, Jr. Diana M. Daniels Joseph P. LoRusso Herbert J. Markley James A. McNamara Jessica Palmer Alan A. Shuch Richard P. Strubel Roy W. Templin Gregory G. Weaver	OFFICERS James A. McNamara, President Scott M. McHugh, Principal Financial Officer and Treasurer Caroline Kraus, Secretary
GOLDMAN, SACHS & CO. Distributor and Transfer Agent	GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser

Visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.

Goldman Sachs Asset Management, L.P., 200 West Street, New York, New York 10282

The reports concerning the Funds included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Funds, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Funds. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission (“SEC”) web site at http://www.sec.gov.

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s web site at http://www.sec.gov within 60 days after the Funds’ first and third fiscal quarters. The Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. Forms N-Q may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).

Goldman, Sachs & Co. (‘‘Goldman Sachs’’) does not provide legal, tax or accounting advice. Any statement contained in this communication (including any attachments) concerning U.S. tax matters was not intended or written to be used, and cannot be used, for the purpose of avoiding penalties under the Internal Revenue Code, and was written to support the promotion or marketing of the transaction(s) or matter(s) addressed. Clients of Goldman Sachs should obtain their own independent tax advice based on their particular circumstances.

Fund holdings and allocations shown are as of September 30, 2015 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.

The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.

The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.

This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus or summary prospectus, if applicable. Investors should consider a Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about a Fund and may be obtained from your Authorized Institution or from Goldman, Sachs & Co. by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550).

© 2015 Goldman Sachs. All rights reserved. 172506.MF.MED.TMPL/11/2015 SSFISAR-15/76.9k

ITEM 2. CODE OF ETHICS.

(a) As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party (the “Code of Ethics”).

(b) During the period covered by this report, no amendments were made to the provisions of the Code of Ethics.

(c) During the period covered by this report, the registrant did not grant any waivers, including an implicit waiver, from any provision of the Code of Ethics.

(d) A copy of the Code of Ethics is available as provided in Item 12(a)(1) of this report.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

The registrant’s board of trustees has determined that the registrant has at least one “audit committee financial expert” (as defined in Item 3 of Form N-CSR) serving on its audit committee. John P. Coblentz, Jr. is the “audit committee financial expert” and is “independent” (as each term is defined in Item 3 of Form N-CSR).

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

Table 1 — Items 4(a) - 4(d). The accountant fees below reflect the aggregate fees billed by all of the Funds of the Goldman Sachs Trust and includes the Goldman Sachs Funds to which this certified shareholder report relates.

	2015			2014			Description of Services Rendered
Audit Fees:
• PricewaterhouseCoopers LLP (“PwC”)		$	3,570,472		$	2,208,710	Financial Statement audits.
Audit-Related Fees:
• PwC		$	0		$	0	Other attest services.
Tax Fees:
• PwC		$	659,410		$	723,485	Tax compliance services provided in connection with the preparation and review of registrant’s tax returns.

Table 2 — Items 4(b)(c) & (d). Non-Audit Services to the Goldman Sachs Trust’s service affiliates * that were pre-approved by the Audit Committee of the Goldman Sachs Trust pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X.

	2015			2014			Description of Services Rendered
Audit-Related Fees:
• PwC		$	1,568,616		$	1,486,420	Internal control review performed in accordance with Statement on Standards for Attestation Engagements No. 16. These fees are borne by the Funds’ Adviser.

* These include the advisor (excluding sub-advisors) and any entity controlling, controlled by or under common control with the advisor that provides ongoing services to the registrant (hereinafter referred to as “service affiliates”).

Item 4(e)(1) — Audit Committee Pre-Approval Policies and Procedures

Pre-Approval of Audit and Non-Audit Services Provided to the Funds of the Goldman Sachs Trust. The Audit and Non-Audit Services Pre-Approval Policy (the “Policy”) adopted by the Audit Committee of Goldman Sachs Trust (“GST”) sets forth the procedures and the conditions pursuant to which services performed by an independent auditor for GST may be pre-approved. Services may be pre-approved specifically by the Audit Committee as a whole or, in certain circumstances, by the Audit Committee Chairman or the person designated as the Audit Committee Financial Expert. In addition, subject to specified cost limitations, certain services may be pre-approved under the provisions of the Policy. The Policy provides that the Audit Committee will consider whether the services provided by an independent auditor are consistent with the Securities and Exchange Commission’s rules on auditor independence. The Policy provides for periodic review and pre-approval by the Audit Committee of the services that may be provided by the independent auditor.

De Minimis Waiver. The pre-approval requirements of the Policy may be waived with respect to the provision of non-audit services that are permissible for an independent auditor to perform, provided (1) the aggregate amount of all such services provided constitutes no more than five percent of the total amount of revenues subject to pre-approval that was paid to the independent auditors during the fiscal year in which the services are provided; (2) such services were not recognized by GST at the time of the engagement to be non-audit services; and (3) such services are promptly brought to the attention of the Audit Committee and approved prior to the completion of the audit by the Audit Committee or by one or more members of the Audit Committee to whom authority to grant such approvals has been delegated by the Audit Committee, pursuant to the pre-approval provisions of the Policy.

Pre-Approval of Non-Audit Services Provided to GST’s Investment Advisers. The Policy provides that, in addition to requiring pre-approval of audit and non-audit services provided to GST, the Audit Committee will pre-approve those non-audit services provided to GST’s investment advisers (and entities controlling, controlled by or under common control with the investment advisers that provide ongoing services to GST) where the engagement relates directly to the operations or financial reporting of GST.

Item 4(e)(2) – 0% of the audit-related fees, tax fees and other fees listed in Table 1 were approved by GST’s Audit Committee pursuant to the “de minimis” exception of Rule 2-01(c)(7)(i)(C) of Regulation S-X. In addition, 0% of the non-audit services to the GST’s service affiliates listed in Table 2 were approved by GST’s Audit Committee pursuant to the “de minimis” exception of Rule 2-01(c)(7)(i)(C) of Regulation S-X.

Item 4(f) – Not applicable.

Item 4(g) Aggregate Non-Audit Fees Disclosure

The aggregate non-audit fees billed to GST by PwC for the twelve months ended March 31, 2015 and March 31, 2014 were approximately $659,410 and $723,485 respectively. The aggregate non-audit fees billed to GST’s adviser and service affiliates by PwC for non-audit services for the twelve months ended December 31, 2014 and December 31, 2013 were approximately $10.2 million and $9.8 million respectively. With regard to the aggregate non-audit fees billed to GST’s adviser and service affiliates, the 2014 and 2013 amounts include fees for non-audit services required to be pre-approved [see Table 2] and fees for non-audit services that did not require pre-approval since they did not directly relate to GST’s operations or financial reporting.

Item 4(h) — GST’s Audit Committee has considered whether the provision of non-audit services to GST’s investment adviser and service affiliates that did not require pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the auditors’ independence.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

Not applicable.

ITEM 6. SCHEDULE OF INVESTMENTS.

Schedule of Investments is included as part of the Report to Stockholders filed under Item 1.

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

Not applicable.

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees.

ITEM 11. CONTROLS AND PROCEDURES.

(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934, as amended.

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

ITEM 12. EXHIBITS.

(a)(1)	Goldman Sachs Trust’s Code of Ethics for Principal Executive and Senior Financial Officers is incorporated by reference to Exhibit 12(a)(1) of the registrant’s Form N-CSR filed on July 8, 2015 for its International Equity Insights Funds.
(a)(2)	Exhibit 99.CERT	Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 filed herewith.
(b)	Exhibit 99.906CERT	Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 filed herewith.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

	Goldman Sachs Trust
By:	/s/ James A. McNamara
	James A. McNamara
	President/Chief Executive Officer
	Goldman Sachs Trust
Date:	December 7, 2015

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:	/s/ James A. McNamara
	James A. McNamara
	President/Chief Executive Officer
	Goldman Sachs Trust
Date:	December 7, 2015
By:	/s/ Scott McHugh
	Scott McHugh
	Principal Financial Officer
	Goldman Sachs Trust
Date:	December 7, 2015