Goldman Sachs Mid Cap Value Fund (GCMAX) N-CSR Certified 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: March 31, 2016

ITEM 1. REPORTS TO STOCKHOLDERS.

The Annual Report to Shareholders is filed herewith.

Goldman Sachs Funds

Annual Report	March 31, 2016
	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
Investment Process	1
Market Review	2
Portfolio Management Discussions and Performance Summaries	4
Schedules of Investments	50
Financial Statements	128
Financial Highlights	136
Notes to the Financial Statements	150
Report of Independent Registered Public Accounting Firm	190
Other Information	191

NOT FDIC-INSURED May Lose Value No Bank Guarantee

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

1

MARKET REVIEW

Goldman Sachs Single Sector Fixed Income Funds

Market Review

Shifting expectations about global economic growth, central bank monetary policy and commodities prices influenced the performance of the global fixed income markets during the 12 months ended March 31, 2016 (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 Federal Reserve’s (the “Fed”) 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. The U.S. dollar appreciated modestly during the third calendar quarter on cautious optimism that the Fed was on track to raise rates in 2015. However, 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.

In the fourth quarter of 2015, spread sectors generated positive returns. Outside the U.S., the global monetary policy environment remained highly accommodative, with the European Central Bank (“ECB”) lowering interest rates into negative territory and expanding its stimulus program. The U.S. dollar gained on expectations the Fed would hike interest rates, which it did at its December 2015 policy meeting. During the fourth calendar quarter, the U.S. economy continued to display a positive growth trend, but economic growth in other developed countries had softened by the end of 2015. At the same time, growth in emerging markets countries broadly weakened, largely due to commodity price declines and concerns about the slowing Chinese economy.

The first quarter of 2016 was very much a tale of two halves. Spread sectors sold off significantly from January to mid-February 2016 and then largely retraced their losses by the end of March 2016. Volatility early in the first calendar quarter was driven by an increase in a number of perceived risks, such as slowing Chinese economic activity, the possibility of persistent oil oversupply, and deteriorating corporate bond fundamentals as the U.S. credit cycle entered its later stage. Some of these risks eased in the second half of the first calendar quarter, as economic news from China improved, U.S. oil production showed signs of slowing, and commodity prices appeared to stabilize. Global central banks remained accommodative. The Bank of Japan, in a surprise move at its January 2016 policy meeting, introduced a -0.1% interest rate, reaffirming its commitment to achieving a 2% inflation target. The ECB shifted its focus from currency depreciation to credit creation by leaving the deposit rate unchanged, expanding its asset purchase program to include purchases of non-financial corporate credit and announcing a new series of easing measures in the form of targeted

2

MARKET REVIEW

long-term refinancing operations (“TLTRO II”). (TLTRO II is designed to offer attractive long-term funding conditions to Eurozone banks to further ease private sector credit conditions and to stimulate credit creation.) In the U.S., Fed statements during March 2016 suggested U.S. interest rates would remain lower for longer than previously expected. After a sustained period of appreciation, the U.S. dollar weakened during the first calendar quarter due to generally tighter financial conditions, mixed U.S. economic data and the Fed’s more dovish commentary. (Dovish commentary tends to imply lower interest rates.)

For the Reporting Period overall, sovereign emerging markets debt and asset-backed securities slightly outperformed U.S Treasuries. Mortgage-backed securities and commercial mortgage-backed securities generally performed in line with U.S. Treasuries, while investment grade corporate bonds and agencies underperformed. High yield corporate bonds significantly underperformed Treasuries. The U.S. Treasury yield curve, or spectrum of maturities, flattened during the Reporting Period. Both short-term and long-term yields rose during the Reporting Period, but long-term yields rose less. Intermediate-term U.S. Treasury yields actually declined modestly, with the yield on the bellwether 10-year U.S. Treasury declining approximately 15 basis points to end the Reporting Period at 1.77%. (A basis point is 1/100^th of a percentage point.)

Looking Ahead

At the end of the Reporting Period, we expected a continuation of trends seen in the early months of 2016: 1) modest global economic growth; 2) extreme monetary policy measures helping to support gradual economic improvement in Europe and Japan; and 3) a backdrop of rising U.S. inflation, rising debt in China and unpredictable politics globally.

Overall, we believe global economic growth may be stuck in low gear. After a modestly stronger year for the U.S., Europe and Japan in 2015, we expect some softening in 2016. In terms of monetary policy, we believe the economic benefits of negative interest rates in Europe and Japan and a strong U.S. dollar are questionable, and investors appear increasingly focused on the potential negatives. Indeed, we see the ECB’s policy decision in March 2016 as shifting its emphasis away from negative rates and currency depreciation and toward stimulating domestic demand through the credit channel. In Japan, the corporate bond market is relatively small and government bond purchases are already at what we consider to be extreme levels, which we believe could limit the Bank of Japan’s options. As a result, we think further rate cuts are possible. In the U.S., the Fed has adjusted its approach, reducing the number of projected interest rate hikes in 2016 from four to two, while emphasizing risks from soft global economic growth and continued strength of the U.S. dollar. In terms of the emerging markets, we believe they remain broadly at risk from developments in China.

At the end of the Reporting Period, we considered the environment positive for selective exposure to corporate bonds, emerging markets debt and other higher yielding sectors of the fixed income market. At the same time, however, the volatility in the first quarter of 2016 reaffirmed our sense that markets are fragile and longer-term risks are growing. As a result, we remained biased to staying nimble overall with an emphasis on higher credit quality.

3

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 12-month period ended March 31, 2016 (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 average annual total returns, without sales charges, of 0.15%, -0.70%, 0.39%, 0.29% and -0.20%, respectively. These returns compare to the 0.99% average annual 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 average annual total returns of -1.65%, 4.18% and 2.80%, 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 (i.e., bonds issued by emerging markets countries that are denominated in U.S. dollars or in another developed markets currency) 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. In the fourth calendar quarter, external emerging markets debt posted a modest gain, with Venezuela, Argentina and Ecuador generating the strongest results. External emerging markets debt again recorded positive returns during the first quarter of 2016, with leading contributions made by Ecuador, Brazil and Kenya. For the Reporting Period overall, external emerging markets debt, as represented by the J.P. Morgan EMBI^SM Global Diversified Index, returned 4.18%. Sovereign spreads (that is, the difference in yields between external emerging markets debt and U.S. Treasuries) widened by approximately 40 basis points to close the Reporting Period 409 basis points wider than U.S. Treasury securities. (A basis point is 1/100th of a percentage point.)

Local emerging markets debt (i.e., bonds issued by emerging markets countries that are denominated in the local currency) recorded a small decline during the second quarter of 2015, with losses 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, pressured by currency depreciation versus the U.S. dollar and, to a lesser extent, by changes in local interest rates. Local emerging markets debt ended the fourth quarter of 2015 relatively flat, with results divided rather evenly between changes in local interest rates and currency depreciation versus the U.S. dollar. In the first quarter of 2016, local emerging markets debt generated positive returns, driven primarily by currency appreciation versus the U.S. dollar and, to a lesser extent, by changes in local interest rates. For the Reporting Period overall, local emerging markets debt, as represented by the J.P. Morgan GBI-EM^SM Global Diversified Index, posted a return of -1.65%.

Corporate emerging markets debt, as represented by the J.P. Morgan CEMBI^SM Broad Diversified Index, advanced during the Reporting Period, generating a return of 2.80%. Corporate spreads (that is, the difference in yields between corporate emerging markets debt and U.S. Treasuries) widened by approximately 49 basis points to close the

4

PORTFOLIO RESULTS

Reporting Period 420 basis points wider than U.S. Treasury securities. The emerging markets corporate bond sector saw approximately $212 billion of gross new issuance during the Reporting Period, of which approximately $47 billion was issued between the beginning of 2016 and the end of the Reporting Period.¹ Meanwhile, J.P. Morgan revised its global emerging markets corporate default rate forecast from 5.4% in March 2015 to 3.5% in March 2016.

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

A During the Reporting Period, the Fund’s currency selection detracted from relative performance.

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. In addition, country and issue selection among local emerging markets bonds positively impacted results.

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

A During the Reporting Period, the Fund’s long 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 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 Hungarian local debt during the Reporting Period. Despite relatively strong economic growth and a tight labor market, Hungary’s central bank cut its main policy interest rate by 15 basis points to 1.20% in March 2016. At the end of the Reporting Period, the Fund maintained a moderate underweight in Hungarian local rates as we believe inflation may pick up in the coming months given the economy is growing faster than market expectations.

Conversely, the Fund’s position in Brazilian local interest rates (accomplished mainly through inflation-linked bonds) added to relative performance during the Reporting Period. Brazilian bonds rallied in early 2016 on the back of a potential change in its government and the prospects of more market friendly leadership. The Fund also benefited from its underweights in the Chinese renminbi and South Korean won (accomplished through the use of forward foreign currency exchange contracts) as fears about China’s slowing economic growth pressured the currencies of many Southeast Asian countries. In addition, Fund performance was helped by an overweight position in Venezuelan external bonds, positioning that we adopted because of valuations. In our view, Venezuelan external debt had been pressured by low oil prices, and the market had priced in a high probability of default. We believed these assets had the potential of a strong recovery, and we considered their potential return attractive.

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

¹  Source: J.P. Morgan

5

PORTFOLIO RESULTS

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 to take a long position in the Mexican peso also had a negative impact on the Fund’s performance during the Reporting Period.

Contributing positively to the Fund’s results was its use of interest rate swaps, which we used along with sovereign local bonds to obtain exposure to Brazil. Additionally, 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 slightly increased the Fund’s already overweight position in the Dominican Republic’s external debt. We held an overweight position relative to the Index because of low government debt/Gross Domestic Product (“GDP”) levels and the country’s improving fiscal balance. In our opinion, the Dominican Republic’s current account has improved dramatically on the back of lower oil prices, higher remittances, a pickup in tourism revenue and stronger exports to the U.S. We also increased the Fund’s overweight in Colombian external bonds, which we believed were trading at relatively cheap levels, and its overweight in Colombian local interest rates because of our positive view of the country’s strong policy framework, which includes a structural fiscal balance rule and an inflation targeting regime. In addition, during the Reporting Period, we decreased the size of the Fund’s overweight compared to the Index in Thai local interest rates, shifting it from a large overweight to a smaller overweight position, even as overall inflation remained low. In our view, Thailand’s current account has benefited from the low oil price environment and a moderate recovery in the Thai economy, supported by somewhat improved fiscal spending and increased numbers of tourists during the Reporting Period. Also, we reduced the size of the Fund’s overweight in Costa Rican external debt given the country’s lack of fiscal adjustment. (A fiscal adjustment is a reduction in the government’s primary budget deficit. It can result from a reduction in government expenditures, an increase in tax revenues or both.) We increased the Fund’s underweight in Turkish local interest rates, as ongoing political uncertainties could delay the execution of economic policies aimed at reducing external vulnerabilities. During the Reporting Period, we increased the Fund’s underweight in China (implemented via a credit default swap) as a hedge against broader concerns about China’s shadow banking system, non-performing loans, slowdown in economic growth and potential policy mistakes. Our rationale also includes challenging fiscal and debt dynamics, erosion of foreign exchange reserves and increasing corporate leverage. Additionally, during the Reporting Period, we increased the Fund’s short positions in Asian currencies, as we continue to believe that stagnating economic growth in China may well cause continued weakness in Asian foreign exchange markets. We increased exposure to the Russian ruble. After tactically trading the Russian ruble early in the Reporting Period, we started increasing exposure in September 2015. We believe the Russian ruble looks relatively inexpensive based on a number of variables, such as its real effective exchange rate, Russia’s improving current account and diminished investment outflows. We also believe that geopolitical risks, which had previously been a concern, have begun to ease. (The real effective exchange rate is the weighted average of a country’s currency relative to a basket of other major currencies adjusted for the effects of inflation. The weights are determined by comparing the relative trade balances, in terms of one country’s currency, with each other country.)

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 Dominican Republic external debt, as the government has implemented significant fiscal reforms and reduced the fiscal deficit. We believe lower energy prices should further benefit the country’s current account. The Fund was also overweight Colombian external bonds. In addition, at the end of the Reporting Period, the Fund was underweight compared to the Index in Turkish external debt, as geopolitics and domestic politics continue to cloud Turkey’s outlook. Ongoing political uncertainties could delay the execution of economic policies aimed at reducing external vulnerabilities, improving the investment climate and reactivating economic growth.

The Fund held a large overweight relative to the Index in Brazilian local interest rates, and we continued to look for value in long-dated inflation-linked debt. In addition, the Fund was overweight Polish local interest rates, as core inflation continued to trend downward, opening the door for potential easing by the country’s central bank. The Fund was underweight compared to the Index in Malaysian local interest rates based on our concerns about depleting reserves, deterioration in the trade balance and challenging political

6

PORTFOLIO RESULTS

dynamics. At the end of the Reporting Period, the Fund maintained a moderate underweight in Hungarian local interest rates as we believe inflation will pick up in the coming months given the economy is growing above potential.

In terms of corporate bonds, the Fund held selective overweights in 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 cyclical names that we view as riskier. The Fund also had overweight positions relative to the Index in certain utilities companies, which we consider defensive in nature and that typically generate strong, stable cash flows. In addition, the Fund was underweight in financial services companies 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.

In terms of currencies, we maintained the Fund’s exposure to 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. We remain negative on the macroeconomic outlook of China, and specifically the country’s growth trajectory and outflows. At the end of Reporting Period, we also had a negative outlook on Southeast Asian currencies, such as the New Taiwan dollar, which stand to suffer from slowing economic growth in China given that their business models are built around Chinese demand.

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

A The global macroeconomic environment remained challenging at the end of the Reporting Period, but we think it is more positive for external emerging markets debt than market sentiment suggests. The external debt markets weakened amid the 2015 commodities slump, China’s economic slowdown, U.S. dollar strengthening and concerns around Fed policy tightening. However, at the end of the Reporting Period, we believed valuations had stabilized and the asset class was likely to provide investors with adequate compensation for the potential challenges ahead. In addition, we do not expect significant deterioration in external bond valuations if the Fed raises rates during 2016, given that the Fed has been telegraphing its intentions. As for oil prices, while weakness may persist in the near term, we expect prices to find a better balance in late 2016. Overall, we believe external emerging markets debt will be a “bond picker’s market” throughout 2016 with returns dispersed amongst countries. In our view, it will be important to identify the prospective winners and losers stemming from the decline in commodity prices, to recognize which markets may benefit from structural changes in China and to find the potential beneficiaries of an improving U.S. economy. We believe positive returns are likely to come from finding those countries that have been mispriced by the market and by focusing on what we consider to be “hotspots” in the emerging markets, such as Brazil and Turkey.

In terms of local emerging markets debt at the end of the Reporting Period, we believed China concerns and oil prices, along with geopolitics, would likely be key performance drivers in the near term. Although these clouds continue to hang over the emerging markets, we did not see signs of a crisis on the horizon. Indeed, we believed at the end of the Reporting Period that 2016 would be the year when emerging markets growth and emerging markets currencies stabilized. We do not anticipate a rapid rebound or a V-shaped recovery. Rather, we expect local emerging markets debt may turn the corner after three consecutive years of declining valuations and downward growth projections. The risks to our view at the end of the Reporting Period included policy mistakes, populism, depletion of reserves and the impact of interest rate hikes on struggling emerging markets economies, should their central banks choose to follow the Fed’s example. Broadly speaking, we believe local emerging markets debt may well become an attractive investment in 2016. Nevertheless, we expect to see continued idiosyncratic challenges in countries such as Brazil. Hence, having a longer-term investment horizon is, in our view, key, as we cannot rule out further negative headlines and market volatility. We plan to continue our discerning approach, focusing on identifying countries that remain mispriced, as we think local emerging markets debt valuations have stabilized in many cases and should be able to provide adequate compensation for potential challenges in the near term.

We continued to have 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 emerging markets companies with less leverage and more attractive valuations than comparable developed market companies. In our view, the corporate balance sheets of numerous emerging markets issuers remain solid, with limited near-term rollover needs, though liquidity in emerging markets corporate debt has generally been below that of emerging markets sovereign debt.

7

FUND BASICS

Dynamic Emerging Markets Debt Fund

as of March 31, 2016

PERFORMANCE REVIEW
April 1, 2015– March 31, 2016	Fund Total Return (based on NAV)1			Dynamic Emerging Markets Debt Fund Composite Index2			J.P. Morgan GBI-EMSM Global Diversified Index3			J.P. Morgan EMBISM Global Diversified Index4			J.P. Morgan CEMBISM Broad Diversified Index5			30-Day Standardized Subsidized Yield6			30-Day Standardized Unsubsidized Yield6
Class A		0.15	%		0.99	%		-1.65	%		4.18	%		2.80	%		4.56	%		3.22	%
Class C		-0.70			0.99			-1.65			4.18			2.80			3.98			2.59
Institutional		0.39			0.99			-1.65			4.18			2.80			5.12			3.71
Class IR		0.29			0.99			-1.65			4.18			2.80			4.93			3.54
Class R		-0.20			0.99			-1.65			4.18			2.80			4.43			3.03

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 a composite of the J.P. Morgan Government Bond Index — Emerging Markets (GBI-EM^SM) Global Diversified Index (Gross USD, Unhedged) (50%), the J.P. Morgan Emerging Markets Bond Index (EMBI^SM) Global Diversified Index (Gross, USD, Unhedged) (25%), and the J.P. Morgan Corporate Emerging Markets Bond Index (CEMBI^SM) Broad Diversified Index (Gross, USD, Unhedged) (25%).

³  The J.P. Morgan GBI-EM^SM Global Diversified Index (with dividends reinvested) is an unmanaged index of debt instruments of 16 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 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 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.

8

FUND BASICS

STANDARDIZED TOTAL RETURNS7
For the period ended 3/31/16	One Year			Since Inception			Inception Date
Class A		-4.29	%		-4.16	%	5/31/13
Class C		-1.69			-3.24		5/31/13
Institutional		0.39			-2.19		5/31/13
Class IR		0.29			-2.38		5/31/13
Class R		-0.20			-2.76		5/31/13

⁷  The Standardized Total Returns are average annual 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 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 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 period 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 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.

9

FUND BASICS

TOP TEN COUNTRY ALLOCATION9
	Percentage of Net Assets
	as of 3/31/16			as of 3/31/15
Mexico		11.5	%		10.4	%
Brazil		8.1			7.9
Poland		8.0			2.3
Colombia		7.3			4.2
Indonesia		7.0			6.2
United States		5.5			5.9
South Africa		4.6			2.6
Russia		4.5			2.5
Dominican Republic		3.6			3.4
Turkey		3.4			6.4
Other		36.4			51.6

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 6.6% as of 3/31/16 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.

10

GOLDMAN SACHS DYNAMIC EMERGING MARKETS DEBT FUND

Performance Summary

March 31, 2016

The following graph shows the value, as of March 31, 2016, of a $1,000,000 investment made on May 31, 2013 (commencement of operations) in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the Dynamic Emerging Markets Debt Fund Composite Index, which is comprised of J.P. Morgan EMBI^SM Global Diversified Index, J.P. Morgan GBI-EM^SM Global Diversified Index and J.P. Morgan CEMBI^SM Broad Diversified Index. This performance data represents past performance and should not be considered indicative of future performance, which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and 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. Performance of Class A, Class C, Class IR and Class R Shares will vary from Institutional Shares due to differences in class specific fees and any applicable sales charges. In addition to the Investment Adviser’s decisions regarding issuer/industry/country investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover and subscription and redemption cash flows affecting the Fund.

Dynamic Emerging Markets Debt Fund’s Lifetime Performance

Performance of a $1,000,000 Investment, with distributions reinvested, from May 31, 2013 through March 31, 2016.

Average Annual Total Return through March 31, 2016	One Year	Since Inception
Class A (Commenced May 31, 2013)
Excluding sales charges	0.15%	-2.60%
Including sales charges	-4.29%	-4.16%
Class C (Commenced May 31, 2013)
Excluding contingent deferred sales charges	-0.70%	-3.24%
Including contingent deferred sales charges	-1.69%	-3.24%
Institutional (Commenced May 31, 2013)	0.39%	-2.19%
Class IR (Commenced May 31, 2013)	0.29%	-2.38%
Class R (Commenced May 31, 2013)	-0.20%	-2.76%

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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 12-month period ended March 31, 2016 (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 average annual total returns, without sales charges, of 4.43%, 3.57%, 4.70% and 4.60%, respectively. These returns compare to the 4.18% average annual total return of the Fund’s benchmark, the J.P. Morgan Emerging Markets Bond Index (EMBI^SM) Global Diversified Index (Gross, USD, Unhedged) (the “Index”), during the same time period.

During the period since their inception on July 31, 2015 through March 31, 2016, the Fund’s Class R6 Shares generated a cumulative total return, without sales charges, of 4.41% compared to the 4.03% 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 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. In the fourth calendar quarter, external emerging markets debt posted a modest gain, with Venezuela, Argentina and Ecuador generating the strongest results. External emerging markets debt again recorded positive returns during the first quarter of 2016, with leading contributions made by Ecuador, Brazil and Kenya.

For the Reporting Period overall, external emerging markets debt, as represented by the Index, returned 4.18%. Sovereign spreads (that is, the difference in yields between external emerging markets debt and U.S. Treasuries) widened by approximately 40 basis points to close the Reporting Period 409 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) Belize (-26.86%), Zambia (-13.29%) and Iraq (-9.50%). The top performing emerging external debt markets were Ukraine (+108.40%), Belarus (+22.42%) and Venezuela (+22.26%).

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 sector positioning in external emerging markets debt and emerging markets corporate bonds.

Conversely, the Fund was hurt 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). 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

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.

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PORTFOLIO RESULTS

fundamentals, we took advantage of what we considered to be attractive opportunities to add to the Fund’s overweight position relative to the Index.

A long position in the Mexican peso (accomplished through the use of forward foreign currency exchange contracts) detracted from 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 continue to improve. In addition, the Fund was hurt by its overweight in Sri Lankan external debt. The overweight was driven by a number of factors, including that Sri Lanka has been a beneficiary of lower oil prices (oil is one third of the country’s imports). In addition, our growth outlook was positive as Sri Lanka’s economy improved and its government invested in infrastructure. That said, during the Reporting Period, the Sri Lankan financial minister revised the fiscal deficit higher. The International Monetary Fund has warned the country that it should have tighter monetary and fiscal policies, and it called during the Reporting Period for structural reforms to support economic stability.

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 long duration position to a slightly short position, ending the Reporting Period with a slightly short 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. However, after a single rate increase in December 2015, the Fed maintained a dovish stance amid volatility in the global financial markets. (A dovish stance tends to imply a commitment to lower interest rates.)

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 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 shifted the Fund from an underweight relative to the Index in Colombian external debt to an overweight position. In addition, we increased the Fund’s underweight compared to the Index in Peruvian external debt. Also, given Costa Rica’s lack of fiscal adjustment, we reduced the size of the Fund’s overweight in Costa Rican external debt. (A fiscal adjustment is a reduction in the government’s primary budget deficit. It can result from a reduction in government expenditures, an increase in tax revenues or both.) We increased the Fund’s overweight in Hungarian external debt, which appeared to us to be attractive on a relative basis. During the Reporting Period, we increased the Fund’s underweight in Chinese external debt (implemented via a credit default swap) relative to the Index. This positioning is a hedge against broader concerns about China’s shadow banking system, non-performing loans, slowdown in economic growth and potential policy mistakes. Our rationale also includes challenging fiscal and debt dynamics, erosion of foreign exchange reserves and increasing corporate leverage.

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PORTFOLIO RESULTS

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, against the backdrop of the European Central Bank’s significant quantitative easing program, certain Eastern European external debt, such as Hungary external bonds, appeared to us to be attractive on a relative basis. Accordingly, we positioned the Fund with an overweight position in Hungarian external debt. Hungary has a basic balance of payments surplus of 10% of Gross Domestic Product (“GDP”) (including account transfers from the European Union). In addition, solid economic growth has led to Hungary gaining a greater market share within the European Union, and the country’s ability to service its debt is relatively strong, in our view.

The Fund also maintained an overweight in Dominican Republic and Colombian external debt at the end of the Reporting Period. The government of the Dominican Republic has implemented significant fiscal reforms and has reduced its fiscal deficit. Additionally, we believe lower energy prices should further benefit the country’s current account. In terms of Colombia, we believe its external bonds are trading at relatively cheap levels. We also think Colombia’s strong policy framework is a positive for the country’s external bonds. Although the drop in oil prices has had a negative impact on Colombia, its flexible currency regime has helped the country adjust.

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 a small overweight in Indonesian external debt and a large underweight in Turkish external debt. In Turkey, geopolitics and domestic politics continue to cloud the country’s outlook. Ongoing political uncertainties could delay the execution of economic policies aimed at reducing external vulnerabilities, improving the investment climate and reactivating economic growth. The Fund also maintained an underweight in Malaysian quasi-sovereign 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 on seeking the cheapest valuations. In our view, Venezuelan external bond prices imply a material probability of restructuring as they hovered close to their all-time lows at the end of the Reporting Period. However, we believed they offered the possibility of significant recovery in an event of default. Accordingly, 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 The global macroeconomic environment remained challenging at the end of the Reporting Period, but we think it is more positive for external emerging markets debt than market sentiment suggests. The external debt markets weakened amid the 2015 commodities slump, China’s economic slowdown, U.S. dollar strengthening and concerns around Fed policy tightening. However, at the end of the Reporting Period, we believed valuations had stabilized and the asset class was likely to provide investors with adequate compensation for the potential challenges ahead. In addition, we do not expect significant deterioration in external bond valuations if the Fed raises rates during 2016, given that the Fed has been telegraphing its intentions. As for oil prices, while weakness may persist in the near term, we expect prices to find a better balance in late 2016.

Overall, we believe external emerging markets debt will be a “bond picker’s market” throughout 2016 with returns dispersed amongst countries. In our view, it will be important to identify the prospective winners and losers stemming from the decline in commodity prices, to recognize which markets may benefit from structural changes in China and to find the potential beneficiaries of an improving U.S. economy. We believe positive returns may well come from finding those countries that have been mispriced by the market and by focusing on what we consider to be “hotspots” in the emerging markets, such as Brazil and Turkey.

14

FUND BASICS

Emerging Markets Debt Fund

as of March 31, 2016

PERFORMANCE REVIEW
April 1, 2015– March 31, 2016	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		4.43	%		4.18	%		4.56	%		4.53	%
Class C		3.57			4.18			4.04			4.01
Institutional		4.70			4.18			5.12			5.08
Class IR		4.60			4.18			5.03			4.99
July 31, 2015– March 31, 2016
Class R6		4.41	%		4.03	%		5.14	%		5.10	%

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 EMBISM Global Diversified Index (Gross, USD, Unhedged) 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.

15

FUND BASICS

STANDARDIZED TOTAL RETURNS4
For the period ended 3/31/16	One Year			Five Years			Ten Years			Since Inception			Inception Date
Class A		-0.25	%		4.86	%		6.44	%		8.36	%	8/29/03
Class C		2.54			5.04			N/A			6.10		9/29/06
Institutional		4.70			6.19			7.29			9.14		8/29/03
Class IR		4.60			6.09			N/A			5.89		7/30/10
Class R6		N/A			N/A			N/A			4.41		7/31/15

⁴  The Standardized Total Returns are average annual 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 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 period 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.

16

FUND BASICS

TOP TEN COUNTRY ALLOCATION6
	Percentage of Net Assets
	as of 3/31/16			as of 3/31/15
United States		8.3	%		14.7	%
Mexico		5.5			5.1
Indonesia		5.1			3.4
Dominican Republic		5.1			5.3
Hungary		4.4			0.7
Brazil		3.9			3.7
Venezuela		3.7			3.4
Colombia		3.6			2.5
Chile		3.3			3.8
Costa Rica		2.9			3.6
Other		51.3			53.4

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 6.7% as of 3/31/16 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.

17

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Performance Summary

March 31, 2016

The following graph shows the value, as of March 31, 2016, of a $1,000,000 investment made on April 1, 2006 in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the J.P. Morgan EMBI^SM Global Diversified Index, is shown. This performance data represents past performance and should not be considered indicative of future performance, which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and 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. Performance of Class A, Class C, Class IR, and Class R6 Shares will vary from Institutional Shares due to differences in class specific fees and any applicable sales charges. In addition to the Investment Adviser’s decisions regarding issuer/industry/country investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover and subscription and redemption cash flows affecting the Fund.

Emerging Markets Debt Fund’s 10 Year Performance

Performance of a $1,000,000 Investment, with distributions reinvested, from April 1, 2006 through March 31, 2016.

Average Annual Total Return through March 31, 2016	One Year	Five Years	Ten Years	Since Inception
Class A (Commenced August 29, 2003)
Excluding sales charges	4.43%	5.83%	6.93%	8.75%
Including sales charges	-0.25%	4.86%	6.44%	8.36%
Class C (Commenced September 29, 2006)
Excluding contingent deferred sales charges	3.57%	5.04%	N/A	6.10%
Including contingent deferred sales charges	2.54%	5.04%	N/A	6.10%
Institutional (Commenced August 29, 2003)	4.70%	6.19%	7.29%	9.14%
Class IR (Commenced July 30, 2010)	4.60%	6.09%	N/A	5.89%
Class R6 (Commenced July 31, 2015)	N/A	N/A	N/A	4.41%*

* Total return for periods of less than one year represents cumulative total return.

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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 12-month period ended March 31, 2016 (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 average annual total returns, without sales charges, of -6.33%, -7.01%, -5.98%, -6.35%, -6.08%, and -6.57%, respectively. These returns compare to the -3.65% average annual 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 March 31, 2016, the Fund’s Class R6 Shares generated a cumulative total return, without sales charges, of -5.29% compared to the -3.10% 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 economic growth concerns, sector-specific issues and a sharp drop in commodities prices fueled uncertainty and drove higher levels of volatility. High yield corporate bond prices retreated during the fourth calendar quarter, selling off significantly in November and December 2015 amid continued pressure on oil prices and uncertainty surrounding a Federal Reserve (the “Fed”) rate hike. After a rough start to 2016, high yield corporate bond prices rallied beginning in the second half of February 2016 to generate a solidly positive return in the first quarter of 2016.

For the Reporting Period overall, higher quality BBB-rated credits outperformed lower-quality credits. Option adjusted spreads widened approximately 191 basis points, ending the Reporting Period at 656 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 Loans 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. During the fourth quarter of 2015, approximately $42.3 billion of new high yield corporate bonds were priced, with the proceeds used primarily for refinancing. In the first quarter of 2016, approximately $51.2 billion of new high yield corporate bonds came to market, a quarter-over-quarter increase of 23%. The proceeds during the first calendar quarter were used for refinancing, acquisition financing and general corporate financing.

Demand was weak during the Reporting Period, with high yield corporate bond mutual funds experiencing approximately $14.5 billion of investment outflows. The default rate for high yield corporate bonds rose but remained low in historical terms, helped by healthier corporate balance sheets. For 2015 overall, there were 29 defaults among high yield issuers, affecting approximately $23.6 billion in high yield corporate bonds. In the first quarter of 2016, there were 17 defaults among high yield issuers, affecting

19

PORTFOLIO RESULTS

approximately $24.1 billion in high yield corporate bonds. The 12-month par-weighted default high yield corporate bond rate through March 31, 2016 was 3.22%.¹

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

A During the Reporting Period, the Fund was hurt by sector positioning and individual issue selection. The Fund’s performance was also hampered by its overall credit quality positioning.

Conversely, the Fund’s duration positioning added 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.

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

A The Fund was hurt by its lower credit quality bias during the Reporting Period. More specifically, the Fund’s overweight relative to the Index in CCC-rated credits and its underweight in BB-rated credits detracted from relative returns. BB-rated credits outperformed CCC-rated credits during the Reporting Period. An overweight in non-rated credits also dampened relative performance. In addition, the Fund was hindered by its exposure to high yield loans. On the positive side, the Fund’s overweight in emerging markets debt added to performance.

In terms of sector positioning, the Fund’s underweights in chemicals and energy, along with an overweight position in cable and satellite television, detracted from performance. Conversely, the Fund benefited from its overweight positions in commercial services, packaging and building materials.

With regard to individual issue selection, Fund performance was hurt by its overweights in Intelsat, a communications satellite services provider; Vanguard Natural Resources, an oil and natural gas exploration company; and American Energy — Marcellus, LLC, which acquires, develops and operates oil and natural gas properties located in the Marcellus Shale in northern West Virginia. The Fund’s lack of exposure to Energy XXI Gulf Coast and its underweight in California Resources — both oil and natural gas producers — added to relative results. The Fund also benefited from its overweight in Samson Investment Company, the largest privately held company of crude oil and natural gas in the U.S.

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 added to its performance versus the Index. More specifically, the Fund 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. Overall, the use of derivatives 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 continued to increase the Fund’s credit quality, favoring B-rated and BB-rated credits. At the same time, we steadily reduced the Fund’s exposure to CCC-rated credits through selective selling in some of the most economically sensitive industry segments. Overall, we had a preference at the end of the Reporting Period for U.S. cyclical industries that appear to be enjoying healthy growth, such as those in consumer-oriented and real estate-related sectors, as well as certain defensive industries, including cellular telecommunications and cable. At the same time, we were cautious about making allocations to cyclical sectors that are sensitive to global economic growth worries, such as technology, chemicals and metals and mining. During the Reporting Period, we found what we view as attractive opportunities in European high yield corporate bonds that we believe may benefit from European Central Bank stimulus

¹  Source: J.P. Morgan

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PORTFOLIO RESULTS

and the early stages of an economic rebound in Europe. In addition, we found value in high yield loans, which we consider less vulnerable to oil price movements and have a higher overall quality profile than high yield corporate bonds.

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 cellular telecommunications, emerging markets corporate bonds and building materials. It was underweight compared to the Index in metals and mining, gas distribution utilities and electric utilities. We favored BBB-rated credits and maintained the Fund’s modest exposure to CCC-rated credits at the end of the Reporting Period.

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 cautiously positive outlook for high yield corporate bonds. However, in the near term, we expect the asset class to face heightened commodity and equity market volatility, ongoing concerns about global economic growth, and tightening financial conditions. Additional risks that may stem from macro or geopolitical developments to create a broad-based “risk-off” environment include concerns about renewed weakness in Europe or further escalation in economic growth concerns out of China.

Looking ahead, we expect spreads to be generally unchanged at the end of 2016 relative to where they were at the end of the Reporting Period. Although we believe defaults are likely to accelerate in 2016, we maintained a positive view at the end of the Reporting Period on specific consumer-facing sectors where corporate fundamentals are relatively robust. The pickup in defaults during 2016, we believe, will likely be led by energy and metals/mining companies, with some contagion spreading to distressed credits in other industries. Meanwhile, we expect mergers and acquisitions activity to slow and for corporate management teams to become less willing to engage in shareholder friendly activities.

At the end of the Reporting Period, we believed the performance of high yield corporate bonds in the near term may well be driven by oil prices, lending conditions, central bank policy, global economic growth and liquidity. Our view of these drivers have led us to adopt “closer to home” positioning, with a preference for U.S. service-related and consumer-related credits as well as those credits with exposure to deleveraging stories. For similar reasons, the Fund was underweight commodities-related credits at the end of the Reporting Period.

21

FUND BASICS

High Yield Fund

as of March 31, 2016

PERFORMANCE REVIEW
April 1, 2015– March 31, 2016	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		-6.33	%		-3.65	%		5.58	%		5.58	%
Class C		-7.01			-3.65			5.10			5.09
Institutional		-5.98			-3.65			6.19			6.18
Service		-6.35			-3.65			5.69			5.68
Class IR		-6.08			-3.65			6.10			6.10
Class R		-6.57			-3.65			5.60			5.59
July 31, 2015– March 31, 2016
Class R6		-5.29	%		-3.10	%		6.21	%		6.20	%

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.

22

FUND BASICS

STANDARDIZED TOTAL RETURNS4
For the period ended 3/31/16	One Year			Five Years			Ten Years			Since Inception			Inception Date
Class A		-10.53	%		2.74	%		4.73	%		5.61	%	8/1/97
Class C		-7.94			2.93			4.46			5.11		8/15/97
Institutional		-5.98			4.05			5.60			6.26		8/1/97
Service		-6.35			3.53			5.08			5.72		8/1/97
Class IR		-6.08			3.96			N/A			5.49		11/30/07
Class R		-6.57			3.43			N/A			4.95		11/30/07
Class R6		N/A			N/A			N/A			-5.29		7/31/15

⁴  The Standardized Total Returns are average annual 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 period 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 R		1.31			1.31
Class R6		0.70			0.70

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 3/31/166
Company	% of Net Assets			Line of Business
HCA, Inc.		2.9	%	Health Care – Services
Sprint Communications, Inc.		1.6		Telecommunications – Cellular
T-Mobile USA, Inc.		1.6		Telecommunications – Cellular
MGM Resorts International		1.5		Gaming
CCO Holdings LLC/CCO Holdings Capital Corp.		1.5		Media – Cable
Reynolds Group Issuer, Inc.		1.3		Packaging
Tenet Healthcare Corp.		1.2		Health Care – Services
CHS/Community Health Systems, Inc.		1.2		Health Care – Services
Equinix, Inc.		1.2		Technology – Software/Services
Sprint Corp.		1.1		Telecommunications – Cellular

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

TOP INDUSTRY ALLOCATION7
	Percentage of Net Assets
	as of 3/31/16			as of 3/31/15
Telecommunications		11.6	%		11.3	%
Media		11.2			9.8
Health Care		9.9			8.9
Energy		8.0			9.8
Finance		6.1			5.8
Technology		4.5			6.1
Consumer Products		3.9			5.2
Banks		3.8			3.5
Gaming		3.5			4.1
Utilities		3.0			2.5
Other		31.7			33.0

⁷  The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. The above 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

GOLDMAN SACHS HIGH YIELD FUND

Performance Summary

March 31, 2016

The following graph shows the value, as of March 31, 2016, of a $1,000,000 investment made on April 1, 2006 in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the Barclays U.S. High-Yield 2% Issuer Capped Bond Index is shown. This performance data represents past performance and should not be considered indicative of future performance, which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and 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. Performance of Class A, Class C, Service, Class IR, Class R, and Class R6 Shares will vary from Institutional Shares due to differences in class specific fees and any applicable sales charges. In addition to the Investment Adviser’s decisions regarding issuer/industry/country investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover and subscription and redemption cash flows affecting the Fund.

High Yield Fund’s 10 Year Performance

Performance of a $1,000,000 Investment, with distributions reinvested, from April 1, 2006 through March 31, 2016.

Average Annual Total Return through March 31, 2016	One Year	Five Years	Ten Years	Since Inception
Class A (Commenced August 1, 1997)
Excluding sales charges	-6.33%	3.70%	5.22%	5.87%
Including sales charges	-10.53%	2.74%	4.73%	5.61%
Class C (Commenced August 15, 1997)
Excluding contingent deferred sales charges	-7.01%	2.93%	4.46%	5.11%
Including contingent deferred sales charges	-7.94%	2.93%	4.46%	5.11%
Institutional (Commenced August 1, 1997)	-5.98%	4.05%	5.60%	6.26%
Service (Commenced August 1, 1997)	-6.35%	3.53%	5.08%	5.72%
Class IR (Commenced November 30, 2007)	-6.08%	3.96%	N/A	5.49%
Class R (Commenced November 30, 2007)	-6.57%	3.43%	N/A	4.95%
Class R6 (Commenced July 31, 2015)	N/A	N/A	N/A	-5.29%*

* Total return for periods of less than one year represents cumulative total return.

25

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 12-month period ended March 31, 2016 (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 average annual total returns, without sales charges, of -0.89%, -1.63%, -0.55%, -0.64%, and -1.13%, respectively. These returns compare to the -1.33% average annual 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 25 basis points, ending the Reporting Period at 420 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. During the fourth calendar quarter, new high yield loan issuance totaled approximately $59.7 billion. In the first quarter of 2016, new high yield loan issuance was approximately $35.2 billion for a year-over-year decline of 27%. Meanwhile, high yield loan mutual funds experienced investment outflows of $21.6 billion for the Reporting Period overall.

During the Reporting Period, the default rate for high yield loans rose but remained below the historical average, helped by healthier corporate balance sheets. In the 2015 calendar year, there were 21 defaults among high yield loan issuers, affecting approximately $14.1 billion in high yield loans. In the first quarter of 2016, there were 11 defaults, affecting approximately $7.2 billion in high yield loans. The trailing 12-month default rate through March 31, 2016 was 2.38%. (All data per J.P. Morgan.)

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 sector positioning and issue selection within the high yield loan market. It was hurt by its overall credit quality positioning relative to the Index.

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

A In terms of its sector positioning, the Fund’s underweight positions relative to the Index in energy and utilities added to relative returns. In addition, an overweight position in building materials contributed positively. Conversely, the Fund’s underweights in consumer services, leisure and restaurants, and cable and satellite television detracted from relative results.

Relative to individual issue selection, the Fund benefited from its lack of exposure to TXU, an electric utility company; Fieldwood Energy, which focuses on the acquisition and development of conventional oil and gas assets; and Millennium Laboratories, a research-based medication monitoring company. Detracting from relative performance were overweight positions in American Energy — Marcellus LLC, which acquires, develops and operates oil and natural gas properties located in the Marcellus Shale in northern West Virginia; Magnum Hunter Resources, an oil and gas exploration company; and True Religion Apparel, a clothing company.

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 and its underweight in B-rated

26

PORTFOLIO RESULTS

loans. This was offset somewhat by the Fund’s overweight in BB-rated loans, which bolstered performance.

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

A The Fund does not use duration and yield curve positioning as active management strategies within its investment process.

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. During the Reporting Period, the use of forward foreign exchange currency contracts and interest rate swaps did not have a meaningful impact on the Fund’s performance. The use of CDX contracts had a slightly positive 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 allocation relative to the Index in commercial services, electric utilities and health care. We decreased its exposure compared to the Index in chemicals; food, beverage and tobacco; and gaming and lodging. In addition, we increased the Fund’s allocation to BBB-rated and non-rated credits while reducing its allocation to B-rated credits.

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 retail and apparel because we believe they should be among the beneficiaries of lower commodities prices. In addition, the Fund was overweight 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 believed the U.S. economy was approaching the later stages of the credit cycle. Our view was supported by several factors, including heightened stress in the credit markets during the Reporting Period, as exhibited in the steepening of credit curves; the increase in the number of credits trading at stressed levels; the rising incidence of default; and the level of downgrade activity. (A credit curve is the spread over U.S. Treasuries of various maturities for a single bond issuer.)

Overall, at the end of the Reporting Period, we held a cautious, but positive, view on the high yield loan market. We continued to believe the consumer would be the cornerstone of U.S. economic strength in 2016, which should be supportive, in our view, of the asset class. Looking ahead, we anticipate a prolonged period of range-bound spreads, with intermittent periods of spread compression. (Spread compression has the potential to drive up high yield loan prices.) In addition, we believe that, in the near term, spreads will provide adequate compensation in excess of projected default losses for 2016. We anticipate overall default rates could rise to their historical averages during 2016, driven by an elevated number of defaults in the energy and commodity- related sectors. Outside of these sectors, we expect defaults to be much lower. At the end of the Reporting Period, the Fund’s positioning was within the context of an expected 2.5% to 3.0% default rate in 2016 and implemented with what we considered appropriate conservatism given our views on the credit cycle. On a risk-adjusted basis, we believe high yield loans will continue to outperform high yield corporate bonds through the end of 2016.

At the end of the Reporting Period, we continued to emphasize the Fund’s higher quality positioning, as we believe the potential risk-adjusted return is more attractive. In addition, given structural issues within the high yield loan market, we planned to continue managing liquidity on an overall portfolio basis. We also expected to actively manage the Fund in response to commodity price volatility. At the end of the Reporting Period, we planned to maintain the Fund’s exposure to consumer-facing sectors benefiting from lower commodity prices and to maintain our focus on defensive sectors.

27

FUND BASICS

High Yield Floating Rate Fund

as of March 31, 2016

PERFORMANCE REVIEW
April 1, 2015– March 31, 2016	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		-0.89	%		-1.33	%		4.00	%		3.99	%
Class C		-1.63			-1.33			3.35			3.34
Institutional		-0.55			-1.33			4.44			4.43
Class IR		-0.64			-1.33			4.34			4.33
Class R		-1.13			-1.33			3.84			3.84

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. The Index figures do not reflect any deductions for fees or expenses. 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 3/31/16	One Year			Five Years			Since Inception			Inception Date
Class A		-3.13	%		1.99	%		1.98	%	3/31/11
Class C		-2.61			1.69			1.69		3/31/11
Institutional		-0.55			2.82			2.82		3/31/11
Class IR		-0.64			2.75			2.75		3/31/11
Class R		-1.13			2.20			2.20		3/31/11

⁴  The Standardized Total Returns are average annual 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 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 period 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.

28

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 INDUSTRY ALLOCATION6
	Percentage of Net Assets
	as of 3/31/16			as of 3/31/15
Retailers		7.3	%		6.0	%
Health Care		6.6			6.2
Health Care – Services		6.1			3.6
Services Cyclical – Business Services		5.7			4.7
Technology – Software/Services		5.3			3.2
Wireless Telecommunications		4.6			3.3
Media – Broadcasting & Radio		4.5			4.2
Food & Beverages		4.4			6.4
Media – Cable		4.3			3.6
Building Materials		3.8			3.2
Other		48.4			57.3

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.

29

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

Performance Summary

March 31, 2016

The following graph shows the value, as of March 31, 2016, of a $1,000,000 investment made on March 31, 2011 (commencement of operations) in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the Barclays U.S. High-Yield Loans Index is shown. This performance data represents past performance and should not be considered indicative of future performance, which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and 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. Performance of Class A, Class C, Class IR and Class R Shares will vary from Institutional Shares due to differences in class specific fees and any applicable sales charges. In addition to the Investment Adviser’s decisions regarding issuer/industry/ country investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover and subscription and redemption cash flows affecting the Fund.

High Yield Floating Rate Fund’s Lifetime Performance

Performance of a $1,000,000 Investment, with distributions reinvested, from March 31, 2011 through March 31, 2016.

Average Annual Total Return through March 31, 2016	One Year	Five Years	Since Inception
Class A (Commenced March 31, 2011)
Excluding sales charges	-0.89%	2.45%	2.45%
Including sales charges	-3.13%	1.98%	1.98%
Class C (Commenced March 31, 2011)
Excluding contingent deferred sales charges	-1.63%	1.69%	1.69%
Including contingent deferred sales charges	-2.61%	1.69%	1.69%
Institutional (Commenced March 31, 2011)	-0.55%	2.82%	2.82%
Class IR (Commenced March 31, 2011)	-0.64%	2.75%	2.75%
Class R (Commenced March 31, 2011)	-1.13%	2.20%	2.20%

30

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 12-month period ended March 31, 2016 (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 average annual total returns, without sales charges, of -0.53%, -0.29%, -0.27% and -0.18%, respectively. These returns compare to the 0.93% average annual 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 March 31, 2016, the Fund’s Class R6 Shares generated a cumulative total return, without sales charges, of 2.28% compared to the 3.28% 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 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. During the fourth calendar quarter, investment grade credit spreads narrowed by seven basis points, ending 2015 at 159 basis points. Although expectations around Fed monetary policy and continued low oil prices put some pressure on investment grade credit spreads, they were supported by a slowdown in new issuance and ongoing economic growth in the U.S. and Eurozone. U.S. investment grade corporate bonds underperformed European investment grade corporate bonds during the fourth calendar quarter, while U.K. investment grade corporate bonds performed best as a region. Investment grade credit spreads ended the first quarter of 2016 relatively unchanged, tightening by one basis point to finish the Reporting Period at 158 basis points. Spreads, which widened during January 2016 and into the middle of February 2016, reversed on the back of stabilizing oil prices and the European Central Bank’s (“ECB”) decision to buy euro-denominated investment grade corporate bonds. During the first calendar quarter, European investment grade corporate bonds marginally outperformed U.S. investment grade corporate bonds, while U.K. investment grade corporate bonds performed worst as a region.

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. During the third calendar

31

PORTFOLIO RESULTS

quarter, U.S. new issuance was approximately $256 billion, and European new issuance was approximately $108 billion. In the fourth calendar quarter, U.S. new issuance was approximately $229 billion, and European new issuance was approximately $99 billion. During the first quarter of 2016, U.S. new issuance was approximately $301 billion, and European new issuance was approximately $ 192 billion. European new issuance includes U.K. new issuance.

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 grade corporate bonds. Individual issue selection of investment grade corporate bonds also dampened performance. More specifically, the Fund was hampered by its investments in commodity-related names, such as Enterprise Products Operating LLC, a master limited partnership (“MLP”) within the midstream energy sector; TransCanada Corporation, a North American energy infrastructure company; and Williams Partners L.P., an MLP within the Williams Companies midstream energy corporate structure.

On the positive side, the Fund benefited from select investments within specific industries and based on credit quality. In addition, the Fund’s positioning along the yield curve added to performance. For example, the Fund’s overweight in the banking and tobacco sectors and its underweight in higher quality investment grade corporate bonds bolstered returns.

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. The use of these derivatives did not have a material 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 When the Reporting Period started in April 2015 and through 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

32

PORTFOLIO RESULTS

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 what many considered to be attractive valuations resulting from then-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. In early January 2016, we reduced the Fund’s overweight position in investment grade corporate bonds and removed it in the middle of February 2016, adopting a neutral position relative to the benchmark, due to the potential impact of lower oil prices on corporate credit at what we considered the late stage of the credit cycle. We also noted rising market concern that the downturn in the U.S. manufacturing sector might spread to the rest of the economy. In early March 2016, we added a modest overweight position in investment grade corporate bonds to take advantage of what we viewed as attractive valuations, though we remained cautious because of our ongoing concerns about commodity price volatility. Later in the month, we increased the Fund’s overweight position in investment grade corporate bonds given our more optimistic views about oil prices and our expectation that corporate credit would be supported by ECB bond buying. Thus, the Fund held an 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 consumer products, tobacco and banking investment grade corporate bonds. Compared to the Index, it was underweight diversified manufacturing, pharmaceuticals and retailing investment grade corporate bonds. The Fund maintained a bias to lower credit quality BBB-rated issues and intermediate-term maturities at the end of the Reporting Period.

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. Broadly speaking, we believe the investment grade corporate bond market will be challenged in the near term, with factors such as weak global economic growth, commodity market volatility and late-cycle credit activity both presenting risks and creating opportunities. At the end of the Reporting Period, we had a marginally more positive outlook on oil prices and expected monetary policy in Europe and the U.S. to remain supportive. Nevertheless, we believed a cautious approach was warranted, with particular emphasis on tactical positioning and issue selection.

Overall, at the end of the Reporting Period, we favored the U.S. tobacco industry, as we expect it to be free of additional mergers and acquisition activity in the near term following the Reynolds-Lorillard deal. (In June 2015, Lorillard became a wholly owned subsidiary of Reynolds.) Additionally, we believe the U.S. tobacco industry should be a beneficiary of lower gas prices, and the long, downward trajectory in cigarette volumes is beginning to reverse. We have an unfavorable view of the pharmaceuticals industry, as mergers and acquisitions activity there remains active, albeit at a subdued pace compared to 2015. Political risk, in our view, is also rising, with industry pricing becoming a key focus. Indeed, health care overall is a major topic in the U.S. election cycle. In addition, at the end of the Reporting Period, we were monitoring the implications of consolidation within the managed care industry and levels of customer utilization.

33

FUND BASICS

Investment Grade Credit Fund

as of March 31, 2016

PERFORMANCE REVIEW
April 1, 2015– March 31, 2016	Fund Total Return (based on NAV)1			Barclays U.S. Credit Index2			30-Day Standardized Subsidized Yield3			30-Day Standardized Unsubsidized Yield3
Class A		-0.53	%		0.93	%		2.85	%		2.62	%
Institutional		-0.29			0.93			3.29			3.06
Class IR		-0.27			0.93			3.20			2.97
Separate Account Institutional		-0.18			0.93			3.29			3.06
July 31, 2015– March 31, 2016
Class R6		2.28	%		3.28	%		3.26	%		3.02	%

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.

34

FUND BASICS

STANDARDIZED TOTAL RETURNS4
For the period ended 3/31/16	One Year			Five Years			Ten Years			Since Inception			Inception Date
Class A		-4.26	%		4.11	%		4.35	%		4.14	%		11/3/03
Institutional		-0.29			5.26			5.10			4.84			11/3/03
Class IR		-0.27			N/A			N/A			4.43			7/29/11
Separate Account Institutional		-0.18			5.28			5.14			4.88			11/3/03
Class R6		N/A			N/A			N/A			2.28			7/31/15

⁴  The Standardized Total Returns are average annual 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, Class IR, Separate Account Institutional 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 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 period 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
Separate Account Institutional		0.38			0.52
Class R6		0.36			0.50

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.

35

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 (“FNMA”) and Federal Home Loan Mortgage Corp. (“FHLMC”), 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 like any other publicly traded company.

36

FUND BASICS

TOP TEN INDUSTRY ALLOCATION8
	Percentage of Net Assets
	as of 3/31/16			as of 3/31/15
Banks		15.3	%		18.1	%
Food & Beverage		8.6			4.2
Real Estate Investment Trusts		6.7			8.0
Energy		5.4			5.5
Wirelines Telecommunications		5.0			4.3
Electric		4.4			4.2
Technology		4.4			2.2
Insurance		4.0			3.4
Tobacco		3.9			0.4
Noncaptive – Financial		2.9			2.7

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.

37

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

Performance Summary

March 31, 2016

The following graph shows the value, as of March 31, 2016 of a $1,000,000 investment made on April 1, 2006 in Separate Account Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the Barclays U.S. Credit Index, is shown. This performance data represents past performance and should not be considered indicative of future performance, which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and 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. Performance of Class A, Institutional, Class IR, and Class R6 Shares will vary from Separate Account Institutional Shares due to differences in class specific fees and any applicable sales charges. In addition to the Investment Adviser’s decisions regarding issuer/industry investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover and subscription and redemption cash flows affecting the Fund.

Investment Grade Credit Fund’s 10 Year Performance

Performance of a $1,000,000 Investment, with distributions reinvested, from April 1, 2006 through March 31, 2016.

Average Annual Total Return through March 31, 2016	One Year	Five Years	Ten Years	Since Inception
Class A (Commenced November 3, 2003)
Excluding sales charges	-0.53%	4.91%	4.75%	4.46%
Including sales charges	-4.26%	4.11%	4.35%	4.14%
Institutional (Commenced November 3, 2003)	-0.29%	5.26%	5.10%	4.84%
Separate Account Institutional (Commenced November 3, 2003)	-0.18%	5.28%	5.14%	4.88%
Class IR (Commenced July 29, 2011)	-0.27%	N/A	N/A	4.43%
Class R6 (Commenced July 31, 2015)	N/A	N/A	N/A	2.28%*

* Total return for periods of less than one year represents cumulative total return.

38

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 12-month period ended March 31, 2016 (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 average annual total returns, without sales charges, of -3.54%, -4.38%, -3.35% and -3.45%, respectively. These returns compare to the -1.65% average annual total return of the Fund’s benchmark, the J.P. Morgan Government Bond Index — Emerging Markets (GBI-EM^SM) Global Diversified Index (Gross, USD, Unhedged) (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. Local emerging markets debt ended the fourth quarter of 2015 relatively flat, with performance driven rather evenly between changes in local interest rates and currency depreciation versus the U.S. dollar. In the first quarter of 2016, local emerging markets debt generated positive returns, driven primarily by currency appreciation versus the U.S. dollar and, to a lesser extent, by changes in local interest rates.

During the Reporting Period overall, local emerging markets debt, as represented by the Index, posted a return of -1.65%. The weakest performing countries were (in U.S. dollar terms¹) South Africa (-18.40%), Colombia (-12.40%) and Mexico (-6.05%). The top performing countries were Romania (+8.60%), Russia (+7.20%) and Hungary (+7.17%).

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

A During the Reporting Period, the Fund was hurt 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). Our country and issue selection of local emerging markets bonds also detracted slightly from relative performance.

Conversely, the Fund benefited from our country and issue selection of external emerging markets bonds. 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 underweight relative to the Index in Hungarian local interest rates. Despite relatively strong economic growth and a tight labor market, Hungary’s central bank cut its main policy interest rate by 15 basis points to 1.20% in March 2016. At the end of the Reporting Period, the Fund maintained a moderate underweight in Hungarian local rates as we believe inflation may pick up in the coming months given the economy is growing faster than market expectations. Also detracting from Fund results during the Reporting Period was an underweight position in Malaysian local interest

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.

39

PORTFOLIO RESULTS

rates. We believe Malaysia’s central bank has no latitude for further easing, while the country continues to deal with a trade shock and a declining current account balance due to the drop in oil prices. Additionally, Malaysia faces ongoing political challenges as Prime Minister Najib Razak combats corruption charges. In addition, during the Reporting Period, the Fund was hurt by its long position in the Mexican peso (accomplished through the use of forward foreign currency exchange contracts). The Mexican peso depreciated against the U.S. dollar amid overall emerging markets currency weakness. We believe Mexico remains closely tied to the U.S. economy and may therefore benefit should U.S. economic growth continue to improve.

On the positive side, the Fund benefited during the Reporting Period from its overweight relative to the Index in Russian local interest rates, which primarily added value during a 2015 rally in Russian local bonds. The Fund was overweight as we believed Russia had made the necessary currency and fiscal adjustments to accommodate the steep decline in oil prices. (A fiscal adjustment is a reduction in the government’s primary budget deficit. It can result from a reduction in government expenditures, an increase in tax revenues or both. A currency adjustment is applied to offset losses or gains resulting from fluctuations in interest rates.) In addition, during the Reporting Period, the Fund was helped by its position in Brazilian local interest rates and our tactical trading of the Brazilian real (accomplished through the use of forward foreign currency exchange contracts). The Fund’s short position in the Korean won also contributed positively. We maintained short positions in Asian currencies, such as the Korean won, as we continued to believe stagnating economic growth in China would cause weakness in Asian foreign exchange markets.

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. More specifically, the Fund benefited from its slightly short duration position on the U.S. Treasury yield curve relative to the Index in the second quarter of 2015 when interest rates rose in anticipation of a potential rate hike by the Federal Reserve (the “Fed”). We shifted the Fund to a slightly long duration position by the end of the third calendar quarter. At the end of the Reporting Period, the Fund held a slightly short duration position on the U.S. Treasury yield curve relative to the Index.

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 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. 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. 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 Colombian local debt market, positioning that detracted from performance. However, the Fund benefited from its use of interest rate swaps (which we employed along with sovereign local bonds) to gain exposure to Brazilian local interest rates.

The use of forward foreign currency exchange contracts to take a long position in the Mexican peso had a negative impact on the Fund’s performance during the Reporting Period. Conversely, the Fund’s positioning in the Brazilian real and Korean won, implemented via forward foreign currency exchange contracts, added to the Fund’s returns.

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 overweight positions relative to the Index in Thai local

40

PORTFOLIO RESULTS

interest rates. We increased its underweight in Malaysian local interest rates. We moved the Fund from a slightly underweight position in Polish 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. In addition, during the Reporting Period, we reduced the Fund’s long position in the Indian rupee. We also increased its short position in the Chinese renminbi. We remained negative on the macroeconomic outlook for China, specifically that country’s economic growth trajectory and capital outflows. Recent indicators pointed to tepid domestic demand and continued disinflationary pressures.

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, we continued to look for value in long-maturity Brazilian inflation-linked debt and maintained a long position in the Brazilian real. The Fund also 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. In addition, the Fund was overweight Polish local interest rates, as core inflation continued to trend downward, opening the door for potential easing by the country’s central bank.

The Fund was underweight Turkish local interest rates relative to the Index and held a short position in the Turkish lira at the end of the Reporting Period. This positioning was driven by uncertainty surrounding Turkish monetary policy and inflation dynamics, geopolitical risks and a challenging political backdrop. During March 2016, the Central Bank of Turkey had cut its marginal lending rate by 25 basis points to 10.50%, while keeping all other rates unchanged. (A basis point is 1/100th of a percentage point.) Turkey’s inflation rate, however, has been above the central bank’s target of 5% since 2012. Additionally, at the end of the Reporting Period, the Fund had an underweight in Malaysian local interest rates and had a short position in the Malaysian ringgit, as we continued to be concerned about depletion of Malaysia’s foreign exchange reserves, deterioration of its trade balance and challenging political dynamics. The Fund was also underweight China (implemented via a credit default swap) as a hedge against broader concerns about China’s shadow banking system, non-performing loans, slowdown in economic growth and potential policy mistakes. Our rationale also includes challenging fiscal and debt dynamics, erosion of foreign exchange reserves and increasing corporate leverage. In addition, at the end of the Reporting Period, the Fund maintained a short position in the Chinese renminbi and also 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 believed China concerns and oil prices, along with geopolitics, would likely be key performance drivers in the near term. Although these clouds continue to hang over the emerging markets, we did not see signs of a crisis on the horizon. Indeed, we believed at the end of the Reporting Period that 2016 would be the year when emerging markets growth and emerging markets currencies stabilized. We do not anticipate a rapid rebound or a V-shaped recovery. Rather, we expect local emerging markets debt may turn the corner after three consecutive years of declining valuations and downward growth projections. The risks to our view at the end of the Reporting Period included policy mistakes, populism, depletion of reserves and the impact of interest rate hikes on struggling emerging markets economies, should their central banks choose to follow the Fed’s example.

Overall, we believe local emerging markets debt may well become an attractive investment in 2016. Although oil price weakness may persist in the near term, we expect prices to find a better balance in late 2016. We also expect to see continued idiosyncratic challenges in countries such as Brazil. Hence, having a longer-term investment horizon is, in our view, key, as we cannot rule out further negative headlines and market volatility. We plan to continue our discerning approach, focusing on identifying countries that remain mispriced, as we believe local emerging markets debt valuations have stabilized in many cases and should be able to provide adequate compensation for potential challenges in the near term.

41

FUND BASICS

Local Emerging Markets Debt Fund

as of March 31, 2016

PERFORMANCE REVIEW
April 1, 2015– March 31, 2016	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		-3.54	%		-1.65	%		5.43	%		5.36	%
Class C		-4.38			-1.65			4.95			4.89
Institutional		-3.35			-1.65			6.02			5.95
Class IR		-3.45			-1.65			5.93			5.87

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 GBI-EM^SM Global Diversified Index (Gross, USD, Unhedged) is an unmanaged index of debt instruments of 16 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 3/31/16	One Year			Five Years			Since Inception			Inception Date
Class A		-7.90	%		-3.94	%		-0.65	%		2/15/08
Class C		-5.34			-3.79			-0.81			2/15/08
Institutional		-3.35			-2.72			0.25			2/15/08
Class IR		-3.45			-2.84			-1.16			7/30/10

⁴  The Standardized Total Returns are average annual 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 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 period 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.

42

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 3/31/16			as of 3/31/15
Colombia		12.7	%		8.1	%
Poland		11.4			5.8
Brazil		10.7			11.6
Mexico		9.9			9.0
Indonesia		9.2			8.7
Russia		8.4			4.6
South Africa		5.2			5.1
Turkey		4.6			7.8
Thailand		4.6			9.5
Malaysia		3.4			2.9
Other		13.5			23.9

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.

43

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

Performance Summary

March 31, 2016

The following graph shows the value, as of March 31, 2016, of a $1,000,000 investment made on February 15, 2008 (commencement of operations) in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the J.P. Morgan GBI-EM^SM Global Diversified Index, is shown. This performance data represents past performance and should not be considered indicative of future performance, which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and 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. Performance of Class A, Class C and Class IR Shares will vary from Institutional Shares due to differences in class specific fees and any applicable sales charges. In addition to the Investment Adviser’s decisions regarding issuer/industry/country investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover and subscription and redemption cash flows affecting the Fund.

Local Emerging Markets Debt Fund’s Lifetime Performance

Performance of a $1,000,000 Investment, with distributions reinvested, from February 15, 2008 through March 31, 2016.

Average Annual Total Return through March 31, 2016	One Year	Five Years	Since Inception
Class A (Commenced February 15, 2008)
Excluding sales charges	-3.54%	-3.05%	-0.09%
Including sales charges	-7.90%	-3.94%	-0.65%
Class C (Commenced February 15, 2008)
Excluding contingent deferred sales charges	-4.38%	-3.79%	-0.81%
Including contingent deferred sales charges	-5.34%	-3.79%	-0.81%
Institutional (Commenced February 15, 2008)	-3.35%	-2.72%	0.25%
Class IR (Commenced July 30, 2010)	-3.45%	-2.84%	-1.16%

44

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 12-month period ended March 31, 2016 (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 average annual total returns, without sales charges, of 1.89%, 2.23%, 2.14% and 2.23%, respectively. These returns compare to the 2.43% average annual 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 March 31, 2016, the Fund’s Class R6 Shares generated a cumulative total return, without sales charges, of 2.24% compared to the 2.57% 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 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. In the fourth calendar quarter, mortgage-backed securities outperformed duration-equivalent U.S. Treasury securities, as mortgage assets responded favorably to the Federal Reserve’s (the “Fed”) December 2015 rate hike, and there were indications the Fed would continue to hold mortgage-backed securities on its balance sheet until monetary policy was normalized. During the first quarter of 2016, mortgage-backed securities underperformed duration-equivalent U.S. Treasury securities, as mortgage interest rates fell substantially and market concern surrounding rising prepayment speeds grew.

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

A During the Reporting Period, our cross-sector strategy detracted from the Fund’s 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 Fund’s duration strategy 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.

Conversely, the Fund benefited from its positioning in the securitized sector. Our government/swaps strategy also 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.

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

A The Fund was hurt by its overweight in commercial mortgage-backed securities (“CMBS”) amid a broad sell-off in the sector early in the Reporting Period. However, the Fund benefited from its underweight in agency mortgage-backed securities. Within the securitized sector, the Fund was helped by its overweight in Ginnie Mae (“GNMA”) mortgage-backed securities, as GNMA prepayment speeds converged with those of conventional mortgages. In addition, selection of collateralized mortgage obligations (“CMOs”)

45

PORTFOLIO RESULTS

was positive for relative returns. Within the government/swaps sector, the Fund benefited from its tactical strategies during auctions held by the U.S. Treasury and Federal Reserve of New York. (Auctions are selling mechanisms for government debt.)

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

A The Fund’s duration strategy detracted modestly from performance. For most of the Reporting Period, we tactically shifted the Fund’s duration positioning relative to that of the Index between a shorter duration position and a longer duration position, which slightly dampened results amid changing expectation about Fed rate hikes. The Fund’s yield curve positioning strategy did not have a meaningful impact on performance during the Reporting Period. Yield curve indicates a spectrum of maturities.

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 mortgage-backed securities beta of the Fund on an active basis and to hedge the Fund’s CMBS exposure. The use of these derivatives had an overall positive 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 We tactically shifted 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. During the first three months of the Reporting Period, the Fund held a shorter duration position compared to that of the Index. For the rest of the Reporting Period, we tactically shifted the Fund between a shorter duration position and a longer duration position, ending the Reporting Period with a shorter duration position relative to that of 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, on a contribution to duration basis, the Fund was slightly overweight agency CMOs and slightly underweight non-agency CMBS. It was modestly underweight compared to the Index on a contribution to duration basis in pass-through mortgage-backed securities and roughly neutral in agency adjustable-rate mortgages (“ARMs”). (Pass-through mortgage securities consist of a pool of residential mortgage loans, where homeowners’ monthly payments of principal, interest and prepayments pass from the original bank through a government agency or investment bank to investors.) 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 asset-backed securities (“ABS”). At the end of the Reporting Period, the Fund also had positions in non-agency mortgage-backed securities. 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, the Fund had a small underweight in agency mortgage-backed securities because we expected the supply-demand picture to turn more negative. In our view, the seasonal increase in housing supply during the summer of 2016 is likely to boost supply in an environment characterized by less demand. Within agency mortgage-backed securities, the Fund was overweight GNMA mortgage-backed securities, as they were trading at attractive levels relative to conventional mortgage-backed securities during much of the Reporting Period. That said, we tempered the size of this position in the final few months of the Reporting Period. At the end of the Reporting Period, we remained positive on non-agency residential mortgage- backed securities (“RMBS”) and AAA-rated collateralized loan obligations (“CLOs”). We believed senior CLOs offered attractive exposure to credit spreads while having limited exposure to the energy and metals and mining industries. In addition, we expected non-agency RMBS fundamentals to continue improving and believed non-agency RMBS spreads were likely to have a lower correlation to macro-driven spread movements in the near term than other sectors.

46

FUND BASICS

U.S. Mortgages Fund

as of March 31, 2016

PERFORMANCE REVIEW
April 1, 2015– March 31, 2016	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		1.89	%		2.43	%		0.72	%		0.49	%
Institutional		2.23			2.43			1.08			0.84
Class IR		2.14			2.43			0.99			0.75
Separate Account Institutional		2.23			2.43			1.06			0.83
July 31, 2015– March 31, 2016
Class R6		2.24	%		2.57	%		1.06	%		0.82	%

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 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.

STANDARDIZED TOTAL RETURNS4
For the period ended 3/31/16	One Year			Five Years			Ten Years			Since Inception			Inception Date
Class A		-1.94	%		2.68	%		3.83	%		3.71	%		11/3/03
Institutional		2.23			3.86			4.61			4.42			11/3/03
Class IR		2.14			N/A			N/A			3.43			7/29/11
Separate Account Institutional		2.23			3.84			4.62			4.44			11/3/03
Class R6		N/A			N/A			N/A			2.24			7/31/15

⁴  The Standardized Total Returns are average annual 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, Class IR, Separate Account Institutional 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 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 period 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.

47

FUND BASICS

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
Separate Account Institutional		0.44			0.63
Class R6		0.42			0.60

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.

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 and Federal Home Loan Mortgage Corp. GNMA instruments are backed by the full faith and credit of the U.S. Government.

48

GOLDMAN SACHS U.S. MORTGAGES FUND

Performance Summary

March 31, 2016

The following graph shows the value, as of March 31, 2016, of a $1,000,000 investment made on April 1, 2006 in Separate Account Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the Barclays U.S. Securitized Bond Index, is shown. This performance data represents past performance and should not be considered indicative of future performance, which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and 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. Performance of Class A, Institutional, Class IR, and Class R6 Shares will vary from Separate Account Institutional Shares due to differences in class specific fees and any applicable sales charges. In addition to the Investment Adviser’s decisions regarding issuer/industry investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover and subscription and redemption cash flows affecting the Fund.

U.S. Mortgages Fund’s 10 Year Performance

Performance of a $1,000,000 Investment, with distributions reinvested, from April 1, 2006 through March 31, 2016.

Average Annual Total Return through March 31, 2016	One Year	Five Years	Ten Years	Since Inception
Class A (Commenced November 3, 2003)
Excluding sales charges	1.89%	3.47%	4.23%	4.03%
Including sales charges	-1.94%	2.68%	3.83%	3.71%
Institutional (Commenced November 3, 2003)	2.23%	3.86%	4.61%	4.42%
Separate Account Institutional (Commenced November 3, 2003)	2.23%	3.84%	4.62%	4.44%
Class IR (Commenced July 29, 2011)	2.14%	N/A	N/A	3.43%
Class R6 (Commenced July 31, 2015)	N/A	N/A	N/A	2.24%*

* Total return for periods of less than one year represents cumulative total return.

49

GOLDMAN SACHS DYNAMIC EMERGING MARKETS DEBT FUND

Schedule of Investments

March 31, 2016

Principal Amount		Interest Rate				Maturity Date		Value
	Sovereign Debt Obligations – 62.4%
	Argentina – 1.0%
	Republic of Argentina (NR/NR)
ARS	300,000		29.198	%(a)			03/28/17	$	20,432
	990,000		30.467	(a)			10/09/17		72,080
$	210,305		8.280	(b)			12/31/33		250,930
	700,000		0.000	(a)	��		12/15/35		73,500
									416,942
	Brazil – 7.1%
	Brazil Notas do Tesouro Nacional (BB/Ba2)
BRL	430,000		10.000				01/01/17		116,507
	2,750,000		10.000				01/01/18		725,457
	1,273,000		10.000				01/01/19		326,386
	1,000,000		10.000				01/01/21		243,823
	1,308,000		10.000				01/01/23		305,498
	1,284,000		10.000				01/01/25		289,950
	1,624,602		6.000				08/15/50		420,305
	Federal Republic of Brazil (BB/Ba2)
$	230,000		2.625				01/05/23		196,650
	200,000		6.000				04/07/26		203,000
									2,827,576
	Chile – 0.3%
	Republic of Chile (AA-/Aa3)
CLP	83,500,000		5.500				08/05/20		128,505
	Colombia – 6.7%
	Republic of Colombia (BBB/NR)
EUR	190,000		3.875				03/22/26		217,552
	Republic of Colombia (BBB/Baa2)
COP	212,000,000		7.750				04/14/21		71,803
$	200,000		4.375				07/12/21		208,500
	200,000		4.500				01/28/26		204,500
	310,000		6.125				01/18/41		327,050
	Republic of Colombia (BBB+/Baa2)
COP	217,000,000		7.250				06/15/16		72,402
	12,300,000		11.250				10/24/18		4,466
	752,700,000		7.000				05/04/22		241,179
	192,000,000		4.375				03/21/23		53,741
	306,300,000		10.000				07/24/24		114,353
	2,056,700,000		7.500				08/26/26		650,855
	69,800,000		6.000				04/28/28		19,159
	1,448,900,000		7.750				09/18/30		454,303
									2,639,863
	Costa Rica – 0.7%
	Republic of Costa Rica (BB-/Ba1)
$	70,000		9.995				08/01/20		84,962
	200,000		7.158				03/12/45		182,000
									266,962
	Croatia – 0.5%
	Republic of Croatia (BB/Ba2)
EUR	170,000		3.000				03/11/25		182,562
	Czech Republic(a) – 0.1%
	Czech Republic Government Bond (AA/A1)
CZK	990,000		0.370				10/27/16		41,744
	Sovereign Debt Obligations – (continued)
	Dominican Republic – 2.5%
	Dominican Republic (BB-/B1)
$	7,099		9.040	%			01/23/18	$	7,525
DOP	1,900,000		16.000				07/10/20		50,782
	100,000		16.950				02/04/22		2,821
	5,800,000		10.375				03/04/22		127,100
$	150,000		5.875				04/18/24		153,750
	110,000		6.875	(c)			01/29/26		116,600
DOP	4,200,000		11.375				07/06/29		93,772
$	100,000		7.450				04/30/44		105,000
	200,000		6.850				01/27/45		196,000
	140,000		6.850	(c)			01/27/45		137,200
									990,550
	El Salvador – 0.6%
	El Salvador Government International Bond (B+/Ba3)
	20,000		7.750				01/24/23		19,600
	81,000		5.875				01/30/25		69,862
	40,000		6.375				01/18/27		34,200
	10,000		8.250				04/10/32		9,475
	100,000		7.650				06/15/35		87,125
									220,262
	Gabon – 0.4%
	Republic of Gabon (B/Ba3)
	200,000		6.950				06/16/25		165,750
	Ghana – 0.4%
	Republic of Ghana (B-/B3)
	200,000		7.875				08/07/23		158,750
	Guatemala – 0.6%
	Republic of Guatemala (BB/Ba1)
	200,000		5.750				06/06/22		219,000
	Honduras – 0.5%
	Republic of Honduras (B+/B3)
	200,000		7.500				03/15/24		211,750
	Hungary – 1.6%
	Hungary Government Bond (BB+/Ba1)
EUR	50,000		4.375				07/04/17		59,730
$	30,000		4.125				02/19/18		31,087
EUR	140,000		5.750				06/11/18		176,446
	50,000		6.000				01/11/19		64,810
$	20,000		4.000				03/25/19		20,725
	130,000		6.250				01/29/20		144,462
	70,000		5.375				02/21/23		77,612
	10,000		5.750				11/22/23		11,375
	30,000		5.375				03/25/24		33,525
	10,000		7.625				03/29/41		14,163
									633,935
	Indonesia – 2.1%
	Republic of Indonesia (BB+/Baa3)
	400,000		3.750	%			04/25/22		403,354
	200,000		3.375				04/15/23		195,250
	200,000		6.750				01/15/44		241,037
									839,641

50 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)
	Kazakhstan – 0.5%
	Republic of Kazakhstan (BBB-/Baa2)
$	200,000		3.875	%		10/14/24	$	191,200
	Kenya – 0.5%
	Republic of Kenya (B+/NR)
	200,000		6.875			06/24/24		189,000
	Macedonia(c) – 0.3%
	Republic of Macedonia (BB-/NR)
EUR	100,000		4.875			12/01/20		113,443
	Malaysia – 1.1%
	Malaysia Government Bond (A/A3)
MYR	1,640,000		4.262			09/15/16		423,882
	Mexico – 9.0%
	Mexican Udibonos (A/A3)
MXN	1,573,966		4.000			06/13/19		96,376
	2,936,147		2.500			12/10/20		171,048
	271,129		4.500			12/04/25		17,703
	288,007		4.000			11/08/46		17,510
	United Mexican States (A/A3)
	6,145,480		0.000	(d)		04/28/16		354,220
	1,938,000		7.750			12/14/17		118,866
	7,837,700		4.750			06/14/18		455,772
	9,503,500		8.500			12/13/18		601,974
	1,738,000		5.000			12/11/19		100,187
	564,200		6.500			06/10/21		34,299
��	5,946,300		6.500			06/09/22		360,520
	4,141,700		8.000			12/07/23		272,758
	4,299,100		10.000			12/05/24		319,438
	2,308,200		5.750			03/05/26		131,511
	2,469,000		7.500			06/03/27		158,491
	740,200		7.750			11/23/34		48,198
	2,411,600		8.500			11/18/38		168,590
	United Mexican States (BBB+/A3)
$	60,000		3.625			03/15/22		61,950
	20,000		4.750			03/08/44		20,000
	10,000		5.550			01/21/45		11,075
	30,000		5.750			10/12/49		30,525
								3,551,011
	Panama – 0.3%
	Panama Notas del Tesoro (BBB/Baa2)
	30,000		4.875			02/05/21		31,527
	Republic of Panama (BBB/Baa2)
	70,000		6.700			01/26/36		89,250
								120,777
	Peru – 0.6%
	Republic of Peru (A-/A3)
PEN	297,000		5.700	(c)		08/12/24		84,615
	4,000		8.200			08/12/26		1,313
	445,000		6.950			08/12/31		131,976
	53,000		6.900			08/12/37		15,372
								233,276
	Sovereign Debt Obligations – (continued)
	Philippines – 0.6%
	Republic of Philippines (BBB/Baa2)
$	200,000		5.500	%		03/30/26	$	249,500
	Poland – 8.0%
	Poland Government Bond (A-/NR)
PLN	990,000		0.000	(d)		07/25/16		264,293
	380,000		2.500			07/25/18		104,157
	4,090,000		1.500			04/25/20		1,079,457
	5,360,000		2.000			04/25/21		1,424,626
	Poland Government Bond (A-/A2)
	460,000		5.750			10/25/21		146,155
	20,000		5.750			09/23/22		6,451
	480,000		4.000			10/25/23		141,594
	Poland Government Bond (BBB+/A2)
$	10,000		3.250			04/06/26		9,975
								3,176,708
	Romania – 0.1%
	Republic of Romania (BBB-/Baa3)
EUR	30,000		5.250			06/17/16		34,507
	Russia – 4.0%
	Russian Federation Bond (BB+/Ba1)
$	400,000		4.875			09/16/23		417,400
	Russian Federation Bond (BBB-/Ba1)
RUB	4,720,000		7.000			01/25/23		63,456
	21,220,000		7.000			08/16/23		283,417
	26,460,000		8.150			02/03/27		373,520
	31,200,000		8.500			09/17/31		444,727
								1,582,520
	South Africa – 4.6%
	Republic of South Africa (BBB+/Baa2)
ZAR	8,940,000		7.750			02/28/23		568,163
	810,000		10.500			12/21/26		59,960
	6,440,000		8.000			01/31/30		385,619
	5,430,000		8.250			03/31/32		325,871
	1,090,000		8.875			02/28/35		68,106
	180,000		8.500			01/31/37		10,779
	1,790,000		8.750			02/28/48		107,780
	Republic of South Africa (BBB-/Baa2)
$	100,000		5.500			03/09/20		106,100
	200,000		4.665			01/17/24		201,800
								1,834,178
	Sri Lanka(c) – 0.5%
	Republic of Sri Lanka (B+/B1)
	200,000		6.000			01/14/19		200,181
	Thailand – 3.1%
	Thailand Government Bond (A-/Baa1)
THB	4,520,000		3.875			06/13/19		138,491
	10,431,729		1.200			07/14/21		293,223
	6,695,000		3.650			12/17/21		212,577
	2,630,000		3.625			06/16/23		84,941
	9,160,000		3.850			12/12/25		309,524
	7,480,734		1.250			03/12/28		202,551
								1,241,307

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

GOLDMAN SACHS DYNAMIC EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

March 31, 2016

Principal Amount		Interest Rate			Maturity Date		Value
	Sovereign Debt Obligations – (continued)
	Turkey – 2.5%
	Republic of Turkey (BBB-/Baa3)
TRY	130,000		8.500	%		07/10/19	$	44,636
	Republic of Turkey (NR/Baa3)
$	100,000		7.500			07/14/17		106,875
	300,000		6.750			04/03/18		322,875
	330,000		6.250			09/26/22		367,125
	54,000		7.375			02/05/25		64,665
	Turkey Government Bond (BBB-/Baa3)
TRY	210,000		10.400			03/27/19		75,868
								982,044
	Venezuela – 0.7%
	Republic of Venezuela (CCC/Caa3)
$	40,000		7.750			10/13/19		15,000
	20,000		6.000			12/09/20		6,700
	32,000		9.000			05/07/23		11,200
	44,000		8.250			10/13/24		14,960
	430,000		7.650			04/21/25		142,975
	10,000		11.750			10/21/26		3,925
	40,000		9.250			09/15/27		16,000
	100,000		9.250			05/07/28		35,250
	30,000		11.950			08/05/31		11,850
	90,000		9.375			01/13/34		31,725
								289,585
	Vietnam – 0.5%
	Socialist Republic of Vietnam (BB-/B1)
	200,000		4.800			11/19/24		200,250
	Zambia – 0.4%
	Republic of Zambia (B/NR)
	200,000		8.970			07/30/27		164,750
	TOTAL SOVEREIGN DEBT OBLIGATIONS
	(Cost $25,241,321)						$	24,721,911
	Foreign Debt Obligation – 0.2%
	Supranational – 0.2%
	Corporacion Andina de Fomento (AA-/Aa3)
$	80,000		1.500	%		08/08/17	$	80,179
	(Cost $80,202)
	Corporate Obligations – 20.3%
	Argentina – 0.5%
	Irsa Propiedades Comerciales SA (B-/NR)(c)(e)
$	50,000		8.750	%		03/23/23	$	50,313
	YPF SA (NR/Caa1)
	130,000		8.875			12/19/18		134,550
								184,863
	Australia – 0.0%
	Toyota Finance Australia Ltd. (NR/NR)
MXN	330,000		3.760			07/20/17		18,466
	Corporate Obligations – (continued)
	Brazil – 1.0%
	Banco do Brasil SA (B-/NR)(a)(e)
$	200,000		6.250	%		10/29/49	$	111,560
	Banco do Brasil SA (B-/B2)(a)(e)
	200,000		9.000			06/29/49		136,940
	Petrobras Global Finance BV (B+/B3)
	60,000		5.875			03/01/18		57,373
	20,000		5.750			01/20/20		17,230
	90,000		6.250			03/17/24		71,054
								394,157
	Chile – 2.9%
	AES Gener SA (BBB-/Baa3)
	170,000		5.250			08/15/21		179,180
	Cencosud SA (NR/Baa3)(e)
	200,000		6.625			02/12/45		184,250
	GNL Quintero SA (BBB/Baa2)
	290,000		4.634	(c)		07/31/29		289,637
	200,000		4.634			07/31/29		199,750
	Sociedad Quimica y Minera de Chile SA (BBB/Baa1)
	100,000		6.125			04/15/16		99,000
	200,000		3.625			04/03/23		184,250
								1,136,067
	Colombia – 0.6%
	Banco de Bogota SA (BBB-/Baa2)
	200,000		5.000			01/15/17		203,750
	Ecopetrol SA (BBB/Baa3)
	30,000		7.375			09/18/43		27,225
								230,975
	Dominican Republic(e) – 1.1%
	Aeropuertos Dominicanos Siglo XXI SA (B/B1)
	400,000		9.750			11/13/19		421,500
	Guatemala(c)(e) – 0.5%
	Digicel Ltd. (NR/B1)
	240,000		6.000			04/15/21		214,800
	Israel – 0.6%
	Delek & Avner Tamar Bond Ltd. (BBB-/Baa3)(c)
	100,000		2.803			12/30/16		99,750
	100,000		3.839			12/30/18		99,750
	Embraer Overseas Ltd. (BBB/Ba1)
	20,000		5.696			09/16/23		18,700
								218,200
	Ivory Coast(c) – 0.3%
	Agromercantil Senior Trust (BB/NR)
	100,000		6.250			04/10/19		102,875
	Jamaica(c)(e) – 0.4%
	Digicel Group Ltd. (NR/Caa1)
	200,000		8.250			09/30/20		169,000
	Japan – 0.5%
	SoftBank Group Corp. (BB+/Ba1)
	210,000		4.500			04/15/20		213,887

52 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
	Corporate Obligations – (continued)
	Kazakhstan – 0.5%
	KazMunayGas National Co. JSC (BB/Baa3)
$	190,000		9.125	%		07/02/18	$	207,100
	Luxembourg – 1.5%
	Altice Financing SA (BB-/B1)(c)(e)
EUR	100,000		5.250			02/15/23		116,350
	MHP SA (B-/NR)
$	200,000		8.250			04/02/20		174,000
	Tupy Overseas SA (BB-/NR)(c)(e)
	200,000		6.625			07/17/24		186,000
	Wind Acquisition Finance SA (BB/Ba3)(c)(e)
EUR	110,000		4.000			07/15/20		123,810
								600,160
	Mexico – 2.5%
	Cemex SAB de CV (B+/NR)(c)(e)
	100,000		4.750			01/11/22		110,092
	Gruma SAB de CV (BBB/NR)(e)
	200,000		4.875			12/01/24		211,750
	Grupo Televisa SAB (BBB+/Baa1)
	100,000		6.000			05/15/18		108,108
	200,000		6.125	(e)		01/31/46		210,404
	Metalsa SA de CV (BB+/NR)
	150,000		4.900			04/24/23		140,955
	Petroleos Mexicanos (BBB+/Baa3)(c)
	20,000		5.500			02/04/19		20,900
	70,000		6.375			02/04/21		74,480
	90,000		6.875			08/04/26		97,200
								973,889
	Netherlands – 1.8%
	Embraer Netherlands Finance BV (BBB/Ba1)
	40,000		5.050			06/15/25		35,150
	Greenko Dutch BV (B+/NR)(e)
	200,000		8.000			08/01/19		213,275
	Helios Towers Finance Netherlands BV (B/NR)(e)
	200,000		8.375			07/15/19		178,025
	Myriad International Holding BV (BBB-/Baa3)
	100,000		6.375			07/28/17		104,500
	Petrobras Global Finance BV (B+/B3)
	10,000		3.000			01/15/19		8,540
	40,000		5.375			01/27/21		32,728
	220,000		4.375			05/20/23		159,380
								731,598
	Paraguay – 1.3%
	Banco Continental SAECA (BB/Ba1)(e)
	150,000		8.875			10/15/17		150,965
	Banco Regional SAECA (BB-/Ba1)(c)
	150,000		8.125			01/24/19		154,313
	Telefonica Celular del Paraguay SA (NR/Ba3)(e)
	200,000		6.750			12/13/22		194,000
								499,278
	Peru – 1.7%
	Abengoa Transmision Sur SA (BBB-/NR)(c)
	200,000		6.875			04/30/43		203,500
	Corporate Obligations – (continued)
	Peru – (continued)
	Corp Lindley S.A. (BBB/NR)
$	290,000		6.750	%		11/23/21	$	326,612
	Corp Lindley SA (BBB/NR)
	150,000		4.625			04/12/23		151,500
								681,612
	Philippines – 0.3%
	Energy Development Corp. (NR/NR)
	100,000		6.500			01/20/21		110,625
	Russia(a)(e) – 0.5%
	SB Capital SA (NR/NR)
	200,000		5.500			02/26/24		181,750
	Turkey – 0.9%
	Anadolu Efes Biracilik Ve Malt Sanayii AS (BBB-/Baa3)
	200,000		3.375			11/01/22		176,500
	Global Liman Isletmeleri (NR/B1)(e)
	200,000		8.125			11/14/21		175,859
								352,359
	United Arab Emirates(c) – 0.5%
	Ruwais Power Co. PJSC (A-/A3)
	200,000		6.000			08/31/36		217,000
	Venezuela – 0.4%
	Petroleos de Venezuela SA (CCC/NR)
	20,000		9.000			11/17/21		7,400
	260,000		6.000			05/16/24		80,730
	260,000		6.000			11/15/26		80,210
								168,340
	TOTAL CORPORATE OBLIGATIONS
	(Cost $8,070,250)						$	8,028,501
	Structured Notes – 4.9%
	Indonesia – 4.9%
	Republic of Indonesia (Issuer Deutsche Bank AG (London)) (NR/NR)
IDR	3,000,000,000		8.375	%		03/19/24	$	234,163
	4,100,000,000		9.000	(c)		03/19/29		327,239
	2,200,000,000		8.250	(c)		06/17/32		164,668
	Republic of Indonesia (Issuer JPMorgan Chase Bank NA) (NR/NR)(c)
	3,847,000,000		8.375			09/17/26		302,886
	2,498,000,000		9.000			03/19/29		199,377
	Republic of Indonesia (Issuer Standard Chartered Bank) (NR/NR)(c)
	5,570,000,000		8.375			03/19/24		434,762
	1,026,000,000		9.000			03/19/29		81,890
	1,110,000,000		9.000			03/19/29		88,594
	1,050,000,000		8.750			05/19/31		83,501
	TOTAL STRUCTURED NOTES
	(Cost $1,850,848)						$	1,917,080

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

GOLDMAN SACHS DYNAMIC EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

March 31, 2016

Principal Amount		Interest Rate			Maturity Date		Value
	Municipal Debt Obligations – 1.2%
	Puerto Rico – 1.2%
	Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2008 A (CCC-/Caa3)
$	20,000		6.000	%		07/01/44	$	13,400
	Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2012 A (CCC-/Caa3)
	5,000		5.125			07/01/37		3,250
	20,000		5.250			07/01/42		13,050
	Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2012 D (CCC-/Caa3)
	5,000		5.000			07/01/33		3,238
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2008 A (CC/Caa3)
	20,000		5.500			07/01/32		11,900
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2011 E (CC/Caa3)
	70,000		5.625			07/01/32		41,737
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2012 A (CC/Caa3)
	15,000		5.500			07/01/26		9,019
	20,000		5.500			07/01/39		11,900
	25,000		5.000			07/01/41		14,812
	Puerto Rico Commonwealth GO Bonds Series 2008 A (CC/Caa3)
	15,000		5.375			07/01/33		8,925
	Puerto Rico Commonwealth GO Bonds Series 2014 A (CC/Caa3)
	100,000		8.000			07/01/35		68,750
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2009 A (CC/Ca)
	30,000		0.000	(d)		08/01/32		11,626
	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		6,188
	55,000		5.375			08/01/39		22,550
	35,000		5.500			08/01/42		14,437
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2010 C (CC/Ca)
	5,000		5.000			08/01/35		2,013
	10,000		6.000			08/01/39		4,225
	350,000		5.250			08/01/41		142,625
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2011 A-1 (CC/Ca)
	75,000		5.000			08/01/43		30,187
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB Unrefunded SubSeries 2009 A (CC/Ca)
	45,000		5.500			08/01/28		18,675
	35,000		6.125			08/01/29		14,875
	TOTAL MUNICIPAL DEBT OBLIGATIONS
	(Cost $595,218)						$	477,945
	U.S. Treasury Obligations – 4.3%
	United States Treasury Bond
$	100,000		2.875	%		08/15/45	$	105,233
	United States Treasury Notes
	500,000		1.625			07/31/20		509,960
	700,000		1.500			02/28/23		698,152
	400,000		1.500			03/31/23		398,720
	TOTAL U.S. TREASURY OBLIGATIONS
	(Cost $1,702,123)						$	1,712,065
	TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT
	(Cost $37,539,962)						$	36,937,681
	Short-term Investment(f) – 6.6%
	Repurchase Agreements – 6.6%
	Joint Repurchase Agreement Account II
$	2,600,000		0.301	%		04/01/16	$	2,600,000
	(Cost $2,600,000)
	TOTAL INVESTMENTS – 99.9%
	(Cost $40,139,962)						$	39,537,681
	OTHER ASSETS IN EXCESS OF     LIABILITIES – 0.1%							57,870
	NET ASSETS – 100.0%						$	39,595,551

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 March 31, 2016.
(b)	Security is currently in default and/or non-income producing.
(c)	Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed 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 $4,664,726, which represents approximately 11.8% of net assets as of March 31, 2016.
(d)	Issued with a zero coupon. Income is recognized through the accretion of discount.
(e)	Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.
(f)	Joint repurchase agreement was entered into on March 31, 2016. Additional information appears on page 127.
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.

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

GOLDMAN SACHS DYNAMIC EMERGING MARKETS DEBT FUND

Currency Abbreviations:
AED	—United Arab Emirates Dirham
ARS	—Argentine Peso
BRL	—Brazilian Real
CLP	—Chilean Peso
CNH	—Chinese Yuan Renminbi Offshore
CNY	—Chinese Yuan Renminbi
COP	—Colombian Peso
CZK	—Czech Koruna
DOP	—Dominican Peso
EUR	—Euro
HKD	—Hong Kong Dollar
HUF	—Hungarian Forint
IDR	—Indonesian Rupiah
INR	—Indian Rupee
KRW	—South Korean Won
MXN	—Mexican Peso
MYR	—Malaysian Ringgit
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:
DTF	—Depósitos Termino Fijo
EURO	—Euro Offered Rate
GO	—General Obligation
HIBOR	—Hong Kong Interbank Offered Rate
JIBAR	—Johannesburg Interbank Agreed Rate
KWCDC	—South Korean Won Certificate of Deposit
LLC	—Limited Liability Company
NR	—Not Rated
PLC	—Public Limited Company
RB	—Revenue Bond
TIIE	—La Tasa de Interbank Equilibrium Interest Rate

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

GOLDMAN SACHS DYNAMIC EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

March 31, 2016

ADDITIONAL INVESTMENT INFORMATION

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At March 31, 2016, 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	BRL	590,758	USD	161,000	$	164,103		04/04/16	$	3,103
	HUF	28,917,716	EUR	92,000		104,773		04/26/16		5
	PLN	784,392	EUR	182,000		210,134		04/26/16		2,875
	RUB	14,913,800	USD	200,000		221,724		04/04/16		21,724
Barclays Bank PLC	CNH	652,584	USD	95,161		100,195		09/01/16		5,034
	CNY	167,410	USD	25,346		25,839		05/19/16		493
	CNY	650,524	USD	96,075		99,891		08/05/16		3,816
	CNY	811,610	USD	120,560		124,534		08/16/16		3,974
	CNY	654,431	USD	98,245		100,403		08/18/16		2,158
	IDR	1,290,283,000	USD	94,734		98,105		04/07/16		3,371
	INR	6,699,421	USD	97,000		101,039		04/07/16		4,039
	INR	6,750,250	USD	100,000		101,641		04/18/16		1,641
	ZAR	612,205	USD	40,000		41,256		04/26/16		1,256
BNP Paribas SA	BRL	1,204,008	USD	333,336		334,453		04/04/16		1,117
	HUF	28,943,844	EUR	92,000		104,867		04/26/16		100
	INR	6,555,946	USD	98,261		98,928		04/04/16		668
	INR	6,702,562	USD	97,000		101,087		04/07/16		4,087
	MXN	53,903	USD	3,039		3,112		04/26/16		73
	MYR	404,810	USD	98,000		103,847		04/01/16		5,847
	MYR	400,801	USD	100,348		103,373		04/25/16		3,025
	RUB	8,727,903	USD	126,973		129,495		04/11/16		2,522
	TWD	13,051,155	USD	403,000		406,023		04/21/16		3,023
Citibank NA	AED	4,183,842	USD	1,137,223		1,137,968		08/11/16		745
	AED	1,819,227	USD	494,463		494,789		08/15/16		327
	BRL	185,723	USD	50,573		51,591		04/04/16		1,018
	CNH	1,294,518	USD	191,000		198,754		09/01/16		7,754
	COP	227,950,654	USD	71,051		75,966		04/04/16		4,914
	IDR	1,384,023,368	USD	104,000		104,955		05/02/16		955
	INR	5,713,294	USD	86,082		86,167		04/07/16		84
	MYR	401,147	USD	96,000		102,907		04/01/16		6,907
	RON	892,682	USD	222,270		227,397		04/26/16		5,126
	RUB	4,091,588	USD	55,000		60,830		04/04/16		5,830
	RUB	17,794,804	USD	234,968		264,249		04/08/16		29,282
	RUB	18,106,325	USD	244,446		267,944		04/20/16		23,499
	RUB	25,824,698	USD	369,923		381,943		04/22/16		12,020
	RUB	15,032,445	USD	220,976		222,071		04/26/16		1,095
	RUB	4,356,088	USD	57,047		64,084		05/12/16		7,038
	TRY	1,061,245	USD	362,559		373,769		04/26/16		11,210
	USD	58,322	MXN	1,004,563		58,004		04/26/16		318
	ZAR	621,524	USD	40,000		41,884		04/26/16		1,884
Credit Suisse International (London)	COP	126,972,300	USD	39,000		42,314		04/04/16		3,314
	COP	315,002,480	USD	104,000		104,860		05/02/16		860
	COP	483,013,092	USD	158,521		160,490		05/13/16		1,969
	RUB	5,625,040	USD	80,000		83,386		04/14/16		3,386
	RUB	27,604,365	USD	389,439		408,735		04/18/16		19,296
	RUB	2,868,975	USD	41,000		42,395		04/25/16		1,395
Deutsche Bank AG (London)	CNH	646,606	USD	95,000		99,277		09/01/16		4,277
	CNY	778,154	USD	115,184		119,570		07/26/16		4,386
	CNY	674,770	USD	99,855		103,635		08/02/16		3,780

56 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
Deutsche Bank AG (London) (continued)	CNY	332,896	USD	49,194	$	51,125		08/03/16	$	1,931
	HUF	481,077,121	USD	1,702,928		1,743,007		04/26/16		40,079
	IDR	1,302,547,890	USD	98,000		99,038		04/07/16		1,038
	IDR	1,340,254,850	USD	101,000		101,792		04/18/16		792
	MXN	2,245,407	USD	125,659		129,651		04/26/16		3,992
	MYR	364,666	USD	89,073		94,035		04/08/16		4,961
	PEN	119,000	USD	35,186		35,765		04/22/16		579
	THB	17,999,000	USD	502,625		511,110		05/12/16		8,485
	USD	236,956	THB	8,246,078		234,255		04/26/16		2,702
HSBC Bank PLC	CNH	1,328,508	USD	197,000		203,973		09/01/16		6,973
	CNY	601,412	USD	89,310		93,034		04/14/16		3,725
	CNY	1,215,483	USD	178,619		186,921		07/14/16		8,302
	CNY	1,029,199	USD	152,322		158,263		07/15/16		5,941
	CNY	605,952	USD	89,327		93,141		07/21/16		3,814
	CNY	932,446	USD	137,966		143,211		08/02/16		5,244
	COP	718,704,032	USD	213,246		239,343		04/28/16		26,097
	KRW	578,059,640	USD	477,775		504,512		04/08/16		26,737
	MYR	1,279,201	USD	304,123		329,931		04/26/16		25,808
	MYR	1,914,975	USD	461,845		493,914		05/04/16		32,069
	MYR	139,664	USD	32,144		36,022		05/06/16		3,878
	PHP	2,926,000	USD	60,332		63,576		04/27/16		3,244
	TRY	581,932	USD	199,000		204,956		04/26/16		5,956
	TWD	3,296,236	USD	101,000		102,542		04/18/16		1,542
	TWD	6,704,121	USD	208,000		208,580		04/26/16		580
	USD	229,917	KRW	262,795,040		229,359		04/08/16		558
JPMorgan Morgan Chase Bank (London)	BRL	368,224	USD	98,000		102,286		04/04/16		4,286
	CNH	645,819	USD	95,000		99,156		09/01/16		4,156
	CNY	1,880,722	USD	275,188		289,283		07/11/16		14,095
	CNY	1,261,961	USD	184,910		194,095		07/12/16		9,185
	INR	6,620,388	USD	99,041		99,901		04/04/16		860
	MXN	7,563,160	USD	431,000		436,702		04/26/16		5,702
	MYR	408,910	USD	100,000		105,458		04/20/16		5,458
	MYR	412,522	USD	101,000		106,391		04/21/16		5,391
	RUB	3,143,110	USD	42,576		46,729		04/04/16		4,152
	USD	207,000	CNH	1,335,719		205,080		09/01/16		1,920
	USD	105,000	RUB	7,098,000		104,767		04/29/16		233
	USD	53,130	ZAR	785,787		52,953		04/26/16		177
Morgan Stanley & Co.	BRL	1,417,987	USD	378,135		393,892		04/04/16		15,757
	CNH	364,082	USD	53,390		55,900		09/01/16		2,510
	IDR	1,383,086,415	USD	103,906		104,884		05/02/16		978
	MXN	1,795,324	USD	100,000		103,663		04/26/16		3,663
	MYR	371,976	USD	90,121		95,919		04/08/16		5,799
	MYR	736,642	USD	188,173		189,981		04/20/16		1,807
	MYR	1,279,201	USD	304,731		329,938		04/28/16		25,207
	RUB	5,739,346	USD	79,000		85,154		04/11/16		6,154
	RUB	6,844,700	USD	100,000		101,261		04/21/16		1,261
	RUB	7,094,766	USD	104,000		104,719		04/29/16		719
	TWD	151,348	USD	4,597		4,708		04/19/16		111
	USD	194,000	BRL	695,889		191,782		05/03/16		2,218
	USD	110,268	MXN	1,907,537		110,142		04/26/16		126

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

GOLDMAN SACHS DYNAMIC EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

March 31, 2016

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Gain
Royal Bank of Canada	BRL	387,520	USD	96,449	$	107,646		04/04/16	$	11,197
	USD	102,000	BRL	366,569		101,826		04/04/16		174
	USD	105,000	MXN	1,803,903		104,159		04/26/16		841
Royal Bank of Scotland PLC	COP	128,090,138	USD	39,000		42,687		04/04/16		3,687
	COP	309,621,687	USD	97,945		103,165		04/11/16		5,220
	COP	127,819,280	USD	40,000		42,584		04/15/16		2,584
	TRY	881,976	USD	305,000		310,631		04/26/16		5,631
	USD	100,000	MXN	1,730,908		99,944		04/26/16		56
Standard Chartered Bank	CNH	1,296,830	USD	190,000		199,109		09/01/16		9,109
	CNY	1,243,543	USD	182,525		191,146		07/21/16		8,621
	CNY	1,234,959	USD	182,531		189,814		07/22/16		7,283
	INR	12,777,149	USD	184,855		192,703		04/07/16		7,848
	INR	6,733,450	USD	100,000		101,388		04/18/16		1,388
	MYR	809,504	USD	198,000		208,750		04/11/16		10,750
	PEN	264,000	USD	75,829		79,345		04/22/16		3,516
	TRY	2,331,228	USD	787,497		821,055		04/26/16		33,558
	USD	399,000	CNH	2,580,748		396,237		09/01/16		2,763
	USD	63,000	ZAR	931,660		62,783		04/26/16		217
	ZAR	1,259,033	USD	82,000		84,844		04/26/16		2,844
State Street Bank (London)	MXN	1,778,800	USD	100,000		102,709		04/26/16		2,709
	ZAR	13,111,057	USD	840,614		883,534		04/26/16		42,920
UBS AG (London)	BRL	1,131,765	USD	294,000		314,385		04/04/16		20,385
	PLN	392,405	EUR	91,000		105,123		04/26/16		1,493
Westpac Banking Corp.	CNH	652,852	USD	95,000		100,236		09/01/16		5,236
	USD	102,078	IDR	1,338,961,350		101,694		04/18/16		385
TOTAL									$	773,987

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Loss
Bank of America Securities LLC	EUR	91,000	PLN	388,024	$	103,630		04/26/16	$	(319	)
	HUF	45,488,892	EUR	146,440		164,812		04/26/16		(1,951	)
	USD	96,000	CNH	635,430		97,965		06/15/16		(1,965	)
	USD	97,000	INR	6,572,720		99,181		04/04/16		(2,181	)
Barclays Bank PLC	USD	25,346	CNH	167,410		25,846		05/19/16		(500	)
	USD	96,075	CNH	650,140		99,960		08/05/16		(3,885	)
	USD	120,560	CNH	811,128		124,641		08/16/16		(4,081	)
	USD	98,245	CNH	653,940		100,476		08/18/16		(2,231	)
	USD	373,454	CNH	2,512,428		385,747		09/01/16		(12,293	)
	USD	97,740	TWD	3,203,904		99,670		04/18/16		(1,930	)
	USD	478,327	TWD	15,765,183		490,489		04/26/16		(12,162	)
BNP Paribas SA	EUR	91,000	PLN	390,420		103,630		04/26/16		(962	)
	HUF	1,591,238	EUR	5,081		5,765		04/26/16		(20	)
	USD	1,136,632	AED	4,183,842		1,137,968		08/11/16		(1,336	)
	USD	494,241	AED	1,819,227		494,789		08/15/16		(547	)
	USD	328,399	BRL	1,204,008		329,096		06/02/16		(697	)
	USD	209,144	EUR	184,900		210,899		06/15/16		(1,754	)
	USD	97,000	INR	6,603,614		99,648		04/04/16		(2,648	)
	USD	97,982	INR	6,555,946		98,715		04/18/16		(734	)

58 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
BNP Paribas SA (continued)	USD	337,488	KRW	394,014,104	$	343,700		04/28/16	$	(6,212	)
	USD	100,326	MYR	400,801		102,818		04/01/16		(2,493	)
Citibank NA	IDR	1,311,291,000	USD	100,000		99,632		04/14/16		(368	)
	USD	50,573	BRL	183,591		50,998		04/04/16		(426	)
	USD	55,369	CNH	362,071		55,591		09/01/16		(222	)
	USD	89,148	IDR	1,209,744,475		91,982		04/07/16		(2,833	)
	USD	85,927	INR	5,713,294		86,027		04/18/16		(100	)
	USD	98,000	KRW	118,129,200		103,099		04/08/16		(5,099	)
	USD	99,000	KRW	119,743,965		104,500		04/11/16		(5,500	)
	USD	91,993	KRW	113,075,910		98,644		04/25/16		(6,651	)
	USD	103,000	MYR	415,538		107,178		04/28/16		(4,178	)
	USD	222,275	RUB	15,032,445		223,488		04/04/16		(1,213	)
	USD	216,149	RUB	15,332,429		227,486		04/11/16		(11,337	)
	USD	727,114	SGD	1,005,998		746,287		04/26/16		(19,174	)
	USD	94,395	TWD	3,136,760		97,576		04/14/16		(3,180	)
	USD	230,007	TWD	7,553,413		234,981		04/19/16		(4,975	)
	USD	40,000	ZAR	607,399		40,932		04/26/16		(932	)
Credit Suisse International (London)	USD	110,107	CLP	79,497,041		118,440		04/22/16		(8,333	)
	USD	159,410	COP	483,013,092		160,966		04/04/16		(1,556	)
	USD	40,000	RUB	2,749,360		40,710		04/18/16		(710	)
	USD	41,000	RUB	2,793,748		41,319		04/22/16		(319	)
	USD	112,683	RUB	8,956,331		131,761		05/12/16		(19,078	)
Deutsche Bank AG (London)	IDR	2,282,187,480	USD	174,000		173,454		04/11/16		(546	)
	IDR	1,308,791,000	USD	100,000		99,372		04/21/16		(628	)
	MXN	1,791,634	USD	104,000		103,450		04/26/16		(550	)
	USD	115,184	CNH	777,720		119,638		07/26/16		(4,454	)
	USD	99,855	CNH	674,321		103,694		08/02/16		(3,839	)
	USD	49,194	CNH	332,699		51,158		08/03/16		(1,964	)
	USD	298,791	CNH	2,004,333		307,736		09/01/16		(8,945	)
	USD	40,577	IDR	555,909,000		42,191		04/25/16		(1,614	)
	USD	205,000	KRW	238,752,840		208,282		04/25/16		(3,282	)
HSBC Bank PLC	KRW	262,795,040	USD	229,816		229,255		04/25/16		(561	)
	USD	100,000	BRL	363,926		101,092		04/04/16		(1,092	)
	USD	89,310	CNH	601,947		93,073		04/14/16		(3,763	)
	USD	178,619	CNH	1,215,326		187,073		07/14/16		(8,453	)
	USD	152,322	CNH	1,028,887		158,366		07/15/16		(6,045	)
	USD	89,327	CNH	605,818		93,218		07/21/16		(3,891	)
	USD	137,966	CNH	931,985		143,317		08/02/16		(5,350	)
	USD	447,461	CNH	3,025,159		464,470		09/01/16		(17,009	)
	USD	39,178	CZK	966,820		40,693		04/20/16		(1,514	)
	USD	206,500	HKD	1,602,091		206,565		04/26/16		(65	)
	USD	230,321	INR	15,899,077		239,787		04/07/16		(9,466	)
	USD	60,400	MYR	254,135		65,194		04/01/16		(4,793	)
	USD	103,000	SGD	141,224		104,765		04/26/16		(1,765	)
JPMorgan Morgan Chase Bank (London)	IDR	839,414,986	USD	63,882		63,709		04/25/16		(174	)
	USD	855,318	CNH	5,591,895		864,235		04/26/16		(8,917	)
	USD	275,188	CNH	1,881,457		289,654		07/11/16		(14,467	)
	USD	184,910	CNH	1,262,472		194,350		07/12/16		(9,440	)
	USD	207,000	CNH	1,373,740		210,918		09/01/16		(3,918	)
	USD	145,818	IDR	1,941,416,182		147,554		04/11/16		(1,737	)

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

GOLDMAN SACHS DYNAMIC EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

March 31, 2016

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Loss
JPMorgan Morgan Chase Bank (London) (continued)	USD	201,328	IDR	2,775,780,059	$	210,587		04/29/16	$	(9,258	)
	USD	98,000	KRW	118,272,280		103,224		04/08/16		(5,224	)
	USD	199,000	MXN	3,545,524		204,721		04/26/16		(5,721	)
	USD	102,000	MYR	409,030		105,496		04/25/16		(3,496	)
	USD	113,631	TWD	3,790,735		117,916		04/12/16		(4,285	)
Morgan Stanley & Co.	USD	790,166	BRL	3,045,273		845,925		04/04/16		(55,759	)
	USD	665,780	COP	2,220,375,000		739,568		04/22/16		(73,788	)
	USD	104,109	IDR	1,383,086,415		105,162		04/07/16		(1,053	)
	USD	100,000	KRW	119,100,000		103,927		04/15/16		(3,927	)
	USD	102,000	KRW	118,269,000		103,175		04/25/16		(1,175	)
	USD	36,000	MYR	151,020		38,741		04/01/16		(2,741	)
	USD	188,159	MYR	736,642		189,954		04/08/16		(1,795	)
	USD	191,493	MYR	774,464		199,735		04/20/16		(8,241	)
	USD	307,945	PLN	1,218,076		326,156		06/15/16		(18,211	)
	USD	96,000	RUB	7,116,053		105,794		04/04/16		(9,794	)
	USD	41,000	RUB	2,786,016		41,205		04/22/16		(205	)
	USD	75,621	RUB	6,062,187		89,183		05/12/16		(13,562	)
	USD	99,000	TWD	3,242,824		100,871		04/11/16		(1,871	)
Royal Bank of Canada	USD	208,000	BRL	751,519		208,759		04/04/16		(759	)
	USD	2,237,162	EUR	2,012,081		2,291,329		04/26/16		(54,167	)
Royal Bank of Scotland PLC	COP	126,144,648	USD	42,000		41,978		05/04/16		(22	)
	EUR	35,000	PLN	149,242		39,858		04/26/16		(123	)
	MXN	1,815,448	USD	105,000		104,825		04/26/16		(175	)
	USD	139,000	MXN	2,424,522		139,993		04/26/16		(993	)
	USD	12,417	TRY	35,813		12,613		04/26/16		(196	)
Standard Chartered Bank	USD	182,525	CNH	1,243,543		191,346		07/21/16		(8,821	)
	USD	182,531	CNH	1,234,228		189,903		07/22/16		(7,372	)
	USD	55,000	CNH	366,383		56,253		09/01/16		(1,253	)
	USD	82,000	ZAR	1,236,321		83,314		04/26/16		(1,314	)
UBS AG (London)	EUR	93,000	PLN	397,844		105,907		04/26/16		(673	)
	USD	148,000	BRL	575,106		159,755		04/04/16		(11,755	)
	USD	67,980	KRW	78,863,120		68,829		04/08/16		(850	)
Westpac Banking Corp.	USD	204,000	CNH	1,366,075		209,741		09/01/16		(5,741	)
	USD	100,981	IDR	1,365,564,612		103,714		04/18/16		(2,734	)
	USD	232,622	INR	15,993,350		241,209		04/07/16		(8,587	)
	USD	50,180	MYR	207,936		53,621		04/11/16		(3,441	)
	USD	192,117	MYR	800,743		206,512		04/20/16		(14,396	)
	USD	163,414	TWD	5,352,630		166,505		04/14/16		(3,091	)
TOTAL									$	(631,896	)

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

GOLDMAN SACHS DYNAMIC EMERGING MARKETS DEBT FUND

ADDITIONAL INVESTMENT INFORMATION (continued)

FUTURES CONTRACTS — At March 31, 2016, the Fund had the following futures contracts:

Type	Number of Contracts Long (Short)			Expiration Date	Current Value			Unrealized Gain (Loss)
2 Year U.S. Treasury Bonds		3		June 2016	$	656,250		$	576
5 Year U.S. Treasury Notes		12		June 2016		1,453,969			2,679
10 Year U.S. Treasury Notes		(6	)	June 2016		(782,344	)		(8,063	)
20 Year U.S. Treasury Bonds		(1	)	June 2016		(164,437	)		(1,139	)
TOTAL								$	(5,947	)

SWAP CONTRACTS — At March 31, 2016, 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	1,180		01/02/18	13.962%	1 month Brazilian Interbank Deposit Average	$	899
	MXN	680		03/03/26	6.930	Mexico Interbank TIIE 28 Days		2,762
Barclays Bank PLC	BRL	440		01/02/17	12.190	1 month Brazilian Interbank Deposit Average		(1,806	)
Citibank NA	THB	8,830		11/17/16	1.905	6 month Thai Reuters		962
		8,830		11/28/16	1.800	6 month Thai Reuters		736
	BRL	980		01/02/17	11.455	1 month Brazilian Interbank Deposit Average		(9,480	)
		320		01/02/18	14.460	1 month Brazilian Interbank Deposit Average		993
	THB	6,390		02/04/21	1.903	6 month Thai Reuters		1,441
		2,790		02/15/21	1.815	6 month Thai Reuters		262
Credit Suisse International (London)	BRL	170		01/02/18	11.120	1 month Brazilian Interbank Deposit Average		(2,666	)
		300		01/02/18	11.960	1 month Brazilian Interbank Deposit Average		(3,104	)
	COP	95,320		04/15/19	Colombia 90 days DTF	5.110%		1,094
	THB	3,650		02/16/21	1.830	6 month Thai Reuters		407
Deutsche Bank AG	BRL	1,880		01/02/17	12.842	1 month Brazilian Interbank Deposit Average		(6,822	)
		40		01/02/18	11.150	1 month Brazilian Interbank Deposit Average		(618	)
		400		01/02/18	11.945	1 month Brazilian Interbank Deposit Average		(4,176	)
	MXN	990		09/25/18	Mexico Interbank TIIE 28 Days	5.180		(647	)
	BRL	830		01/04/21	14.080	1 month Brazilian Interbank Deposit Average		1,754
		1,370		01/02/23	14.558	1 month Brazilian Interbank Deposit Average		7,683
		150		01/02/25	1 month Brazilian Interbank Deposit Average	12.340		2,872
	MXN	3,740	(a)	02/15/29	9.625	Mexico Interbank TIIE 28 Days		13,534

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

GOLDMAN SACHS DYNAMIC EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

March 31, 2016

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.	THB	9,440	11/24/16	1.810%	1 month Thai Reuters	$	769
	BRL	1,520	01/02/17	1 month Brazilian Interbank Deposit Average	12.290%		9,275
	COP	67,690	04/22/19	Colombia IBR Overnight Interbank	5.190		735
Morgan Stanley & Co. International PLC	THB	4,410	11/28/16	1.820	6 month Thai Reuters		390
	KRW	443,180	02/03/19	1.461	3 month KWCDC		354
	ZAR	6,350	07/23/20	7.490	3 month JIBAR		(10,386	)
	BRL	150	01/04/21	1 month Brazilian Interbank Deposit Average	11.410		3,364
TOTAL						$	10,581

(a) Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to March 31, 2016.

* 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)
	ZAR	1,120			06/13/19	7.640%		3 month JIBAR	$	1		$	(806	)
		350			09/05/19	7.280		3 month JIBAR		(1	)		(551	)
		2,400			09/08/19	7.310		3 month JIBAR		(5	)		(3,653	)
	EUR	300	(a)		06/15/21	6 month EURO		0.500%		(8,167	)		403
	HKD	2,510	(a)		09/21/21	3 month HIBOR		1.500		1,525			(2,310	)
	ZAR	750			03/14/24	3 month JIBAR		8.550		1			36
		690			12/18/24	3 month JIBAR		7.890		—			2,119
	MXN	1,060			01/24/25	Mexico Interbank TIIE 28 Days		5.660		1			1,265
	EUR	300	(a)		06/15/26	1.000		6 month EURO		(13,279	)		(1,355	)
	TOTAL								$	(19,924	)	$	(4,852	)

(a) Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to March 31, 2016.

62 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 CREDIT DEFAULT SWAP CONTRACTS

												Market Value
Counterparty	Referenced Obligation	Notional Amount (000s)		Rates Received (Paid)			Termination Date		Credit Spread at March 31, 2016(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		0.791	%	$	(115	)	$	(93	)
	People’s Republic of China, 7.500%, 10/28/27		200		(1.000	)		12/20/20		1.128			1,737			(637	)
Barclays Bank PLC	People’s Republic of China, 4.250%, 10/28/17		30		(1.000	)		03/20/19		0.752			(78	)		(150	)
Citibank NA			480		(1.000	)		03/20/19		0.752			(1,292	)		(2,347	)
			850		(1.000	)		06/20/19		0.791			(4,126	)		(1,760	)
	People’s Republic of China, 7.500%, 10/28/27		1,550		(1.000	)		12/20/20		1.128			11,299			(2,780	)
Deutsche Bank AG			180		(1.000	)		12/20/20		1.128			1,561			(572	)
JPMorgan Securities, Inc.	People’s Republic of China, 4.250%, 10/28/17		30		(1.000	)		03/20/19		0.752			(65	)		(163	)
			170		(1.000	)		06/20/19		0.791			(633	)		(544	)
	People’s Republic of China, 7.500%, 10/28/27		590		(1.000	)		12/20/20		1.128			4,101			(858	)
Protection Sold:
Barclays Bank PLC	Republic of Colombia, 10.375%, 01/28/33		300		1.000			12/20/19		1.524			(9,271	)		3,681
	Russian Federation, 7.500%, 03/31/30		60		1.000			06/20/20		2.395			(5,663	)		2,330
	Republic of South Africa, 5.500%, 03/09/20		90		1.000			12/20/20		2.753			(9,223	)		2,294
Citibank NA			50		1.000			12/20/20		2.753			(5,149	)		1,300
	Republic of Chile, 3.875%, 08/05/20		20		1.000			12/20/20		2.753			(275	)		409
Deutsche Bank AG	Republic of Brazil, 4.250%, 1/07/25		90		1.000			12/20/20		3.302			(13,352	)		4,367
Morgan Stanley & Co. International PLC	Republic of South Africa, 5.500%, 03/09/20		130		1.000			12/20/20		2.753			(13,323	)		3,313
TOTAL												$	(43,867	)	$	7,790

(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. 63

GOLDMAN SACHS DYNAMIC EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

March 31, 2016

ADDITIONAL INVESTMENT INFORMATION (continued)

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		04/06/16	$	5,165
		159,900	Titulos de Tesoreria 7.500%, 08/26/26		04/12/16		788
		214,600	Titulos de Tesoreria 7.750%, 09/18/30		04/12/16		1,599
TOTAL						$	7,552

# 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.

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

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Schedule of Investments

March 31, 2016

Principal Amount		Interest Rate			Maturity Date		Value
	Sovereign Debt Obligations – 56.6%
	Angola – 0.5%
	Republic of Angola (NR/Ba2)
$	6,210,000		9.500	%		11/12/25	$	5,658,863
	Argentina – 2.2%
	Republic of Argentina (NR/NR)
EUR	5,353,043		7.820	(a)		12/31/33		6,761,262
$	4,696,827		8.280	(a)		12/31/33		5,483,546
	6,000		0.000	(b)		12/15/35		630
EUR	53,265,341		0.000	(b)		12/15/35		6,121,672
$	1,976,874		8.280	(a)(c)		12/31/33		2,362,364
	4,050,000		2.500	(a)		12/31/38		2,703,375
								23,432,849
	Armenia – 0.2%
	Republic of Armenia (NR/B1)
	1,270,000		6.000			09/30/20		1,254,125
	660,000		7.150			03/26/25		650,100
								1,904,225
	Belize(d)(e) – 0.1%
	Government of Belize (B-/Caa2)
	2,446,500		5.000			02/20/38		1,198,785
	Brazil – 1.6%
	Brazil Letras do Tesouro Nacional (BB/Ba2)(f)
BRL	3,362,000		0.000			01/01/17		847,706
	Brazil Notas do Tesouro Nacional (BB/Ba2)
	2,951,000		10.000			01/01/17		799,564
	2,702,000		10.000			01/01/25		610,160
	7,011,441		6.000			08/15/40		1,833,671
	Federal Republic of Brazil (NR/Ba2)
$	6,810,000		6.000			04/07/26		6,912,150
	Federal Republic of Brazil (BB/Ba2)
	1,570,000		4.250			01/07/25		1,438,120
	1,180,000		5.000			01/27/45		942,525
BRL	12,392,580		6.000			08/15/50		3,206,112
								16,590,008
	Bulgaria – 0.1%
	Republic of Bulgaria (BB+/Baa2)
EUR	610,000		4.250			07/09/17		728,825
	Cameroon – 0.1%
	Republic of Cameroon (B/NR)
$	1,170,000		9.500			11/19/25		1,102,725
	Colombia – 3.0%
	Republic of Colombia (BBB/Baa2)
	7,280,000		4.500			01/28/26		7,443,800
EUR	2,340,000		3.875			03/22/26		2,679,327
$	920,000		7.375			09/18/37		1,090,200
	1,730,000		6.125			01/18/41		1,825,150
	6,770,000		5.625			02/26/44		6,736,150
	12,830,000		5.000			06/15/45		12,028,125
								31,802,752
	Sovereign Debt Obligations – (continued)
	Costa Rica – 1.5%
	Republic of Costa Rica (BB-/Ba1)
$	390,000		9.995	%		08/01/20	$	473,363
	3,500,000		5.625	(d)		04/30/43		2,699,375
	1,430,000		5.625			04/30/43		1,102,887
	12,430,000		7.158	(d)		03/12/45		11,311,300
								15,586,925
	Croatia – 2.6%
	Republic of Croatia (BB/Ba2)
	10,087,000		6.250			04/27/17		10,475,349
EUR	1,240,000		5.875			07/09/18		1,546,804
	9,860,000		3.875			05/30/22		11,486,160
	3,740,000		3.000			03/11/25		4,016,360
								27,524,673
	Czech Republic(b) – 0.2%
	Czech Republic Government Bond (AA/NR)
CZK	45,090,000		0.370			10/27/16		1,901,227
	Dominican Republic – 4.7%
	Dominican Republic (NR/NR)
DOP	20,700,000		16.000			07/10/20		553,259
	13,900,000		11.500			05/10/24		321,575
	8,900,000		18.500	(d)		02/04/28		275,487
	134,200,000		11.375			07/06/29		2,996,229
	Dominican Republic (BB-/B1)
$	1,355,291		9.040			01/23/18		1,436,609
	1,532,000		7.500			05/06/21		1,662,220
	560,000		6.875	(d)		01/29/26		593,600
	1,500,000		8.625			04/20/27		1,710,000
	12,300,000		7.450	(d)		04/30/44		12,915,000
	4,776,000		7.450			04/30/44		5,014,800
	17,730,000		6.850	(d)		01/27/45		17,375,400
	4,199,000		6.850			01/27/45		4,115,020
								48,969,199
	Ecuador – 0.4%
	Ecuador Government International Bond (B/NR)
	1,820,000		10.500	(d)		03/24/20		1,638,000
	1,260,000		10.500			03/24/20		1,134,000
	1,460,000		7.950			06/20/24		1,211,800
								3,983,800
	El Salvador – 1.9%
	El Salvador Government International Bond (B+/Ba3)
	1,550,000		7.375			12/01/19		1,542,250
	1,580,000		7.750	(g)		01/24/23		1,548,400
	4,749,000		5.875			01/30/25		4,096,012
	3,650,000		6.375			01/18/27		3,120,750
	3,870,000		8.250			04/10/32		3,666,825
	5,210,000		7.650			06/15/35		4,539,212
	1,650,000		7.625			02/01/41		1,412,813
								19,926,262

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

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

March 31, 2016

Principal Amount		Interest Rate			Maturity Date		Value
	Sovereign Debt Obligations – (continued)
	Ethiopia – 0.2%
	Republic of Ethiopia (B/B1)
$	2,210,000		6.625	%(d)		12/11/24	$	2,030,437
	310,000		6.625			12/11/24		284,813
								2,315,250
	Gabon – 0.8%
	Republic of Gabon (B/NR)
	6,210,000		6.375			12/12/24		5,154,300
	Republic of Gabon (B/Ba3)
	3,280,000		6.950			06/16/25		2,718,300
	200,000		6.950	(d)		06/16/25		165,750
								8,038,350
	Ghana – 0.9%
	Republic of Ghana (NR/B1)(d)
	4,990,000		10.750			10/14/30		4,902,675
	Republic of Ghana (B-/B3)
	1,340,000		8.500			10/04/17		1,324,885
	2,620,000		7.875			08/07/23		2,079,625
	1,920,000		8.125			01/18/26		1,497,600
								9,804,785
	Guatemala – 1.3%
	Republic of Guatemala (BB/Ba1)
	3,300,000		5.750	(d)		06/06/22		3,613,500
	5,740,000		5.750			06/06/22		6,285,300
	3,840,000		4.875			02/13/28		3,911,040
								13,809,840
	Honduras – 1.2%
	Republic of Honduras (B+/B3)
	9,010,000		8.750	(d)		12/16/20		10,068,675
	998,000		8.750			12/16/20		1,115,265
	1,310,000		7.500	(d)		03/15/24		1,386,962
								12,570,902
	Hungary – 4.2%
	Hungary Government Bond (BB+/Ba1)
EUR	5,780,000		4.375			07/04/17		6,904,796
	7,340,000		5.750			06/11/18		9,250,796
$	10,200,000		6.250			01/29/20		11,334,750
	200,000		5.375			02/21/23		221,750
	3,350,000		5.750			11/22/23		3,810,625
	8,080,000		5.375			03/25/24		9,029,400
	2,380,000		7.625			03/29/41		3,370,675
								43,922,792
	Indonesia – 4.6%
	Perusahaan Penerbit SBSN (BB+/Baa3)
	360,000		3.300			11/21/22		351,450
	250,000		4.325	(d)		05/28/25		248,750
	1,130,000		4.550	(d)		03/29/26		1,131,412
	Republic of Indonesia (BB+/Baa3)
	2,970,000		6.875			01/17/18		3,215,025
	5,364,000		11.625			03/04/19		6,725,115
	610,000		5.375			10/17/23		668,712
	2,766,000		5.875			01/15/24		3,111,750
	Sovereign Debt Obligations – (continued)
	Indonesia – (continued)
	Republic of Indonesia (BB+/Baa3) – (continued)
$	280,000		4.125	%		01/15/25	$	281,400
EUR	1,540,000		3.375			07/30/25		1,752,366
$	15,380,000		4.750	(d)		01/08/26		16,110,550
	330,000		6.625			02/17/37		382,800
	5,574,000		7.750			01/17/38		7,162,590
	5,499,000		5.250			01/17/42		5,526,495
	1,560,000		6.750			01/15/44		1,880,089
								48,548,504
	Iraq – 0.5%
	Republic of Iraq (NR/NR)
	7,310,000		5.800			01/15/28		5,062,175
	Ivory Coast – 0.5%
	Republic of Ivory Coast (NR/NR)(e)
	4,680,000		5.750			12/31/32		4,317,300
	Republic of Ivory Coast (NR/Ba3)
	870,000		6.375			03/03/28		821,063
								5,138,363
	Kazakhstan – 0.9%
	Republic of Kazakhstan (BBB-/Baa2)
	920,000		5.125	(d)		07/21/25		946,680
	810,000		4.875	(d)		10/14/44		710,775
	1,190,000		4.875			10/14/44		1,044,225
	6,450,000		6.500	(d)		07/21/45		6,708,000
								9,409,680
	Kenya – 0.9%
	Republic of Kenya (B+/NR)
	720,000		6.875	(d)		06/24/24		680,400
	9,647,000		6.875			06/24/24		9,116,415
								9,796,815
	Latvia – 0.3%
	Republic of Latvia (A-/A3)
	2,723,000		5.250			02/22/17		2,813,935
	Macedonia(d) – 0.5%
	Republic of Macedonia (BB-/NR)
EUR	4,530,000		4.875			12/01/20		5,138,990
	Mexico – 2.7%
	United Mexican States (NR/A3)
MXN	47,442,000		4.750			06/14/18		2,758,811
	United Mexican States (A/A3)
	49,367,878		5.000			06/16/16		2,863,402
	22,389,600		10.000			12/05/24		1,663,622
	4,382,200		7.500			06/03/27		281,304
	10,713,200		8.500			05/31/29		741,576
	United Mexican States (BBB+/A3)
$	5,130,000		4.125			01/21/26		5,378,805
	7,708,000		4.750			03/08/44		7,708,000
	2,413,000		5.550			01/21/45		2,672,397
	598,000		4.600			01/23/46		586,040
	2,632,000		5.750			10/12/10		2,678,060

66 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)
	Mexico – (continued)
	United Mexican States (BBB+/A3) – (continued)
EUR	1,320,000		4.000	%		03/15/15	$	1,303,212
								28,635,229
	Mongolia(d) – 0.1%
	Republic of Mongolia (B/B2)
$	1,010,000		10.875			04/06/21		1,008,738
	Montenegro(d) – 0.1%
	Republic of Montenegro (B+/Ba3)
EUR	1,360,000		3.875	%		03/18/20		1,456,626
	Namibia(d) – 0.2%
	Republic of Namibia (NR/Baa3)
$	1,930,000		5.250			10/29/25		1,866,310
	Nigeria – 0.3%
	Republic of Nigeria (B+/NR)
	1,621,000		6.750			01/28/21		1,568,318
	2,040,000		6.375			07/12/23		1,876,800
								3,445,118
	Pakistan – 0.7%
	Islamic Republic of Pakistan (NR/B3)
	360,000		8.250			09/30/25		382,509
	Islamic Republic of Pakistan (B-/B3)
	1,070,000		6.875	(d)		06/01/17		1,104,523
	1,830,000		6.875			06/01/17		1,889,043
	2,650,000		6.750	(d)		12/03/19		2,769,250
	290,000		8.250			04/15/24		307,912
	560,000		8.250	(d)		04/15/24		594,588
								7,047,825
	Panama – 0.5%
	Panama Notas del Tesoro (BBB/NR)
	920,000		4.875			02/05/21		966,828
	Republic of Panama (BBB/Baa2)
	210,000		3.750			03/16/25		216,562
	211,000		8.875			09/30/27		302,785
	88,000		9.375	(g)		04/01/29		131,120
	3,212,000		6.700			01/26/36		4,095,300
								5,712,595
	Paraguay – 1.0%
	Republic of Paraguay (BB/Ba1)
	1,060,000		4.625			01/25/23		1,071,925
	2,730,000		5.000	(d)		04/15/26		2,743,650
	6,230,000		6.100			08/11/44		6,354,600
								10,170,175
	Philippines – 0.9%
	Republic of Philippines (BBB/Baa2)
	2,160,000		9.875			01/15/19		2,656,746
	5,869,000		8.375			06/17/19		7,130,835
								9,787,581
	Poland – 0.1%
	Poland Government Bond (BBB+/A2)
	780,000		3.250			04/06/26		778,050
	Sovereign Debt Obligations – (continued)
	Romania – 0.3%
	Republic of Romania (BBB-/Baa3)
EUR	2,490,000		5.250	%		06/17/16	$	2,864,042
	Russia – 0.3%
	Russian Federation (BB+/Ba1)
	2,600,000		3.625			09/16/20		3,039,899
	South Africa – 2.4%
	Republic of South Africa (BBB-/Baa2)
$	520,000		5.500			03/09/20		551,720
	630,000		5.875			05/30/22		684,180
	1,570,000		4.665			01/17/24		1,584,130
	18,705,000		5.875	(c)		09/16/25		20,294,925
	2,408,000		6.250	(c)		03/08/41		2,636,760
								25,751,715
	Sri Lanka – 2.7%
	Republic of Sri Lanka (B+/B1)
	1,180,000		6.000	(d)		01/14/19		1,181,068
	360,000		6.000			01/14/19		360,326
	1,222,000		6.250	(d)		10/04/20		1,211,307
	1,260,000		6.250			10/04/20		1,248,975
	7,814,000		6.250			07/27/21		7,638,185
	5,916,000		5.875			07/25/22		5,568,435
	1,807,000		6.125			06/03/25		1,653,405
	7,600,000		6.850	(d)		11/03/25		7,267,500
	2,120,000		6.850			11/03/25		2,027,250
								28,156,451
	Turkey – 2.5%
	Republic of Turkey (NR/Baa3)
	1,600,000		5.750			03/22/24		1,730,000
	2,892,000		4.250			04/14/26		2,805,240
	1,180,000		4.875			10/09/26		1,191,800
	3,800,000		4.875			04/16/43		3,529,250
	5,364,000		7.500			07/14/17		5,732,775
	3,419,000		7.375			02/05/25		4,094,252
	610,000		8.000			02/14/34		794,525
	5,760,000		6.000			01/14/41		6,220,800
								26,098,642
	Ukraine(d) – 1.0%
	Ukraine Government Bond (B-/NR)(b)
	3,074,000		0.000			05/31/40		1,014,420
	Ukraine Government Bond (B-/Caa3)
	271,291		7.750			09/01/19		255,014
	1,769,000		7.750			09/01/20		1,655,784
	1,602,000		7.750			09/01/21		1,483,452
	1,602,000		7.750			09/01/22		1,469,835
	1,473,000		7.750			09/01/23		1,336,011
	1,473,000		7.750			09/01/24		1,318,335
	775,000		7.750			09/01/25		685,875
	1,471,000		7.750			09/01/26		1,298,893
								10,517,619

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

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

March 31, 2016

Principal Amount		Interest Rate			Maturity Date		Value
	Sovereign Debt Obligations – (continued)
	Venezuela – 2.2%
	Republic of Venezuela (CCC/Caa3)
$	4,260,000		7.750	%		10/13/19	$	1,597,500
	14,400,000		9.000			05/07/23		5,040,000
	21,221,600		8.250			10/13/24		7,215,344
	11,060,000		7.650			04/21/25		3,677,450
	560,000		9.250			09/15/27		224,000
	10,558,000		9.250			05/07/28		3,721,695
	4,260,000		9.375			01/13/34		1,501,650
								22,977,639
	Vietnam – 1.2%
	Socialist Republic of Vietnam (BB-/B1)
	8,840,000		6.750	(d)		01/29/20		9,801,350
	2,576,000		4.800	(d)		11/19/24		2,579,220
	200,000		4.800			11/19/24		200,250
								12,580,820
	Zambia – 1.5%
	Republic of Zambia (B/NR)
	5,171,000		5.375			09/20/22		3,917,032
	2,480,000		8.500			04/14/24		2,046,000
	7,260,000		8.970			07/30/27		5,980,425
	4,660,000		8.970	(d)		07/30/27		3,838,675
								15,782,132
	TOTAL SOVEREIGN DEBT OBLIGATIONS
	(Cost $602,431,017)						$	594,358,705
	Foreign Debt Obligation – 0.4%
	Supranational – 0.4%
	Corporacion Andina de Fomento (AA-/Aa3)
$	4,640,000		1.500	%		08/08/17	$	4,650,373
	(Cost $4,651,693)
	Corporate Obligations – 25.6%
	Argentina – 0.1%
	YPF SA (NR/Caa1)
$	650,000		8.875	%		12/19/18	$	672,750
	Azerbaijan – 0.3%
	State Oil Company of the Azerbaijan Republic (BB/Ba1)
	3,960,000		4.750			03/13/23		3,498,660
	Bermuda(d)(h) – 0.5%
	Digicel Ltd. (NR/B1)
	1,950,000		6.000			04/15/21		1,745,250
	4,500,000		6.750			03/01/23		3,948,750
								5,694,000
	Brazil – 2.2%
	Banco do Brasil SA (B-/NR)(b)(h)
	3,410,000		6.250			10/29/49		1,902,098
	Banco do Brasil SA (B-/B2)(b)(h)
	6,670,000		9.000			06/29/49		4,566,949
	Corporate Obligations – (continued)
	Brazil – (continued)
	Brazil Minas SPE via State of Minas Gerais (BB/NR)
$	12,630,000		5.333	%(d)		02/15/28	$	10,830,225
	1,409,000		5.333			02/15/28		1,208,217
	Independencia International Ltd. (NR/NR)(a)(d)
	1,277,436		12.000			12/30/16		—
	Petrobras Global Finance BV (B+/B3)
	1,150,000		5.750			01/20/20		990,725
	150,000		5.375			01/27/21		122,730
	1,830,000		4.375			05/20/23		1,325,753
	2,420,000		6.250			03/17/24		1,910,566
	Raizen Energy Finance Ltd. (BBB-/Ba1)
	450,000		7.000			02/01/17		460,687
								23,317,950
	British Virgin Islands(c)(d) – 0.1%
	Arcos Dorados Holdings, Inc. (NR/B1)
	683,000		6.625			09/27/23		650,558
	Chile – 3.3%
	AES Gener SA (BBB-/Baa3)
	1,320,000		5.250	(d)		08/15/21		1,391,280
	3,309,000		5.250			08/15/21		3,487,686
	Banco del Estado de Chile
	2,420,000		4.125	(d)		10/07/20		2,553,100
	970,000		3.875	(d)		02/08/22		1,011,225
	1,510,000		3.875			02/08/22		1,574,175
	Corpbanca SA (BBB/Baa3)(d)
	4,071,000		3.875			09/22/19		4,111,222
	E.CL SA (BBB/NR)
	1,270,000		5.625	(d)		01/15/21		1,393,825
	430,000		5.625			01/15/21		471,925
	Embotelladora Andina SA (BBB/NR)(d)
	980,000		5.000			10/01/23		1,033,900
	Empresa Electrica Angamos SA (NR/Baa3)(d)
	4,850,000		4.875			05/25/29		4,487,220
	GNL Quintero SA (BBB/Baa2)
	7,560,000		4.634	(d)		07/31/29		7,550,550
	1,060,000		4.634			07/31/29		1,058,675
	Sociedad Quimica y Minera de Chile SA (BBB/Baa1)
	793,000		3.625			04/03/23		730,551
	3,991,000		4.375	(d)(h)		01/28/25		3,671,720
								34,527,054
	Colombia – 0.6%
	Banco de Bogota SA (BBB-/Baa2)
	1,450,000		5.000	(d)		01/15/17		1,477,188
	4,324,000		5.000			01/15/17		4,405,075
	Ecopetrol SA (BBB/Baa3)
	560,000		7.375			09/18/43		508,200
								6,390,463
	Costa Rica – 1.4%
	Banco de Costa Rica (NR/Ba1)
	4,870,000		5.250	(d)		08/12/18		4,930,875
	1,010,000		5.250			08/12/18		1,022,625

68 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)
	Costa Rica – (continued)
	Banco Nacional de Costa Rica (NR/Ba1)
$	3,000,000		4.875	%(d)		11/01/18	$	2,985,000
	380,000		4.875			11/01/18		378,100
	5,890,000		6.250	(d)		11/01/23		5,772,200
								15,088,800
	Dominican Republic(h) – 0.4%
	Aeropuertos Dominicanos Siglo XXI SA (B/B1)
	3,932,000		9.750			11/13/19		4,143,345
	Ecuador(b) – 0.3%
	EP PetroEcuador via Noble Sovereign Funding I Ltd. (B/NR)
	3,334,211		6.258			09/24/19		2,904,931
	Guatemala(h) – 0.3%
	Central American Bottling Corp. (BB/Ba2)
	2,050,000		6.750	(d)		02/09/22		2,160,188
	604,000		6.750			02/09/22		636,465
								2,796,653
	Hong Kong – 0.3%
	Biostime International Holdings Ltd. (NR/NR)(f)(g)
HKD	16,000,000		0.000			02/20/19		2,076,297
	China Unicom Ltd. (NR/NR)
CNH	8,770,000		4.000			04/16/17		1,349,197
								3,425,494
	Hungary(d) – 0.3%
	MFB Magyar Fejlesztesi Bank Zrt (NR/Ba1)
$	2,510,000		6.250			10/21/20		2,767,275
	India(d) – 0.1%
	Adani Ports & Special Economic Zone Ltd. (BBB-/Baa3)
	1,360,000		3.500			07/29/20		1,366,458
	Indonesia – 0.4%
	Pertamina Persero PT (BB+/Baa3)(d)
	2,930,000		5.625			05/20/43		2,586,091
	Perusahaan Gas Negara Persero Tbk PT (BB+/Baa3)
	1,940,000		5.125			05/16/24		1,981,225
								4,567,316
	Ireland – 0.5%
	MTS International Funding Ltd. (BB+/Ba1)
	2,943,000		5.000			05/30/23		2,858,389
	Phosagro OAO via Phosagro Bond Funding Ltd. (NR/Ba1)
	2,250,000		4.204	(d)		02/13/18		2,255,625
	240,000		4.204			02/13/18		240,600
								5,354,614
	Israel(d) – 0.2%
	Delek & Avner Tamar Bond Ltd. (BBB-/Baa3)
	1,200,000		2.803			12/30/16		1,197,000
	1,200,000		3.839			12/30/18		1,197,000
								2,394,000
	Ivory Coast – 0.4%
	Agromercantil Senior Trust (BB/NR)(d)
	3,420,000		6.250			04/10/19		3,518,325
	Corporate Obligations – (continued)
	Ivory Coast – (continued)
	Comcel Trust (NR/Ba1)(h)
$	330,000		6.875	%		02/06/24	$	312,659
	Comunicaciones Celulares SA (NR/Ba1)(d)(h)
	810,000		6.875			02/06/24		767,434
								4,598,418
	Japan – 0.5%
	SoftBank Group Corp. (BB+/Ba1)
	1,920,000		4.500	(d)		04/15/20		1,955,539
	2,990,000		4.500			04/15/20		3,045,345
								5,000,884
	Kazakhstan – 0.2%
	KazMunayGas National Co. JSC (BB/Baa3)
	2,220,000		9.125			07/02/18		2,419,800
	Luxembourg – 2.3%
	Altice Financing SA (BB-/B1)(d)(h)
	400,000		6.500			01/15/22		404,000
	1,160,000		6.625			02/15/23		1,160,000
	Gazprom Neft OAO Via GPN Capital SA (BB+/Ba1)(d)
	10,480,000		6.000			11/27/23		10,349,000
	MHP SA (B-/NR)
	1,420,000		8.250			04/02/20		1,235,400
	Tupy Overseas SA (BB-/NR)(h)
	3,450,000		6.625	(d)		07/17/24		3,208,500
	879,000		6.625			07/17/24		817,470
	Wind Acquisition Finance SA (B/Caa1)(h)
EUR	3,410,000		7.000			04/23/21		3,705,628
$	2,970,000		7.375	(d)		04/23/21		2,695,275
	Wind Acquisition Finance SA (BB/Ba3)(h)
EUR	150,000		4.000			07/15/20		168,831
								23,744,104
	Malaysia – 0.6%
	1MDB Global Investments Ltd. (A-/NR)
$	7,000,000		4.400			03/09/23		6,440,000
	Mexico – 2.8%
	America Movil SAB de CV (A-/A2)
MXN	19,010,000		6.000			06/09/19		1,085,779
	Cemex SAB de CV (B+/NR)(d)(h)
EUR	1,300,000		4.750			01/11/22		1,431,193
	CIBanco SA Institucion de Banca Multiple (D/NR)(a)(h)
$	371,739		9.625	(d)		05/02/21		11,152
	483,261		9.625			05/02/21		14,498
	Gruma SAB de CV (BBB/NR)(d)(h)
	2,220,000		4.875			12/01/24		2,350,425
	Grupo Cementos de Chihuahua SAB de CV (BB-/NR)(d)(h)
	710,000		8.125			02/08/20		724,200
	Grupo Televisa SAB (BBB+/Baa1)(h)
	380,000		4.625			01/30/26		393,220
	Metalsa SA de CV (BB+/NR)(d)
	2,220,000		4.900			04/24/23		2,086,134
	Petroleos Mexicanos (BBB+/Baa3)
	1,640,000		5.500	(d)		02/04/19		1,713,800
	3,930,000		6.375	(d)		02/04/21		4,181,520
	230,000		3.500			01/30/23		207,856

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

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

March 31, 2016

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Mexico – (continued)
	Petroleos Mexicanos (BBB+/Baa3) – (continued)
$	430,000		4.875	%		01/18/24	$	421,507
	9,340,000		6.875	(d)		08/04/26		10,087,200
	150,000		6.625			06/15/35		143,040
	1,310,000		6.500			06/02/41		1,222,230
	1,418,000		5.500			06/27/44		1,166,589
	Trust F/1401 (NR/Baa2)(d)
	1,810,000		6.950			01/30/44		1,755,700
								28,996,043
	Netherlands – 1.1%
	Greenko Dutch BV (B+/NR)(d)(h)
	3,830,000		8.000			08/01/19		4,084,216
	Listrindo Capital BV (BB-/Ba2)(h)
	2,722,000		6.950			02/21/19		2,805,416
	Lukoil International Finance BV (BBB-/Ba1)
	1,480,000		3.416			04/24/18		1,471,860
	1,650,000		6.125			11/09/20		1,738,687
	620,000		4.563			04/24/23		592,100
	Majapahit Holding BV (BB/Baa3)
	494,000		7.750			10/17/16		510,055
	100,000		7.250			06/28/17		106,116
								11,308,450
	Panama(d) – 0.0%
	Autoridad Canal De Panam (A-/A2)
	380,000		4.950			07/29/35		393,300
	Paraguay – 1.2%
	Banco Continental SAECA (BB/Ba1)(h)
	1,900,000		8.875	(d)		10/15/17		1,911,717
	1,990,000		8.875			10/15/17		2,002,806
	Banco Regional SAECA (BB-/Ba1)
	4,670,000		8.125	(d)		01/24/19		4,804,262
	905,000		8.125			01/24/19		931,019
	Telefonica Celular del Paraguay SA (NR/Ba3)(h)
	2,700,000		6.750			12/13/22		2,619,000
								12,268,804
	Peru – 1.3%
	Abengoa Transmision Sur SA (BBB-/NR)(d)
	5,160,000		6.875			04/30/43		5,250,300
	Corp Financiera de Desarrollo SA (BBB+/NR)
	2,478,000		4.750			02/08/22		2,577,120
	Corp Lindley S.A. (BBB/NR)
	1,630,000		6.750	(d)		11/23/21		1,835,787
	3,560,000		6.750			11/23/21		4,009,450
	120,000		4.625	(d)		04/12/23		121,200
								13,793,857
	Philippines – 0.5%
	Development Bank of Philippines (BBB/NR)
	1,610,000		5.500			03/25/21		1,808,376
	Energy Development Corp. (NR/NR)
	2,625,000		6.500			01/20/21		2,903,906
								4,712,282
	Corporate Obligations – (continued)
	Singapore – 0.1%
	China Resources Cement Holdings Ltd. (NR/Aa1)
$	1,240,000		2.125	%		10/05/17	$	1,243,999
	South Korea – 0.0%
	Korea South-East Power Co. Ltd. (AA-/Aa2)
	240,000		6.000			05/25/16		241,549
	Turkey – 0.3%
	Export Credit Bank of Turkey (BB+/Baa3)
	270,000		5.375	(d)		11/04/16		275,063
	2,240,000		5.375			11/04/16		2,282,000
	Hazine Mustesarligi Varlik Kiralama AS (NR/Baa3)
	208,000		2.803			03/26/18		205,920
								2,762,983
	United Arab Emirates – 0.4%
	Dolphin Energy Ltd. (NR/A1)
	334,040		5.888			06/15/19		356,588
	Ruwais Power Co. PJSC (A-/A3)(d)
	3,700,000		6.000			08/31/36		4,014,500
								4,371,088
	United States(d) – 0.9%
	Brazil Loan Trust 1 (BB/NR)
	9,608,024		5.477			07/24/23		8,815,363
	New Cotai LLC/New Cotai Capital Corp. (NR/NR)(h)(i)
	1,266,804		10.625			05/01/19		830,679
								9,646,042
	Venezuela – 1.6%
	Petroleos de Venezuela SA (CCC/NR)
	11,730,000		9.000			11/17/21		4,340,100
	7,360,000		6.000			05/16/24		2,285,280
	31,095,000		6.000			11/15/26		9,592,807
								16,218,187
	Vietnam(h) – 0.1%
	Debt and Asset Trading Corp. (NR/NR)
	1,960,000		1.000			10/10/25		978,755
	TOTAL CORPORATE OBLIGATIONS
	(Cost $283,904,959)						$	268,698,866
	Structured Note – 0.4%
	Brazil – 0.4%
	Notas do Tesouro Nacional Series B (Issuer HSBC Corp.) (NR/NR)
BRL	15,390,969		6.000	%		08/15/40	$	4,025,131
	(Cost $8,386,241)
	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	$	653,250

70 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 Aqueduct & Sewer Authority RB (Senior Lien) Series 2012 A (CCC-/Caa3)
$	305,000			5.125	%		07/01/37	$	198,250
	640,000			5.250			07/01/42		417,600
	Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2012 D (CCC-/Caa3)
	305,000			5.000			07/01/33		197,488
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2008 A (CC/Caa3)
	135,000			5.500			07/01/32		80,325
	Puerto Rico Commonwealth GO Bonds Refunding Public Improvement Series 2009 B (CC/Caa3)
	1,385,000			5.750			07/01/38		827,537
	Puerto Rico Commonwealth GO Bonds Refunding Public Improvement Series 2012 A (CC/Caa3)
	1,210,000			5.500			07/01/26		727,513
	Puerto Rico Commonwealth GO Bonds Series 2008 A (CC/Caa3)
	1,315,000			5.375			07/01/33		782,425
	Puerto Rico Commonwealth GO Bonds Series 2014 A (CC/Caa3)
	2,890,000			8.000			07/01/35		1,986,875
	Puerto Rico Highways & Transportation Authority RB Refunding Series 2007 CC (AA/A2)
	125,000			5.250			07/01/36		129,675
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2009 A (CC/Ca)
	4,600,000			5.500			08/01/22		2,012,500
	4,210,000			5.250			08/01/27		1,726,100
	340,000			0.000	(f)		08/01/32		131,760
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2010 A (CC/Ca)
	3,965,000			5.500			08/01/37		1,635,562
	240,000			5.375			08/01/39		98,400
	260,000			5.500			08/01/42		107,250
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2010 C (CC/Ca)
	1,410,000			5.250			08/01/41		574,575
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2011 A-1 (CC/Ca)
	720,000			5.000			08/01/43		289,800
	90,000			5.250			08/01/43		36,675
	TOTAL MUNICIPAL DEBT OBLIGATIONS
	(Cost $19,167,555)							$	12,613,560
	U.S. Treasury Obligations – 6.2%
	United States Treasury Bill(f)
$	50,000,000			0.000	%		04/07/16	$	49,999,085
	United States Treasury Bonds
	13,600,000	(j)		2.875			08/15/45		14,311,688
	500,000			3.000			11/15/45		540,035
	TOTAL U.S. TREASURY OBLIGATIONS
	(Cost $64,051,437)							$	64,850,808
	TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT
	(Cost $982,592,902)							$	949,197,443
	Short-term Investment(k) – 6.7%
	Repurchase Agreements – 6.7%
	Joint Repurchase Agreement Account II
$	70,700,000			0.300	%		04/01/16	$	70,700,000
	(Cost $70,700,000)
	TOTAL INVESTMENTS – 97.1%
	(Cost $1,053,292,902)							$	1,019,897,443
Principal Amount			Interest Rate (Paid) Received			Maturity Date		Value
	Reverse Repurchase Agreements – (1.1)%
	Barclays Reverse Repurchase Agreement (NR/NR)
$	(630,921	)		(1.250	)%		11/23/16	$	(630,921	)
	Citigroup Reverse Repurchase Agreement (NR/NR)
	(5,550,000	)		(0.250	)		10/31/16		(5,550,000	)
	First Boston Reverse Repurchase Agreement (NR/NR)
	(2,205,240	)		(0.500	)		03/09/17		(2,205,240	)
	(2,786,459	)		(0.150	)		03/14/17		(2,786,459	)
	TOTAL REVERSE REPURCHASE AGREEMENTS
	(Cost $(11,172,620))							$	(11,172,620	)
	OTHER ASSETS IN EXCESS OF     OTHER LIABILITIES – 4.0%								41,443,332
	NET ASSETS – 100.0%							$	1,050,168,155

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 March 31, 2016.
(c)	All or a portion of the security was pledged as collateral against open reverse repurchase agreements. As of March 31, 2016, the value of securities pledged amounted to $11,370,331.
(d)	Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed 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 $303,600,436, which represents approximately 28.9% of net assets as of March 31, 2016.
(e)	Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect on March 31, 2016.
(f)	Issued with a zero coupon. Income is recognized through the accretion of discount.
(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 March 31, 2016.
(h)	Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.
(i)	Pay-in-kind securities.
(j)	All or a portion of security is segregated as collateral for initial margin requirements on futures transaction.
(k)	Joint repurchase agreement was entered into on March 31, 2016. Additional information appears on page 127.

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

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

March 31, 2016

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
CNH	—Chinese Yuan Renminbi Offshore
CNY	—Chinese Yuan Renminbi
COP	—Colombian Peso
CZK	—Czech Koruna
DOP	—Dominican Peso
EUR	—Euro
HKD	—Hong Kong Dollar
HUF	—Hungarian Forint
IDR	—Indonesian Rupiah
INR	—Indian Rupee
KRW	—South Korean Won
MXN	—Mexican Peso
MYR	—Malaysian Ringgit
PLN	—Polish Zloty
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:
EURO	—Euro Offered Rate
GO	—General Obligation
KLIBOR	—Kuala Lumpur Interbank Offered Rate
KWCDC	—South Korean Won Certificate of Deposit
LIBOR	—London Interbank Offered Rate
LLC	—Limited Liability Company
NR	—Not Rated
PLC	—Public Limited Company
RB	—Revenue Bond
TIIE	—La Tasa de Interbank Equilibrium Interest Rate

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

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

ADDITIONAL INVESTMENT INFORMATION

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At March 31, 2016, 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	BRL	9,778,709	USD	2,665,000	$	2,716,357		04/04/16	$	51,357
	HUF	471,798,823	EUR	1,501,000		1,709,391		04/26/16		73
	PLN	13,020,083	EUR	3,021,000		3,487,999		04/26/16		47,728
	RUB	182,917,757	USD	2,453,000		2,719,441		04/04/16		266,441
Barclays Bank PLC	CNH	11,360,282	USD	1,656,583		1,744,207		09/01/16		87,624
	CNY	2,773,189	USD	419,862		428,032		05/19/16		8,170
	CNY	10,914,344	USD	1,611,925		1,675,953		08/05/16		64,028
	CNY	13,391,564	USD	1,989,240		2,054,818		08/16/16		65,578
	CNY	10,710,149	USD	1,607,841		1,643,157		08/18/16		35,316
	INR	109,815,258	USD	1,590,000		1,656,214		04/07/16		66,214
	INR	111,919,145	USD	1,658,000		1,685,209		04/18/16		27,209
	ZAR	10,147,301	USD	663,000		683,811		04/26/16		20,811
BNP Paribas SA	BRL	41,433,752	USD	11,471,138		11,509,581		04/04/16		38,443
	CNH	33,819,531	USD	4,964,699		5,192,500		09/01/16		227,801
	HUF	472,539,714	EUR	1,502,000		1,712,075		04/26/16		1,619
	INR	113,624,382	USD	1,703,003		1,714,577		04/04/16		11,573
	INR	110,419,531	USD	1,598,000		1,665,327		04/07/16		67,327
	MXN	988,217	USD	55,715		57,060		04/26/16		1,345
	MYR	6,770,234	USD	1,639,000		1,736,781		04/01/16		97,781
	MYR	6,748,696	USD	1,689,666		1,740,598		04/25/16		50,932
	RUB	217,303,884	USD	3,161,336		3,224,117		04/11/16		62,782
	TWD	216,202,260	USD	6,676,000		6,726,072		04/21/16		50,072
	USD	1,979,190	KRW	2,262,135,460		1,973,427		04/25/16		5,763
Citibank NA (London)	BRL	3,101,221	USD	844,467		861,466		04/04/16		16,999
	CNH	56,905,212	USD	8,348,161		8,736,972		09/01/16		388,811
	COP	2,362,726,621	USD	736,453		787,388		04/04/16		50,935
	IDR	22,596,843,066	USD	1,698,000		1,713,591		05/02/16		15,591
	INR	113,731,369	USD	1,713,596		1,715,276		04/07/16		1,680
	MYR	6,572,954	USD	1,573,000		1,686,173		04/01/16		113,173
	RUB	121,408,560	USD	1,632,000		1,804,983		04/04/16		172,983
	RUB	240,369,829	USD	3,173,911		3,569,443		04/08/16		395,531
	RUB	329,660,320	USD	4,450,599		4,878,436		04/20/16		427,837
	RUB	217,910,823	USD	3,121,440		3,222,865		04/22/16		101,426
	RUB	280,010,944	USD	4,116,143		4,136,544		04/26/16		20,401
	ZAR	10,301,760	USD	663,000		694,220		04/26/16		31,220
Credit Suisse International (London)	COP	2,047,835,300	USD	629,000		682,450		04/04/16		53,450
	COP	5,143,021,260	USD	1,698,000		1,712,045		05/02/16		14,045
	COP	6,482,994,658	USD	2,127,665		2,154,096		05/13/16		26,431
	RUB	93,235,038	USD	1,326,000		1,382,120		04/14/16		56,120
	RUB	457,611,982	USD	6,476,043		6,775,823		04/18/16		299,780
	RUB	47,722,950	USD	682,000		705,204		04/25/16		23,204
Deutsche Bank AG (London)	CNH	11,230,534	USD	1,650,000		1,724,286		09/01/16		74,286
	CNY	13,511,819	USD	2,000,023		2,076,210		07/26/16		76,187
	CNY	11,343,636	USD	1,678,674		1,742,226		08/02/16		63,552
	CNY	5,614,842	USD	829,739		862,304		08/03/16		32,565
	HUF	1,315,968,068	USD	4,658,294		4,767,930		04/26/16		109,636
	IDR	21,784,448,895	USD	1,639,000		1,656,360		04/07/16		17,360
	IDR	22,147,379,650	USD	1,669,000		1,682,090		04/18/16		13,090

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

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

March 31, 2016

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Gain
Deutsche Bank AG (London) (continued)	MXN	571,916,524	USD	32,006,073	$	33,022,823		04/26/16	$	1,016,749
	USD	4,095,756	THB	142,532,314		4,049,061		04/26/16		46,695
HSBC Bank PLC	CNH	22,615,774	USD	3,352,000		3,472,325		09/01/16		120,325
	CNY	10,528,158	USD	1,563,433		1,628,635		04/14/16		65,202
	CNY	21,277,932	USD	3,126,866		3,272,193		07/14/16		145,327
	CNY	17,962,304	USD	2,658,424		2,762,118		07/15/16		103,694
	CNY	10,621,571	USD	1,565,795		1,632,649		07/21/16		66,854
	CNY	15,788,954	USD	2,336,162		2,424,965		08/02/16		88,803
	KRW	4,365,124,021	USD	3,607,839		3,809,739		04/08/16		201,900
	MYR	6,641,003	USD	1,709,000		1,712,861		05/04/16		3,861
	TRY	9,667,734	USD	3,306,000		3,404,963		04/26/16		98,963
	TWD	54,502,120	USD	1,670,000		1,695,497		04/18/16		25,497
	TWD	109,457,665	USD	3,396,000		3,405,468		04/26/16		9,468
JPMorgan Chase Bank (London)	BRL	4,444,992	USD	1,183,000		1,234,742		04/04/16		51,742
	CNH	11,230,445	USD	1,652,000		1,724,272		09/01/16		72,272
	CNY	32,996,145	USD	4,828,000		5,075,289		07/11/16		247,289
	CNY	22,077,070	USD	3,234,859		3,395,546		07/12/16		160,687
	IDR	34,010,175,000	USD	2,538,073		2,576,863		04/04/16		38,790
	IDR	22,290,043,539	USD	1,677,835		1,694,803		04/07/16		16,967
	INR	108,064,034	USD	1,616,636		1,630,672		04/04/16		14,036
	MXN	118,088,247	USD	6,728,000		6,818,490		04/26/16		90,490
	MYR	6,779,728	USD	1,658,000		1,748,499		04/20/16		90,499
	MYR	6,816,830	USD	1,669,000		1,758,088		04/21/16		89,088
	PLN	59,163,086	USD	14,957,094		15,849,423		04/26/16		892,329
	RUB	52,626,948	USD	712,880		782,406		04/04/16		69,526
	USD	1,753,000	CNH	11,311,671		1,736,743		09/01/16		16,257
	USD	1,709,000	RUB	115,528,400		1,705,204		04/29/16		3,796
Morgan Stanley & Co. International PLC	BRL	34,747,962	USD	9,364,752		9,652,384		04/04/16		287,633
	CNH	6,323,537	USD	927,300		970,888		09/01/16		43,588
	MXN	29,766,464	USD	1,658,000		1,718,734		04/26/16		60,734
	MYR	5,613,796	USD	1,360,088		1,447,599		04/08/16		87,511
	RUB	43,154,067	USD	594,000		640,273		04/11/16		46,273
	RUB	113,964,255	USD	1,665,000		1,685,999		04/21/16		20,999
	RUB	115,835,692	USD	1,698,000		1,709,739		04/29/16		11,739
Royal Bank of Canada	BRL	6,319,093	USD	1,572,744		1,755,335		04/04/16		182,591
	USD	1,701,000	BRL	6,113,071		1,698,106		04/04/16		2,894
	USD	1,709,000	MXN	29,360,671		1,695,304		04/26/16		13,696
Royal Bank of Scotland PLC	COP	2,072,432,738	USD	631,000		690,647		04/04/16		59,647
	COP	5,176,724,989	USD	1,637,568		1,724,864		04/11/16		87,296
	COP	2,118,604,566	USD	663,000		705,823		04/15/16		42,823
	TRY	14,531,831	USD	5,025,000		5,118,091		04/26/16		93,091
	USD	1,666,000	MXN	28,836,927		1,665,062		04/26/16		938
Standard Chartered Bank	CNH	22,585,484	USD	3,309,000		3,467,674		09/01/16		158,674
	CNY	21,673,175	USD	3,181,150		3,331,399		07/21/16		150,249
	CNY	21,551,790	USD	3,185,425		3,312,517		07/22/16		127,092
	INR	220,149,594	USD	3,185,035		3,320,256		04/07/16		135,222
	INR	111,640,601	USD	1,658,000		1,681,015		04/18/16		23,015
	MYR	13,491,733	USD	3,300,000		3,479,163		04/11/16		179,163
	USD	7,030,000	CNH	45,470,309		6,981,308		09/01/16		48,692

74 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
Standard Chartered Bank (continued)	USD	1,026,000	ZAR	15,172,755	$	1,022,469		04/26/16	$	3,531
	ZAR	20,881,522	USD	1,360,000		1,407,174		04/26/16		47,174
State Street Bank and Trust (London)	MXN	29,492,504	USD	1,658,000		1,702,916		04/26/16		44,916
	ZAR	125,047,997	USD	8,017,439		8,426,795		04/26/16		409,356
UBS AG (London)	BRL	18,746,877	USD	4,871,000		5,207,558		04/04/16		336,558
	KRW	4,331,403,000	USD	3,605,536		3,778,201		04/29/16		172,664
	PLN	6,528,580	EUR	1,514,000		1,748,966		04/26/16		24,844
Westpac Banking Corp.	CNH	11,387,119	USD	1,657,000		1,748,328		09/01/16		91,328
	IDR	34,010,175,000	USD	2,561,972		2,583,067		04/18/16		21,095
	MYR	5,974,175	USD	1,527,141		1,540,528		04/08/16		13,387
	USD	1,785,833	IDR	23,424,776,460		1,779,108		04/18/16		6,727
TOTAL									$	10,834,526

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Loss
Bank of America Securities LLC	EUR	1,510,000	PLN	6,438,640	$	1,719,567		04/26/16	$	(5,305	)
	HUF	480,557,647	EUR	1,547,034		1,741,125		04/26/16		(20,616	)
	USD	1,573,000	CNH	10,411,781		1,605,196		06/15/16		(32,196	)
	USD	1,632,000	INR	110,584,320		1,668,703		04/04/16		(36,703	)
Barclays Bank PLC	USD	419,862	CNH	2,773,189		428,138		05/19/16		(8,276	)
	USD	1,611,925	CNH	10,907,896		1,677,106		08/05/16		(65,181	)
	USD	1,989,240	CNH	13,383,607		2,056,571		08/16/16		(67,331	)
	USD	1,607,841	CNH	10,702,110		1,644,352		08/18/16		(36,511	)
	USD	9,524,956	CNH	63,876,327		9,807,287		09/01/16		(282,330	)
	USD	1,914,524	HKD	14,864,000		1,916,484		04/26/16		(1,960	)
	USD	1,595,395	TWD	52,297,058		1,626,900		04/18/16		(31,505	)
	USD	5,365,697	TWD	176,848,002		5,502,129		04/26/16		(136,432	)
BNP Paribas SA	EUR	1,502,000	PLN	6,444,076		1,710,456		04/26/16		(15,872	)
	HUF	25,778,056	EUR	82,304		93,397		04/26/16		(329	)
	KRW	2,262,135,460	USD	1,980,161		1,974,318		04/08/16		(5,842	)
	USD	27,159,000	AED	100,272,386		27,239,008		12/07/16		(80,008	)
	USD	11,301,244	BRL	41,433,752		11,325,236		06/02/16		(23,991	)
	USD	1,632,000	INR	111,104,096		1,676,546		04/04/16		(44,546	)
	USD	1,698,167	INR	113,624,382		1,710,886		04/18/16		(12,718	)
	USD	3,155,417	KRW	3,683,918,200		3,213,497		04/28/16		(58,080	)
	USD	1,689,286	MYR	6,748,696		1,731,256		04/01/16		(41,971	)
Citibank NA (London)	IDR	21,741,204,780	USD	1,658,000		1,651,906		04/14/16		(6,094	)
	USD	844,467	BRL	3,065,626		851,578		04/04/16		(7,111	)
	USD	1,797,966	CNH	11,757,440		1,805,185		09/01/16		(7,219	)
	USD	1,188,000	EUR	1,079,044		1,228,800		04/26/16		(40,800	)
	USD	3,247,936	IDR	44,074,492,434		3,351,163		04/07/16		(103,227	)
	USD	1,710,503	INR	113,731,369		1,712,497		04/18/16		(1,993	)
	USD	1,643,000	KRW	1,980,472,200		1,728,492		04/08/16		(85,492	)
	USD	1,650,000	KRW	1,995,732,750		1,741,672		04/11/16		(91,672	)
	USD	1,612,350	KRW	1,981,868,100		1,728,929		04/25/16		(116,580	)
	USD	2,833,591	MYR	11,587,971		2,988,127		04/08/16		(154,536	)
	USD	1,704,000	MYR	6,874,532		1,773,116		04/28/16		(69,116	)

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

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

March 31, 2016

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 (London) (continued)	USD	4,140,336	RUB	280,010,944	$	4,162,927		04/04/16	$	(22,590	)
	USD	1,698,000	RUB	120,446,782		1,787,058		04/11/16		(89,057	)
	USD	11,452,261	SGD	15,844,776		11,754,250		04/26/16		(301,990	)
	USD	1,654,457	TWD	54,977,618		1,710,197		04/14/16		(55,739	)
	USD	4,560,215	TWD	149,757,445		4,658,841		04/19/16		(98,627	)
	USD	663,000	ZAR	10,067,642		678,443		04/26/16		(15,443	)
Credit Suisse International (London)	USD	2,139,602	COP	6,482,994,658		2,160,485		04/04/16		(20,883	)
	USD	666,000	RUB	45,776,844		677,814		04/18/16		(11,814	)
	USD	680,000	RUB	46,335,336		685,292		04/22/16		(5,292	)
Deutsche Bank AG (London)	IDR	38,088,922,080	USD	2,904,000		2,894,888		04/11/16		(9,112	)
	IDR	21,791,370,150	USD	1,665,000		1,654,551		04/21/16		(10,449	)
	MXN	29,251,871	USD	1,698,000		1,689,022		04/26/16		(8,978	)
	USD	2,000,023	CNH	13,504,298		2,077,389		07/26/16		(77,366	)
	USD	1,678,674	CNH	11,336,082		1,743,213		08/02/16		(64,539	)
	USD	829,739	CNH	5,611,524		862,870		08/03/16		(33,131	)
	USD	8,518,466	CNH	56,941,551		8,742,552		09/01/16		(224,086	)
	USD	1,747,641	IDR	23,942,688,000		1,817,162		04/25/16		(69,520	)
	USD	3,402,000	KRW	3,962,132,496		3,456,460		04/25/16		(54,460	)
HSBC Bank PLC	USD	1,665,000	BRL	6,059,368		1,683,188		04/04/16		(18,188	)
	USD	1,563,433	CNH	10,537,538		1,629,313		04/14/16		(65,880	)
	USD	3,126,866	CNH	21,275,196		3,274,848		07/14/16		(147,982	)
	USD	2,658,424	CNH	17,956,854		2,763,918		07/15/16		(105,495	)
	USD	1,565,795	CNH	10,619,222		1,633,999		07/21/16		(68,204	)
	USD	2,336,162	CNH	15,781,151		2,426,756		08/02/16		(90,593	)
	USD	10,413,668	CNH	70,006,854		10,748,540		09/01/16		(334,872	)
	USD	1,525,724	CZK	37,651,045		1,584,701		04/20/16		(58,978	)
	USD	3,407,500	HKD	26,436,441		3,408,572		04/26/16		(1,072	)
	USD	4,001,722	INR	276,238,902		4,166,185		04/07/16		(164,463	)
	USD	979,071	MYR	4,119,441		1,056,768		04/01/16		(77,697	)
	USD	1,704,000	SGD	2,336,361		1,733,201		04/26/16		(29,201	)
	USD	1,152,172	TWD	37,958,304		1,180,854		04/19/16		(28,682	)
JPMorgan Chase Bank (London)	IDR	14,689,762,259	USD	1,117,942		1,114,899		04/25/16		(3,043	)
	USD	12,999,825	CNH	84,990,253		13,135,354		04/26/16		(135,530	)
	USD	4,828,000	CNH	33,009,036		5,081,810		07/11/16		(253,810	)
	USD	3,234,859	CNH	22,085,998		3,400,008		07/12/16		(165,149	)
	USD	5,167,000	CNH	34,182,239		5,248,189		09/01/16		(81,189	)
	USD	45,040,888	EUR	40,138,028		45,742,710		05/19/16		(701,822	)
	USD	2,582,608	IDR	34,384,841,529		2,613,365		04/11/16		(30,757	)
	USD	1,704,000	IDR	22,708,015,200		1,722,761		04/29/16		(18,761	)
	USD	1,673,427	IDR	22,290,043,539		1,690,326		05/02/16		(16,899	)
	USD	2,958,000	KRW	3,569,891,880		3,115,686		04/08/16		(157,686	)
	USD	3,308,000	MXN	58,938,274		3,403,133		04/26/16		(95,133	)
	USD	1,699,000	MYR	6,813,160		1,757,224		04/25/16		(58,224	)
	USD	1,763,762	TWD	58,839,097		1,830,267		04/12/16		(66,505	)
Morgan Stanley & Co. International PLC	USD	21,648,514	BRL	84,695,643		23,526,988		04/04/16		(1,878,474	)
	USD	3,628,867	EUR	3,195,503		3,638,993		04/26/16		(10,126	)
	USD	1,658,000	KRW	1,974,678,000		1,723,115		04/15/16		(65,115	)
	USD	1,699,000	KRW	1,969,990,500		1,718,568		04/25/16		(19,568	)
	USD	590,000	MYR	2,475,050		634,929		04/01/16		(44,929	)
	USD	3,153,193	MYR	12,751,839		3,288,712		04/20/16		(135,519	)

76 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
Morgan Stanley & Co. International PLC (continued)	USD	1,038,000	RUB	76,942,321	$	1,143,903		04/04/16	$	(105,903	)
	USD	680,000	RUB	46,207,088		683,395		04/22/16		(3,395	)
	USD	2,475,000	TWD	81,070,605		2,521,773		04/11/16		(46,773	)
Royal Bank of Canada	USD	3,396,000	BRL	12,269,986		3,408,390		04/04/16		(12,390	)
	USD	39,547,095	EUR	35,568,253		40,504,621		04/26/16		(957,526	)
	USD	17,781,042	MXN	320,512,164		18,482,272		05/10/16		(701,230	)
Royal Bank of Scotland PLC	COP	2,054,355,696	USD	684,000		683,637		05/04/16		(363	)
	EUR	1,520,000	PLN	6,481,347		1,730,954		04/26/16		(5,358	)
	MXN	29,548,576	USD	1,709,000		1,706,154		04/26/16		(2,847	)
	USD	3,363,000	MXN	58,614,646		3,384,447		04/26/16		(21,447	)
	USD	8,264,555	TRY	24,459,953		8,614,764		04/26/16		(350,209	)
Standard Chartered Bank	USD	3,181,150	CNH	21,673,175		3,334,890		07/21/16		(153,740	)
	USD	3,185,425	CNH	21,539,048		3,314,079		07/22/16		(128,654	)
	USD	1,785,000	CNH	11,890,778		1,825,657		09/01/16		(40,657	)
	USD	1,350,000	ZAR	20,357,300		1,371,847		04/26/16		(21,847	)
UBS AG (London)	EUR	1,525,000	PLN	6,523,790		1,736,648		04/26/16		(11,034	)
	USD	1,639,000	BRL	6,368,911		1,769,174		04/04/16		(130,174	)
	USD	928,278	KRW	1,076,895,401		939,879		04/08/16		(11,601	)
Westpac Banking Corp.	USD	5,204,000	CNH	34,630,745		5,317,050		09/01/16		(113,050	)
	USD	2,561,007	IDR	34,010,175,000		2,576,863		04/04/16		(15,856	)
	USD	1,834,313	IDR	24,805,410,773		1,883,967		04/18/16		(49,654	)
	USD	4,041,698	INR	277,876,849		4,190,888		04/07/16		(149,190	)
	USD	827,972	MYR	3,430,951		884,752		04/11/16		(56,780	)
	USD	3,862,406	MYR	15,708,858		4,051,331		04/20/16		(188,925	)
	USD	2,736,983	TWD	89,649,887		2,788,752		04/14/16		(51,769	)
TOTAL									$	(11,324,537	)

FUTURES CONTRACTS — At March 31, 2016, 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		(268	)	June 2016	$	(46,238,375	)	$	228,799
2 Year U.S. Treasury Notes		224		June 2016		49,000,000			51,655
5 Year U.S. Treasury Notes		357		June 2016		43,255,570			83,606
10 Year U.S. Treasury Notes		1,005		June 2016		131,042,578			118,993
20 Year U.S. Treasury Bonds		485		June 2016		79,752,188			(651,578	)
TOTAL								$	(168,525	)

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

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

March 31, 2016

ADDITIONAL INVESTMENT INFORMATION (continued)

SWAP CONTRACTS — At March 31, 2016, the Fund had the following swap contracts:

OVER THE COUNTER INTEREST RATE SWAP CONTRACTS

						Rates Exchanged
Counterparty	Notional Amount (000s)			Termination Date		Payments Received	Payments Made	Unrealized Gain (Loss)*
Bank of America Securities LLC		BRL	100,350		01/02/17	1 month Brazilian Interbank Deposit Average	14.220%	$	(59,048	)
		KRW	7,739,660		11/04/17	2.060%	3 month KWCDC		72,041
		MYR	12,370		01/15/21	3 month KLIBOR	4.045		(55,888	)
		MXN	14,640		03/03/26	6.930	Mexico Interbank TIIE 28 Days		59,456
Barclays Bank PLC		MYR	6,800		08/14/23	3 month KLIBOR	4.485		(75,832	)
Citibank NA		BRL	10,940		01/02/17	15.740	1 month Brazilian Interbank Deposit Average		46,848
		KRW	4,820,980		03/07/17	2.875	3 month KWCDC		58,500
			18,832,760		10/06/17	2.239	3 month KWCDC		223,096
			4,044,740		10/14/17	2.240	3 month KWCDC		48,009
		BRL	8,360		01/02/18	14.460	1 month Brazilian Interbank Deposit Average		25,944
		MYR	18,970		09/17/18	3 month KLIBOR	3.830		(30,264	)
			11,920		09/24/18	3 month KLIBOR	3.785		(15,755	)
			20,280		11/19/18	3 month KLIBOR	3.915		(44,519	)
			9,040		11/21/18	3 month KLIBOR	3.960		(22,866	)
		KRW	2,069,140		08/16/23	3 month KWCDC	3.485		(260,467	)
		MYR	14,950		11/15/23	3 month KLIBOR	4.450		(159,141	)
Deutsche Bank AG		KRW	4,252,430		03/03/17	2.850	3 month KWCDC		50,589
		MYR	19,420		09/13/18	3 month KLIBOR	3.920		(41,684	)
		MXN	60,090		09/25/18	Mexico Interbank TIIE 28 Days	5.180		(39,275	)
		MYR	16,090		11/14/18	3 month KLIBOR	3.880		(31,481	)
		BRL	25,000		01/02/23	14.558	1 month Brazilian Interbank Deposit Average		140,193
		MYR	5,830		08/14/23	3 month KLIBOR	4.490		(65,505	)
JPMorgan Securities, Inc.		KRW	38,314,470		03/05/17	2.889	3 month KWCDC		469,821
		MYR	11,150		12/11/18	3 month KLIBOR	3.972		(29,084	)
			6,450		08/15/23	3 month KLIBOR	4.520		(75,708	)
		KRW	2,607,840		08/19/23	3 month KWCDC	3.563		(341,759	)
		MYR	9,260		09/26/23	3 month KLIBOR	4.330		(78,146	)
		KRW	1,936,610		01/15/24	3 month KWCDC	3.445		(253,152	)
Morgan Stanley & Co. International PLC			767,460		10/13/17	2.250	3 month KWCDC		9,191
			3,709,820		10/14/17	2.245	3 month KWCDC		44,317
			3,709,830		10/14/17	2.250	3 month KWCDC		44,601
		MYR	23,990		11/20/18	3 month KLIBOR	3.934		(56,254	)
			12,480		01/12/21	3 month KLIBOR	4.195		(78,511	)
		KRW	2,022,340		08/16/23	3 month KWCDC	3.485		(254,754	)
TOTAL								$	(776,487	)

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

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

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

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)
$	51,970			11/16/16	3 month LIBOR		0.643	%	$	106		$	(67,860	)
EUR	19,920	(a)		06/15/18	6 month EURO		0.250			(205,768	)		23,090
MXN	103,600			09/25/18	Mexico Interbank TIIE 28 Days		5.190			20			(69,949	)
EUR	8,110	(a)		06/15/21	6 month EURO		0.500			(220,770	)		10,904
	14,560	(a)		06/15/23	6 month EURO		0.750			(554,410	)		(17,517	)
	2,800	(a)		06/15/36	6 month EURO		1.500			(248,754	)		(45,857	)
	TOTAL								$	(1,229,576	)	$	(167,189	)

(a) Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to March 31, 2016.

OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS

												Market Value
Counterparty	Referenced Obligation	Notional Amount (000s)		Rates Received (Paid)			Termination Date		Credit Spread at March 31, 2016(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		0.752	%	$	(1,235	)	$	(7,102	)
			1,970		(1.000	)		06/20/19		0.791			(7,567	)		(6,074	)
			710		(1.000	)		06/20/19		0.791			(3,038	)		(1,878	)
	People’s Republic of China 7.500%, 10/28/27		9,500		(1.000	)		12/20/20		1.128			79,281			(27,077	)
Barclays Bank PLC	People’s Republic of China 4.250%, 10/28/17		4,140		(1.000	)		03/20/19		0.752			(9,617	)		(21,761	)
	People’s Republic of China 7.500%, 10/28/27		8,490		(1.000	)		03/20/19		0.752			(84,204	)		19,857
	People’s Republic of China 4.250%, 10/28/17		3,350		(1.000	)		09/20/19		0.864			(33,776	)		17,257
Citibank NA			31,240		(1.000	)		03/20/19		0.752			(85,850	)		(150,924	)
			21,330		(1.000	)		06/20/19		0.791			(48,022	)		(99,673	)
	People’s Republic of China 7.500%, 10/28/27		20,690		(1.000	)		12/20/20		1.128			204,886			(91,189	)
Deutsche Bank AG			5,280		(1.000	)		12/20/20		1.128			45,804			(16,790	)
JPMorgan Securities, Inc.	People’s Republic of China 4.250%, 10/28/17		10,100		(1.000	)		03/20/19		0.752			(37,031	)		(39,518	)
			2,690		(1.000	)		06/20/19		0.791			(9,862	)		(8,764	)
	People’s Republic of China 7.500%, 10/28/27		18,200		(1.000	)		12/20/20		1.128			126,838			(26,827	)

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

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

March 31, 2016

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 March 31, 2016(b)			Upfront Payments Made (Received)			Unrealized Gain (Loss)
Protection Sold:
Barclays Bank PLC	Republic of Colombia 10.375%, 01/28/2033	$	5,720		1.000	%		12/20/19		1.524	%	$	(176,763	)	$	70,185
	Federative Republic of Brazil, 4.250%, 01/07/2025		5,230		1.000			09/20/20		3.158			(569,993	)		102,547
	Republic of South Africa, 5.500%, 03/09/2020		1,590		1.000			12/20/20		2.753			(162,948	)		40,520
Citibank NA	Republic of Chile, 3.875%, 08/05/2020		11,510		1.000			12/20/20		0.860			(148,302	)		225,649
	Republic of South Africa, 5.500%, 03/09/2020		4,090		1.000			12/20/20		2.753			(421,220	)		106,295
JPMorgan Securities, Inc.	Federative Republic of Brazil, 4.250%, 01/07/2025		2,470		1.000			09/20/20		3.158			(287,118	)		66,355
Morgan Stanley & Co. International PLC	Republic of South Africa, 5.500%, 03/09/2020		2,960		1.000			12/20/20		2.753			(303,350	)		75,434
TOTAL												$	(1,933,087	)	$	226,522

(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.

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

GOLDMAN SACHS HIGH YIELD FUND

Schedule of Investments

March 31, 2016

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – 88.5%
	Aerospace & Defense – 0.4%
	Huntington Ingalls Industries, Inc. (BB+/Ba2)(a)
$	5,600,000		5.000	%		11/15/25	$	5,866,000
	TransDigm, Inc. (CCC+/Caa1)
	10,000,000		6.000			07/15/22		9,950,000
								15,816,000
	Airlines – 0.5%
	Air Canada (BB/B2)(a)
	3,000,000		8.750			04/01/20		3,180,000
	Continental Airlines 2012-3 Class C Pass Thru Certificates (NR/Ba2)
	10,000,000		6.125			04/29/18		10,500,000
	VistaJet Malta Finance PLC/VistaJet Co. Finance LLC (B-/NR)(a)
	15,800,000		7.750			06/01/20		7,070,500
								20,750,500
	Automotive(b) – 0.0%
	General Motors Liquidation Co. (NR/NR)
	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		—
								—
	Automotive Parts – 2.3%
	Gates Global LLC (B/Caa2)(a)
	25,000,000		6.000			07/15/22		21,343,750
	Schaeffler Finance BV (BB-/Ba2)(a)
	25,000,000		4.250			05/15/21		25,500,000
	5,000,000		4.750			05/15/23		5,037,500
	Schaeffler Holding Finance BV (B/Ba3)(c)
EUR	1,150,000		5.750			11/15/21		1,403,549
$	4,000,000		6.750	(a)		11/15/22		4,365,000
	ZF North America Capital, Inc. (BB/Ba2)
	6,300,000		4.500	(a)		04/29/22		6,378,750
EUR	3,200,000		2.750			04/27/23		3,656,755
$	18,500,000		4.750	(a)		04/29/25		18,476,875
								86,162,179
	Banks(d) – 3.8%
	Bank of America Corp. (BB+/Ba2)
	5,400,000		6.300			03/10/49		5,562,000
	1,200,000		6.100			03/17/49		1,179,000
	17,800,000		6.250			09/05/49		17,555,250
	Citigroup, Inc. (BB+/Ba2)
	12,000,000		6.300			05/15/49		11,580,000
	12,500,000		5.900	(e)		12/31/49		12,250,000
	Credit Suisse Group AG (BB/NR)(a)
	20,000,000		7.500			12/11/49		19,650,000
	JPMorgan Chase & Co. (BBB-/Baa3)
	5,000,000		7.900			04/30/49		5,000,000
	4,250,000		5.000	��		07/01/49		4,058,750
	15,000,000		6.100			10/01/49		15,285,150
	Royal Bank of Scotland Group PLC (B/B1)
	26,550,000		7.500			12/29/49		24,745,662
	Corporate Obligations – (continued)
	Banks(d) – (continued)
	UBS Group AG (BB/NR)
$	12,000,000		6.875	%		12/29/49	$	11,614,560
	6,600,000		7.000			12/29/49		6,769,752
	Wells Fargo & Co. (BBB/Baa2)
	10,000,000		5.875			06/15/49		10,678,000
								145,928,124
	Building Materials – 2.4%
	American Builders & Contractors Supply Co., Inc. (BB/B3)(a)
	4,600,000		5.750			12/15/23		4,778,250
	Atrium Windows & Doors, Inc. (B-/Caa1)(a)
	12,000,000		7.750			05/01/19		8,880,000
	Broadspectrum Ltd. (B+/Ba3)(a)
	1,800,000		8.375			05/15/20		1,822,500
	Builders FirstSource, Inc. (B+/B3)(a)
	4,000,000		7.625			06/01/21		4,160,000
	Cemex SAB de CV (B+/NR)(a)
	10,000,000		7.750			04/16/26		10,237,500
	Gibraltar Industries, Inc. (BB-/NR)
	5,000,000		6.250			02/01/21		5,075,000
	Masco Corp. (BBB/Ba2)
	3,050,000		3.500			04/01/21		3,084,312
	5,550,000		4.375			04/01/26		5,633,250
	Masonite International Corp. (BB/B2)(a)
	6,950,000		5.625			03/15/23		7,245,375
	RSI Home Products, Inc. (B+/B1)(a)
	5,000,000		6.500			03/15/23		5,200,000
	Safway Group Holding LLC/Safway Finance Corp. (B+/B3)(a)
	2,400,000		7.000			05/15/18		2,409,000
	Standard Industries, Inc. (BBB-/Ba2)(a)
	4,500,000		6.000			10/15/25		4,753,125
	Summit Materials LLC/Summit Materials Finance Corp. (B/Caa1)
	20,000,000		6.125			07/15/23		19,050,000
	Zachry Holdings, Inc. (B+/B2)(a)
	10,000,000		7.500			02/01/20		9,725,000
								92,053,312
	Chemicals – 0.6%
	Huntsman International LLC (B/B1)
	5,000,000		4.875	(e)		11/15/20		4,950,000
EUR	2,500,000		5.125			04/15/21		2,798,721
	WR Grace & Co. (BB+/Ba3)(a)
$	6,000,000		5.125			10/01/21		6,210,000
	8,000,000		5.625			10/01/24		8,340,000
								22,298,721
	Conglomerates – 0.4%
	Park-Ohio Industries, Inc. (B-/B3)
	15,000,000		8.125			04/01/21		15,337,500
	Construction Machinery(a) – 1.5%
	ATS Automation Tooling Systems, Inc. (B+/B2)
	10,250,000		6.500			06/15/23		10,531,875
	DH Services Luxembourg Sarl (CCC+/Caa1)
	15,000,000		7.750			12/15/20		14,850,000
	Manitowoc Foodservice, Inc. (B/Caa1)
	3,450,000		9.500			02/15/24		3,743,250

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

GOLDMAN SACHS HIGH YIELD FUND

Schedule of Investments(continued)

March 31, 2016

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Construction Machinery(a) – (continued)
	Milacron LLC/Mcron Finance Corp. (B-/Caa1)
$	21,000,000		7.750	%		02/15/21	$	19,425,000
	Waterjet Holdings, Inc. (B/B2)
	10,200,000		7.625			02/01/20		9,996,000
								58,546,125
	Consumer Products – Household & Leisure – 0.7%
	Spectrum Brands, Inc. (B/B2)
	6,915,000		6.625			11/15/22		7,468,200
	The Sun Products Corp. (CCC/Caa2)(a)
	19,000,000		7.750			03/15/21		17,480,000
								24,948,200
	Consumer Products – Industrial – 1.3%
	HD Supply, Inc. (B/B3)
	10,000,000		7.500			07/15/20		10,600,000
	8,945,000		5.750	(a)		04/15/24		9,101,537
	HD Supply, Inc. (B/Caa1)
	10,000,000		11.500			07/15/20		11,087,500
	HD Supply, Inc. (BB/Ba3)(a)
	9,000,000		5.250			12/15/21		9,438,750
	WESCO Distribution, Inc. (BB-/B1)
	8,000,000		5.375			12/15/21		8,080,000
								48,307,787
	Consumer Products – Non Durable – 1.6%
	Acosta, Inc. (CCC+/Caa1)(a)
	10,000,000		7.750			10/01/22		9,300,000
	Constellation Brands, Inc. (BB+/Ba1)
	11,000,000		4.250			05/01/23		11,261,250
	6,000,000		4.750			11/15/24		6,240,000
	Prestige Brands, Inc. (B/Caa1)(a)
	6,850,000		5.375			12/15/21		6,952,750
	3,350,000		6.375			03/01/24		3,496,562
	Sally Holdings LLC/Sally Capital, Inc. (BB+/Ba2)
	17,000,000		5.750			06/01/22		17,850,000
	7,300,000		5.625			12/01/25		7,783,625
								62,884,187
	Electrical Components & Equipment(a) – 0.2%
	Anixter, Inc. (BB/Ba3)
	6,500,000		5.500			03/01/23		6,581,250
	Emerging Markets(a) – 1.1%
	Digicel Group Ltd. (NR/Caa1)
	11,800,000		8.250			09/30/20		9,971,000
	5,000,000		7.125			04/01/22		3,862,000
	Digicel Ltd. (NR/B1)
	5,000,000		7.000			02/15/20		4,606,250
	4,000,000		6.000			04/15/21		3,580,000
	22,000,000		6.750			03/01/23		19,305,000
								41,324,250
	Energy – Exploration & Production – 5.9%
	Antero Resources Corp. (BB/Ba3)
	1,000,000		6.000			12/01/20		950,000
	10,000,000		5.375			11/01/21		9,200,000
	Corporate Obligations – (continued)
	Energy – Exploration & Production – (continued)
	Antero Resources Corp. (BB/Ba3) – (continued)
$	5,000,000		5.125	%		12/01/22	$	4,518,750
	11,025,000		5.625			06/01/23		10,087,875
	Berry Petroleum Co. (D/Ca)
	13,860,000		6.375			09/15/22		2,564,100
	California Resources Corp. (B/Caa1)(a)
	6,162,000		8.000			12/15/22		2,356,965
	California Resources Corp. (CCC+/Caa3)
	737,000		6.000			11/15/24		165,825
	Carrizo Oil & Gas, Inc. (B+/B3)
	3,000,000		7.500			09/15/20		2,797,500
	5,400,000		6.250			04/15/23		4,752,000
	Chaparral Energy, Inc. (D/Ca)
	7,000,000		9.875			10/01/20		1,312,500
	10,000,000		7.625			11/15/22		1,875,000
	Concho Resources, Inc. (BB+/Ba2)
	3,421,000		7.000			01/15/21		3,455,210
	5,000,000		5.500			10/01/22		4,900,000
	Continental Resources, Inc. (BB+/Ba3)
	1,550,000		7.125			04/01/21		1,441,500
	10,000,000		5.000			09/15/22		8,625,000
	4,900,000		4.500			04/15/23		4,091,500
	8,300,000		3.800			06/01/24		6,660,750
	CrownRock LP/CrownRock Finance, Inc. (B+/Caa1)(a)
	8,000,000		7.125			04/15/21		7,600,000
	Denbury Resources, Inc. (CCC+/Caa3)
	20,000,000		4.625			07/15/23		8,200,000
	Halcon Resources Corp. (CCC+/B3)(a)
	10,000,000		8.625			02/01/20		7,000,000
	Laredo Petroleum, Inc. (B-/B3)
	8,400,000		5.625			01/15/22		7,035,000
	3,861,000		7.375			05/01/22		3,344,591
	10,900,000		6.250			03/15/23		9,128,750
	MEG Energy Corp. (BB-/Caa3)(a)
	5,500,000		6.500			03/15/21		3,300,000
	10,000,000		6.375			01/30/23		5,900,000
	Newfield Exploration Co. (BB+/Ba3)
	8,000,000		5.375			01/01/26		7,280,000
	Oasis Petroleum, Inc. (B+/Caa1)
	16,000,000		6.875			03/15/22		11,840,000
	Paramount Resources Ltd. (B+/Caa3)(a)
	12,000,000		6.875			06/30/23		8,640,000
	Range Resources Corp. (BB+/Ba3)(a)
	8,700,000		4.875			05/15/25		7,569,000
	Rice Energy, Inc. (B-/B3)
	3,283,000		6.250			05/01/22		2,872,625
	8,767,000		7.250			05/01/23		7,714,960
	Samson Investment Co. (NR/WR)(b)
	20,000,000		9.750			02/15/20		50,000
	SM Energy Co. (B+/B3)
	15,000,000		6.500			11/15/21		11,062,500
	15,000,000		5.000			01/15/24		10,350,000
	Vanguard Natural Resources LLC/VNR Finance Corp. (NR/NR)(a)
	6,592,000		7.000			02/15/23		2,076,480

82 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)
	Whiting Petroleum Corp. (B/Caa2)
$	12,000,000		5.000	%		03/15/19	$	8,280,000
	8,000,000		5.750			03/15/21		5,320,000
	7,000,000		6.250			04/01/23		4,707,500
	WPX Energy, Inc. (BB-/B2)
	10,000,000		8.250			08/01/23		7,725,000
	YPF SA (NR/Caa1)(a)
	7,900,000		8.500			03/23/21		7,898,539
								224,649,420
	Energy – Services – 2.0%
	CVR Refining LLC/Coffeyville Finance, Inc. (BB-/B1)
	6,700,000		6.500			11/01/22		5,896,000
	FTS International, Inc. (B+/B1)(a)(d)
	5,100,000		8.134			06/15/20		3,391,500
	Noble Holding International Ltd. (BBB/B1)
	6,450,000		4.900			08/01/20		4,740,750
	5,150,000		6.950			04/01/25		3,296,000
	Petrobras Global Finance BV (B+/B3)
	8,800,000		3.000			01/15/19		7,515,332
	Sunoco LP/Sunoco Finance Corp. (BB-/Ba3)(a)
	8,150,000		5.500			08/01/20		8,150,000
	6,000,000		6.375			04/01/23		6,000,000
	Transocean, Inc. (BB+/B2)
	20,000,000		6.375			12/15/21		13,400,000
	12,000,000		7.500			04/15/31		6,060,000
	Weatherford International LLC (BB+/Ba3)
	2,150,000		6.800			06/15/37		1,601,750
	Weatherford International Ltd. (BB+/Ba3)
	1,250,000		5.125			09/15/20		1,068,750
	6,300,000		4.500			04/15/22		5,055,750
	12,000,000		6.500			08/01/36		8,580,000
								74,755,832
	Entertainment & Leisure – 0.7%
	AMC Entertainment, Inc. (B/B2)
	450,000		5.875			02/15/22		462,375
	4,850,000		5.750			06/15/25		4,947,000
	Carmike Cinemas, Inc. (BB/B1)(a)
	3,950,000		6.000			06/15/23		4,152,438
	Cinemark USA, Inc. (BB/B2)(a)
	5,850,000		4.875			06/01/23		5,850,000
	Regal Entertainment Group (B-/B3)
	10,100,000		5.750			03/15/22		10,403,000
								25,814,813
	Environmental – 0.5%
	Advanced Disposal Services, Inc. (CCC+/Caa2)
	10,000,000		8.250			10/01/20		10,200,000
	Casella Waste Systems, Inc. (B/Caa1)
	10,000,000		7.750			02/15/19		10,175,000
								20,375,000
	Finance – 6.1%
	AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (BBB-/Ba2)
	2,500,000		4.625			10/30/20		2,556,250
	Corporate Obligations – (continued)
	Finance – (continued)
	Aircastle Ltd. (BB+/Ba1)
$	800,000		5.500	%		02/15/22	$	832,000
	4,400,000		5.000			04/01/23		4,422,000
	Ally Financial, Inc. (BB+/NR)
	5,550,000		3.600			05/21/18		5,522,250
	Ally Financial, Inc. (BB+/Ba3)
	10,000,000		6.250			12/01/17		10,400,000
	3,050,000		3.500			01/27/19		2,992,812
	7,000,000		5.125			09/30/24		7,140,000
	15,000,000		8.000			11/01/31		17,137,500
	CIT Group, Inc. (BB+/B1)
	3,000,000		5.250			03/15/18		3,105,000
	23,050,000		5.500	(a)		02/15/19		23,856,750
	3,250,000		5.000			08/15/22		3,290,625
	HRG Group, Inc. (B+/Ba3)
	10,000,000		7.875			07/15/19		10,546,000
	International Lease Finance Corp. (BBB-/Ba1)(a)
	5,000,000		7.125			09/01/18		5,443,750
	International Lease Finance Corp. (BBB-/Ba2)
	1,750,000		8.875			09/01/17		1,881,250
	19,000,000		5.875			04/01/19		20,021,250
	7,000,000		4.625			04/15/21		7,183,750
	Jefferies Finance LLC/JFIN Co-Issuer Corp. (B/B1)(a)
	10,000,000		7.375			04/01/20		8,650,000
	Jefferies LoanCore LLC/JLC Finance Corp. (B/B2)(a)
	5,000,000		6.875			06/01/20		4,250,000
	Nationstar Mortgage LLC/Nationstar Capital Corp. (B+/B2)
	10,950,000		6.500			08/01/18		10,594,125
	8,000,000		7.875			10/01/20		7,660,000
	9,000,000		6.500			07/01/21		7,976,250
	Navient Corp. (BB-/Ba3)
	15,000,000		5.500			01/15/19		14,737,500
	11,150,000		4.875			06/17/19		10,759,750
	6,000,000		5.875			03/25/21		5,467,500
	5,000,000		6.125			03/25/24		4,350,000
	OneMain Financial Holdings LLC (B/B2)(a)
	9,000,000		6.750			12/15/19		8,977,500
	Rialto Holdings LLC/Rialto Corp. (B/B2)(a)
	11,300,000		7.000			12/01/18		11,130,500
	Speedy Cash Intermediate Holdings Corp. (B/B3)(a)
	13,500,000		10.750			05/15/18		8,032,500
	Synovus Financial Corp. (BB+/Ba2)
	5,000,000		7.875			02/15/19		5,500,000
								234,416,812
	Food – 1.0%
	Cott Beverages, Inc. (B-/B3)
	5,000,000		5.375			07/01/22		5,125,000
	Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp. (B+/B2)(a)
	2,350,000		5.875			01/15/24		2,458,688
	R&R Ice Cream PLC (B/B2)
AUD	4,900,000		8.250			05/15/20		3,913,063
	Shearer’s Foods LLC/Chip Finance Corp. (B/B1)(a)
$	6,957,000		9.000			11/01/19		7,304,850

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

GOLDMAN SACHS HIGH YIELD FUND

Schedule of Investments(continued)

March 31, 2016

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Food – (continued)
	The WhiteWave Foods Co. (BB-/B1)
$	3,050,000		5.375	%		10/01/22	$	3,271,125
	TreeHouse Foods, Inc. (BB/Ba3)(a)
	5,850,000		6.000			02/15/24		6,193,687
	Wells Enterprises, Inc. (B+/B2)(a)
	8,750,000		6.750			02/01/20		8,990,625
								37,257,038
	Gaming – 3.5%
	Boyd Gaming Corp. (B-/B3)(a)
	4,450,000		6.375			04/01/26		4,616,875
	Downstream Development Authority of the Quapaw Tribe of Oklahoma (B/B3)(a)
	8,000,000		10.500			07/01/19		7,600,000
	GLP Capital LP/GLP Financing II, Inc. (BB+/Ba1)
	1,180,000		4.375			11/01/18		1,203,600
	4,900,000		4.875			11/01/20		5,096,000
	MGM Resorts International (B+/B3)
	20,000,000		6.750			10/01/20		21,500,000
	21,000,000		6.625			12/15/21		22,522,500
	13,000,000		7.750			03/15/22		14,495,000
	New Red Finance, Inc. (B+/Ba3)(a)
	15,000,000		4.625			01/15/22		15,300,000
	New Red Finance, Inc. (B-/B3)(a)
	15,000,000		6.000			04/01/22		15,600,000
	River Cree Enterprises LP (B-/NR)(a)
CAD	6,750,000		11.000			01/20/21		5,041,386
	Scientific Games International, Inc. (B/Caa1)
$	12,500,000		10.000			12/01/22		10,062,500
	Seminole Hard Rock Entertainment, Inc. (BB-/B2)(a)
	12,000,000		5.875			05/15/21		12,060,000
								135,097,861
	Health Care – Medical Products(a) – 0.4%
	Fresenius Medical Care US Finance II, Inc. (BB+/Ba2)
	10,000,000		5.625			07/31/19		10,900,000
	4,505,000		5.875			01/31/22		4,944,238
								15,844,238
	Health Care – Pharmaceuticals(a) – 1.2%
	Concordia Healthcare Corp. (CCC+/Caa2)
	8,000,000		7.000			04/15/23		6,860,000
	Endo Ltd./Endo Finance LLC/Endo Finco, Inc. (B/B1)
	15,950,000		6.000			07/15/23		15,052,813
	Valeant Pharmaceuticals International, Inc. (B-/B3)
	13,000,000		5.375			03/15/20		10,660,000
	8,000,000		6.375			10/15/20		6,640,000
	7,000,000		7.500			07/15/21		5,827,500
	400,000		5.500			03/01/23		316,000
								45,356,313
	Health Care – Services – 6.7%
	Centene Escrow Corp. (BB/Ba2)(a)
	10,900,000		5.625			02/15/21		11,363,250
	5,500,000		6.125			02/15/24		5,788,750
	Corporate Obligations – (continued)
	Health Care – Services – (continued)
	CHS/Community Health Systems, Inc. (B-/B3)
$	5,000,000		8.000	%		11/15/19	$	4,868,750
	17,000,000		6.875			02/01/22		15,300,000
	CHS/Community Health Systems, Inc. (BB/Ba2)
	25,000,000		5.125			08/15/18		25,250,000
	Crimson Merger Sub, Inc. (CCC/Caa2)(a)
	4,000,000		6.625			05/15/22		3,020,000
	ExamWorks Group, Inc. (B-/B3)
	5,200,000		5.625			04/15/23		5,304,000
	HCA, Inc. (B+/B1)
	15,000,000		7.500			02/15/22		16,912,500
	HCA, Inc. (BBB-/Ba1)
	40,000,000		6.500			02/15/20		43,900,000
	5,000,000		4.750			05/01/23		5,087,500
	20,000,000		5.000			03/15/24		20,462,500
	25,000,000		5.250			04/15/25		25,750,000
	MEDNAX, Inc. (BBB-/Ba2)(a)
	9,750,000		5.250			12/01/23		10,140,000
	MPT Operating Partnership LP/MPT Finance Corp. (BBB-/Ba1)
	12,000,000		6.875			05/01/21		12,435,000
	2,000,000		6.375			03/01/24		2,105,000
	Quintiles Transnational Corp. (BB+/Ba3)(a)
	2,200,000		4.875			05/15/23		2,249,500
	Tenet Healthcare Corp. (BB-/Ba2)(a)(d)
	20,000,000		4.134			06/15/20		19,850,000
	Tenet Healthcare Corp. (CCC+/B3)
	5,300,000		5.000			03/01/19		5,247,000
	22,000,000		6.750			06/15/23		21,230,000
								256,263,750
	Home Construction – 2.1%
	Beazer Homes USA, Inc. (CCC+/Caa1)
	2,900,000		5.750			06/15/19		2,570,125
	8,100,000		7.500			09/15/21		6,642,000
	5,000,000		7.250			02/01/23		3,893,750
	Brookfield Residential Properties, Inc. (BB-/B1)(a)
	7,500,000		6.500			12/15/20		7,125,000
	2,000,000		6.125			07/01/22		1,767,500
	4,000,000		6.375			05/15/25		3,390,000
	Calatlantic Group, Inc. (BB/Ba2)
	7,450,000		6.250			12/15/21		7,990,125
	Century Communities, Inc. (B/B3)
	5,075,000		6.875			05/15/22		4,846,625
	CPG Merger Sub LLC (CCC+/Caa2)(a)
	5,350,000		8.000			10/01/21		4,982,187
	D.R. Horton, Inc. (BB+/Ba1)
	2,000,000		3.750			03/01/19		2,037,500
	2,200,000		4.000			02/15/20		2,266,000
	5,000,000		4.750			02/15/23		5,081,250
	Lennar Corp. (BB/Ba2)
	3,000,000		4.750			11/15/22		3,011,250
	4,800,000		4.875			12/15/23		4,794,000
	Toll Brothers Finance Corp. (BB+/Ba1)
	7,650,000		4.375			04/15/23		7,554,375

84 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)
	TRI Pointe Group, Inc./TRI Pointe Homes, Inc. (BB-/B1)
$	4,000,000		4.375	%		06/15/19	$	3,970,000
	8,000,000		5.875			06/15/24		7,960,000
								79,881,687
	Life Insurance(a) – 0.3%
	Fidelity & Guaranty Life Holdings, Inc. (BB-/Ba3)
	10,000,000		6.375			04/01/21		10,075,000
	Lodging(a)(c) – 0.1%
	New Cotai LLC/New Cotai Capital Corp. (NR/NR)
	8,704,117		10.625			05/01/19		5,707,543
	Machinery – 0.4%
	AECOM (BB-/Ba3)
	5,000,000		5.875			10/15/24		5,186,655
	EnPro Industries, Inc. (BB-/B1)
	4,450,000		5.875			09/15/22		4,533,438
	Oshkosh Corp. (BB+/Ba3)
	4,400,000		5.375			03/01/25		4,433,000
								14,153,093
	Media – Broadcasting & Radio – 3.4%
	AMC Networks, Inc. (BB/Ba3)
	14,150,000		5.000			04/01/24		14,185,375
	iHeartCommunications, Inc. (CCC/Caa1)
	11,984,000		9.000			12/15/19		8,868,160
	10,000,000		10.625			03/15/23		6,900,000
	Lamar Media Corp. (BB-/Ba1)(a)
	2,100,000		5.750			02/01/26		2,205,000
	Nielsen Finance LLC/Nielsen Finance Co. (BB+/B1)
	5,000,000		4.500			10/01/20		5,125,000
	Sinclair Television Group, Inc. (B+/B1)(a)
	4,600,000		5.875			03/15/26		4,692,000
	Sirius XM Radio, Inc. (BB/Ba3)(a)
	3,200,000		5.875			10/01/20		3,344,000
	12,000,000		5.750			08/01/21		12,540,000
	7,000,000		6.000			07/15/24		7,332,500
	10,000,000		5.375			04/15/25		10,150,000
	Tribune Media Co. (BB-/B2)(a)
	22,650,000		5.875			07/15/22		21,970,500
	Univision Communications, Inc. (B+/B2)(a)
	20,000,000		6.750			09/15/22		21,150,000
	7,000,000		5.125			05/15/23		7,000,000
	2,000,000		5.125			02/15/25		1,970,000
	Univision Communications, Inc. (CCC+/Caa1)(a)
	2,500,000		8.500			05/15/21		2,550,000
								129,982,535
	Media – Cable – 6.2%
	Adelphia Communications Corp. (NR/NR)(b)
	2,000,000		10.250			06/15/49		10,000
	Altice US Finance I Corp. (BB-/Ba3)(a)
	5,000,000		5.375			07/15/23		5,131,250
	CCO Holdings LLC/CCO Holdings Capital Corp. (BB-/B1)
	2,700,000		5.125	(a)		05/01/23		2,747,250
	15,550,000		5.750			09/01/23		16,172,000
	Corporate Obligations – (continued)
	Media – Cable – (continued)
	CCO Holdings LLC/CCO Holdings Capital Corp. (BB-/B1) – (continued)
$	18,900,000		5.875	%(a)		04/01/24	$	19,750,500
	18,000,000		5.875	(a)		05/01/27		18,270,000
	CCOH Safari LLC (BB/B1)(a)
	20,850,000		5.750			02/15/26		21,579,750
	Cequel Communications Holdings I LLC/Cequel Capital Corp. (B-/Caa1)(a)
	5,250,000		7.750			07/15/25		5,131,875
	CSC Holdings LLC (BB/Ba2)
	2,000,000		8.625			02/15/19		2,200,000
	10,000,000		6.750			11/15/21		10,250,000
	24,000,000		5.250			06/01/24		21,300,000
	DISH DBS Corp. (BB-/Ba3)
	5,000,000		6.750			06/01/21		5,137,500
	19,000,000		5.875			11/15/24		17,432,500
	Midcontinent Communications & Midcontinent Finance Corp. (B/B3)(a)
	5,000,000		6.250			08/01/21		5,150,000
	Numericable-SFR SA (B+/B1)(a)
	40,000,000		6.000			05/15/22		39,000,000
	UPC Holding BV (B/B2)(a)
	CHF 5,013,000		6.750			03/15/23		5,606,604
	UPCB Finance IV Ltd. (BB/Ba3)(a)
	11,200,000		5.375			01/15/25		11,284,000
	Virgin Media Finance PLC (B/B2)(a)
	6,000,000		6.375			04/15/23		6,210,000
	Virgin Media Secured Finance PLC (BB-/Ba3)(a)
	9,270,900		5.375			04/15/21		9,641,736
	VTR Finance BV (B+/B1)(a)
	15,000,000		6.875			01/15/24		14,625,000
								236,629,965
	Media – Diversified – 0.5%
	Videotron Ltd. (BB/Ba2)
	10,000,000		5.000			07/15/22		10,300,000
	8,000,000		5.375	(a)		06/15/24		8,300,000
								18,600,000
	Media – Non Cable – 0.3%
	Netflix, Inc. (B+/B1)
	6,750,000		5.500			02/15/22		7,070,625
	3,450,000		5.875			02/15/25		3,631,125
								10,701,750
	Metals – 1.0%
	ArcelorMittal (BB/Ba2)
	6,400,000		6.000			03/01/21		6,240,000
	10,000,000		6.750			02/25/22		9,875,000
	7,850,000		6.125			06/01/25		7,300,500
	Steel Dynamics, Inc. (BB+/Ba2)
	5,000,000		5.125			10/01/21		5,075,000
	5,000,000		5.250			04/15/23		5,031,250
	3,425,000		5.500			10/01/24		3,484,938
								37,006,688

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

GOLDMAN SACHS HIGH YIELD FUND

Schedule of Investments (continued)

March 31, 2016

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Mining – 1.4%
	Anglo American Capital PLC (BB/Ba3)(a)
$	3,950,000		9.375	%		04/08/19	$	4,177,125
	10,000,000		3.625			05/14/20		8,625,000
	6,550,000		4.450			09/27/20		5,747,625
	5,650,000		4.125			04/15/21		4,746,000
	Freeport-McMoRan, Inc. (BB/B1)
	7,800,000		2.300			11/14/17		7,195,500
	4,200,000		2.375			03/15/18		3,717,000
	2,500,000		4.000			11/14/21		1,768,750
	13,500,000		3.550			03/01/22		9,416,250
	New Gold, Inc. (B+/B3)(a)
	8,750,000		6.250			11/15/22		7,415,625
								52,808,875
	Packaging – 2.8%
	Ardagh Finance Holdings SA (CCC+/Caa2)(a)(c)
	17,901,430		8.625			06/15/19		16,775,505
	Ardagh Packaging Finance PLC (CCC+/Caa1)(a)
	10,000,000		6.250			01/31/19		9,900,000
	6,875,000		9.125			10/15/20		7,081,250
	1,300,000		6.000			06/30/21		1,231,750
	Ardagh Packaging Finance PLC (NR/Caa1)(a)
	1,685,294		7.000			11/15/20		1,592,603
	BWAY Holding Co. (CCC/Caa2)(a)
	22,000,000		9.125			08/15/21		19,580,000
	Reynolds Group Issuer, Inc. (CCC+/Caa2)
	10,000,000		8.500			05/15/18		9,987,500
	18,800,000		9.000			04/15/19		18,988,000
	20,000,000		9.875			08/15/19		20,750,000
								105,886,608
	Paper – 0.9%
	Clearwater Paper Corp. (BB+/Ba2)
	5,000,000		4.500			02/01/23		4,762,500
	18,550,000		5.375	(a)		02/01/25		18,109,438
	Mercer International, Inc. (B+/B2)
	4,350,000		7.000			12/01/19		4,350,000
	9,186,000		7.750			12/01/22		9,117,105
	Stone Container Finance Co. of Canada II (NR/WR)(b)
	2,250,000		7.375			07/15/14		—
								36,339,043
	Printing(a) – 0.4%
	Southern Graphics, Inc. (CCC+/Caa1)
	15,700,000		8.375			10/15/20		15,582,250
	Publishing – 0.8%
	Nielsen Finance LLC/Nielsen Finance Co. (BB+/B1)(a)
	14,000,000		5.000			04/15/22		14,245,000
	Outfront Media Capital LLC/Outfront Media Capital Corp. (BB-/B1)
	6,000,000		5.875			03/15/25		6,270,000
	The Nielsen Co Luxembourg SARL (BB+/B1)(a)
	10,000,000		5.500			10/01/21		10,375,000
								30,890,000
	Corporate Obligations – (continued)
	Real Estate – 0.8%
	CBRE Services, Inc. (BBB/Baa3)
$	9,400,000		5.250	%		03/15/25	$	9,658,500
	DuPont Fabros Technology LP (BB/Ba1)
	20,000,000		5.875			09/15/21		20,925,000
								30,583,500
	Retailers – 1.3%
	Dollar Tree, Inc. (BB-/Ba3)(a)
	10,050,000		5.750			03/01/23		10,627,875
	L Brands, Inc. (BB+/Ba1)
	5,000,000		6.625			04/01/21		5,612,500
	10,000,000		5.625			02/15/22		10,875,000
	Neiman Marcus Group Ltd., Inc. (CCC/Caa2)(a)
	4,450,000		8.000			10/15/21		3,838,125
	6,200,000		8.750	(c)		10/15/21		4,789,500
	Party City Holdings, Inc. (B-/B3)(a)(e)
	4,200,000		6.125			08/15/23		4,320,750
	The William Carter Co. (BB+/Ba2)
	8,000,000		5.250			08/15/21		8,230,000
								48,293,750
	Services Cyclical – Business Services – 0.7%
	CoreLogic, Inc. (B+/Ba3)
	12,100,000		7.250			06/01/21		12,568,875
	SPL Logistics Escrow LLC (B-/B3)(a)
	9,000,000		8.875			08/01/20		7,087,500
	WEX, Inc. (BB-/Ba3)(a)
	10,000,000		4.750			02/01/23		8,800,000
								28,456,375
	Services Cyclical – Rental Equipment – 1.1%
	Ahern Rentals, Inc. (B/B3)(a)
	23,000,000		7.375			05/15/23		15,870,000
	Ashtead Capital, Inc. (BB/Ba3)(a)
	12,500,000		5.625			10/01/24		12,937,500
	United Rentals North America, Inc. (BB+/Ba1)
	10,000,000		4.625			07/15/23		9,937,500
	5,000,000		5.750			11/15/24		5,025,000
								43,770,000
	Technology – Hardware – 1.3%
	Ancestry.com, Inc. (CCC+/B3)
	4,999,000		11.000			12/15/20		5,373,925
	Micron Technology, Inc. (BB/Ba3)(a)
	15,000,000		5.250			08/01/23		12,262,500
	NCR Corp. (BB/B1)
	5,000,000		4.625			02/15/21		4,962,500
	7,000,000		5.000			07/15/22		6,930,000
	NXP BV/NXP Funding LLC (BB+/Ba2)(a)
	2,321,000		4.125			06/15/20		2,344,210
	Qorvo, Inc. (BB+/Ba1)(a)
	6,550,000		6.750			12/01/23		6,762,875
	VeriSign, Inc. (BB+/Ba1)
	6,150,000		5.250			04/01/25		6,180,750

86 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)
	Technology – Hardware – (continued)
	Western Digital Corp. (BBB-/Ba1)(a)
$	5,350,000		7.375	%		04/01/23	$	5,457,000
								50,273,760
	Technology – Software/Services – 3.2%
	Aspect Software, Inc. (D/WR)(b)
	6,000,000		10.625			05/15/17		2,100,000
	BMC Software Finance, Inc. (CCC+/Caa1)(a)
	19,000,000		8.125			07/15/21		13,205,000
	CyrusOne LP/CyrusOne Finance Corp. (B+/B1)
	7,000,000		6.375			11/15/22		7,262,500
	Equinix, Inc. (BB/B1)
	9,250,000		5.375			01/01/22		9,631,562
	10,000,000		5.375			04/01/23		10,350,000
	14,000,000		5.750			01/01/25		14,700,000
	9,650,000		5.875			01/15/26		10,132,500
	First Data Corp. (B/Caa1)(a)
	12,400,000		5.750			01/15/24		12,400,000
	First Data Corp. (BB/B1)(a)
	8,700,000		6.750			11/01/20		9,156,750
	IHS, Inc. (BB+/Ba1)
	10,500,000		5.000			11/01/22		10,867,500
	Infor US, Inc. (B-/Caa1)
	9,150,000		6.500			05/15/22		8,326,500
	Infor US, Inc. (NR/Caa1)
EUR	3,980,000		5.750			05/15/22		3,783,168
	Nuance Communications, Inc. (BB-/Ba3)(a)
$	10,000,000		5.375			08/15/20		10,137,500
								122,052,980
	Telecommunications – 3.0%
	CenturyLink, Inc. (BB/Ba3)
	16,050,000		7.500			04/01/24		16,112,884
	Frontier Communications Corp. (BB-/Ba3)
	18,000,000		8.500			04/15/20		18,405,000
	4,000,000		8.875	(a)		09/15/20		4,160,000
	Level 3 Financing, Inc. (B/B1)
	5,000,000		5.125			05/01/23		5,062,500
	11,800,000		5.375	(a)		01/15/24		11,977,000
	9,200,000		5.375			05/01/25		9,315,000
	10,350,000		5.250	(a)		03/15/26		10,427,625
	Telecom Italia Capital SA (BB+/Ba1)
	7,100,000		7.721			06/04/38		7,277,500
	Telecom Italia SpA (BB+/Ba1)(a)
	15,800,000		5.303			05/30/24		16,274,000
	Windstream Corp. (B+/B2)(e)
	12,978,000		7.750			10/15/20		11,128,635
	Windstream Services LLC (B+/B2)
	6,000,000		7.750			10/01/21		4,875,000
								115,015,144
	Telecommunications – Cellular – 7.9%
	Altice Financing SA (BB-/B1)(a)
	21,000,000		6.500			01/15/22		21,210,000
	17,100,000		6.625			02/15/23		17,100,000
Corporate Obligations – (continued)
	Telecommunications – Cellular – (continued)
	Altice Finco SA (B-/B3)(a)
$	7,000,000		8.125	%		01/15/24	$	6,930,000
	Communications Sales & Leasing, Inc. (B-/Caa1)
	15,000,000		8.250			10/15/23		13,912,500
	SoftBank Group Corp. (BB+/Ba1)(a)
	25,000,000		4.500			04/15/20		25,462,750
	Sprint Capital Corp. (B/Caa1)
	28,000,000		6.900			05/01/19		24,150,000
	Sprint Communications, Inc. (B/Caa1)
	11,448,000		8.375			08/15/17		11,319,210
	17,900,000		7.000			08/15/20		14,185,750
	14,700,000		11.500			11/15/21		13,009,500
	Sprint Communications, Inc. (BB-/B1)(a)
	15,450,000		9.000			11/15/18		16,222,500
	8,000,000		7.000			03/01/20		8,030,000
	Sprint Corp. (B/Caa1)
	20,000,000		7.250			09/15/21		15,350,000
	37,050,000		7.875			09/15/23		28,343,250
	T-Mobile USA, Inc. (BB/Ba3)
	9,050,000		6.542			04/28/20		9,366,750
	20,000,000		6.250			04/01/21		21,000,000
	5,000,000		6.125			01/15/22		5,162,500
	9,000,000		6.731			04/28/22		9,405,000
	15,000,000		6.500			01/15/26		15,562,500
	Wind Acquisition Finance SA (B/Caa1)(a)
	11,800,000		7.375			04/23/21		10,708,500
	Wind Acquisition Finance SA (BB/Ba3)(a)
	15,000,000		4.750			07/15/20		14,175,000
								300,605,710
	Telecommunications – Satellites – 0.8%
	Inmarsat Finance PLC (BB+/Ba2)(a)
	9,000,000		4.875			05/15/22		8,533,080
	Intelsat Jackson Holdings SA (CC/Caa3)
	5,000,000		6.625			12/15/22		2,675,000
	Intelsat Jackson Holdings SA (CCC/Caa2)
	5,000,000		7.500			04/01/21		3,187,500
	7,000,000		5.500			08/01/23		4,235,000
	Intelsat Luxembourg SA (CC/Ca)
	24,000,000		7.750			06/01/21		7,140,000
	10,000,000		8.125			06/01/23		2,975,000
								28,745,580
	Utilities – Electric – 1.3%
	Calpine Corp. (B/B2)
	14,550,000		5.375			01/15/23		14,022,562
	Calpine Corp. (BB/Ba2)(a)
	5,600,000		6.000			01/15/22		5,873,000
	5,550,000		7.875			01/15/23		5,855,250
	Dynegy, Inc. (B+/B3)
	11,750,000		6.750			11/01/19		11,691,250
	MPM Escrow LLC (NR/NR)(b)
	3,110,000		8.875			10/15/20		—
	NRG Energy, Inc. (BB-/B1)
	13,983,000		8.250			09/01/20		14,017,958
								51,460,020

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

GOLDMAN SACHS HIGH YIELD FUND

Schedule of Investments (continued)

March 31, 2016

Principal Amount		Interest Rate			Maturity Date		Value
Corporate Obligations – (continued)
	Utilities – Pipelines – 1.7%
	Blue Racer Midstream LLC/Blue Racer Finance Corp. (B-/B3)(a)
$	5,000,000		6.125	%		11/15/22	$	4,162,500
	Genesis Energy LP/Genesis Energy Finance Corp. (B+/B1)
	650,000		6.000			05/15/23		568,750
	MPLX LP (BBB-/Baa3)(a)
	1,242,000		5.500			02/15/23		1,186,110
	2,245,000		4.500			07/15/23		2,065,400
	600,000		4.875			12/01/24		550,500
	Sabine Pass Liquefaction LLC (BB+/Ba3)
	11,000,000		6.250			03/15/22		10,725,000
	5,000,000		5.625			04/15/23		4,750,000
	20,000,000		5.750			05/15/24		19,100,000
	4,000,000		5.625			03/01/25		3,815,000
	Targa Resources Partners LP/Targa Resources Partners Finance Corp. (BB-/Ba3)
	9,000,000		6.875			02/01/21		8,820,000
	Williams Partners LP (BBB-/Baa3)
	2,550,000		4.500			11/15/23		2,129,250
	9,000,000		4.300			03/04/24		7,425,000
								65,297,510
	TOTAL CORPORATE OBLIGATIONS
	(Cost $3,598,208,238)						$	3,379,568,578
	Bank Loans(f) – 5.1%
	Consumer Products – Household & Leisure – 0.2%
	The Sun Products Corp. (B-/B1)
$	7,020,198		5.500	%		03/23/20	$	6,760,451
	Consumer Products – Industrial – 0.1%
	Atkore International, Inc. (CCC+/Caa2)
	4,925,000		7.750			10/09/21		4,481,750
	Energy – 0.0%
	American Energy – Marcellus LLC (CC/Caa3)
	3,275,000		8.500			08/04/21		125,531
	American Energy – Marcellus LLC (CCC/Caa1)
	9,950,000		5.250			08/04/20		1,625,133
								1,750,664
	Energy – Exploration & Production – 0.1%
	Magnum Hunter Resources, Inc. (NR/NR)
	1,782,071		9.000			09/15/16		1,764,250
	Magnum Hunter Resources, Inc. (NR/WR)(b)
	8,489,250		0.000			10/22/19		3,624,910
								5,389,160
	Food & Beverages – 0.5%
	Performance Food Group, Inc. (BB-/B2)
	8,336,054		7.215			11/14/19		8,336,054
	Shearer’s Foods, Inc. (CCC+/Caa1)
	13,000,000		7.750			06/30/22		11,960,000
								20,296,054
Bank Loans – (continued)
	Health Care – Pharmaceuticals – 0.7%
	Concordia Healthcare Corp. (B+/B1)
$	2,568,563		5.250	%		10/21/21	$	2,496,001
	Endo Luxembourg Finance Co. I S.A.R.L. (BB/Ba1)
	8,329,125		3.750			09/26/22		8,193,777
	Valeant Pharmaceuticals International, Inc. (BB/Ba2)
	15,654,250		4.000			04/01/22		14,760,705
								25,450,483
	Health Care – Services – 1.0%
	American Renal Holdings, Inc. (CCC+/Caa1)
	19,995,926		8.500			03/20/20		19,596,008
	U.S. Renal Care, Inc. (B/B1)
	16,832,813		5.250			12/31/22		16,755,718
								36,351,726
	Media – Non Cable – 0.8%
	Getty Images, Inc. (CCC+/B3)
	16,434,280		4.750			10/18/19		12,170,242
	Renaissance Learning, Inc. (B-/B1)
	7,059,479		4.500			04/09/21		6,834,493
	Renaissance Learning, Inc. (CCC/Caa2)
	12,047,700		8.000			04/11/22		10,662,215
								29,666,950
	Retailers – 1.5%
	Academy Ltd. (B/B2)
	12,729,352		5.000			07/01/22		12,090,848
	Bass Pro Group LLC (BB-/B1)
	7,246,800		4.000			06/05/20		6,848,226
	J Crew Group, Inc. (B-/B2)
	13,768,538		4.000			03/05/21		10,685,624
	Party City Holdings, Inc. (B+/B1)
	922,630		4.250			08/19/22		914,170
	PetSmart, Inc. (BB-/Ba3)
	4,937,688		4.250			03/11/22		4,914,233
	Rue21, Inc. (B-/B2)
	19,014,773		5.625			10/09/20		14,974,134
	True Religion Apparel, Inc. (CC/Caa3)
	6,825,000		11.000			01/30/20		2,730,000
	True Religion Apparel, Inc. (CCC/Caa1)
	8,250,750		5.875			07/30/19		3,630,330
								56,787,565
	Services Cyclical – Rental Equipment – 0.2%
	Maxim Crane Works LP (B/Caa2)
	6,975,000		10.250			11/26/18		6,451,875
	TOTAL BANK LOANS
	(Cost $229,187,203)						$	193,386,678

Shares		Description	Value
	Preferred Stock(c)(g) – 0.1%
	Media – Broadcasting & Radio – 0.1%
	3,014	Spanish Broadcasting System, Inc.
	(Cost $3,042,344)		$	2,411,200

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

GOLDMAN SACHS HIGH YIELD FUND

Shares		Description	Value
	Common Stocks – 0.0%
	40	Dawn Holdings, Inc.(b)	$	—
	5,053	LyondellBasell Industries NV Class A		432,436
	28,148	Motors Liquidation Co.		342,279
	21	New Cotai Class B Shares(b)		—
	10	Nycomed(b)		—
	3,874	Panolam Holdings Co.(b)		39
	2,500	Port Townsend Holdings Co., Inc.(b)		—
	TOTAL COMMON STOCKS
	(Cost $3,915,459)		$	774,754

Units		Expiration Date	Value
	Warrant(b) – 0.0%
	Lender Process Services, Inc. (NR/NR)
	14,274	12/31/20	$	—
	(Cost $21,898,892)

Shares		Distribution Rate	Value
	Investment Companies(d)(h) – 3.5%
	Goldman Sachs Financial Square Government Fund – FST Institutional Shares
	135,148,758	0.250%	$	135,148,758
	(Cost $135,148,758)
	TOTAL INVESTMENTS – 97.2%
	(Cost $3,991,400,894)		$	3,711,289,968

Principal Amount			Interest Rate (Paid) Received			Maturity Date		Value
	Reverse Repurchase Agreements – (0.4)%
	Barclays Reverse Repurchase Agreement (NR/NR)
$	(4,286,188	)		(0.500	)%		11/22/16	$	(4,286,188	)
	Barclays Reverse Repurchase Agreement (NR/NR)
	(4,037,250	)		(1.500	)		11/26/16		(4,037,250	)
	Barclays Reverse Repurchase Agreement (NR/NR)
	(4,587,500	)		(1.000	)		01/07/17		(4,587,500	)
	First Boston Reverse Repurchase Agreement (NR/NR)
	(2,343,250	)		(0.500	)		02/25/17		(2,343,250	)
	TOTAL REVERSE REPURCHASE AGREEMENTS
	(Cost ($15,254,188))							$	(15,254,188	)
	OTHER ASSETS IN EXCESS OF     OTHER LIABILITIES – 3.2%								120,480,335
	NET ASSETS – 100.0%							$	3,816,516,115

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. Such securities may be deemed 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 $1,478,318,099, which represents approximately 38.7% of net assets as of March 31, 2016.
(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 March 31, 2016.
(e)	All or a portion of the security was pledged as collateral against open reverse repurchase agreements. As of March 31, 2016, the value of securities pledged amounted to $16,051,125.
(f)	Bank 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 bank loan facility on March 31, 2016. Bank 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 March 31, 2016.
(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.

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

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

GOLDMAN SACHS HIGH YIELD FUND

Schedule of Investments (continued)

March 31, 2016

ADDITIONAL INVESTMENT INFORMATION

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At March 31, 2016, 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
UBS AG (London)	EUR	2,589,861	USD	2,943,413	$	2,947,465		04/05/16	$	4,052

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Loss
Citibank NA	USD	1,709,051	EUR	1,569,146	$	1,785,811		04/05/16	$	(76,760	)
Deutsche Bank AG	USD	6,250,592	CAD	8,391,920		6,461,643		04/05/16		(211,051	)
	USD	7,965,243	EUR	7,193,184		8,186,407		04/05/16		(221,164	)
Merrill Lynch International Bank Ltd.	USD	5,490,189	CHF	5,418,740		5,636,636		04/05/16		(146,447	)
Morgan Stanley & Co.	USD	4,539,302	EUR	4,082,341		4,646,024		04/05/16		(106,722	)
TOTAL									$	(762,144	)

FUTURES CONTRACTS — At March 31, 2016, 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		97		June 2016	$	16,735,531		$	(86,062	)
10 Year German Euro-Bund		(49	)	June 2016		(9,106,248	)		6,058
2 Year U.S. Treasury Bonds		16		June 2016		3,500,000			3,073
5 Year U.S. Treasury Notes		312		June 2016		37,803,188			56,522
10 Year U.S. Treasury Notes		(1,053	)	June 2016		(137,301,328	)		(835,439	)
20 Year U.S. Treasury Bonds		69		June 2016		11,346,187			(103,945	)
TOTAL								$	(959,793	)

SWAP CONTRACTS — At March 31, 2016, the Fund had the following swap contracts:

CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACT

												Market Value
Referenced Obligation		Notional Amount (000s)		Rates Received (Paid)			Termination Date		Credit Spread at March 31, 2016(a)			Upfront Payments Made (Received)		Unrealized Gain (Loss)
Protection Sold:
Barclays Bank PLC	CDX North America High Yield Index 25	$	68,900		5.000	%		12/20/20		4.757	%	$	1,677,112	$	443,501

(a) 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.

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

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

Schedule of Investments

March 31, 2016

Principal Amount		Interest Rate			Maturity Date		Value
	Bank Loans(a) – 83.0%
	Aerospace – 1.1%
	Silver II US Holdings LLC (B/B3)
$	7,303,472		4.000	%		12/13/19	$	6,354,021
	Transdigm, Inc. (B/Ba3)
	15,050,357		3.750			02/28/20		14,835,287
	8,026,727		3.750			06/04/21		7,903,437
	4,854,936		3.500			05/14/22		4,776,043
								33,868,788
	Airlines – 1.4%
	Atlantic Aviation FBO, Inc. (BB-/Ba3)
	7,447,289		3.250			06/01/20		7,389,125
	Continental Airlines, Inc. (BB+/Ba1)
	19,456,049		3.250			04/01/19		19,368,497
	Delta Air Lines, Inc. (BBB/Baa2)
	17,476,717		3.250			10/18/18		17,464,833
	746,250		3.250			08/24/22		745,317
								44,967,772
	Automotive – Parts – 1.1%
	Chrysler Group LLC (BBB-/Ba1)
	9,080,443		3.500			05/24/17		9,074,177
	Cooper Standard Holdings, Inc. (BB-/B1)
	8,473,318		4.000			04/04/21		8,393,923
	Gates Global LLC (B+/B2)
	10,291,927		4.250			07/06/21		9,693,760
	Jason, Inc. (B/B1)
	8,865,000		5.500			06/30/21		8,333,100
								35,494,960
	Building Materials – 3.8%
	American Builders & Contractors Supply Co., Inc. (BBB-/B1)
	26,239,979		3.500			04/16/20		26,200,620
	Armstrong World Industries, Inc. (BB/B1)
	1,875,503		3.500			03/15/20		1,874,340
	Beacon Roofing Supply, Inc. (BB+/B2)
	5,835,375		4.000			10/01/22		5,823,237
	CPG International, Inc. (B/B2)
	3,896,923		4.750			09/30/20		3,780,015
	Gyp Holdings III Corp. (B/B3)
	21,222,000		4.750			04/01/21		19,995,156
	HD Supply, Inc. (BB/Ba3)
	2,493,734		3.750			08/13/21		2,477,525
	Jeld-Wen, Inc. (B/B1)
	15,767,427		5.250			10/15/21		15,721,386
	10,571,875		4.750			07/01/22		10,532,231
	LBM Borrower, LLC (B+/B3)
	13,432,500		6.250			08/20/22		12,805,605
	PLY Gem Industries, Inc. (B+/B1)
	6,592,325		4.000			02/01/21		6,438,526
	Quikrete Cos., Inc. (BB-/B1)
	17,624,711		4.000			09/28/20		17,580,649
								123,229,290
	Capital Goods – Others – 0.2%
	USIC Holdings, Inc. (B+/B2)
	7,218,173		4.000			07/10/20		7,073,809
	Bank Loans(a) – (continued)
	Chemicals – 2.1%
	Emerald Performance Materials LLC (B/B1)
$	7,275,307		4.500	%		08/01/21	$	7,129,801
	Emerald Performance Materials LLC (CCC+/Caa1)
	6,350,000		7.750			08/01/22		5,778,500
	Huntsman International LLC (BB/Ba2)
	3,456,250		3.750			10/01/21		3,429,257
	MacDermid, Inc. (BB-/B2)
	2,197,188		5.500			06/07/20		2,118,924
	Univar, Inc. (BB-/B2)
	15,484,033		4.250			07/01/22		15,242,172
	US Coatings Acquisition, Inc. (BB-/Ba3)
	32,819,740		3.750			02/01/20		32,587,376
								66,286,030
	Consumer Products – Household & Leisure – 3.2%
	Bombardier Recreational Products, Inc. (BB-/Ba3)
	10,804,491		3.750			01/30/19		10,678,402
	Coty, Inc. (NR/NR)
	4,250,000		3.750			10/27/22		4,235,125
	Galleria Co. (BBB-/Ba1)
	8,500,000		3.750			01/26/23		8,468,125
	Jarden Corp. (BBB-/Ba1)
	1,116,412		3.183			09/30/20		1,114,325
	9,452,500		3.183			07/30/22		9,432,839
	Renfro Corp. (B/B3)
	21,940,559		5.750			01/30/19		21,392,045
	Spectrum Brands, Inc. (BB/Ba2)
EUR	565,725		3.500			06/23/22		640,681
$	8,884,115		3.500			06/23/22		8,904,104
	The Sun Products Corp. (B-/B1)
	39,737,088		5.500			03/23/20		38,266,816
								103,132,462
	Consumer Products – Industrial – 1.0%
	Atkore International, Inc. (B/B3)
	13,398,210		4.500			04/09/21		13,029,759
	Atkore International, Inc. (CCC+/Caa2)
	12,750,000		7.750			10/09/21		11,602,500
	Southwire Co. (BB+/Ba3)
	8,881,022		3.000			02/10/21		8,381,464
								33,013,723
	Diversified Manufacturing – 3.1%
	CPM Holdings, Inc. (B+/B1)
	7,844,009		6.000			04/11/22		7,716,544
	Crosby US Acquisition Corp. (B-/B2)
	21,800,316		4.000			11/23/20		17,753,741
	Doosan Infracore Co., Ltd. (BB-/Ba3)
	9,191,606		4.500			05/28/21		9,061,361
	Dynacast International LLC (B/B1)
	2,512,615		4.500			01/28/22		2,490,630
	Gardner Denver, Inc. (B/B1)
	5,247,590		4.250			07/30/20		4,775,307
	Mannington Mills, Inc. (BB-/B1)
	6,476,375		4.750			10/01/21		6,209,224
	Mirror Bidco Corp. (B/Ba3)
	19,042,404		4.250			12/28/19		18,843,982

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

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

Schedule of Investments (continued)

March 31, 2016

Principal Amount		Interest Rate			Maturity Date		Value
	Bank Loans(a) – (continued)
	Diversified Manufacturing – (continued)
	Rexnord LLC (BB-/B2)
$	34,829,469		4.000	%		08/21/20	$	34,257,918
								101,108,707
	Energy – 1.4%
	American Energy – Marcellus LLC (CC/Caa3)
	34,190,000		8.500			08/04/21		1,310,503
	American Energy – Marcellus LLC (CCC/Caa1)
	13,550,000		5.250			08/04/20		2,213,121
	CITGO Holding, Inc. (B-/Caa1)
	3,986,610		9.500			05/12/18		3,982,862
	Jonah Energy LLC (B/Caa1)
	9,250,000		7.500			05/12/21		4,578,750
	Magnum Hunter Resources, Inc. (NR/WR)
	3,418,144		9.000			09/15/16		3,383,963
	16,283,013		0.000(b	)		10/22/19		6,952,846
	MEG Energy Corp. (BB+/B3)
	28,928,976		3.750			03/31/20		23,229,968
								45,652,013
	Energy – Exploration & Production – 0.3%
	EP Energy LLC (B-/B2)
	11,900,000		3.500			05/24/18		7,824,250
	4,775,000		4.500			04/30/19		3,127,625
								10,951,875
	Entertainment – 0.8%
	Sabre, Inc. (B+/Ba3)
	488,222		3.500			02/19/18		486,596
	21,432,999		4.000			02/19/19		21,379,417
	3,586,796		4.000			02/19/19		3,584,572
								25,450,585
	Environmental – 0.6%
	EnergySolutions LLC (B-/B3)
	22,146,051		6.750			05/29/20		20,374,367
	Finance – 1.4%
	CeramTec Acquisition Corp. (B/Ba3)
	628,176		4.250			08/30/20		625,821
	1,800,829		4.250			08/30/20		1,794,076
	5,909,551		4.250			08/30/20		5,887,390
	ROC Finance LLC (B+/B2)
	1,950,000		5.000			06/20/19		1,872,000
	SBA Senior Finance II LLC (BB/B1)
	16,186,564		3.250			03/24/21		16,092,682
	Victory Capital Management, Inc. (BB-/B2)
	19,529,952		7.000			10/31/21		18,846,403
								45,118,372
	Food & Beverages – 4.2%
	Albertson’s Holdings LLC (BB/Ba3)
	18,757,690		5.125			08/25/19		18,734,243
	High Liner Foods, Inc. (B+/B2)
	9,124,364		4.250			04/24/21		8,786,032
	Performance Food Group, Inc. (BB-/B2)
	23,984,668		7.215			11/14/19		23,984,668
Bank Loans(a) – (continued)
	Food & Beverages – (continued)
	Pinnacle Foods Finance LLC (BB+/Ba2)
$	6,099,206		3.000	%		04/29/20	$	6,090,850
	9,254,710		3.000			04/29/20		9,239,254
	3,715,688		3.750			01/13/23		3,727,095
	Shearer’s Foods, Inc. (B/B1)
	7,609,125		4.938			06/30/21		7,494,988
	Shearer’s Foods, Inc. (CCC+/Caa1)
	12,800,000		7.750			06/30/22		11,776,000
	US Foods, Inc. (B/B2)
	46,015,883		4.500			03/31/19		45,769,238
								135,602,368
	Food & Drug Retailers – 0.5%
	Rite Aid Corp. (B+/B2)
	8,790,000		5.750			08/21/20		8,808,283
	7,195,000		4.875			06/21/21		7,195,000
								16,003,283
	Gaming – 0.7%
	Graton Economic Development Authority (B+/B2)
	2,159,247		4.750			09/01/22		2,164,645
	Marina District Finance Co., Inc. (BB/B2)
	5,759,805		6.500			08/15/18		5,747,824
	MGM Resorts International (BB/Ba2)
	10,175,766		3.500			12/20/19		10,146,663
	Peninsula Gaming LLC (BB-/B1)
	4,146,999		4.250			11/20/17		4,137,503
								22,196,635
	Health Care – 0.6%
	Community Health Systems, Inc. (BB/Ba2)
	7,905,779		3.750			12/31/19		7,756,439
	12,510,239		4.000			01/27/21		12,286,055
								20,042,494
	Health Care – Medical Products – 0.5%
	Alere, Inc. (B+/Ba3)
	8,081,302		4.250			06/18/22		8,023,197
	Convatec, Inc. (B+/Ba2)
	2,649,373		4.250			06/15/20		2,622,879
	Ortho-Clinical Diagnostics, Inc. (B-/B1)
	7,023,247		4.750			06/30/21		6,496,504
								17,142,580
	Health Care – Pharmaceuticals – 3.7%
	Concordia Healthcare Corp. (B+/B1)
	5,586,000		5.250			10/21/21		5,428,196
	Endo Luxembourg Finance Co. I S.A.R.L. (BB/Ba1)
	39,915,832		3.750			09/26/22		39,267,199
	Valeant Pharmaceuticals International, Inc. (BB/Ba2)
	4,013,190		2.890			10/20/18		3,842,630
	4,561,323		5.250			02/13/19		4,308,170
	23,300,954		3.750			08/05/20		21,932,023
	45,914,401		4.000			04/01/22		43,293,607
								118,071,825

92 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
Bank Loans(a) – (continued)
	Health Care – Services – 6.1%
	21st Century Oncology Holdings, Inc. (B-/B1)
$	12,654,375		6.500	%		04/30/22	$	11,294,030
	American Renal Holdings, Inc. (B/Ba3)
	14,254,573		4.500			09/20/19		14,218,936
	American Renal Holdings, Inc. (CCC+/Caa1)
	21,385,439		8.500			03/20/20		20,957,731
	Amsurg Corp. (BB-/Ba2)
	1,893,243		3.500			07/16/21		1,892,069
	Envision Healthcare Corp. (BB-/B1)
	13,980,391		4.250			05/25/18		13,975,358
	HCA, Inc. (BBB-/Ba1)
	7,244,991		3.683			03/17/23		7,267,668
	MPH Acquisition Holdings LLC (B+/B1)
	47,447,323		3.750			03/31/21		46,949,126
	Sedgwick Claims Management Services, Inc. (B/B1)
	13,127,957		3.750			03/01/21		12,756,042
	Sedgwick Claims Management Services, Inc. (CCC+/Caa2)
	13,600,758		6.750			02/28/22		12,597,702
	Sedgwick Claims Management Services, Inc. (NR/Caa2)
	12,850,000		6.750			02/28/22		11,902,312
	U.S. Renal Care, Inc. (B/B1)
	38,643,836		5.250			12/31/22		38,466,848
	U.S. Renal Care, Inc. (CCC+/Caa1)
	4,025,000		9.000			12/31/23		3,954,562
								196,232,384
	Lodging – 1.3%
	Four Seasons Holdings, Inc. (BB/B1)
	9,586,906		3.500			06/27/20		9,505,993
	Hilton Worldwide Finance LLC (BBB-/Ba2)
	8,206,802		3.500			10/26/20		8,204,258
	La Quinta Intermediate Holding LLC (BB/B1)
	25,726,045		3.750			04/14/21		25,232,877
								42,943,128
	Media – Broadcasting & Radio – 3.8%
	Getty Images, Inc. (CCC+/B3)
	51,549,152		4.750			10/18/19		38,174,209
	iHeart Communications, Inc. (CCC/Caa1)
	20,847,038		7.933			07/30/19		14,363,609
	Salem Communications Corp. (B-/B2)
	13,665,002		4.500			03/13/20		12,594,623
	Telesat Canada (BB/Ba3)
	2,003,420		3.500			03/28/19		1,990,899
	The E.W. Scripps Co. (BBB-/Ba2)
	12,851,294		3.500			11/26/20		12,722,781
	Townsquare Media, Inc. (BB-/Ba2)
	3,123,949		4.250			04/01/22		3,088,804
	Tribune Media Co. (BB+/Ba2)
	10,897,550		3.750			12/27/20		10,847,640
	Univision Communications, Inc. (B+/B2)
	11,753,890		4.000			03/01/20		11,624,127
	17,107,844		4.000			03/01/20		16,920,684
								122,327,376
Bank Loans(a) – (continued)
	Media – Cable – 3.6%
	Cequel Communications LLC (BB-/Ba3)
$	2,992,017		0.000	%		02/14/19	$	2,970,115
	Charter Communications Operating LLC (BB+/Baa3)
	28,394,898		3.000			07/01/20		28,248,381
	11,497,021		3.000			01/04/21		11,441,605
	CSC Holdings LLC (BB+/Baa3)
	22,627,191		2.933			04/17/20		22,598,907
	Neptune Finco Corp. (BB-/Ba1)
	14,775,000		5.000			10/09/22		14,772,636
	Numericable Group SA (B+/B1)
	3,715,688		4.563			07/31/22		3,666,938
	Wave Division Holdings LLC (BB-/Ba3)
	6,772,500		4.000			10/15/19		6,704,775
	Ziggo N.V. (BB-/Ba3)
	7,513,619		3.500			01/15/22		7,435,328
	4,841,918		3.508			01/15/22		4,791,465
	7,963,226		3.601			01/15/22		7,880,249
EUR	1,592,250		3.750			01/15/22		1,792,054
	1,025,750		3.750			01/15/22		1,154,467
	2,882,000		3.750			01/15/22		3,243,649
								116,700,569
	Media – Non Cable – 3.5%
	Advantage Sales & Marketing, Inc. (B/B1)
$	11,558,336		4.250			07/23/21		11,338,033
	Advantage Sales & Marketing, Inc. (CCC+/Caa1)
	4,203,226		7.500			07/25/22		3,777,650
	Checkout Holding Corp. (B/B1)
	20,967,939		4.500			04/09/21		17,822,748
	Checkout Holding Corp. (CCC/Caa1)
	21,800,000		7.750			04/11/22		13,360,348
	Media General, Inc. (BB+/Ba3)
	9,083,020		4.000			07/31/20		9,067,125
	NEP Supershooters LP (B-/Caa1)
	20,832,739		10.000			07/22/20		19,114,038
	NEP/NCP Holdco, Inc. (B+/B1)
	25,658,582		4.250			01/22/20		23,670,042
	Renaissance Learning, Inc. (B-/B1)
	7,455,007		4.500			04/09/21		7,217,416
	Renaissance Learning, Inc. (CCC/Caa2)
	9,612,400		8.000			04/11/22		8,506,974
								113,874,374
	Metals & Mining – 0.4%
	FMG Resources (August 2006) Pty Ltd. (BB+/Ba2)
	7,759,950		4.250			06/30/19		6,535,585
	Hi Crush Partners LP (BB-/Caa1)
	6,934,864		4.750			04/28/21		4,646,358
	Novelis, Inc. (BB/Ba2)
	272,938		4.000			06/02/22		265,432
								11,447,375
	Packaging – 2.9%
	Ardagh Holdings USA, Inc. (B+/Ba3)
	3,746,129		4.000			12/17/19		3,739,873
	Berry Plastics Holding Corp. (BB/Ba3)
	27,778,119		3.500			02/08/20		27,639,228

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

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

Schedule of Investments (continued)

March 31, 2016

Principal Amount		Interest Rate			Maturity Date		Value
Bank Loans(a) – (continued)
	Packaging – (continued)
	Berry Plastics Holding Group, Inc. (BB/Ba3)
$	15,060,295		3.750	%		01/06/21	$	14,998,698
	BWAY Holding Co., Inc. (B-/B2)
	25,374,155		5.500			08/14/20		24,498,746
	Onex Wizard U.S. Acquisition, Inc. (B+/B1)
	15,854,887		4.250			03/13/22		15,785,602
	Reynolds Group Holdings, Inc. (B+/B1)
	7,609,065		4.500			12/01/18		7,609,065
								94,271,212
	Real Estate – 1.2%
	Communications Sales & Leasing, Inc. (BB-/B1)
	9,925,000		5.000			10/24/22		9,593,108
	Realogy Corp. (BB+/Ba2)
	20,666,414		3.750			03/05/20		20,631,901
	Starwood Property Trust, Inc. (BB/Ba3)
	9,358,349		3.500			04/17/20		9,264,765
								39,489,774
	Restaurants – 2.0%
	1011778 B.C. Unlimited Liability Co. (B+/Ba3)
	65,508,372		3.750			12/10/21		65,417,315
	Retailers – 7.2%
	Academy Ltd. (B/B2)
	9,285,554		5.000			07/01/22		8,819,790
	American Apparel (USA) LLC (NR/WR)
	5,547,428		11.015			02/05/20		5,547,428
	Bass Pro Group LLC (BB-/B1)
	9,126,656		4.000			06/05/20		8,624,690
	BJ’s Wholesale Club, Inc. (B-/B3)
	21,711,212		4.500			09/26/19		21,105,035
	BJ’s Wholesale Club, Inc. (CCC/Caa2)
	19,900,000		8.500			03/26/20		18,276,956
	Burlington Coat Factory Warehouse Corp. (BB/Ba3)
	11,215,645		4.250			08/13/21		11,213,626
	Container Store, Inc. (B/Ba1)
	6,449,992		4.250			04/06/19		4,891,223
	Dollar Tree, Inc. (BBB/Ba1)
	13,049,541		3.500			07/06/22		13,088,690
	15,625,000		4.250			07/06/22		15,598,906
	J Crew Group, Inc. (B-/B2)
	24,517,118		4.000			03/05/21		19,027,490
	Michaels Stores, Inc. (BB-/Ba2)
	17,066,861		3.750			01/28/20		17,016,172
	Neiman Marcus Group Ltd., Inc. (B-/B2)
	28,558,696		4.250			10/25/20		26,109,788
	Party City Holdings, Inc. (B+/B1)
	1,521,093		4.250			08/19/22		1,507,145
	Payless, Inc. (B/B2)
	6,123,215		5.000			03/11/21		3,020,766
	Petco Animal Supplies, Inc. (B/B1)
	3,525,000		5.619			01/26/23		3,519,712
	4,100,000		5.750			01/26/23		4,093,727
	PetSmart, Inc. (BB-/Ba3)
	31,368,655		4.250			03/11/22		31,219,653
Bank Loans(a) – (continued)
	Retailers – (continued)
	The Men’s Wearhouse, Inc. (B+/Ba2)
$	2,343,750		4.500	%		06/18/21	$	2,251,477
	6,525,000		5.000			06/18/21		6,166,125
	True Religion Apparel, Inc. (CC/Caa3)
	7,650,000		11.000			01/30/20		3,060,000
	True Religion Apparel, Inc. (CCC/Caa1)
	16,646,250		5.875			07/30/19		7,324,350
								231,482,749
	Services Cyclical – Business Services – 5.4%
	Acosta Holdco, Inc. (B/B1)
	4,430,664		4.250			09/26/21		4,317,505
	ADS Waste Holdings, Inc. (B+/B2)
	39,988,398		3.750			10/09/19		39,621,705
	Crossmark Holdings, Inc. (CCC/Caa2)
	6,864,000		8.750			12/21/20		3,423,420
	First Data Corp. (BB/B1)
	31,048,178		3.932			03/24/18		30,962,795
	13,100,000		3.932			09/24/18		13,072,752
	31,456,371		4.432			03/24/21		31,353,194
	8,827,731		4.182			07/08/22		8,765,937
	Koosharem LLC (B-/B3)
	6,850,141		7.500			05/16/20		5,959,623
	Travelport Finance S.A.R.L. (B+/B2)
	10,476,250		5.750			09/02/21		10,457,917
	Vantiv, LLC (BBB-/Ba3)
	27,616,715		3.750			06/13/21		27,651,236
								175,586,084
	Services Cyclical – Consumer Services – 1.8%
	Bright Horizons Family Solution, Inc. (BB/B1)
	28,149,078		3.750			01/30/20		28,096,439
	Spin Holdco, Inc. (B/B2)
	21,141,239		4.250			11/14/19		20,565,140
	Weight Watchers International, Inc. (B-/B3)
	971,898		3.450			04/04/16		950,517
	10,139,934		4.000			04/02/20		7,452,851
								57,064,947
	Services Cyclical – Rental Equipment – 0.4%
	Maxim Crane Works LP (B/Caa2)
	12,000,000		10.250			11/26/18		11,100,000
	Technology – 0.5%
	CDW LLC (BBB-/Ba2)
	15,238,282		3.250			04/29/20		15,182,357
	Technology – Software/Services – 5.3%
	Aspect Software, Inc. (D/WR)
	4,879,282		9.250			05/07/16		4,830,489
	Avago Technologies Cayman Ltd. (BBB/Ba1)
	62,775,000		4.250			02/01/23		62,425,343
	BMC Software Finance, Inc. (B/B1)
	20,295,739		5.000			09/10/20		16,978,603
	Electrical Components International, Inc. (B+/B1)
	7,229,961		5.750			05/28/21		7,139,587
	Emdeon, Inc. (B+/Ba3)
	17,888,352		3.750			11/02/18		17,789,966

94 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
	Bank Loans(a) – (continued)
	Technology – Software/Services – (continued)
	Global Payments, Inc. (BBB-/Ba2)
$	5,175,000		3.500	%		03/23/23	$	5,196,580
	Lawson Software, Inc. (B+/B1)
	4,293,939		3.750			06/03/20		4,157,736
	MA FinanceCo., LLC (BB-/B1)
	7,859,375		4.500			11/20/19		7,790,606
	NXP BV (BBB-/Baa3)
	22,743,000		3.750			12/07/20		22,778,479
	SS&C Technologies, Inc. (BB/Ba3)
	13,153,466		4.007			07/08/22		13,172,012
	1,906,672		4.018			07/08/22		1,909,361
	TTM Technologies, Inc. (B+/B2)
	3,713,820		6.000			05/31/21		3,518,845
	Western Digital Corp. (BBB-/Ba1)
	3,975,000		6.250			03/16/23		3,924,080
								171,611,687
	Utilities – Electric – 1.3%
	Calpine Corp. (BB/Ba2)
	23,705,126		4.000			10/09/19		23,586,600
	6,649,511		4.000			10/31/20		6,587,205
	4,935,240		3.500			05/27/22		4,865,061
	NRG Energy, Inc. (BB+/Baa3)
	5,542,564		2.750			07/02/18		5,480,210
								40,519,076
	Wireless Telecommunications – 4.6%
	Asurion LLC (B/Ba3)
	12,044,700		5.000			05/24/19		11,864,029
	4,941,955		5.000			08/04/22		4,833,874
	Asurion LLC (CCC+/Caa1)
	37,161,979		8.500			03/03/21		34,715,606
	GCI Holdings, Inc. (BB+/Ba2)
	5,148,000		4.000			02/02/22		5,098,682
	Intelsat Jackson Holdings SA (B-/B1)
	53,355,182		3.750			06/30/19		49,667,805
	Level 3 Financing, Inc. (BB/Ba1)
	12,095,000		4.000			08/01/19		12,107,579
	13,000,000		4.000			01/15/20		13,028,470
	9,727,000		3.500			05/31/22		9,700,640
	LTS Buyer LLC (B/B1)
	3,215,204		4.000			04/13/20		3,175,014
	Zayo Group LLC (BB-/Ba2)
	3,146,486		3.750			05/06/21		3,128,142
	1,421,438		4.500			05/06/21		1,424,636
								148,744,477
	TOTAL BANK LOANS
	(Cost $2,852,602,965)						$	2,678,776,822
Corporate Obligations – 8.9%
	Airlines – 1.4%
	Air Canada (BB/B2)(c)(d)
$	4,450,000		8.750	%		04/01/20	$	4,717,000
Corporate Obligations – 8.9%
	Airlines – (continued)
	Air Canada (BB/Ba3)(c)(d)
$	8,250,000		6.750	%		10/01/19	$	8,497,500
	Air Canada (BBB-/Ba1)(d)
	14,726,476		5.375			11/15/22		14,284,682
	Air Canada 2013-1 Class C Pass Through Trust (BB-/Ba3)(d)
	4,996,000		6.625			05/15/18		4,914,815
	Continental Airlines 2012-3 Class C Pass Thru Certificates (NR/Ba2)
	4,825,000		6.125			04/29/18		5,066,250
	United Airlines 2014-1 Class B Pass Through Trust (BBB/NR)
	3,665,557		4.750			10/11/23		3,628,901
	United Continental Holdings, Inc. (BB-/B1)
	4,513,000		6.375			06/01/18		4,727,368
								45,836,516
	Automotive(c)(d) – 0.2%
	Schaeffler Finance BV (BB-/Ba2)
	7,475,000		4.750			05/15/23		7,531,063
	Chemicals – 0.1%
	Axalta Coating Systems US Holdings, Inc./Axalta Coating Systems Dutch Holding BV (BB-/Ba3)(c)
EUR	850,000		5.750			02/01/21		1,008,321
	WR Grace & Co. (BB+/Ba3)(d)
$	750,000		5.125			10/01/21		776,250
								1,784,571
	Consumer Cyclical Services – Business – 0.0%(b)
	Escrow Ambassadors Group, Inc. (NR/NR)
	9,986,469		13.000			04/15/20		—
	Consumer Products – Industrial(c)(d) – 0.2%
	HD Supply, Inc. (BB/Ba3)
	7,525,000		5.250			12/15/21		7,891,844
	Electric(c)(d) – 0.2%
	Calpine Corp. (BB/Ba2)
	6,000,000		7.875			01/15/23		6,330,000
	Energy(c)(d)(e) – 0.1%
	FTS International, Inc. (B+/B1)
	5,950,000		8.134			06/15/20		3,956,750
	Energy – Exploration & Production(c) – 0.2%
	Antero Resources Corp. (BB/Ba3)
	6,650,000		5.625			06/01/23		6,084,750
	Finance – 0.7%
	CIT Group, Inc. (BB+/B1)(d)
	7,525,000		5.500			02/15/19		7,788,375
	HRG Group, Inc. (B+/Ba3)(c)
	4,900,000		7.875			07/15/19		5,167,540
	International Lease Finance Corp. (BBB-/Ba1)(d)
	1,000,000		7.125			09/01/18		1,088,750
	International Lease Finance Corp. (BBB-/Ba2)
	7,500,000		5.875			04/01/19		7,903,125
								21,947,790

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

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

Schedule of Investments (continued)

March 31, 2016

Principal Amount		Interest Rate			Maturity Date		Value
Corporate Obligations – 8.9%
	Food and Beverage(c) – 0.2%
	Shearer’s Foods LLC/Chip Finance Corp. (B/B1)(d)
$	900,000		9.000	%		11/01/19	$	945,000
	US Foods, Inc. (CCC+/Caa2)
	6,350,000		8.500			06/30/19		6,516,688
								7,461,688
	Gaming(c) – 0.5%
	Caesars Entertainment Operating Co., Inc. (D/WR)(b)
	14,850,000		9.000			02/15/20		12,622,500
	Churchill Downs, Inc. (BB/B1)(d)
	3,000,000		5.375			12/15/21		3,082,500
								15,705,000
	Health Care – 1.8%
	CHS/Community Health Systems, Inc. (BB/Ba2)(c)
	9,000,000		5.125			08/15/18		9,090,000
	HCA, Inc. (BBB-/Ba1)
	10,000,000		3.750			03/15/19		10,244,000
	8,150,000		6.500			02/15/20		8,944,625
	8,050,000		5.000			03/15/24		8,236,156
	3,275,000		5.250			04/15/25		3,373,250
	14,050,000		5.250	(c)		06/15/26		14,401,250
	Tenet Healthcare Corp. (BB-/Ba2)(c)(d)(e)
	2,450,000		4.134			06/15/20		2,431,625
								56,720,906
	Media – Broadcasting & Radio – 0.7%
	Abe Investment Holdings, Inc./Getty Images, Inc. (CCC+/B3)(d)
	3,000,000		10.500			10/16/20		2,625,000
	iHeartCommunications, Inc. (CCC/Caa1)(c)
	3,153,000		9.000			12/15/19		2,333,220
	Tribune Media Co. (BB-/B2)(c)(d)
	3,125,000		5.875			07/15/22		3,031,250
	Univision Communications, Inc. (B+/B2)(c)(d)
	6,421,000		6.750			09/15/22		6,790,207
	8,200,000		5.125			02/15/25		8,077,000
								22,856,677
	Media – Cable(c)(d) – 0.7%
	Altice US Finance I Corp. (BB-/Ba3)
	1,575,000		5.375			07/15/23		1,616,344
	Numericable – SFR SA (B+/B1)
	13,000,000		4.875			05/15/19		12,935,000
	4,600,000		6.250			05/15/24		4,473,500
	Virgin Media Secured Finance PLC (BB-/Ba3)
	4,725,000		5.375			04/15/21		4,914,000
								23,938,844
	Packaging(c)(d) – 0.1%
	Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (B+/Ba3)
EUR	2,600,000		4.250			01/15/22		2,995,521
	Restaurants(c)(d) – 0.2%
	New Red Finance, Inc. (B+/Ba3)
$	3,025,000		4.625			01/15/22		3,085,500
Corporate Obligations – 8.9%
	Restaurants(c)(d) – (continued)
	New Red Finance, Inc. (B-/B3)
$	2,050,000		6.000	%		04/01/22	$	2,132,000
								5,217,500
	Retailers(c)(d) – 0.1%
	Dollar Tree, Inc. (BB-/Ba3)
	325,000		5.250			03/01/20		340,031
	1,300,000		5.750			03/01/23		1,374,750
								1,714,781
	Services Cyclical – Business Services(c)(d) – 0.3%
	Corporate Risk Holdings LLC (CCC+/WR)
	1,736,000		9.500			07/01/19		1,475,600
	First Data Corp. (BB/B1)
	9,075,000		6.750			11/01/20		9,551,438
								11,027,038
	Services Cyclical – Rental Equipment(c)(d) – 0.1%
	Ahern Rentals, Inc. (B/B3)
	7,150,000		7.375			05/15/23		4,933,500
	Telecommunications – Cellular – 0.9%
	Sprint Communications, Inc. (B/Caa1)
	5,000,000		8.375			08/15/17		4,943,750
	Sprint Communications, Inc. (BB-/B1)(d)
	16,050,000		9.000			11/15/18		16,852,500
	Sprint Corp. (B/Caa1)
	3,650,000		7.875			09/15/23		2,792,250
	Wind Acquisition Finance SA (BB/Ba3)(c)(d)
	3,900,000		4.750			07/15/20		3,685,500
								28,274,000
	Telecommunications – Satellites(c) – 0.2%
	Intelsat Jackson Holdings SA (CCC/Caa2)
	7,450,000		7.250			04/01/19		5,494,375
	TOTAL CORPORATE OBLIGATIONS
	(Cost $295,961,359)						$	287,703,114
	Asset-Backed Securities(d)(e) – 0.2%
	Collateralized Loan Obligation – 0.2%
	Zais CLO 1 Ltd. Series 2014-1A, Class B (A/NR)
$	8,600,000		2.951	%		04/15/26	$	7,400,016
	(Cost $8,170,000)

Shares	Description		Value
Common Stock(b)(g) – 0.2%
Textiles, Apparel & Luxury Goods – 0.2%
449,607		American Apparel, Inc. PI	$	5,710,009
(Cost $9,926,771)

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

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

Shares	Distribution Rate			Value
Investment Company(e)(h) – 8.7%
Goldman Sachs Financial Square Government Fund – FST Institutional Shares
280,623,494		0.250	%	$	280,623,494
(Cost $280,623,494)
TOTAL INVESTMENTS – 101.0%
(Cost $3,447,284,589)				$	3,260,213,455
LIABILITIES IN EXCESS OF     OTHER ASSETS – (1.0)%					(32,786,082	)
NET ASSETS – 100.0%				$	3,227,427,373

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a)	Bank 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 bank loan facility on March 31, 2016. Bank 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 is currently in default and/or non-income producing.
(c)	Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.
(d)	Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed 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 $172,524,811, which represents approximately 5.4% of net assets as of March 31, 2016.
(e)	Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on March 31, 2016.
(g)	Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered and the registration statement is effective. Disposal of these securities may involve time consuming negotiations and prompt sale at an acceptable price may be difficult. Such securities were acquired between April 1, 2013 and February 5, 2016.
(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.

Currency Abbreviations:
EUR	—Euro
GBP	—British Pound
USD	—U.S. Dollar
Investment Abbreviations:
CLO	—Collateralized Loan Obligation
LIBOR	—London Interbank Offered Rate
LLC	—Limited Liability Company
LP	—Limited Partnership
PI	—Private Investment
WR	—Withdrawn Rating

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

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

Schedule of Investments (continued)

March 31, 2016

ADDITIONAL INVESTMENT INFORMATION

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At March 31, 2016, 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
JPMorgan Chase Bank NA (London)	GBP	1,815,581	USD	2,568,572	$	2,607,666		04/05/16	$	39,094

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Loss
JPMorgan Chase Bank NA (London)	USD	2,542,726	GBP	1,815,999	$	2,608,267		04/05/16	$	(65,540	)
Royal Bank of Scotland PLC	USD	10,132,104	EUR	9,309,061		10,594,442		04/05/16		(462,338	)
TOTAL									$	(527,878	)

SWAP CONTRACTS — At March 31, 2016, 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)
$	32,100	06/15/21		3 month LIBOR	2.000%	$	(880,409	)	$	(329,841	)
	33,600	06/15/23		3 month LIBOR	2.000		(876,390	)		(386,802	)
	TOTAL					$	(1,756,799	)	$	(716,643	)

(a) Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to March 31, 2016.

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

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

Schedule of Investments

March 31, 2016

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – 82.3%
	Automotive – 2.1%
	Ford Motor Credit Co. LLC
$	4,325,000		5.875	%		08/02/21	$	4,943,587
	General Motors Co.
	3,700,000		3.500			10/02/18		3,772,218
								8,715,805
	Banks – 15.3%
	American Express Co.(a)(b)
	3,055,000		6.800			09/01/66		3,047,362
	Banco Bilbao Vizcaya Argentaria SA
	3,950,000		3.000			10/20/20		3,982,340
	Bank of America Corp.
	3,750,000		5.000			05/13/21		4,154,404
	5,500,000		4.000			04/01/24		5,755,374
	BNP Paribas SA(a)(b)(c)
	825,000		7.625			03/30/49		829,538
	Citigroup, Inc.
	1,350,000		4.450			09/29/27		1,349,518
	Compass Bank(a)
	1,025,000		2.750			09/29/19		1,012,681
	Credit Suisse Group Funding Guernsey Ltd.
	2,150,000		3.125	(c)		12/10/20		2,151,621
	400,000		3.750			03/26/25		380,757
	Discover Financial Services(a)
	2,400,000		3.750			03/04/25		2,323,029
	HSBC Holdings PLC
	1,600,000		3.400			03/08/21		1,634,531
	ING Bank NV(a)(b)
	3,675,000		4.125			11/21/23		3,706,495
	Intesa Sanpaolo SpA
	4,075,000		3.875			01/16/18		4,169,696
	3,200,000		5.017	(c)		06/26/24		3,000,918
	200,000		5.710	(c)		01/15/26		194,809
	JPMorgan Chase & Co.
	3,700,000		3.875			09/10/24		3,777,777
	2,175,000		5.300	(a)(b)		05/01/49		2,180,437
	KBC Bank NV(a)(b)
	2,000,000		8.000			01/25/23		2,155,000
	Mitsubishi UFJ Financial Group, Inc.
	1,400,000		2.950			03/01/21		1,427,856
	2,600,000		3.850			03/01/26		2,703,522
	PNC Preferred Funding Trust II(a)(b)(c)
	2,800,000		1.856			03/29/49		2,352,000
	Royal Bank of Scotland Group PLC
	1,875,000		5.125			05/28/24		1,808,402
	Royal Bank of Scotland PLC(a)(b)
	1,150,000		9.500			03/16/22		1,219,000
	Santander Holdings USA, Inc.(a)
	1,175,000		4.500			07/17/25		1,198,267
	Santander UK Group Holdings PLC
	1,725,000		2.875			10/16/20		1,717,567
	2,075,000		4.750	(c)		09/15/25		1,974,051
	Corporate Obligations – (continued)
	Banks – continued
	Synchrony Financial(a)
$	2,675,000		2.600	%		01/15/19	$	2,680,787
	UBS Group Funding Jersey Ltd.(c)
	2,200,000		3.000			04/15/21		2,204,044
								65,091,783
	Brokerage – 2.0%
	Morgan Stanley, Inc.
	4,425,000		3.700			10/23/24		4,544,696
	3,725,000		4.000			07/23/25		3,891,668
								8,436,364
	Chemicals – 1.0%
	Albemarle Corp.(a)
	900,000		3.000			12/01/19		899,493
	Ecolab, Inc.
	1,667,000		5.500			12/08/41		1,894,327
	Monsanto Co.(a)
	1,675,000		4.700			07/15/64		1,434,100
								4,227,920
	Consumer Cyclical Services(a) – 0.8%
	The Priceline Group, Inc.
	3,275,000		3.650			03/15/25		3,352,701
	Consumer Products – 0.4%
	Newell Rubbermaid, Inc.
	1,775,000		2.600			03/29/19		1,801,371
	Distributor(c) – 0.3%
	Southern Star Central Gas Pipeline, Inc.
	1,100,000		6.000			06/01/16		1,105,879
	Electric – 4.4%
	Exelon Corp.(a)
	1,550,000		2.850			06/15/20		1,568,862
	Florida Power & Light Co.(a)
	2,600,000		5.250			02/01/41		3,190,239
	Kentucky Utilities Co.(a)
	1,700,000		5.125			11/01/40		2,020,282
	PPL WEM Holdings PLC(a)(c)
	1,750,000		5.375			05/01/21		1,940,773
	Progress Energy, Inc.
	1,000,000		7.000			10/30/31		1,279,878
	Public Service Electric & Gas Co.(a)
	2,525,000		3.950			05/01/42		2,615,966
	Puget Sound Energy, Inc.(a)(b)
	2,300,000		6.974			06/01/67		1,753,750
	Ruwais Power Co. PJSC(c)
	670,000		6.000			08/31/36		726,950
	Southern California Edison Co.(a)
	1,550,000		4.050			03/15/42		1,584,740
	Virginia Electric and Power Co.(a)
	2,030,000		4.000			01/15/43		2,043,063
								18,724,503

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

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

Schedule of Investments (continued)

March 31, 2016

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Energy – 5.4%
	Anadarko Petroleum Corp.
$	3,125,000		8.700	%		03/15/19	$	3,479,687
	540,000		3.450	(a)		07/15/24		482,585
	Apache Corp.(a)
	1,395,000		4.250			01/15/44		1,190,314
	ConocoPhillips Co.(a)
	1,325,000		4.200			03/15/21		1,383,909
	2,410,000		3.350			11/15/24		2,294,268
	1,150,000		4.950			03/15/26		1,202,865
	1,375,000		4.150			11/15/34		1,202,518
	Corp Financiera de Desarrollo SA(c)
	360,000		4.750			02/08/22		374,400
	Devon Energy Corp.(a)
	1,320,000		3.250			05/15/22		1,102,200
	700,000		4.750			05/15/42		518,230
	Dolphin Energy Ltd.(c)
	128,844		5.888			06/15/19		137,541
	Halliburton Co.(a)
	1,250,000		3.375			11/15/22		1,269,462
	1,300,000		3.800			11/15/25		1,296,430
	Occidental Petroleum Corp.(a)
	900,000		3.400			04/15/26		910,195
	Petroleos Mexicanos(c)
	170,000		5.500			02/04/19		177,650
	410,000		6.375			02/04/21		436,240
	1,350,000		6.875			08/04/26		1,458,000
	Pioneer Natural Resources Co.(a)
	1,075,000		3.450			01/15/21		1,068,872
	Suncor Energy, Inc.(a)
	2,875,000		3.600			12/01/24		2,846,598
								22,831,964
	Food & Beverage – 8.6%
	Anheuser-Busch InBev Finance, Inc.(a)
	11,300,000		3.300			02/01/23		11,759,863
	5,525,000		3.650			02/01/26		5,806,143
	1,025,000		4.900			02/01/46		1,149,004
	Beam Suntory, Inc.(a)
	3,150,000		3.250			05/15/22		3,140,054
	Kraft Heinz Foods Co.(a)(c)
	3,300,000		3.500			07/15/22		3,465,750
	Mead Johnson Nutrition Co.(a)
	1,550,000		4.125			11/15/25		1,645,423
	Pernod-Ricard SA(c)
	2,300,000		4.450			01/15/22		2,482,772
	SABMiller Holdings, Inc.(c)
	925,000		4.950			01/15/42		1,032,038
	Sysco Corp.(a)
	1,650,000		3.750			10/01/25		1,737,900
	The JM Smucker Co.
	1,450,000		3.000			03/15/22		1,489,313
	WM Wrigley Jr Co.(a)(c)
	2,650,000		3.375			10/21/20		2,759,570
								36,467,830
	Corporate Obligations – (continued)
	Health Care – 2.5%
	AmerisourceBergen Corp.(a)
$	2,975,000		3.250	%		03/01/25	$	3,012,334
	Medtronic, Inc.
	2,450,000		3.150			03/15/22		2,578,265
	Stryker Corp.(a)
	525,000		2.625			03/15/21		535,574
	525,000		3.500			03/15/26		545,440
	Thermo Fisher Scientific, Inc.(a)
	1,100,000		3.650			12/15/25		1,123,497
	UnitedHealth Group, Inc.
	1,125,000		4.625			07/15/35		1,252,643
	1,475,000		4.750			07/15/45		1,695,476
								10,743,229
	Home Construction – 0.6%
	MDC Holdings, Inc.
	2,275,000		5.625			02/01/20		2,312,635
	475,000		6.000	(a)		01/15/43		371,587
								2,684,222
	Life Insurance – 2.3%
	AIA Group Ltd.(a)(c)
	3,025,000		3.200			03/11/25		3,043,658
	Meiji Yasuda Life Insurance Co.(a)(b)(c)
	1,250,000		5.200			10/20/45		1,347,750
	Prudential Financial, Inc.(a)(b)
	525,000		5.375			05/15/45		517,125
	Reliance Standard Life Global Funding II(c)
	2,350,000		2.500			01/15/20		2,357,649
	Teachers Insurance & Annuity Association of America(c)
	2,440,000		4.900			09/15/44		2,614,580
								9,880,762
	Lodging(a) – 0.4%
	Marriott International, Inc.
	1,600,000		2.875			03/01/21		1,615,725
	Media – Cable – 2.2%
	CCO Safari II LLC(a)(c)
	125,000		3.579			07/23/20		127,319
	700,000		4.464			07/23/22		731,362
	2,325,000		4.908			07/23/25		2,458,023
	Comcast Corp.
	1,375,000		4.250			01/15/33		1,452,951
	2,075,000		6.450			03/15/37		2,745,629
	Time Warner Cable, Inc.
	890,000		6.750			07/01/18		975,530
	150,000		5.000			02/01/20		162,439
	500,000		5.875	(a)		11/15/40		517,357
	300,000		5.500	(a)		09/01/41		299,577
								9,470,187

100 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)
	Media – Non Cable – 0.7%
	21st Century Fox America, Inc.
$	2,200,000		6.150	%		02/15/41	$	2,642,870
	Time Warner, Inc.(a)
	350,000		4.850			07/15/45		356,539
								2,999,409
	Metals & Mining – 0.6%
	Freeport-McMoRan, Inc.
	425,000		4.000			11/14/21		300,688
	775,000		3.550	(a)		03/01/22		540,562
	Glencore Funding LLC(c)
	1,550,000		1.700			05/27/16		1,544,541
	172,000		2.500			01/15/19		157,380
								2,543,171
	Noncaptive – Financial – 2.9%
	Air Lease Corp.
	1,100,000		5.625			04/01/17		1,128,914
	Capital One Financial Corp.(a)
	1,550,000		4.200			10/29/25		1,576,245
	GE Capital International Funding Co.(c)
	1,200,000		4.418			11/15/35		1,300,108
	General Electric Co.
	294,000		5.875			01/14/38		384,334
	International Lease Finance Corp.
	3,225,000		5.750			05/15/16		3,225,000
	2,500,000		7.125	(c)		09/01/18		2,721,875
	KKR Group Finance Co. LLC(c)
	1,850,000		6.375			09/29/20		2,176,227
								12,512,703
	Pharmaceuticals(a) – 2.0%
	Actavis Funding SCS
	1,150,000		3.450			03/15/22		1,189,274
	750,000		3.800			03/15/25		779,111
	1,400,000		4.850			06/15/44		1,490,873
	Actavis, Inc.
	1,200,000		4.625			10/01/42		1,234,020
	Forest Laboratories LLC(c)
	2,075,000		4.375			02/01/19		2,201,625
	1,550,000		5.000			12/15/21		1,730,455
								8,625,358
	Pipelines – 2.5%
	Enbridge, Inc.(a)
	1,000,000		3.500			06/10/24		888,703
	Energy Transfer Partners LP(a)
	1,065,000		5.200			02/01/22		1,006,425
	Enterprise Products Operating LLC(a)(b)
	1,525,000		8.375			08/01/66		1,204,750
	1,765,000		7.000			06/01/67		1,248,738
	Tennessee Gas Pipeline Co.
	1,825,000		8.375			06/15/32		1,972,279
	Corporate Obligations – (continued)
	Pipelines – continued
	Western Gas Partners LP(a)
$	2,450,000		5.450	%		04/01/44	$	1,947,750
	Williams Partners LP(a)
	3,000,000		3.600			03/15/22		2,445,000
								10,713,645
	Property/Casualty Insurance – 1.7%
	Allied World Assurance Co. Holdings Ltd.(a)
	200,000		4.350			10/29/25		201,009
	American International Group, Inc.(a)
	475,000		3.750			07/10/25		475,572
	500,000		4.500			07/16/44		470,978
	Arch Capital Group Ltd.
	1,245,000		7.350			05/01/34		1,597,469
	The Chubb Corp.(a)(b)
	1,943,000		6.375			03/29/67		1,680,695
	Trinity Acquisition PLC(a)
	1,150,000		4.400			03/15/26		1,172,452
	ZFS Finance USA Trust II(a)(b)(c)
	1,525,000		6.450			12/15/65		1,521,950
								7,120,125
	Real Estate Investment Trusts – 6.7%
	American Campus Communities Operating Partnership LP(a)
	3,200,000		4.125			07/01/24		3,308,199
	Camden Property Trust
	2,575,000		5.700			05/15/17		2,679,983
	CubeSmart LP(a)
	1,625,000		4.800			07/15/22		1,775,417
	Developers Diversified Realty Corp.
	3,750,000		7.500			04/01/17		3,959,420
	HCP, Inc.(a)
	1,975,000		2.625			02/01/20		1,946,428
	Kilroy Realty LP
	1,125,000		6.625			06/01/20		1,290,351
	Select Income REIT(a)
	650,000		2.850			02/01/18		651,226
	1,125,000		3.600			02/01/20		1,130,598
	1,625,000		4.150			02/01/22		1,599,543
	Trust F/1401(a)(c)
	230,000		5.250			12/15/24		234,025
	UDR, Inc.
	1,900,000		4.250			06/01/18		1,992,710
	Vereit Operating Partnership LP
	5,075,000		2.000			02/06/17		5,030,355
	WEA Finance LLC/Westfield UK & Europe Finance PLC(a)(c)
	2,150,000		2.700			09/17/19		2,164,614
	Welltower, Inc.(a)
	775,000		4.125			04/01/19		814,289
								28,577,158

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

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

Schedule of Investments (continued)

March 31, 2016

Principal Amount		Interest Rate			Maturity Date		Value
	Corporate Obligations – (continued)
	Retailers(a) – 2.2%
	Amazon.com, Inc.
$	2,325,000		3.300	%		12/05/21	$	2,468,610
	CVS Health Corp.
	3,500,000		2.800			07/20/20		3,629,003
	1,925,000		3.875			07/20/25		2,076,036
	1,075,000		5.750			05/15/41		1,308,394
								9,482,043
	Technology – Hardware – 2.1%
	Cisco Systems, Inc.
	2,375,000		2.200			02/28/21		2,420,889
	Hewlett Packard Enterprise Co.(a)(c)
	2,325,000		4.900			10/15/25		2,385,442
	Intel Corp.(a)
	2,225,000		4.900			07/29/45		2,507,942
	Oracle Corp.(a)
	800,000		4.300			07/08/34		841,746
	QUALCOMM, Inc.
	600,000		3.000			05/20/22		624,354
								8,780,373
	Technology – Software/Services – 2.3%
	Apple, Inc.
	3,150,000		3.850			05/04/43		3,051,846
	Fidelity National Information Services, Inc.(a)
	3,300,000		4.500			10/15/22		3,485,758
	Fiserv, Inc.(a)
	3,100,000		2.700			06/01/20		3,141,147
								9,678,751
	Tobacco – 3.9%
	Altria Group, Inc.
	1,650,000		2.850			08/09/22		1,700,687
	BAT International Finance PLC(c)
	3,300,000		2.750			06/15/20		3,393,628
	2,950,000		3.950			06/15/25		3,229,221
	Philip Morris International, Inc.(a)
	1,350,000		2.750			02/25/26		1,371,353
	Reynolds American, Inc.
	861,000		3.250			06/12/20		899,612
	499,000		4.850			09/15/23		561,534
	3,975,000		4.450	(a)		06/12/25		4,373,858
	950,000		5.850	(a)		08/15/45		1,159,600
								16,689,493
	Trucking & Leasing(c) – 1.1%
	ERAC USA Finance LLC
	1,525,000		5.625			03/15/42		1,716,397
	Penske Truck Leasing Co. LP/PTL Finance Corp.
	2,275,000		3.375	(a)		02/01/22		2,258,736
	650,000		4.875			07/11/22		694,054
								4,669,187
	Wireless Telecommunications(a) – 0.3%
	American Tower Corp.
	1,025,000		3.300			02/15/21		1,042,848
	Corporate Obligations – (continued)
	Wirelines Telecommunications – 5.0%
	AT&T, Inc.(a)
$	600,000		3.950	%		01/15/25	$	624,546
	300,000		6.000			08/15/40		334,530
	Telefonica Emisiones SAU
	4,290,000		5.462			02/16/21		4,847,173
	Verizon Communications, Inc.
	5,425,000		4.500			09/15/20		5,988,900
	2,000,000		5.150			09/15/23		2,307,856
	2,745,000		4.150	(a)		03/15/24		2,991,559
	525,000		3.500	(a)		11/01/24		550,796
	948,000		4.862			08/21/46		1,004,478
	2,685,000		4.522			09/15/48		2,685,812
								21,335,650
	TOTAL CORPORATE OBLIGATIONS
	(Cost $346,182,930)						$	349,920,159
	Foreign Debt Obligations – 4.4%
	Sovereign – 4.4%
	Federal Republic of Brazil
$	400,000		4.250	%		01/07/25	$	366,400
	135,000		7.125			01/20/37		136,519
	Republic of Chile
	935,000		3.625			10/30/42		888,250
	Republic of Colombia
	2,221,000		4.000	%		02/26/24	$	2,232,105
	522,000		6.125			01/18/41		550,710
	Republic of Indonesia
	387,000		5.875			01/15/24		435,375
	430,000		4.125			01/15/25		432,150
	470,000		6.750			01/15/44		566,437
	Republic of Panama(d)
	820,000		9.375			04/01/29		1,221,800
	Republic of Peru
	570,000		6.550			03/14/37		709,650
	Republic of Turkey
	2,040,000		6.250			09/26/22		2,269,500
	1,820,000		5.750			03/22/24		1,967,875
	180,000		7.375			02/05/25		215,550
	Republic of Uruguay
	311,876		5.100			06/18/50		290,045
	United Mexican States
	1,810,000		6.050			01/11/40		2,122,225
	980,000		4.750			03/08/44		980,000
	1,335,000		5.550			01/21/45		1,478,512
	1,706,000		4.600			01/23/46		1,671,880
	TOTAL FOREIGN DEBT OBLIGATIONS
	(Cost $17,847,812)						$	18,534,983

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

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

Principal Amount		Interest Rate			Maturity Date		Value
	Municipal Debt Obligations – 3.3%
	California – 1.9%
	California State GO Bonds Build America Taxable Series 2009
$	455,000		7.300	%		10/01/39	$	667,094
	California State GO Bonds Build America Taxable Series 2010
	2,320,000		7.625			03/01/40		3,550,482
	California State University RB Build America Bonds Series 2010
	2,825,000		6.484			11/01/41		3,668,121
								7,885,697
	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		2,177,854
	Illinois State GO Bonds Build America Series 2010
	3,225,000		6.630			02/01/35		3,480,065
								5,657,919
	New Jersey – 0.1%
	New Jersey State Turnpike Authority RB Build America Bonds Taxable Series 2009 F
	350,000		7.414			01/01/40		527,380
	TOTAL MUNICIPAL DEBT OBLIGATIONS
	(Cost $11,061,861)						$	14,070,996
	U.S. Treasury Obligations – 8.9%
	United States Treasury Bonds
$	600,000		2.875	%		08/15/45	$	631,398
	12,200,000		3.000			11/15/45		13,176,855
	United States Treasury Inflation Protected Securities
	834,424		0.125			04/15/17		844,070
	513,175		0.125			01/15/23		517,983
	406,124		0.625			01/15/24		423,319
	United States Treasury Notes
	15,200,000		0.750			01/31/18		15,204,256
	3,200,000		1.625			07/31/20		3,263,744
	3,700,000		1.500			02/28/23		3,690,232
	TOTAL U.S. TREASURY OBLIGATIONS
	(Cost $37,223,384)						$	37,751,857

Shares		Distribution Rate	Value
	Investment Company(b)(e) – 0.0%
	Goldman Sachs Financial Square Government Fund – FST Institutional Shares
	75	0.250%	$	75
	(Cost $75)
	TOTAL INVESTMENTS – 98.9%
	(Cost $412,316,062)		$	420,278,070
	OTHER ASSETS IN EXCESS OF     LIABILITIES – 1.1%			4,764,128
	NET ASSETS – 100.0%		$	425,042,198

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 March 31, 2016.
(c)	Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed 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 $70,915,163, which represents approximately 16.7% of net assets as of March 31, 2016.
(d)	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 March 31, 2016.
(e)	Represents an Affiliated Fund.

Investment Abbreviations:
GO	—General Obligation
LLC	—Limited Liability Company
LP	—Limited Partnership
PLC	—Public Limited Company
RB	—Revenue Bond
REIT	—Real Estate Investment Trust

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

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

Schedule of Investments (continued)

March 31, 2016

ADDITIONAL INVESTMENT INFORMATION

FUTURES CONTRACTS — At March 31, 2016, 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		26		June 2016	$	4,485,813		$	(14,819	)
2 Year U.S. Treasury Bonds		145		June 2016		31,718,750			44,336
5 Year U.S. Treasury Notes		96		June 2016		11,631,750			31,313
10 Year U.S. Treasury Notes		(228	)	June 2016		(29,729,063	)		(88,179	)
20 Year U.S. Treasury Bonds		(37	)	June 2016		(6,084,187	)		30,870
TOTAL								$	3,521

SWAP CONTRACTS — At March 31, 2016, the Fund had the following swap contracts:

OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS

											Market Value
Counterparty	Referenced Obligation	Notional Amount (000s)		Rates Received (Paid)			Termination Date		Credit Spread at March 31, 2016(a)		Upfront Payments Made (Received)			Unrealized Gain (Loss)
Protection Sold:
Barclays Bank PLC	Markit CMBX Series 7	$	1,900		0.500	%		01/17/47		0.942	$	(65,215	)	$	7,220
	Markit CMBX Series 8		1,600		0.500			10/17/57		1.074		(64,488	)		(6,108	)
Credit Suisse International (London)	Markit CMBX Series 6		200		0.500			05/11/63		0.844		(4,903	)		869
	Markit CMBX Series 7		1,300		0.500			01/17/47		0.942		(48,605	)		8,919
	Markit CMBX Series 8		1,600		0.500			10/17/57		1.074		(73,773	)		3,180
TOTAL											$	(256,984	)	$	14,080

(a) 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.

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

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

Schedule of Investments

March 31, 2016

Principal Amount		Interest Rate			Maturity Date		Value
	Sovereign Debt Obligations – 75.6%
	Argentina(a) – 0.5%
	Republic of Argentina (NR/NR)
ARS	41,080,000		29.198	%		03/28/17	$	2,788,561
	1,720,000		30.467			10/09/17		118,026
								2,906,587
	Brazil – 10.3%
	Brazil Letras do Tesouro Nacional (BB/Ba2)(b)
BRL	7,001,000		0.000			01/01/17		1,765,256
	57,600,000		0.000			07/01/17		13,644,001
	Brazil Notas do Tesouro Nacional (BB/Ba2)
	24,246,000		10.000			01/01/19		6,216,468
	53,203,000		10.000			01/01/23		12,426,135
	76,017,000		10.000			01/01/25		17,165,997
	24,203,723		6.000			08/15/40		6,329,891
								57,547,748
	Colombia – 9.0%
	Republic of Colombia (NR/Baa2)
COP	1,851,000,000		4.375			03/21/23		518,097
	Republic of Colombia (BBB/Baa2)
$	1,850,000		5.000			06/15/45		1,734,375
	Republic of Colombia (BBB+/Baa2)
COP	20,622,200,000		7.250			06/15/16		6,880,596
	3,424,300,000		11.250			10/24/18		1,243,266
	95,473,700,000		7.000			05/04/22		30,591,574
	484,000,000		10.000			07/24/24		180,695
	15,005,000,000		7.500			08/26/26		4,748,425
	100,000		6.000			04/28/28		28
	13,849,800,000		7.750			09/18/30		4,342,605
								50,239,661
	Costa Rica(c) – 0.3%
	Republic of Costa Rica (BB-/Ba1)
$	1,610,000		7.158			03/12/45		1,465,100
	Croatia – 0.0%
	Republic of Croatia (BB/Ba2)
EUR	180,000		3.875			05/30/22		209,686
	Czech Republic(a) – 2.3%
	Czech Republic Government Bond (AA/NR)
CZK	310,070,000		0.370			10/27/16		13,074,150
	Dominican Republic – 2.0%
	Dominican Republic (NR/NR)
DOP	80,400,000		16.950			02/04/22		2,268,150
	141,300,000		11.375			07/06/29		3,154,748
	Dominican Republic (BB-/B1)
$	2,763,046		9.040			01/23/18		2,928,828
	2,780,000		6.850	(c)		01/27/45		2,724,400
								11,076,126
	Indonesia – 0.7%
	Republic of Indonesia (NR/NR)
IDR	6,262,000,000		8.375			09/15/26		493,026
	Republic of Indonesia (NR/Baa3)
	9,000,000		6.125			05/15/28		568
	Sovereign Debt Obligations – (continued)
	Indonesia – (continued)
	Republic of Indonesia (BB+/Baa3)(c)
$	3,470,000		4.750	%		01/08/26	$	3,634,825
								4,128,419
	Malaysia – 3.4%
	Malaysia Government Bond (NR/NR)
MYR	49,620,000		0.000	(b)		05/06/16		12,692,240
	3,210,000		3.889			07/31/20		835,065
	Malaysia Government Bond (NR/A3)
	21,130,000		4.498			04/15/30		5,546,388
								19,073,693
	Mexico – 9.1%
	Mexican Udibonos (A/A3)
MXN	18,826,618		2.500			12/10/20		1,096,759
	51,508,602		4.500			12/04/25		3,363,260
	United Mexican States (NR/A3)
	32,165,200		4.750			06/14/18		1,870,446
	8,883,900		5.750			03/05/26		506,165
	United Mexican States (A/A3)
	199,375,800		8.500			12/13/18		12,628,928
	51,788,100		5.000			12/11/19		2,985,314
	112,300,900		6.500			06/10/21		6,826,996
	117,500,100		6.500			06/09/22		7,123,939
	177,979,300		10.000			12/05/24		13,224,457
	10,306,800		7.750			11/23/34		671,126
	7,762,100		7.750			11/13/42		505,850
								50,803,240
	Peru – 1.6%
	Republic of Peru (NR/NR)
PEN	2,168,000		5.200			09/12/23		606,131
	Republic of Peru (NR/A3)
	1,969,000		6.850			02/12/42		554,068
	Republic of Peru (A-/A3)
	20,403,000		5.700	(c)		08/12/24		5,812,818
	5,357,000		8.200			08/12/26		1,758,766
	50,000		6.950			08/12/31		14,829
								8,746,612
	Philippines – 0.4%
	Republic of Philippines (BBB/Baa2)
PHP	41,000,000		3.900			11/26/22		869,877
	67,000,000		6.250			01/14/36		1,611,521
								2,481,398
	Poland – 11.4%
	Poland Government Bond (A-/NR)
PLN	24,510,000		1.500			04/25/20		6,468,822
	88,770,000		2.000			04/25/21		23,594,044
	Poland Government Bond (A-/A2)
	103,010,000		5.750			09/23/22		33,227,572
	2,420,000		4.000			10/25/23		713,871
								64,004,309

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

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

March 31, 2016

Principal Amount		Interest Rate			Maturity Date		Value
	Sovereign Debt Obligations – (continued)
	Romania – 2.6%
	Republic of Romania (NR/NR)
RON	51,060,000		5.900	%		07/26/17	$	13,840,029
	2,510,000		4.750			06/24/19		697,201
								14,537,230
	Russia – 8.4%
	Russian Federation Bond (NR/NR)
RUB	374,070,000		8.500			09/17/31		5,332,022
	Russian Federation Bond (BBB-/Ba1)
	1,125,000,000		7.850			03/10/18		16,347,455
	565,740,000		7.500			02/27/19		8,073,952
	115,870,000		6.700			05/15/19		1,612,487
	355,410,000		7.600			07/20/22		4,935,483
	422,140,000		7.000			01/25/23		5,675,281
	267,980,000		7.000			08/16/23		3,579,169
	109,180,000		8.150			02/03/27		1,541,228
	20,000		7.050			01/19/28		259
								47,097,336
	South Africa – 3.8%
	Republic of South Africa (NR/Baa2)
ZAR	24,420,000		8.000			01/31/30		1,462,239
	97,000,000		8.250			03/31/32		5,821,268
	91,480,000		8.500			01/31/37		5,478,307
	76,350,000		8.750			01/31/44		4,606,574
	48,210,000		8.750			02/28/48		2,902,846
	Republic of South Africa (BBB+/Baa2)
	13,540,000		10.500			12/21/26		1,002,285
								21,273,519
	Thailand – 4.6%
	Thailand Government Bond (NR/Baa1)
THB	152,395,000		3.580			12/17/27		5,092,538
	196,419,813		1.250			03/12/28		5,318,343
	69,580,000		3.775			06/25/32		2,387,613
	Thailand Government Bond (A-/Baa1)
	453,411,413		1.200			07/14/21		12,744,817
								25,543,311
	Turkey – 4.6%
	Republic of Turkey (NR/NR)
TRY	50,860,000		8.500			07/10/19		17,462,932
	Turkey Government Bond (NR/NR)
	24,550,000		7.400			02/05/20		8,085,173
								25,548,105
	Venezuela – 0.6%
	Republic of Venezuela (CCC/Caa3)
$	2,960,000		7.750			10/13/19		1,110,000
	1,120,000		6.000			12/09/20		375,200
	1,030,000		9.000			05/07/23		360,500
	2,302,000		8.250			10/13/24		782,680
	Sovereign Debt Obligations – (continued)
	Venezuela – (continued)
	Republic of Venezuela (CCC/Caa3) (continued)
$	1,589,000		9.250	%		05/07/28	$	560,123
	1,210,000		11.950			08/05/31		477,950
								3,666,453
	TOTAL SOVEREIGN DEBT OBLIGATIONS
	(Cost $538,034,437)						$	423,422,683
	Corporate Obligations – 3.2%
	Australia – 0.3%
	Toyota Finance Australia Ltd. (NR/NR)
MXN	27,460,000		3.760	%		07/20/17	$	1,536,615
	Hong Kong – 0.4%
	China Unicom Ltd. (NR/NR)
CNH	14,190,000		4.000			04/16/17		2,183,023
	Mexico – 0.8%
	America Movil SAB de CV (A-/A2)
MXN	83,550,000		6.000			06/09/19		4,772,058
	South Africa – 1.4%
	Transnet Ltd. (BBB+/Baa2)
ZAR	136,000,000		10.000			03/30/29		8,122,462
	Venezuela – 0.3%
	Petroleos de Venezuela SA (CCC/NR)
$	1,100,000		9.000			11/17/21		407,000
	160,000		6.000			05/16/24		49,680
	1,900,000		6.000			11/15/26		586,150
	1,070,000		5.375			04/12/27		338,280
	200,000		5.500			04/12/37		63,500
								1,444,610
	TOTAL CORPORATE OBLIGATIONS
	(Cost $26,248,156)						$	18,058,768
	Structured Notes – 12.6%
	Brazil – 0.4%
	Notas do Tesouro Nacional Series B (Issuer HSBC Corp.) (NR/NR)
BRL	845,000		0.000	%(a)		01/05/17	$	228,950
	8,949,563		6.000			08/15/40		2,340,539
								2,569,489
	Colombia – 3.7%
	Republic of Columbia (Issuer Citigroup Funding, Inc.) (NR/NR)
COP	12,492,000,000		11.000			07/27/20		4,670,798
	4,226,000,000		11.000			07/25/24		1,577,720
	40,167,000,000		11.250	(c)		10/25/18		14,583,497
								20,832,015

106 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
	Structured Notes – (continued)
	Indonesia – 8.5%
	Republic of Indonesia (Issuer Deutsche Bank AG (London)) (NR/NR)
IDR	42,400,000,000		7.875	%		04/17/19	$	3,216,085
	68,100,000,000		8.375			03/19/24		5,315,498
	35,400,000,000		7.000	(c)		05/17/27		2,465,119
	Republic of Indonesia (Issuer JPMorgan Chase Bank NA) (NR/NR)(c)
	10,397,000,000		8.375			09/17/26		818,587
	66,250,000,000		7.000			05/17/27		4,613,393
	22,718,000,000		9.000			03/19/29		1,813,225
	221,071,000,000		6.625			05/17/33		14,087,858
	Republic of Indonesia (Issuer Standard Chartered Bank) (NR/NR)(c)
	190,066,000,000		9.000			03/19/29		15,170,019
								47,499,784
	TOTAL STRUCTURED NOTES
	(Cost $103,267,377)						$	70,901,288
	Municipal Debt Obligations – 0.7%
	Puerto Rico – 0.7%
	Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2008 A (CCC-/Caa3)
$	215,000		6.000	%		07/01/38	$	144,587
	415,000		6.000			07/01/44		278,050
	Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2012 A (CCC-/Caa3)
	85,000		5.750			07/01/37		56,525
	Puerto Rico Commonwealth GO Bonds for Public Improvement Series 2011 A (CC/Caa3)
	120,000		5.750			07/01/41		71,700
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2008 A (CC/Caa3)
	70,000		5.500			07/01/32		41,650
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2009 B (CC/Caa3)
	45,000		5.875			07/01/36		26,944
	170,000		5.750			07/01/38		101,575
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2009 C (CC/Caa3)
	705,000		6.000			07/01/39		422,119
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2011 A (CC/Caa3)
	45,000		6.000			07/01/34		26,944
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2011 E (CC/Caa3)
	40,000		5.625			07/01/32		23,850
	Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2012 A (CC/Caa3)
	20,000		5.500			07/01/26		12,025
	130,000		5.750			07/01/28		78,325
	265,000		5.000			07/01/41		157,012
	Puerto Rico Commonwealth GO Bonds Series 2007 A (CC/Caa3)
	285,000		5.250			07/01/37		169,219
	Municipal Debt Obligations – (continued)
	Puerto Rico – (continued)
	Puerto Rico Commonwealth GO Bonds Series 2014 A (CC/Caa3)
$	405,000		8.000	%		07/01/35	$	278,437
	Puerto Rico Commonwealth GO Bonds Unrefunded Balance for Public Improvement Series 2001 A (CC/Caa3)
	80,000		5.125			07/01/31		47,500
	Puerto Rico Commonwealth GO Bonds Unrefunded Balance for Public Improvement Series 2004 A (CC/Caa3)
	20,000		5.000			07/01/34		11,850
	Puerto Rico Commonwealth GO Bonds Unrefunded Balance for Public Improvement Series 2006 A (CC/Caa3)
	30,000		5.250			07/01/27		18,000
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB Capital Appreciation Series 2010 A (CC/Ca)(b)
	85,000		0.000			08/01/35		8,909
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB Capital Appreciation SubSeries 2010 C (CC/Ca)(b)
	215,000		0.000			08/01/37		20,287
	175,000		0.000			08/01/38		15,468
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2009 A (CC/Ca)
	90,000		5.250			08/01/27		36,900
	690,000		0.000	(d)		08/01/32		267,396
	215,000		5.750			08/01/37		89,762
	60,000		6.375			08/01/39		25,575
	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	(d)		08/01/33		126,065
	840,000		5.500			08/01/37		346,500
	540,000		5.375			08/01/39		221,400
	165,000		5.500			08/01/42		68,063
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2010 C (CC/Ca)
	240,000		5.375			08/01/38		98,400
	670,000		5.250			08/01/41		273,025
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2011 A-1 (CC/Ca)
	485,000		5.000			08/01/43		195,212
	175,000		5.250			08/01/43		71,313
	Puerto Rico Sales Tax Financing Corp. Sales Tax RB Unrefunded SubSeries 2009 A (CC/Ca)
	415,000		5.500			08/01/28		172,225
	TOTAL MUNICIPAL DEBT OBLIGATIONS
	(Cost $5,937,407)						$	4,009,225
	U.S. Treasury Obligations – 1.1%
	United States Treasury Bonds
$	700,000		3.625	%(e)		08/15/43	$	850,647
	500,000		2.875			08/15/45		526,165
	United States Treasury Notes
	4,600,000		1.500			03/31/23		4,585,280
	TOTAL U.S. TREASURY OBLIGATIONS
	(Cost $5,893,166)						$	5,962,092

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

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

March 31, 2016

Shares	Distribution Rate			Value
Investment Company(a)(f) – 0.4%
Goldman Sachs Financial Square Government Fund – FST Institutional Shares
2,148,011		0.250	%	$	2,148,011
(Cost $2,148,011)
TOTAL INVESTMENTS – 93.6%
(Cost $681,528,554)				$	524,502,067
OTHER ASSETS IN EXCESS OF     LIABILITIES – 6.4%					35,639,768
NET ASSETS – 100.0%				$	560,141,835

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 March 31, 2016.
(b)	Issued with a zero coupon. Income is recognized through the accretion of discount.
(c)	Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed 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 $67,188,841, which represents approximately 12.0% of net assets as of March 31, 2016.
(d)	Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect on March 31, 2016.
(e)	All or a portion of security is segregated as collateral for initial margin requirements on futures transactions.
(f)	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.

Currency Abbreviations:
AED	—United Arab Emirates Dirham
ARS	—Argentine Peso
BRL	—Brazilian Real
CLP	—Chilean Peso
CNH	—Chinese Yuan Renminbi Offshore
CNY	—Chinese Yuan Renminbi
COP	—Colombian Peso
CZK	—Czech Koruna
DOP	—Dominican Peso
EUR	—Euro
HKD	—Hong Kong Dollar
HUF	—Hungarian Forint
IDR	—Indonesian Rupiah
INR	—Indian Rupee
KRW	—South Korean Won
MXN	—Mexican Peso
MYR	—Malaysian Ringgit
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:
EURO	—Euro Offered Rate
GO	—General Obligation
HIBOR	—Hong Kong Interbank Offered Rate
JIBAR	—Johannesburg Interbank Agreed Rate
KWCDC	—South Korean Won Certificate of Deposit
LIBOR	—London Interbank Offered Rate
LLC	—Limited Liability Company
NR	—Not Rated
MIBOR	—Mumbai Interbank Offered Rate
PLC	—Public Limited Company
RB	—Revenue Bond
TIIE	—La Tasa de Interbank Equilibrium Interest Rate

108 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 March 31, 2016, 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	BRL	11,220,740	USD	3,058,000	$	3,116,927		04/04/16	$	58,927
	HUF	532,463,162	EUR	1,694,000		1,929,186		04/26/16		83
	PLN	14,929,343	EUR	3,464,000		3,999,478		04/26/16		54,724
	PLN	3,726,112	USD	971,955		998,290		04/20/16		26,334
	RUB	229,150,537	USD	3,073,000		3,406,784		04/04/16		333,784
	TRY	3,031,184	USD	1,042,639		1,067,579		04/26/16		24,940
Barclays Bank PLC	CNH	36,471,624	USD	5,343,022		5,599,691		09/01/16		256,669
	CNY	3,275,420	USD	495,900		505,549		05/19/16		9,649
	CNY	14,109,139	USD	2,083,760		2,166,530		08/05/16		82,770
	CNY	17,183,995	USD	2,552,584		2,636,733		08/16/16		84,149
	CNY	12,680,479	USD	1,903,633		1,945,446		08/18/16		41,813
	IDR	35,807,130,000	USD	2,629,011		2,722,562		04/07/16		93,551
	INR	128,255,933	USD	1,857,000		1,934,333		04/07/16		77,333
	INR	128,322,253	USD	1,901,000		1,932,197		04/18/16		31,197
	ZAR	11,647,204	USD	761,000		784,887		04/26/16		23,887
BNP Paribas SA	BRL	15,161,279	USD	4,197,475		4,211,542		04/04/16		14,067
	CNH	90,238,392	USD	13,246,975		13,854,800		09/01/16		607,825
	HUF	526,966,725	EUR	1,675,000		1,909,271		04/26/16		1,805
	INR	123,827,453	USD	1,855,927		1,868,540		04/04/16		12,613
	INR	127,003,190	USD	1,838,000		1,915,439		04/07/16		77,439
	MXN	1,096,022	USD	61,793		63,285		04/26/16		1,492
	MYR	7,769,866	USD	1,881,000		1,993,219		04/01/16		112,219
	MYR	9,307,559	USD	2,330,327		2,400,570		04/25/16		70,243
	RUB	93,669,609	USD	1,362,705		1,389,767		04/11/16		27,062
	TWD	246,255,540	USD	7,604,000		7,661,032		04/21/16		57,032
	USD	820,794	KRW	938,135,046		818,404		04/25/16		2,390
Citibank NA (London)	AED	47,937,376	USD	13,026,461		13,038,543		08/11/16		12,082
	BRL	3,521,725	USD	958,971		978,274		04/04/16		19,303
	CNH	138,250,641	USD	20,270,330		21,226,386		09/01/16		956,056
	COP	4,048,837,808	USD	1,262,008		1,349,292		04/04/16		87,284
	IDR	21,598,749,291	USD	1,623,000		1,637,903		05/02/16		14,903
	INR	132,551,610	USD	1,997,162		1,999,119		04/07/16		1,958
	MYR	14,980,317	USD	3,585,000		3,842,930		04/01/16		257,930
	RUB	79,302,405	USD	1,066,000		1,178,990		04/04/16		112,990
	RUB	2,024,558	USD	26,733		30,064		04/08/16		3,331
	RUB	875,004,909	USD	11,813,057		12,948,648		04/20/16		1,135,592
	RUB	265,728,916	USD	3,906,198		3,925,559		04/26/16		19,360
	TRY	15,934,030	USD	5,443,634		5,611,944		04/26/16		168,310
	USD	1,006,151	MXN	17,330,283		1,000,662		04/26/16		5,490
	ZAR	11,824,494	USD	761,000		796,835		04/26/16		35,835
Credit Suisse International (London)	COP	2,334,336,900	USD	717,000		777,927		04/04/16		60,927
	COP	18,287,168,000	USD	5,344,000		6,091,133		04/22/16		747,133
	COP	2,459,442,440	USD	812,000		818,717		05/02/16		6,717
	COP	8,747,915,708	USD	2,870,993		2,906,658		05/13/16		35,665
	RUB	76,430,231	USD	1,087,000		1,133,005		04/14/16		46,005
	RUB	424,255,051	USD	6,005,180		6,281,910		04/18/16		276,730
Deutsche Bank AG (London)	CNH	18,064,143	USD	2,654,000		2,773,488		09/01/16		119,488
	CNY	19,659,531	USD	2,909,995		3,020,860		07/26/16		110,865

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

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

March 31, 2016

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Gain
Deutsche Bank AG (London) (continued)	CNY	14,942,410	USD	2,211,234	$	2,294,948		08/02/16	$	83,715
	CNY	7,345,901	USD	1,085,548		1,128,153		08/03/16		42,605
	HUF	13,284,594,876	USD	47,025,115		48,131,877		04/26/16		1,106,762
	IDR	10,712,791,830	USD	806,000		814,537		04/07/16		8,537
	IDR	25,225,984,850	USD	1,901,000		1,915,909		04/18/16		14,909
	MXN	355,018,395	USD	19,867,838		20,498,987		04/26/16		631,149
	MYR	68,226,176	USD	16,664,918		17,593,115		04/08/16		928,196
	THB	892,370,000	USD	24,919,576		25,340,262		05/12/16		420,687
	USD	6,683,851	THB	232,598,000		6,607,649		04/26/16		76,202
HSBC Bank PLC	CNH	39,315,462	USD	5,836,000		6,036,320		09/01/16		200,320
	CNY	16,393,648	USD	2,434,459		2,535,987		04/14/16		101,527
	CNY	33,132,380	USD	4,868,918		5,095,210		07/14/16		226,292
	CNY	28,087,396	USD	4,156,939		4,319,084		07/15/16		162,145
	CNY	16,506,966	USD	2,433,400		2,537,297		07/21/16		103,898
	CNY	20,806,069	USD	3,078,504		3,195,525		08/02/16		117,021
	COP	11,308,210,000	USD	3,401,989		3,766,565		04/22/16		364,576
	IDR	221,944,613,744	USD	15,569,598		16,838,001		04/29/16		1,268,403
	KRW	8,465,546,474	USD	6,996,898		7,388,454		04/08/16		391,557
	KRW	2,613,728,580	USD	2,100,055		2,280,148		04/25/16		180,093
	MYR	28,805,750	USD	6,848,402		7,429,557		04/26/16		581,155
	MYR	40,629,378	USD	9,774,957		10,479,213		05/04/16		704,256
	MYR	513,079	USD	118,085		132,332		05/06/16		14,247
	TRY	11,053,745	USD	3,780,000		3,893,115		04/26/16		113,115
	TWD	62,563,212	USD	1,917,000		1,946,268		04/18/16		29,268
	TWD	122,092,354	USD	3,788,000		3,798,561		04/26/16		10,561
JPMorgan Chase Bank (London)	USD	2,359,000	CNH	15,222,037		2,337,124		09/01/16		21,876
	BRL	4,065,496	USD	1,082,000		1,129,325		04/04/16		47,325
	IDR	27,350,367,000	USD	2,041,072		2,072,267		04/04/16		31,194
	INR	129,511,331	USD	1,937,487		1,954,309		04/04/16		16,821
	MXN	129,485,027	USD	7,376,000		7,476,547		04/26/16		100,547
	MXN	2,343,288	USD	123,460		135,099		05/12/16		11,639
	MYR	7,773,379	USD	1,901,000		2,004,762		04/20/16		103,762
	MYR	7,764,406	USD	1,901,000		2,002,472		04/21/16		101,472
	PLN	51,248,000	USD	12,956,072		13,729,021		04/26/16		772,949
	RUB	90,183,085	USD	1,221,612		1,340,753		04/04/16		119,141
	USD	1,929,000	RUB	130,400,400		1,924,715		04/29/16		4,285
Merrill Lynch International Bank Ltd.	TRY	26,076,000	USD	8,752,318		9,065,703		06/15/16		313,385
Morgan Stanley & Co. International PLC	BRL	58,615,913	USD	15,380,785		16,282,488		04/04/16		901,703
	CNH	10,171,313	USD	1,491,548		1,561,658		09/01/16		70,110
	IDR	8,697,616,629	USD	653,416		659,568		05/02/16		6,153
	MXN	34,129,100	USD	1,901,000		1,970,636		04/26/16		69,636
	MYR	7,185,204	USD	1,740,803		1,852,810		04/08/16		112,007
	MYR	38,973,282	USD	9,955,624		10,051,249		04/20/16		95,625
	MYR	28,805,750	USD	6,862,106		7,429,732		04/28/16		567,626
	PEN	1,695,536	USD	493,893		509,592		04/22/16		15,699
	RUB	39,230,970	USD	540,000		582,066		04/11/16		42,066
	RUB	210,474,525	USD	3,075,000		3,113,782		04/21/16		38,782
	RUB	129,206,597	USD	1,894,000		1,907,094		04/29/16		13,094
	USD	5,181,000	BRL	18,584,542		5,121,755		05/03/16		59,245

110 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 GAIN (continued)

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Gain
Morgan Stanley & Co. International PLC (continued)	USD	510,589	MXN	8,832,685	$	510,005		04/26/16	$	584
	ZAR	39,972,205	USD	2,563,821		2,693,666		04/26/16		129,845
Royal Bank of Canada	BRL	12,346,939	USD	3,073,000		3,429,767		04/04/16		356,767
	MXN	74,774,000	USD	4,252,389		4,298,171		06/15/16		45,783
	USD	1,926,000	BRL	6,921,678		1,922,723		04/04/16		3,277
	USD	1,653,000	MXN	28,398,590		1,639,753		04/26/16		13,247
Royal Bank of Scotland PLC	CLP	1,483,969,000	USD	2,113,163		2,210,918		04/22/16		97,754
	COP	2,364,741,000	USD	720,000		788,060		04/04/16		68,060
	COP	2,871,071,470	USD	902,880		956,630		04/11/16		53,750
	COP	1,735,146,726	USD	543,000		578,072		04/15/16		35,072
	TRY	19,459,640	USD	6,705,772		6,853,660		04/26/16		147,887
	USD	2,227,000	MXN	38,547,321		2,225,747		04/26/16		1,253
Standard Chartered Bank	CNH	36,467,645	USD	5,343,000		5,599,080		09/01/16		256,080
	CNY	33,675,140	USD	4,942,777		5,176,229		07/21/16		233,452
	CNY	33,492,074	USD	4,950,238		5,147,742		07/22/16		197,504
	INR	304,943,401	USD	4,411,797		4,599,101		04/07/16		187,304
	INR	128,002,885	USD	1,901,000		1,927,388		04/18/16		26,388
	MYR	11,059,133	USD	2,705,000		2,851,859		04/11/16		146,859
	TRY	13,628,676	USD	4,671,087		4,800,002		04/26/16		128,915
	USD	13,231,000	CNH	85,578,979		13,139,415		09/01/16		91,585
	USD	1,158,000	ZAR	17,124,805		1,154,015		04/26/16		3,985
	ZAR	54,712,661	USD	3,540,525		3,687,003		04/26/16		146,478
State Street Bank (London)	MXN	33,814,988	USD	1,901,000		1,952,499		04/26/16		51,499
	ZAR	346,668,779	USD	22,226,632		23,361,483		04/26/16		1,134,851
UBS AG (London)	BRL	17,297,309	USD	4,523,000		4,804,893		04/04/16		281,893
	KRW	2,807,571,600	USD	2,337,072		2,448,991		04/29/16		111,919
	PLN	7,490,187	EUR	1,737,000		2,006,575		04/26/16		28,504
	ZAR	10,870,492	USD	691,188		725,133		06/15/16		33,945
Westpac Banking Corp.	CNH	18,300,482	USD	2,663,000		2,809,774		09/01/16		146,774
	IDR	27,350,367,000	USD	2,060,291		2,077,256		04/18/16		16,964
	USD	4,939,856	IDR	64,796,088,000		4,921,252		04/18/16		18,605
TOTAL									$	22,132,072

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Loss
Bank of America Securities LLC	EUR	2,447,000	PLN	10,434,008	$	2,786,609		04/26/16	$	(8,597	)
	HUF	547,491,301	EUR	1,762,510		1,983,635		04/26/16		(23,487	)
	USD	1,793,000	CNH	11,867,975		1,829,699		06/15/16		(36,699	)
	USD	1,865,000	INR	126,372,400		1,906,943		04/04/16		(41,943	)
Barclays Bank PLC	USD	495,900	CNH	3,275,420		505,675		05/19/16		(9,775	)
	USD	2,083,760	CNH	14,100,804		2,168,020		08/05/16		(84,260	)
	USD	2,552,584	CNH	17,173,785		2,638,983		08/16/16		(86,399	)
	USD	1,903,633	CNH	12,670,961		1,946,861		08/18/16		(43,228	)
	USD	19,324,722	CNH	129,388,048		19,865,664		09/01/16		(540,942	)
	USD	1,912,031	TWD	62,676,372		1,949,788		04/18/16		(37,758	)
	USD	2,104,333	TWD	69,356,713		2,157,839		04/26/16		(53,506	)

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

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

March 31, 2016

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)

Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Loss
BNP Paribas SA	EUR	1,724,000	PLN	7,396,529	$	1,963,267		04/26/16	$	(18,217	)
	HUF	29,278,779	EUR	93,481		106,081		04/26/16		(374	)
	KRW	938,135,046	USD	821,197		818,774		04/08/16		(2,423	)
	USD	30,889,965	AED	113,645,015		30,910,441		08/11/16		(20,475	)
	USD	36,321,138	AED	133,692,499		36,361,399		08/15/16		(40,261	)
	USD	4,135,308	BRL	15,161,279		4,144,087		06/02/16		(8,779	)
	USD	1,865,000	INR	126,966,384		1,915,906		04/04/16		(50,906	)
	USD	1,850,657	INR	123,827,453		1,864,517		04/18/16		(13,860	)
	USD	5,007,805	KRW	5,846,562,105		5,099,980		04/28/16		(92,176	)
	USD	2,329,802	MYR	9,307,559		2,387,686		04/01/16		(57,884	)
Citibank NA (London)	IDR	24,927,641,910	USD	1,901,000		1,894,013		04/14/16		(6,987	)
	USD	958,971	BRL	3,481,304		967,046		04/04/16		(8,075	)
	USD	3,842,574	CNH	25,127,744		3,858,002		09/01/16		(15,428	)
	USD	9,706,323	COP	32,715,160,038		10,894,816		04/28/16		(1,188,494	)
	USD	2,484,000	EUR	2,256,182		2,569,308		04/26/16		(85,308	)
	USD	2,787,200	IDR	37,822,305,201		2,875,784		04/07/16		(88,583	)
	USD	6,251,185	IDR	83,028,244,000		6,305,981		04/18/16		(54,795	)
	USD	1,993,557	INR	132,551,610		1,995,880		04/18/16		(2,323	)
	USD	1,893,000	KRW	2,281,822,200		1,991,500		04/08/16		(98,500	)
	USD	1,894,000	KRW	2,290,859,290		1,999,228		04/11/16		(105,228	)
	USD	2,505,572	KRW	3,079,798,710		2,686,735		04/25/16		(181,163	)
	USD	1,904,000	MYR	7,681,402		1,981,228		04/28/16		(77,228	)
	USD	5,400,000	PLN	21,235,500		5,688,859		04/26/16		(288,859	)
	USD	3,929,157	RUB	265,728,916		3,950,596		04/04/16		(21,438	)
	USD	3,486,218	RUB	247,293,152		3,669,065		04/11/16		(182,847	)
	USD	13,096,174	SGD	18,119,212		13,441,513		04/26/16		(345,339	)
	USD	2,571,006	TWD	85,434,544		2,657,625		04/14/16		(86,618	)
	USD	8,647,164	TWD	283,972,864		8,834,182		04/19/16		(187,018	)
	USD	380,000	ZAR	5,770,292		388,851		04/26/16		(8,851	)
Credit Suisse International (London)	USD	1,851,091	CLP	1,336,488,000		1,991,191		04/22/16		(140,099	)
	USD	2,887,101	COP	8,747,915,708		2,915,279		04/04/16		(28,178	)
	USD	742,000	RUB	51,000,628		755,162		04/18/16		(13,162	)
	USD	1,158,000	RUB	78,906,352		1,167,012		04/22/16		(9,012	)
	USD	1,683,254	RUB	133,176,044		1,959,211		05/12/16		(275,957	)
Deutsche Bank AG (London)	IDR	43,715,694,660	USD	3,333,000		3,322,542		04/11/16		(10,458	)
	IDR	24,291,160,960	USD	1,856,000		1,844,352		04/21/16		(11,648	)
	MXN	32,628,412	USD	1,894,000		1,883,985		04/26/16		(10,015	)
	USD	2,909,995	CNH	19,648,586		3,022,575		07/26/16		(112,580	)
	USD	2,211,234	CNH	14,932,460		2,296,248		08/02/16		(85,014	)
	USD	1,085,548	CNH	7,341,558		1,128,894		08/03/16		(43,346	)
	USD	16,870,644	CNH	112,719,788		17,306,493		09/01/16		(435,849	)
	USD	3,689,907	IDR	50,551,720,800		3,836,690		04/25/16		(146,783	)
	USD	3,698,000	KRW	4,306,868,304		3,757,198		04/25/16		(59,198	)
	USD	8,834,549	MYR	36,438,097		9,396,095		04/08/16		(561,546	)
HSBC Bank PLC	USD	1,856,000	BRL	6,754,467		1,876,274		04/04/16		(20,274	)
	USD	2,434,459	CNH	16,408,255		2,537,042		04/14/16		(102,583	)
	USD	4,868,918	CNH	33,128,120		5,099,345		07/14/16		(230,426	)
	USD	4,156,939	CNH	28,078,875		4,321,899		07/15/16		(164,960	)
	USD	2,433,400	CNH	16,503,316		2,539,395		07/21/16		(105,995	)
	USD	3,078,504	CNH	20,795,787		3,197,884		08/02/16		(119,380	)
	USD	19,054,042	CNH	127,695,262		19,605,761		09/01/16		(551,719	)

112 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
HSBC Bank PLC (continued)	USD	12,351,393	CZK	304,801,496	$	12,828,843		04/20/16	$	(477,450	)
	USD	3,808,000	HKD	29,543,644		3,809,198		04/26/16		(1,198	)
	USD	3,722,318	INR	256,951,623		3,875,298		04/07/16		(152,980	)
	USD	1,130,072	MYR	4,754,778		1,219,752		04/01/16		(89,680	)
	USD	1,904,000	SGD	2,610,582		1,936,628		04/26/16		(32,628	)
	USD	3,222,196	TWD	106,155,252		3,302,410		04/19/16		(80,214	)
JPMorgan Chase Bank (London)	USD	7,552,000	CNH	49,652,708		7,623,455		09/01/16		(71,455	)
	IDR	17,068,104,720	USD	1,298,943		1,295,406		04/25/16		(3,536	)
	USD	1,716,403	CNH	11,221,500		1,734,297		04/26/16		(17,894	)
	USD	2,052,000	CNH	13,761,410		2,112,865		09/01/16		(60,865	)
	USD	4,007,222	IDR	53,352,153,643		4,054,946		04/11/16		(47,724	)
	USD	2,175,319	IDR	29,205,589,382		2,215,705		04/29/16		(40,386	)
	USD	1,893,000	KRW	2,284,585,980		1,993,913		04/08/16		(100,913	)
	USD	4,061,000	MXN	72,373,802		4,178,910		04/26/16		(117,910	)
	USD	1,928,000	MYR	7,731,473		1,994,072		04/25/16		(66,072	)
	USD	710,099	PLN	2,701,373		723,328		06/15/16		(13,229	)
	USD	9,584,899	RON	38,515,000		9,811,093		04/26/16		(226,194	)
	USD	7,576,716	RUB	529,119,960		7,825,598		04/22/16		(248,882	)
	USD	2,769,162	TWD	92,379,245		2,873,577		04/12/16		(104,415	)
Merrill Lynch International Bank Ltd.	USD	1,343,750	ZAR	21,819,539		1,455,507		06/15/16		(111,757	)
Morgan Stanley & Co. International PLC	IDR	18,550,614,205	USD	1,411,015		1,406,753		05/02/16		(4,262	)
	USD	21,856,658	BRL	84,076,354		23,354,960		04/04/16		(1,498,301	)
	USD	32,957,059	COP	109,911,793,000		36,609,677		04/22/16		(3,652,618	)
	USD	654,695	IDR	8,697,616,629		661,315		04/07/16		(6,621	)
	USD	1,901,000	KRW	2,264,091,000		1,975,658		04/15/16		(74,658	)
	USD	1,653,000	KRW	1,916,653,500		1,672,038		04/25/16		(19,038	)
	USD	495,408	MXN	8,729,840		501,810		06/15/16		(6,402	)
	USD	2,071,000	MYR	8,687,845		2,228,710		04/01/16		(157,710	)
	USD	9,954,861	MYR	38,973,282		10,049,829		04/08/16		(94,968	)
	USD	4,523,762	MYR	18,332,832		4,728,056		04/20/16		(204,293	)
	USD	605,256	PHP	29,348,875		637,694		04/27/16		(32,437	)
	USD	1,793,000	RUB	132,907,111		1,975,932		04/04/16		(182,932	)
	USD	771,000	RUB	52,390,684		774,850		04/22/16		(3,850	)
	USD	1,512,463	RUB	121,719,470		1,790,669		05/12/16		(278,206	)
	USD	1,894,000	TWD	62,039,485		1,929,793		04/11/16		(35,793	)
	ZAR	13,742,382	USD	929,088		926,078		04/26/16		(3,010	)
Royal Bank of Canada	USD	3,788,000	BRL	13,686,309		3,801,820		04/04/16		(13,820	)
	USD	22,653,698	EUR	20,374,504		23,202,196		04/26/16		(548,498	)
Royal Bank of Scotland PLC	COP	2,309,648,436	USD	769,000		768,592		05/04/16		(408	)
	EUR	1,726,000	PLN	7,359,740		1,965,544		04/26/16		(6,085	)
	MXN	33,352,371	USD	1,929,000		1,925,787		04/26/16		(3,213	)
	USD	3,754,000	MXN	65,429,339		3,777,932		04/26/16		(23,932	)
	USD	5,877,312	TRY	17,388,063		6,124,053		04/26/16		(246,741	)
Standard Chartered Bank	USD	4,942,777	CNH	33,675,140		5,181,654		07/21/16		(238,877	)
	USD	4,950,238	CNH	33,472,273		5,150,170		07/22/16		(199,932	)
	USD	3,795,000	CNH	25,280,393		3,881,439		09/01/16		(86,439	)
	USD	1,363,923	TRY	3,930,252		1,384,229		04/26/16		(20,306	)
	USD	2,097,000	ZAR	31,747,548		2,139,419		04/26/16		(42,419	)
UBS AG (London)	EUR	1,705,000	PLN	7,293,811		1,941,630		04/26/16		(12,337	)
	USD	1,881,000	BRL	7,309,288		2,030,394		04/04/16		(149,394	)
	USD	4,169,704	KRW	4,837,273,340		4,221,815		04/08/16		(52,112	)

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

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

March 31, 2016

ADDITIONAL INVESTMENT INFORMATION (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)

Counterparty	Currency Purchased			Currency Sold			Current Value		Settlement Date		Unrealized Loss
Westpac Banking Corp.		USD	10,134,000		CNH	67,265,695	$	10,327,675		09/01/16	$	(193,675	)
		USD	2,059,516		IDR	27,350,367,000		2,072,267		04/04/16		(12,751	)
		USD	3,404,349		IDR	46,037,007,353		3,496,503		04/18/16		(92,154	)
		USD	6,338,715		INR	435,802,512		6,572,695		04/07/16		(233,979	)
		USD	979,707		MYR	4,059,711		1,046,893		04/11/16		(67,185	)
		USD	4,239,645		MYR	17,670,840		4,557,328		04/20/16		(317,682	)
		USD	1,921,520		TWD	62,939,403		1,957,865		04/14/16		(36,344	)
TOTAL											$	(18,461,977	)

FUTURES CONTRACTS — At March 31, 2016, 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		56		June 2016	$	9,661,750		$	(75,513	)
10 Year German Euro-Bund		2		June 2016		371,684			1,749
2 Year U.S. Treasury Notes		(54	)	June 2016		(11,812,500	)		(29,935	)
5 Year U.S. Treasury Notes		(94	)	June 2016		(11,389,422	)		(93,972	)
10 Year U.S. Treasury Notes		(7	)	June 2016		(912,734	)		(9,372	)
20 Year U.S. Treasury Bonds		(165	)	June 2016		(27,132,188	)		152,277
TOTAL								$	(54,766	)

SWAP CONTRACTS — At March 31, 2016, the Fund had the following swap contracts:

OVER THE COUNTER INTEREST RATE SWAP CONTRACTS

							Rates Exchanged		Market Value
Counterparty	Notional Amount (000s)				Termination Date		Payments Received	Payments Made	Upfront Payments Made (Received)		Unrealized Gain (Loss)
Bank of America Securities LLC		COP	20,906,520			12/11/16	Colombia IBR Overnight Interbank	4.340%	$	—	$	112,836
		KRW	7,833,870			11/04/17	2.060%	3 month KWCDC		—		72,918
		INR	443,200	(a)		09/21/21	12 month MIBOR	6.420		—		48,501
Barclays Bank PLC		KRW	14,556,500			11/07/17	2.034	3 month KWCDC		—		129,449
			24,854,460	(a)		09/18/22	3 month KWCDC	3.300		—		(1,893,164	)
			26,791,540	(a)		12/05/22	3 month KWCDC	3.275		—		(1,996,844	)
		MXN	309,200	(a)		06/29/27	8.010	Mexico Interbank TIIE 28 Days		—		425,759
Citibank NA		COP	20,669,680			12/11/16	Colombia IBR Overnight Interbank	4.330		—		112,073
		BRL	19,380			01/02/17	15.740	1 month Brazilian Interbank Deposit Average		—		82,991
			35,190			01/02/17	11.500	1 month Brazilian Interbank Deposit Average		—		(332,679	)

114 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)

							Rates Exchanged		Market Value
Counterparty	Notional Amount (000s)				Termination Date		Payments Received	Payments Made	Upfront Payments Made (Received)			Unrealized Gain (Loss)
Citibank NA (continued)		BRL	54,230			01/02/17	15.238%	1 month Brazilian Interbank Deposit Average	$	—		$	171,127
		KRW	25,075,360			07/29/17	1.625	3 month KWCDC		—			51,577
		BRL	17,340			01/02/18	14.460	1 month Brazilian Interbank Deposit Average		—			53,813
		ZAR	162,000			05/30/20	6.623	3 month JIBAR		—			(598,309	)
		THB	650,000			12/17/20	2.080	6 month Thai reuters		—			324,332
			141,790			02/04/21	1.903	6 month Thai Reuters		—			31,977
		INR	258,920	(a)		09/21/21	6 month MIBOR	6.420%		(6,603	)		34,937
		KRW	20,189,970			07/11/24	2.940	3 month KWCDC		—			2,037,532
			4,797,960	(a)		03/13/28	3 month KWCDC	3.165		—			(272,103	)
Credit Suisse International (London)		BRL	45,140			01/02/17	12.580	1 month Brazilian Interbank Deposit Average		—			(198,885	)
			17,400			01/02/18	11.960	1 month Brazilian Interbank Deposit Average		—			(180,018	)
			23,240			01/02/18	11.120	1 month Brazilian Interbank Deposit Average		—			(364,395	)
		COP	20,678,330			04/15/19	3 month COP	5.110		—			237,397
			3,635,890			05/02/24	Colombia IBR Overnight Interbank	6.055		—			62,000
Deutsche Bank AG		KRW	11,710,120			03/03/17	2.850	3 month KWCDC		—			139,310
			7,077,400			10/28/17	2.173	3 month KWCDC		—			77,527
		BRL	9,840			01/02/18	11.150	1 month Brazilian Interbank Deposit Average		—			(152,032	)
			31,520			01/02/18	11.450	1 month Brazilian Interbank Deposit Average		—			(414,512	)
		ZAR	168,500			06/07/18	7.100	3 month JIBAR		—			(164,182	)
		BRL	6,480			01/02/19	14.357	1 month Brazilian Interbank Deposit Average		—			17,900
			11,730			01/04/21	14.080	1 month Brazilian Interbank Deposit Average		—			24,784
		ZAR	7,820			05/23/21	6.550	3 month JIBAR		—			(38,988	)
		BRL	5,870			01/02/23	14.250	1 month Brazilian Interbank Deposit Average		—			17,597
		KRW	17,289,860			08/23/23	3.620	3 month KWCDC		—			2,326,390
		BRL	22,680			01/02/25	1 month Brazilian Interbank Deposit Average	12.340		—			434,265

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

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

March 31, 2016

ADDITIONAL INVESTMENT INFORMATION (continued)

OVER THE COUNTER INTEREST RATE SWAP CONTRACTS (continued)

							Rates Exchanged		Market Value
Counterparty	Notional Amount (000s)				Termination Date		Payments Received	Payments Made	Upfront Payments Made (Received)			Unrealized Gain (Loss)
JPMorgan Securities, Inc.			295,000			01/02/17	1 month Brazilian Interbank Deposit Average	14.430%	$	—		$	(305,297	)
		COP	10,159,090			04/22/19	3 month COP	5.190		—			110,374
		INR	101,210			09/21/21	6 month MIBOR	6.420		(2,758	)		—
		ZAR	125,000			12/20/21	7.760%	3 month JIBAR		(1,190	)		(236,962	)
Morgan Stanley & Co. International PLC		COP	12,522,350			02/08/17	Colombia IBR Overnight Interbank	6.390		—			(1,533	)
			9,927,740			03/31/17	Colombia IBR Overnight Interbank	6.570		—			(5,648	)
			9,927,740	(a)		04/03/17	Colombia IBR Overnight Interbank	6.550		—			(66	)
		BRL	20,490			01/02/19	14.080	1 month Brazilian Interbank Deposit Average		—			28,023
		KRW	9,834,960			02/03/19	1.461	3 month KWCDC		—			7,864
		COP	35,960,090			12/07/16	1 month LIBOR	6.080		—			38,288
		KRW	5,518,900			10/13/17	2.250	3 month KWCDC		—			66,093
		MXN	135,000			06/17/21	5.630	Mexico Interbank TIIE 28 Days		—			101,502
		COP	3,635,890			05/02/24	6.055	Columbia IBR Overnight Interbank		(5,559	)		(56,441	)
		KRW	19,502,470	(a)		03/03/28	3 month KWCDC	3.135		—			(1,082,730	)
		INR	103,340	(a)		09/21/21	6 month MIBOR	6.420	$	(965	)	$	12,273
TOTAL									$	(17,075	)	$	(903,379	)

(a) Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to March 31, 2016.

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)
$	13,050			09/21/16	3 month LIBOR	0.592%	$	19		$	5,596
ZAR	135,580			09/08/19	7.310%	3 month JIBAR		(251	)		(206,390	)
HKD	43,340	(a)		09/21/21	3 month HIBOR	1.500		26,312			(39,867	)
MXN	92,020	(a)		09/06/23	5.250	Mexico Interbank TIIE 28 Days		(247,858	)		39,928
	54,290			11/20/24	Mexico Interbank TIIE 28 Days	5.955		25			(6,079	)
ZAR	52,850			12/18/24	3 month JIBAR	7.890		30			162,315
MXN	20,280			01/24/25	Mexico Interbank TIIE 28 Days	5.660		16			24,208
EUR	650	(a)		06/15/26	6 month EURO	1.000		(30,167	)		(1,541	)
	TOTAL						$	(251,874	)	$	(21,830	)

(a) Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to March 31, 2016.

116 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 March 31, 2016(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	$	1,160		(1.000	)%		06/20/19		0.965	%	$	(4,701	)	$	(3,331	)
	People’s Republic of China 7.500%, 10/28/27		2,320		(1.000	)		12/20/20		1.128			24,651			(11,903	)
Barclays Bank PLC	People’s Republic of China 4.250%, 10/28/17		3,170		(1.000	)		03/20/19		0.904			(7,206	)		(16,820	)
Citibank NA			22,180		(1.000	)		03/20/19		0.724			(75,330	)		(92,776	)
			44,310		(1.000	)		06/20/19		0.781			(170,977	)		(135,836	)
	People’s Republic of China 7.500%, 10/28/27		4,470		(1.000	)		12/20/20		1.128			49,468			(24,904	)
Deutsche Bank AG			610		(1.000	)		12/20/20		1.128			5,292			(1,940	)
JPMorgan Securities, Inc.	People’s Republic of China 4.250%, 10/28/17		1,630		(1.000	)		06/20/19		0.965			(7,094	)		(4,193	)
	People’s Republic of China 7.500%, 10/28/27		7,040		(1.000	)		12/20/20		1.128			16,383			22,303
TOTAL												$	(169,514	)	$	(269,400	)

(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		ZAR	26,400,000	$	2,540,263	05/13/24	3 Month JIBAR		3 Month LIBOR	$	1,169		$	(726,807	)
Deutsche Bank AG			42,202,250		4,054,984	05/23/19	3 Month JIBAR		3 Month LIBOR		8,688			(1,194,298	)
		TRY	6,600,000		2,960,969	12/04/16	8.05%		3 Month LIBOR		(2,257	)		(589,385	)
TOTAL										$	7,600		$	(2,510,490	)

(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. 117

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

Schedule of Investments (continued)

March 31, 2016

ADDITIONAL INVESTMENT INFORMATION (continued)

NON-DELIVERABLE BOND FORWARD CONTRACTS^#

Counterparty	Notional Amount (000s)		Reference Obligation	Settlement Date		Unrealized Gain (Loss)*
Bank of America Securities LLC	COP	5,445,600	Titulos de Tesoreria 10.000%, 07/24/24		04/12/16		$30,409
Deutsche Bank AG	COP	12,956,800	Titulos de Tesoreria 7.750%, 09/18/30		04/06/16		230,937
	COP	3,772,500	Titulos de Tesoreria 10.000%, 07/24/24		04/06/16		31,778
	COP	3,267,400	Titulos de Tesoreria 7.500%, 08/26/26		04/12/16		16,111
TOTAL						$	309,235

# 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.

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

GOLDMAN SACHS U.S. MORTGAGES FUND

Schedule of Investments

March 31, 2016

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – 115.2%
	Collateralized Mortgage Obligations – 6.0%
	Adjustable Rate Non-Agency(a) – 0.8%
	Adjustable Rate Mortgage Trust Series 2004-5, Class 2A1
$	137,792		2.964	%		04/25/35	$	134,981
	Bear Stearns Alt-A Trust Series 2005-5, Class 21A1
	815,606		2.608			07/25/35		760,191
	Countrywide Alternative Loan Trust Series 2005-16, Class A1
	584,131		1.967			06/25/35		496,361
	Countrywide Alternative Loan Trust Series 2005-38, Class A1
	165,113		1.822			09/25/35		137,876
	Harborview Mortgage Loan Trust Series 2005-16, Class 2A1A
	244,978		0.672			01/19/36		153,445
	Impac CMB Trust Series 2004-08, Class 1A
	55,684		1.156			10/25/34		44,524
	Morgan Stanley Mortgage Loan Trust Series 2004-8AR, Class 4A1
	604,940		2.652			10/25/34		578,549
								2,305,927
	Interest Only(b) – 0.5%
	CS First Boston Mortgage Securities Corp. Series 2003-19, Class 1A2
	3,233		5.250			07/25/33		88
	FHLMC REMIC Series 4273, Class PS(a)
	501,150		5.664			11/15/43		86,184
	FHLMC REMIC Series 4456, Class IO
	495,529		4.500			10/15/44		87,515
	FHLMC STRIPS Series 304, Class C45
	554,729		3.000			12/15/27		51,102
	FHLMC STRIPS Series 329, Class C1
	1,381,906		4.000			12/15/41		229,418
	FNMA REMIC Series 2010-126, Class LS(a)
	975,523		4.562			11/25/40		188,875
	FNMA REMIC Series 2012-146, Class IO
	3,266,480		3.500			01/25/43		581,760
	GNMA REMIC Series 2013-113, Class SD(a)
	351,100		6.259			08/16/43		70,667
	GNMA REMIC Series 2014-11, Class KI
	534,404		4.500			12/20/42		63,113
	GNMA REMIC Series 2015-129, Class IC
	1,052,387		4.500			09/16/45		158,780
	GNMA REMIC Series 2015-72, Class JI
	262,727		3.500			05/20/45		31,448
	GNMA REMIC Series 2015-83, Class PI
	431,339		3.500			06/20/45		52,351
	Master Adjustable Rate Mortgages Trust Series 2003-2, Class 3AX(a)
	13,343		0.123			08/25/33		81
	Master Adjustable Rate Mortgages Trust Series 2003-2, Class 4AX(a)
	2,122		0.320			07/25/33		24
								1,601,406
	Inverse Floaters(a) – 1.3%
	FHLMC REMIC Series 4314, Class SE
	639,166		5.614			03/15/44		106,874
	Mortgage-Backed Obligations – (continued)
	Inverse Floaters(a) – (continued)
	FHLMC REMIC Series 4320, Class SD
$	370,238		5.664	%		07/15/39	$	60,279
	FNMA REMIC Series 2013-121, Class SA
	748,422		5.667			12/25/43		127,660
	FNMA REMIC Series 2013-96, Class SW
	417,195		5.667			09/25/43		72,047
	FNMA REMIC Series 2014-87, Class MS
	215,880		5.817			01/25/45		37,307
	FNMA REMIC Series 2015-20, Class ES
	919,105		5.717			04/25/45		214,913
	FNMA REMIC Series 2015-79, Class SA
	889,268		5.817			11/25/45		144,133
	FNMA REMIC Series 2015-81, Class SA
	2,811,196		5.267			11/25/45		415,464
	FNMA REMIC Series 2015-82, Class MS
	724,925		5.267			11/25/45		113,861
	GNMA REMIC Series 2010-1, Class SD
	31,641		5.358			01/20/40		5,041
	GNMA REMIC Series 2010-101, Class S
	2,127,411		5.568			08/20/40		341,076
	GNMA REMIC Series 2010-20, Class SE
	508,960		5.818			02/20/40		84,358
	GNMA REMIC Series 2010-31, Class SA
	519,146		5.318			03/20/40		77,452
	GNMA REMIC Series 2010-85, Class SN
	80,889		5.508			07/20/40		14,523
	GNMA REMIC Series 2010-98, Class QS
	276,541		6.168			01/20/40		37,702
	GNMA REMIC Series 2011-17, Class SA
	325,537		5.668			09/20/40		46,832
	GNMA REMIC Series 2011-61, Class CS
	210,104		6.248			12/20/35		15,627
	GNMA REMIC Series 2011-79, Class AS
	71,751		5.678			07/20/37		1,508
	GNMA REMIC Series 2013-134, Class DS
	190,146		5.668			09/20/43		30,983
	GNMA REMIC Series 2013-152, Class SJ
	1,072,412		5.718			05/20/41		175,466
	GNMA REMIC Series 2014-133, Class BS
	661,760		5.168			09/20/44		97,767
	GNMA REMIC Series 2014-41, Class SA
	208,251		5.668			03/20/44		34,702
	GNMA REMIC Series 2015-110, Class MS
	2,957,875		5.278			08/20/45		450,704
	GNMA REMIC Series 2015-111, Class SM
	894,660		5.768			08/20/45		153,132
	GNMA REMIC Series 2015-112, Class SB
	876,407		5.308			08/20/45		134,397
	GNMA REMIC Series 2015-126, Class HS
	1,834,620		5.768			09/20/45		315,738
	GNMA REMIC Series 2015-168, Class SD
	453,104		5.768			11/20/45		74,201
	GNMA REMIC Series 2015-90, Class PI
	359,690		3.500			04/20/45		41,188
	GNMA REMIC Series 2016-1, Class ST
	961,919		5.768			01/20/46		165,546

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

GOLDMAN SACHS U.S. MORTGAGES FUND

Schedule of Investments (continued)

March 31, 2016

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – (continued)
	Inverse Floaters(a) – (continued)
	GNMA REMIC Series 2016-4, Class SM
$	1,195,021		5.218	%		01/20/46	$	181,032
	GNMA REMIC Series 2016-6, Class SB
	959,883		5.218			01/20/46		147,422
								3,918,935
	Planned Amortization Class – 0.3%
	FHLMC REMIC Series 3748
	945,929		4.000			11/15/39		1,003,037
	Sequential Fixed Rate – 1.8%
	FHLMC Multifamily Structured Pass-Through Certificates Series K005, Class A2
	2,000,000		4.317			11/25/19		2,192,536
	FHLMC REMIC Series 2042, Class N
	100,553		6.500			03/15/28		113,000
	FNMA REMIC Series 2000-16, Class ZG
	241,260		8.500			06/25/30		285,206
	FNMA REMIC Series 2011-52, Class GB
	969,833		5.000			06/25/41		1,075,519
	FNMA REMIC Series 2011-99, Class DB
	1,027,328		5.000			10/25/41		1,135,849
	FNMA REMIC Series 2012-111, Class B
	170,464		7.000			10/25/42		197,125
	FNMA REMIC Series 2012-153, Class B
	620,392		7.000			07/25/42		731,952
								5,731,187
	Sequential Floating Rate(a) – 0.8%
	FHLMC REMIC Series 4103, Class BF
	1,756,741		0.786			12/15/38		1,751,846
	FNMA REMIC Series 2011-63, Class FG
	230,884		0.883			07/25/41		230,984
	New Residential Mortgage Loan Trust Series 2015-1A, Class A1(c)
	619,321		3.750			05/28/52		636,162
								2,618,992
	Support – 0.5%
	FNMA REMIC Series 2005-59, Class KZ
	1,405,450		5.500			07/25/35		1,567,377
	TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS						$	18,746,861
	Commercial Mortgage-Backed Securities – 7.9%
	Sequential Fixed Rate – 3.4%
	Bear Stearns Commercial Mortgage Securities Trust Series 2007-PW18, Class A1A
$	3,835,447		5.602	%		06/11/50	$	4,011,974
	FHLMC Multifamily Structured Pass-Through Certificates Series K027, Class A2
	1,400,000		2.637			01/25/23		1,458,306
	FHLMC Multifamily Structured Pass-Through Certificates Series K028, Class A2
	3,450,000		3.111			02/25/23		3,693,366
	Mortgage-Backed Obligations – (continued)
	Sequential Fixed Rate – (continued)
	FHLMC Multifamily Structured Pass-Through Certificates Series K044, Class A2
$	1,400,000		2.811	%		01/25/25	$	1,457,819
								10,621,465
	Sequential Floating Rate(a) – 4.5%
	Banc of America Commercial Mortgage, Inc. Series 2007-2, Class AM
	150,000		5.800			04/10/49		154,174
	Citigroup Commercial Mortgage Trust Series 2008-C7, Class A1A
	2,212,580		6.259			12/10/49		2,309,647
	Commercial Mortgage Trust Series 2007-C9, Class A1A
	2,268,237		6.006			12/10/49		2,356,054
	FHLMC Multifamily Structured Pass-Through Certificates Series K714, Class A2
	700,000		3.034			10/25/20		741,762
	GS Mortgage Securities Trust Series 2007-GG10, Class A4
	3,518,145		5.987			08/10/45		3,623,689
	LB-UBS Commercial Mortgage Trust Series 2007-C7, Class A3
	734,847		5.866			09/15/45		774,366
	ML-CFC Commercial Mortgage Trust Series 2006-2, Class A4
	361,453		5.947			06/12/46		360,896
	Morgan Stanley Capital I Trust Series 2007-HQ11, Class AM
	50,000		5.478			02/12/44		50,699
	Morgan Stanley Capital I Trust Series 2007-HQ13, Class AM
	50,000		5.931			12/15/44		48,109
	Morgan Stanley Capital I Trust Series 2007-T25, Class A1A
	1,086,257		5.509			11/12/49		1,106,140
	Wachovia Bank Commercial Mortgage Trust Series 2006-C26, Class A1A
	1,196,747		6.009			06/15/45		1,196,909
	WF-RBS Commercial Mortgage Trust Series 2011-C2, Class A4(c)
	1,300,000		4.869			02/15/44		1,457,896
								14,180,341
	TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES						$	24,801,806
	Federal Agencies – 101.3%
	Adjustable Rate FHLMC(a) – 0.1%
$	87,935		2.502	%		04/01/33	$	92,782
	41,049		2.484			09/01/33		43,250
	20,151		2.423			10/01/34		21,159
	32,554		2.623			11/01/34		34,366
	31,511		2.483			02/01/35		33,335
	104,576		2.491			06/01/35		110,459
								335,351
	Adjustable Rate FNMA(a) – 0.4%
	4,413		1.899			07/01/22		4,477
	13,976		1.905			07/01/27		14,286
	13,853		1.905			11/01/27		14,156
	6,132		1.905			01/01/31		6,295
	7,766		1.905			06/01/32		7,980
	7,913		1.899			08/01/32		8,131

120 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 FNMA(a) – (continued)
$	36,239		1.899	%		05/01/33	$	37,193
	13,201		1.993			06/01/33		13,585
	164,730		2.494			06/01/33		173,882
	9,786		2.505			07/01/33		10,312
	158,080		1.894			08/01/33		161,952
	484		2.750			09/01/33		514
	949		2.324			12/01/33		995
	88,024		2.533			12/01/33		92,152
	2,932		2.624			04/01/34		3,100
	251,579		2.780			08/01/34		267,371
	38,613		2.545			11/01/34		40,483
	54,917		2.611			02/01/35		57,917
	75,164		2.595			03/01/35		78,681
	44,543		2.487			04/01/35		47,260
	98,857		2.579			05/01/35		104,295
	9,619		1.905			11/01/35		9,843
	42,619		1.905			12/01/37		43,594
	30,803		1.905			01/01/38		31,498
	16,039		1.905			11/01/40		16,464
								1,246,416
	Adjustable Rate GNMA(a) – 0.4%
	24,380		1.750			06/20/23		24,830
	11,898		1.875			07/20/23		12,116
	11,661		1.875			08/20/23		11,876
	31,324		1.875			09/20/23		31,909
	9,617		1.750			03/20/24		9,807
	83,012		1.750			04/20/24		84,688
	9,207		1.750			05/20/24		9,394
	67,853		1.750			06/20/24		69,245
	15,100		2.000			06/20/24		15,406
	23,373		1.875			07/20/24		23,848
	25,034		2.000			07/20/24		25,557
	42,651		1.875			08/20/24		43,525
	22,522		2.000			08/20/24		22,996
	20,965		1.875			09/20/24		21,399
	26,033		2.000			11/20/24		26,585
	10,345		2.000			12/20/24		10,566
	16,376		2.500			12/20/24		16,930
	17,514		2.000			01/20/25		17,887
	9,617		2.000			02/20/25		9,824
	34,168		2.000			05/20/25		34,969
	28,053		2.000			07/20/25		28,692
	12,699		1.750			02/20/26		12,996
	674		1.875			07/20/26		690
	17,216		1.750			01/20/27		17,644
	14,968		2.000			01/20/27		15,340
	12,435		1.750			02/20/27		12,746
	95,689		1.750			04/20/27		98,137
	10,260		1.750			05/20/27		10,524
	12,077		1.750			06/20/27		12,401
	4,412		2.000			11/20/27		4,528
	14,812		2.000			12/20/27		15,205
	31,178		1.750			01/20/28		32,000
	11,611		1.750			02/20/28		11,919
	13,255		1.750			03/20/28		13,622
	Mortgage-Backed Obligations – (continued)
	Adjustable Rate GNMA(a) – (continued)
$	53,996		1.875	%		07/20/29	$	55,535
	30,899		1.875			08/20/29		31,820
	7,111		1.875			09/20/29		7,315
	28,853		2.000			10/20/29		29,681
	36,989		2.000			11/20/29		38,069
	7,722		2.000			12/20/29		7,941
	11,168		1.750			01/20/30		11,494
	5,365		1.750			02/20/30		5,523
	30,185		1.750			03/20/30		31,070
	32,766		1.750			04/20/30		33,744
	49,584		1.750			05/20/30		51,017
	37,648		2.000			05/20/30		38,793
	8,167		1.750			06/20/30		8,422
	75,916		2.000			07/20/30		78,218
	13,457		2.000			09/20/30		13,851
	25,394		2.000			10/20/30		26,165
								1,278,459
	FHLMC – 12.2%
	55		5.000			09/01/16		55
	496		5.000			11/01/16		513
	1,705		5.000			01/01/17		1,755
	3,422		5.000			02/01/17		3,526
	3,612		5.000			03/01/17		3,716
	7,344		5.000			04/01/17		7,570
	225		5.000			05/01/17		232
	354		5.000			08/01/17		365
	25,714		5.000			09/01/17		26,550
	33,612		5.000			10/01/17		34,704
	22,634		5.000			11/01/17		23,371
	20,652		5.000			12/01/17		21,326
	26,828		5.000			01/01/18		27,752
	64,603		5.000			02/01/18		66,878
	63,262		5.000			03/01/18		65,589
	62,643		5.000			04/01/18		64,859
	6,822		4.500			05/01/18		7,066
	47,314		5.000			05/01/18		49,151
	13,258		5.000			06/01/18		13,731
	13,575		5.000			07/01/18		14,057
	5,799		5.000			08/01/18		6,006
	4,365		5.000			09/01/18		4,525
	18,390		5.000			10/01/18		19,126
	21,160		5.000			11/01/18		21,987
	10,120		5.000			12/01/18		10,527
	1,569		5.000			01/01/19		1,635
	402		5.000			02/01/19		420
	78,386		5.500			04/01/20		82,879
	291,483		5.000			11/01/22		319,948
	291,263		4.500			08/01/23		316,190
	46,099		7.000			04/01/31		53,945
	582,400		7.000			09/01/31		642,960
	240,311		7.000			04/01/32		287,468
	508,861		7.000			05/01/32		608,501
	21,054		4.500			07/01/33		22,962
	582,327		4.500			08/01/33		635,120
	1,135,564		4.500			09/01/33		1,238,520

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

GOLDMAN SACHS U.S. MORTGAGES FUND

Schedule of Investments (continued)

March 31, 2016

Principal Amount		Interest Rate			Maturity Date		Value
	Mortgage-Backed Obligations – (continued)
	FHLMC – (continued)
$	105,232		4.500	%		10/01/33	$	114,773
	149,914		5.000			10/01/33		165,449
	14,809		5.500			12/01/33		16,745
	244,372		5.500			04/01/35		276,227
	6,948		5.000			07/01/35		7,664
	4,985		4.500			08/01/35		5,429
	18,047		4.500			09/01/35		19,661
	7,451		4.500			10/01/35		8,116
	159,059		5.000			12/01/35		177,357
	107,592		5.500			01/01/36		121,651
	308		5.500			02/01/36		348
	2,235		5.000			02/01/37		2,493
	47,234		6.000			08/01/37		53,712
	50,180		6.000			09/01/37		57,061
	19,151		6.000			10/01/37		21,776
	139,648		6.000			11/01/37		158,787
	147,114		6.000			12/01/37		167,275
	65,925		4.500			01/01/38		71,800
	5,150		5.500			01/01/38		5,738
	140,882		6.000			01/01/38		160,196
	41,087		6.000			02/01/38		46,718
	7,885		6.000			03/01/38		8,972
	45,199		6.000			04/01/38		51,420
	18,390		6.000			05/01/38		20,958
	2,587		4.500			06/01/38		2,818
	36,459		6.000			06/01/38		41,526
	26,352		6.000			07/01/38		30,034
	16,915		6.000			08/01/38		19,266
	106,224		4.500			09/01/38		115,338
	151,895		6.000			09/01/38		172,716
	32,852		6.000			10/01/38		37,353
	2,471		6.000			11/01/38		2,818
	2,191		6.000			12/01/38		2,492
	781		4.500			01/01/39		848
	112,079		6.000			01/01/39		127,441
	53,396		4.500			02/01/39		58,002
	13,550		6.000			02/01/39		15,450
	595,041		7.000			02/01/39		702,549
	21,033		4.500			03/01/39		22,848
	9,109		6.000			03/01/39		10,358
	5,242		4.500			04/01/39		5,694
	3,710		6.000			04/01/39		4,232
	188,257		4.500			05/01/39		204,503
	497,594		5.000			05/01/39		546,964
	543,643		4.500			06/01/39		590,553
	9,497		4.500			07/01/39		10,316
	925,037		5.000			07/01/39		1,020,757
	12,693		4.500			08/01/39		13,788
	31,171		4.500			09/01/39		33,861
	6,535		4.500			10/01/39		7,099
	4,524		4.500			11/01/39		4,915
	11,782		4.500			12/01/39		12,799
	17,265		4.500			01/01/40		18,754
	12,963		4.500			04/01/40		14,116
	54,906		6.000			04/01/40		62,430
	19,133		4.500			05/01/40		20,834
	Mortgage-Backed Obligations – (continued)
	FHLMC – (continued)
$	116,599		6.000	%		05/01/40	$	132,579
	26,117		4.500			06/01/40		28,440
	14,627		4.500			07/01/40		15,928
	5,124		4.500			08/01/40		5,580
	43,103		5.000			08/01/40		47,465
	50,217		5.000			10/01/40		55,397
	112,626		4.500			02/01/41		122,657
	18,395		4.500			03/01/41		20,033
	41,530		4.500			04/01/41		45,228
	43,890		4.500			05/01/41		47,799
	87,396		4.500			06/01/41		95,181
	5,197		5.000			06/01/41		5,728
	216,950		4.500			08/01/41		236,271
	234,825		4.500			09/01/41		255,713
	125,575		4.000			10/01/41		135,994
	13,542		4.500			12/01/41		14,749
	170,762		4.500			03/01/42		185,970
	73,713		3.000			05/01/42		75,719
	664,250		3.500			06/01/42		700,337
	1,756,416		4.500			06/01/42		1,920,050
	188,703		3.000			08/01/42		194,300
	233,880		3.500			08/01/42		245,976
	74,581		3.000			10/01/42		76,746
	480,335		3.500			10/01/42		505,177
	1,000,212		3.000			11/01/42		1,031,350
	386,773		3.500			11/01/42		406,777
	1,726,441		3.000			12/01/42		1,780,188
	3,076,807		3.000			01/01/43		3,172,249
	275,321		3.000			02/01/43		282,905
	4,390,829		3.500			04/01/43		4,612,429
	4,476,132		3.500			08/01/43		4,694,774
	2,000,000		4.000			08/01/43		2,156,875
	873,336		3.500			06/01/44		920,960
	31,517		4.000			11/01/44		34,152
	137,596		3.500			02/01/45		145,550
	193,845		3.500			03/01/45		205,112
	3,298,821		3.500			03/01/46		3,459,039
								38,450,660
	FNMA – 56.7%
	28		5.500			08/01/16		28
	832		5.500			11/01/16		837
	680		5.500			12/01/16		686
	1,371		5.500			01/01/17		1,385
	178		5.500			05/01/17		181
	745		5.500			07/01/17		755
	91		5.500			09/01/17		91
	2,371		5.500			01/01/18		2,418
	2,038		5.500			02/01/18		2,080
	808,103		2.800			03/01/18		821,676
	64,209		5.000			03/01/18		66,122
	4,955		5.500			04/01/18		5,128
	2,530,000		3.840			05/01/18		2,652,913
	1,229		5.500			05/01/18		1,279
	97,043		5.000			06/01/18		100,306
	5,157		5.000			09/01/18		5,339

122 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)
$	3,512		7.000	%		11/01/18	$	3,577
	1,011		5.500			02/01/19		1,045
	7,579		5.500			04/01/19		7,892
	862		5.500			05/01/19		895
	7,419		5.500			07/01/19		7,780
	23,233		5.500			08/01/19		24,521
	11,204		5.500			09/01/19		11,881
	21,700		5.500			10/01/19		22,951
	8,790		5.500			11/01/19		9,326
	6,177		5.500			12/01/19		6,490
	30,602		5.500			02/01/20		32,175
	110,963		4.500			03/01/20		115,096
	731,688		3.416			10/01/20		787,750
	12,579		5.500			01/01/21		13,358
	18,756		7.000			09/01/21		20,573
	69,110		7.000			06/01/22		76,875
	27,286		7.000			07/01/22		29,861
	2,555		4.500			04/01/23		2,684
	2,228,496		5.000			06/01/25		2,463,119
	179,450		5.000			07/01/27		198,344
	465		7.000			01/01/29		466
	1,755		7.000			09/01/29		1,820
	28,401		5.000			08/01/30		31,391
	9,245		7.000			08/01/31		10,224
	779		7.000			03/01/32		925
	1,475		7.000			04/01/32		1,640
	2,901		7.000			06/01/32		2,975
	343		7.000			07/01/32		343
	57,408		6.000			01/01/33		66,193
	2,035		6.000			02/01/33		2,371
	920		5.500			07/01/33		1,036
	23,795		5.000			08/01/33		26,356
	6,528		5.500			09/01/33		7,365
	24,981		5.500			02/01/34		28,239
	6,776		5.500			03/01/34		7,657
	12,103		5.000			04/01/34		13,446
	11,267		5.500			04/01/34		12,745
	53		5.500			06/01/34		59
	41,526		5.500			07/01/34		46,907
	6,861		5.500			08/01/34		7,809
	30,840		5.500			10/01/34		34,891
	4,366		5.500			11/01/34		4,946
	181,774		5.500			12/01/34		205,898
	187,957		6.000			04/01/35		216,695
	14,350		5.500			05/01/35		16,171
	5,503		5.500			06/01/35		6,236
	8,590		5.000			07/01/35		9,545
	14,966		5.500			07/01/35		17,023
	7,437		5.500			08/01/35		8,434
	10,713		5.500			09/01/35		12,169
	343,083		5.000			10/01/35		379,976
	4,592		5.500			10/01/35		5,161
	101,542		6.000			10/01/35		117,141
	3,228		5.500			12/01/35		3,684
	2,529		6.000			12/01/35		2,912
	559,468		5.000			01/01/36		619,629
	Mortgage-Backed Obligations – (continued)
	FNMA – (continued)
$	128		5.500	%		02/01/36	$	145
	18,969		5.500			04/01/36		21,340
	2,617		6.000			04/01/36		3,003
	455,159		4.500			07/01/36		497,404
	36,408		5.500			07/01/36		40,778
	48,437		4.500			12/01/36		52,918
	3,830		5.500			02/01/37		4,333
	16,118		5.500			04/01/37		18,292
	64,996		6.000			04/01/37		74,412
	313		5.500			05/01/37		354
	60,733		5.000			06/01/37		67,404
	390		5.500			06/01/37		441
	4,969		5.500			07/01/37		5,618
	525,967		5.500			08/01/37		591,063
	103,480		6.500			10/01/37		122,160
	64,094		6.000			11/01/37		73,642
	227		5.500			12/01/37		256
	542		5.500			02/01/38		613
	6,794		5.500			03/01/38		7,678
	82,003		5.000			04/01/38		90,665
	26,018		5.500			04/01/38		29,492
	6,644		5.500			05/01/38		7,529
	2,674		5.500			06/01/38		3,019
	1,370		5.500			07/01/38		1,546
	3,025		5.500			08/01/38		3,400
	3,407		5.500			09/01/38		3,846
	83,576		6.000			09/01/38		95,662
	21,701		5.500			12/01/38		24,458
	682,865		5.000			01/01/39		763,345
	144,890		6.000			01/01/39		165,272
	386,665		6.500			01/01/39		453,109
	456,209		4.500			02/01/39		496,355
	5,407		5.500			02/01/39		6,129
	10,111		4.500			03/01/39		11,104
	410,828		7.000			03/01/39		487,301
	13,754		4.500			05/01/39		15,106
	10,737		5.500			06/01/39		12,138
	11,539		4.500			07/01/39		12,686
	9,010		4.000			08/01/39		9,629
	23,053		4.500			09/01/39		25,082
	35,113		4.500			10/01/39		38,203
	9,662		5.500			11/01/39		10,910
	76,003		4.500			02/01/40		83,627
	11,429		4.500			03/01/40		12,435
	17,812		3.500			04/01/40		18,711
	165,926		4.500			04/01/40		180,958
	60,521		4.500			06/01/40		66,649
	592,206		5.000			06/01/40		656,102
	37,635		5.000			07/01/40		41,696
	11,087		4.500			09/01/40		12,210
	26,512		3.500			12/01/40		27,850
	10,829		4.500			12/01/40		11,810
	194,376		4.500			01/01/41		212,113
	52,180		4.500			04/01/41		56,990
	75,058		4.500			06/01/41		81,869
	78,787		4.500			07/01/41		86,050

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

GOLDMAN SACHS U.S. MORTGAGES FUND

Schedule of Investments (continued)

March 31, 2016

Principal Amount		Interest Rate			Maturity Date			Value
	Mortgage-Backed Obligations – (continued)
	FNMA – (continued)
$	321,802		4.500	%		08/01/41		$	351,371
	320,515		4.500			09/01/41			350,166
	269,389		3.500			10/01/41			284,269
	251,748		4.500			10/01/41			274,799
	72,256		3.500			11/01/41			75,897
	212,799		4.500			11/01/41			232,283
	247,154		3.500			12/01/41			259,607
	84,423		4.500			12/01/41			92,083
	239,715		3.500			01/01/42			252,956
	154,479		4.500			01/01/42			168,508
	519,474		3.500			02/01/42			545,568
	600,438		3.500			03/01/42			630,592
	45,405		4.500			03/01/42			49,591
	119,583		3.500			04/01/42			125,592
	44,656		4.500			04/01/42			48,709
	59,892		3.500			05/01/42			62,900
	727,234		3.500			06/01/42			763,766
	731,780		3.500			07/01/42			769,110
	678,877		3.500			08/01/42			713,644
	152,644		3.000			09/01/42			157,205
	589,131		3.500			09/01/42			619,701
	535,756		3.500			10/01/42			564,395
	40,653		3.500			11/01/42			42,810
	878,769		3.000			12/01/42			905,249
	1,555,080		3.500			12/01/42			1,634,117
	182,721		3.000			01/01/43			188,780
	21,207		3.500			01/01/43			22,332
	73,981		3.000			02/01/43			76,434
	1,163,585		3.500			02/01/43			1,225,320
	1,737,651		3.000			03/01/43			1,795,280
	4,965,607		3.500			03/01/43			5,225,791
	1,889,821		3.000			04/01/43			1,952,494
	2,886,845		3.500			04/01/43			3,028,676
	810,957		2.500			05/01/43			809,610
	2,350,284		3.000			05/01/43			2,428,230
	1,374,068		3.500			05/01/43			1,442,521
	78,904		3.000			06/01/43			81,521
	1,573,110		3.500			06/01/43			1,655,174
	703,264		3.000			07/01/43			726,587
	13,138,136		3.500			07/01/43			13,797,067
	4,679,433		3.500			08/01/43			4,910,798
	268,241		3.500			11/01/43			281,712
	999,911		3.500			01/01/44			1,052,953
	724,999		5.000			03/01/44			802,087
	72,096		3.500			08/01/44			75,633
	227,068		3.500			09/01/44			238,527
	96,921		4.000			10/01/44			103,906
	28,799		3.500			12/01/44			30,344
	118,405		5.000			12/01/44			130,995
	75,666		3.500			01/01/45			80,129
	483,079		3.500			02/01/45			510,626
	888,219		4.000			02/01/45			957,507
	381,330		3.500			03/01/45			403,342
	668,186		4.000			03/01/45			720,936
	327,117		4.000			04/01/45			353,146
	49,193		3.500			07/01/45			51,616
	Mortgage-Backed Obligations – (continued)
	FNMA – (continued)
$	174,460		3.500	%		09/01/45		$	183,054
	72,977		3.500			10/01/45			76,572
	3,640,261		3.500			11/01/45			3,821,425
	13,451,367		3.500			12/01/45			14,114,032
	15,795,693		3.500			01/01/46			16,581,050
	3,883,742		3.500			02/01/46			4,077,625
	997,003		3.500			03/01/46			1,046,338
	41,000,000		3.000			TBA-30yr	(d)		42,060,235
	22,000,000		4.000			TBA-30yr	(d)		23,510,782
	2,000,000		4.500			TBA-30yr	(d)		2,176,562
									178,107,442
	GNMA – 31.5%
	62,516		5.500			07/15/20			65,656
	244,280		3.950			07/15/25			271,811
	6,931		6.000			04/15/26			7,821
	669		6.500			01/15/32			766
	1,611		6.500			02/15/32			1,843
	699,111		5.500			04/15/33			801,748
	7,643		5.000			11/15/33			8,496
	1,677		6.500			08/15/34			2,046
	1,440		6.500			02/15/36			1,688
	4,006		6.500			03/15/36			4,701
	6,521		6.500			04/15/36			7,559
	19,151		6.500			05/15/36			22,467
	13,706		6.500			06/15/36			16,080
	86,944		6.500			07/15/36			101,921
	81,598		6.500			08/15/36			95,655
	121,430		6.500			09/15/36			143,330
	54,741		6.500			10/15/36			64,374
	76,407		6.500			11/15/36			88,997
	31,633		6.500			12/15/36			37,282
	15,358		6.500			01/15/37			18,020
	3,346		6.500			03/15/37			3,928
	7,373		6.500			04/15/37			8,622
	6,971		6.500			05/15/37			8,068
	3,947		6.500			08/15/37			4,616
	22,146		6.500			09/15/37			25,824
	23,162		6.500			10/15/37			26,514
	12,291		6.500			11/15/37			14,278
	5,790		6.500			05/15/38			6,745
	4,383		6.500			11/15/38			5,106
	4,099		6.500			02/15/39			4,808
	195,187		4.500			12/20/39			212,710
	774,145		5.000			01/20/40			850,749
	52,125		4.500			02/20/40			56,934
	990,088		4.500			05/15/40			1,084,985
	150,189		4.500			05/20/40			164,044
	468,486		5.000			07/15/40			523,416
	315,424		3.500			09/15/42			334,089
	19,396,840		4.000			10/20/43			20,750,072
	510,151		3.500			02/15/45			539,332
	525,116		4.000			06/20/45			562,038
	1,696,697		4.500			08/20/45			1,823,807
	4,978,739		4.000			10/20/45			5,330,363
	5,878,310		4.000			11/20/45			6,290,032

124 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)
	GNMA – (continued)
$	1,984,699		4.000	%		01/20/46		$	2,123,709
	3,000,000		3.000			TBA-30yr	(d)		3,106,796
	50,000,000		4.000			TBA-30yr	(d)		53,464,845
									99,088,691
	TOTAL FEDERAL AGENCIES							$	318,507,019
	TOTAL MORTGAGE-BACKED OBLIGATIONS
	(Cost $359,622,149)							$	362,055,686
	Asset-Backed Securities – 7.0%
	Auto(c) – 0.4%
	Ford Credit Auto Owner Trust Series 2015-1, Class A
$	1,200,000		2.120	%		07/15/26		$	1,206,538
	Collateralized Loan Obligations(a)(c) – 4.0%
	ARES XII CLO Ltd. Series 2007-12A, Class A
	881,921		1.023			11/25/20			868,779
	Brentwood CLO Corp. Series 2006-1A, Class A1B
	454,022		0.599			02/01/22			447,115
	Duane Street CLO IV Ltd. Series 2007-4A, Class A1R
	1,302,325		0.622			11/14/21			1,274,908
	Four Corners CLO II Ltd. Series 2006-2A, Class A
	880,876		0.590			01/26/20			871,310
	Halcyon Loan Advisors Funding Ltd. Series 2015-2A, Class A
	1,450,000		1.720			07/25/27			1,407,302
	OFSI Fund VI Ltd. Series 2014-6A, Class A1
	2,100,000		1.351			03/20/25			2,037,042
	Parallel Ltd. Series 2015-1A, Class A
	1,050,000		1.767			07/20/27			1,025,370
	Shackleton CLO Ltd. Series 2014-5A, Class A
	1,600,000		1.844			05/07/26			1,590,205
	Trinitas CLO III Ltd. Series 2015-3A, Class A2
	1,800,000		1.831			07/15/27			1,756,919
	Z Capital Credit Partners CLO Ltd. Series 2015-1A, Class ACOM
	1,550,000		0.000			07/16/27			1,501,020
									12,779,970
	Home Equity(a) – 0.1%
	Countrywide Home Equity Loan Trust Series 2004-O, Class 1A
	93,390		0.716			02/15/34			82,384
	Residential Asset Mortgage Products, Inc. Series 2004-RZ1, Class AII
	76,236		0.916			03/25/34			74,978
									157,362
	Student Loan(a) – 2.5%
	Education Loan Asset-Backed Trust I Series 2013-1, Class A1(c)
	1,344,945		1.233			06/25/26			1,325,553
	Goal Capital Funding Trust Series 2007-1, Class A3
	465,091		0.720			09/25/28			458,004
	Nelnet Student Loan Trust Series 2006-2, Class A5
	2,325,960		0.719			01/25/30			2,267,468
	SLM Student Loan Trust Series 2006-2, Class A5
	2,206,554		0.729			07/25/25			2,176,255
	Asset-Backed Securities – (continued)
	Student Loan(a) – (continued)
	SLM Student Loan Trust Series 2006-4, Class A5
$	835,700		0.719	%		10/27/25		$	832,052
	SLM Student Loan Trust Series 2014-2, Class A2
	800,000		0.783			10/25/21			793,021
									7,852,353
	TOTAL ASSET-BACKED SECURITIES
	(Cost $22,220,810)							$	21,996,223

Shares	Distribution Rate			Value
Investment Company(a)(e) – 15.4%
Goldman Sachs Financial Square Government Fund – FST Institutional Shares
48,424,630		0.250	%	$	48,424,630
(Cost $48,424,630)
TOTAL INVESTMENTS – 137.6%
(Cost $430,267,589)				$	432,476,539
LIABILITIES IN EXCESS OF     OTHER ASSETS – (37.6)%					(118,133,107	)
NET ASSETS – 100.0%				$	314,343,432

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 March 31, 2016.
(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. Such securities may be deemed 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 $17,406,119, which represents approximately 5.5% of net assets as of March 31, 2016.
(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 $124,319,220 which represents approximately 39.6% of net assets as of March 31, 2016.
(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
PLC	—Public Limited Company
REMIC	—Real Estate Mortgage Investment Conduit
STRIPS	—Separate Trading of Registered Interest and Principal of Securities

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

GOLDMAN SACHS U.S. MORTGAGES FUND

Schedule of Investments (continued)

March 31, 2016

ADDITIONAL INVESTMENT INFORMATION

FORWARD SALES CONTRACTS — At March 31, 2016, the Fund had the following forward sales contracts:

Description	Interest Rate			Maturity Date(a)	Settlement Date		Principal Amount			Value
FHLMC		3.000	%	TBA-30yr		04/13/16	$	(6,000,000	)	$	(6,143,906	)
FHLMC		3.500		TBA-30yr		04/13/16		(3,000,000	)		(3,140,977	)
FNMA		3.500		TBA-30yr		04/13/16		(38,000,000	)		(39,846,564	)
TOTAL (Proceeds Receivable: $48,976,797)										$	(49,131,447	)

(a) TBA (To Be Announced) Securities are purchased or sold 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 March 31, 2016, 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		(15	)	June 2016	$	(2,587,969	)	$	(13,291	)
2 Year U.S. Treasury Notes		(64	)	June 2016		(14,000,000	)		(30,521	)
5 Year U.S. Treasury Notes		(32	)	June 2016		(3,877,250	)		(38,739	)
10 Year U.S. Treasury Notes		39		June 2016		5,085,234			39,835
20 Year U.S. Treasury Bonds		39		June 2016		6,413,063			70,941
TOTAL								$	28,225

SWAP CONTRACTS — At March 31, 2016, the Fund had the following swap contracts:

OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS

												Market Value
Counterparty	Referenced Obligation	Notional Amount (000s)		Rates Received (Paid)			Termination Date		Credit Spread at March 31, 2016(b)			Upfront Payments Made (Received)			Unrealized Gain (Loss)
Protection Sold:
Barclays Bank PLC	Tranches of Commercial Mortgage-Backed Index AAA Series 8		300		0.500	%		10/17/57		1.074	%	$	(11,985	)	$	(1,251	)
Credit Suisse International (London)	Tranches of Commercial Mortgage-Backed Index AAA Series 8		700		0.500			10/17/57		1.074			(27,966	)		(2,919	)
JPMorgan Securities, Inc.	Tranches of Commercial Mortgage-Backed Index AAA Series 8		8,000		0.500			10/17/57		1.074			(325,703	)		(27,270	)
Morgan Stanley & Co. International PLC	Tranches of Commercial Mortgage-Backed Index AAA Series 7		8,350		0.500			01/17/47		0.942			(339,370	)		84,463
TOTAL												$	(705,024	)	$	53,023

(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.

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

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

ADDITIONAL INVESTMENT INFORMATION

JOINT REPURCHASE AGREEMENT ACCOUNT II — At March 31, 2016, certain Funds had undivided interests in the Joint Repurchase Agreement Account II, with a maturity date of April 1, 2016, as follows:

Fund	Principal Amount		Maturity Value		Collateral Allocation Value
Dynamic Emerging Markets Debt	$	2,600,000	$	2,600,022	$	2,652,000
Emerging Markets Debt		70,700,000		70,700,589		72,114,005

REPURCHASE AGREEMENTS — At March 31, 2016, 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.		0.310	%	$	641,858	$	17,453,598
Citigroup Global Markets, Inc.		0.330			511,109		13,898,235
Merrill Lynch & Co., Inc.		0.300			484,246		13,167,770
Merrill Lynch & Co., Inc.		0.280			962,787		26,180,397
				$	2,600,000	$	70,700,000

At March 31, 2016, the Joint Repurchase Agreement Account II was fully collateralized by:

Issuer	Interest Rates			Maturity Dates
Federal Farm Credit Banks		3.050% to 3.340	%		10/18/27 to 02/01/33
Federal Home Loan Banks		2.750 to 5.500			06/08/18 to 07/15/36
Federal Home Loan Mortgage Corp.		3.000 to 6.000			04/01/22 to 10/01/45
Federal National Mortgage Association		3.500 to 6.000			12/01/17 to 09/01/44
Government National Mortgage Association		3.500 to 10.000			04/05/18 to 09/20/45
United States Treasury Note		0.625 to 2.875			03/31/18 to 11/15/25
United States Treasury Stripped Securities		0.000			02/15/31 to 02/15/45

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

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Statements of Assets and Liabilities

March 31, 2016

	Dynamic Emerging Markets Debt Fund
Assets:
Investments, at value (cost $40,139,962, $1,053,292,902, $3,856,252,136, $3,166,661,095, $412,315,987, $679,380,543 and $381,842,959)	$	39,537,681
Investments of affiliated issuers, at value (cost $0, $0, $135,148,758, $280,623,494, $75, $2,148,011 and $48,424,630)		—
Cash		221,938
Foreign currencies, at value (cost $41,999, $63,641, $1,242, $32,341, $15,114, $1,955,790 and $0, respectively)		42,661
Unrealized gain on swap contracts		67,980
Unrealized gain on forward foreign currency exchange contracts		773,987
Unrealized gain on non-deliverable bond forwards contracts		7,552
Variation margin on certain derivative contracts		—
Receivables:
Interest and dividends		641,573
Investments sold		182,551
Collateral on certain derivative contracts(a)		82,328
Reimbursement from investment adviser		42,683
Upfront payments made on swap contracts		18,698
Fund shares sold		9,571
Investments sold on an extended-settlement basis		—
Due from broker — upfront payment		—
Collateral on Reverse Repurchase agreements		—
Foreign tax reclaims		—
Other assets		2,168
Total assets		41,631,371
Liabilities:
Reverse Repurchase Agreement, at value		—
Foreign currency overdraft, at value (identified cost $1,242 for High Yield Fund)		—
Unrealized loss on swap contracts		49,609
Unrealized loss on forward foreign currency exchange contracts		631,896
Variation margin on certain derivative contracts		3,075
Forward sale contracts, at value (proceeds received $48,976,797 for U.S. Mortgages Fund)		—
Payables:
Investments purchased		1,021,409
Distributions payable		75,645
Upfront payments received on swap contracts		62,565
Management fees		25,717
Investments purchased on an extended-settlement basis		9,925
Fund shares redeemed		7,198
Distribution and Service fees and Transfer Agency fees		1,421
Collateral on certain derivative contracts		—
Due to broker — upfront payment		—
Collateral on Reverse Repurchase agreements		—
Accrued expenses and other liabilities		147,360
Total liabilities		2,035,820
Net Assets:
Paid-in capital		41,449,574
Undistributed (distributions in excess of) net investment income		(893,268	)
Accumulated net realized gain (loss)		(528,571	)
Net unrealized gain (loss)		(432,184	)
NET ASSETS	$	39,595,551
Net Assets:
Class A	$	512,109
Class C		39,670
Institutional		38,990,089
Service		—
Separate Account Institutional		—
Class IR		30,608
Class R		23,075
Class R6		—
Total Net Assets	$	39,595,551
Shares Outstanding $0.001 par value (unlimited number of shares authorized):
Class A		62,156
Class C		4,801
Institutional		4,717,348
Service		—
Separate Account Institutional		—
Class IR		3,712
Class R		2,792
Class R6		—
Net asset value, offering and redemption price per share:(b)
Class A		$8.24
Class C		8.26
Institutional		8.27
Service		—
Separate Account Institutional		—
Class IR		8.25
Class R		8.26
Class R6		—

(a) Includes segregated cash of $7,514, $1,031,532, $964,638, $595,000, $647,008 and $520,000 for the Dynamic Emerging Markets Debt, Emerging Markets Debt, High Yield, 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 and/or collateral on swap transactions of $74,814, $4,286,532, $4,515,360, $2,196,124, $4,611,012, and $1,040,000 for the Dynamic Emerging Markets Debt, Emerging Markets Debt, High Yield, High Yield Floating Rate, Local Emerging Markets Debt, and U.S. Mortgages Funds, respectively.

(b) 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 $8.63, $12.83, $6.30, $9.68, $9.43, $6.66 and $11.10, 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.

128 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
$	1,019,897,443		$	3,576,141,210		$	2,979,589,961		$	420,277,995		$	522,354,056		$	384,051,909
	—			135,148,758			280,623,494			75			2,148,011			48,424,630
	289,273			50,469,990			49,591,380			1,979,343			9,324,721			3,193,865
	63,841			—			33,448			14,061			1,970,983			—
	2,016,705			—			—			20,188			7,413,712			84,463
	10,834,526			4,052			39,094			—			22,132,072			—
	—			—			—			—			309,235			—
	580,606			144,872			—			—			—			13,155
	16,842,588			64,009,724			14,777,661			3,994,992			11,327,067			842,637
	8,411,413			68,758,834			929,775			2,541,882			1,942,313			148,639
	5,318,064			5,479,998			2,196,124			595,000			5,258,020			1,560,000
	32,739			—			—			61,351			—			44,507
	456,809			—			—			—			105,651			—
	24,965,044			23,508,684			7,806,531			535,650			11,712,454			582,916
	1,316,041			3,170,531			8,133,701			—			—			69,124,619
	—			—			—			—			3,749,244			—
	151,096			—			—			—			—			—
	—			23,278			—			—			—			—
	6,376			23,627			14,781			2,565			5,536			1,640
	1,091,182,564			3,926,883,558			3,343,735,950			430,023,102			599,753,075			508,072,980
	11,172,620			15,254,188			—			—			—			—
	—			1,263			—			—			—			—
	2,566,670			—			—			6,108			11,096,981			31,440
	11,324,537			762,144			527,878			—			18,461,977			—
	22,856			30,244			172,221			83,760			147,139			—
	—			—			—			—			—			49,131,447
	5,716,278			31,471,868			55,773			76			1,578,863			5,631
	366,622			1,049,134			71,598			109,967			14,422			108,713
	2,389,896			—			—			256,984			284,640			705,024
	678,326			2,114,451			1,436,921			122,043			364,709			88,294
	3,204,142			38,240,035			89,792,508			3,096,298			—			142,747,617
	3,006,794			19,767,689			23,802,281			1,174,305			3,001,654			739,001
	91,061			273,774			110,872			22,461			64,365			21,622
	—			—			—			—			600,000			—
	—			—			—			—			3,661,883			—
	110,000			1,016,000			—			—			—			—
	364,607			386,653			338,525			108,902			334,607			150,759
	41,014,409			110,367,443			116,308,577			4,980,904			39,611,240			193,729,548
	1,128,594,316			4,444,687,549			3,492,492,671			423,574,772			998,484,048			313,380,410
	(3,412,526	)		(665,678	)		492,659			822,970			(146,619,385	)		(66,732	)
	(40,300,580	)		(346,147,174	)		(77,283,433	)		(7,334,100	)		(135,247,691	)		(1,105,794	)
	(34,713,055	)		(281,358,582	)		(188,274,524	)		7,978,556			(156,475,137	)		2,135,548
$	1,050,168,155		$	3,816,516,115		$	3,227,427,373		$	425,042,198		$	560,141,835		$	314,343,432
$	109,829,608		$	340,533,648		$	6,667,574		$	28,036,539		$	140,623,406		$	36,465,290
	27,645,094			51,972,995			1,759,795			—			6,574,093			—
	895,309,003			3,221,933,784			3,217,751,725			156,202,131			403,203,125			60,513,175
	—			14,709,863			—			—			—			—
	—			—			—			239,713,400			—			210,773,205
	16,926,582			9,301,525			1,237,137			1,079,903			9,741,211			6,581,543
	—			15,296,277			11,142			—			—			—
	457,868			162,768,023			—			10,225			—			10,219
	$1,050,168,155		$	3,816,516,115		$	3,227,427,373		$	425,042,198		$	560,141,835		$	314,343,432
	8,969,123			56,557,186			704,940			3,087,560			22,120,366			3,412,900
	2,258,520			8,622,830			186,012			—			1,032,639			—
	73,018,805			533,647,107			339,865,426			17,196,744			63,400,550			5,650,181
	—			2,445,148			—			—			—			—
	—			—			—			26,385,361			—			19,725,181
	1,380,481			1,541,781			130,553			118,847			1,534,080			614,342
	—			2,541,479			1,177			—			—			—
	37,345			26,915,246			—			1,126			—			954
	$12.25			$6.02			$9.46			$9.08			$6.36			$10.68
	12.24			6.03			9.46			—			6.37			—
	12.26			6.04			9.47			9.08			6.36			10.71
	—			6.02			—			—			—			—
	—			—			—			9.09			—			10.69
	12.26			6.03			9.48			9.09			6.35			10.71
	—			6.02			9.46			—			—			—
	12.26			6.05			—			9.08			—			10.71

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

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Statements of Operations

For the Fiscal Year Ended March 31, 2016

	Dynamic Emerging Markets Debt Fund
Investment income:
Interest — (net of foreign withholding taxes of $12,762, $2,383, $0, $0, $0, $706,744 and $0, respectively)	$	1,672,062
Dividends — unaffiliated issuers		—
Dividends — affiliated issuers		—
Total investment income		1,672,062
Expenses:
Management fees		260,380
Custody, accounting and administrative services		183,869
Professional fees		113,638
Registration fees		80,838
Printing and mailing costs		24,673
Trustee fees		22,732
Transfer Agency fees(a)		12,204
Distribution and Service fees(a)		2,120
Service Share fees — Service Plan		—
Service Share fees — Shareholder Administration Plan		—
Other		12,252
Total expenses		712,706
Less — expense reductions		(451,311	)
Net expenses		261,395
NET INVESTMENT INCOME		1,410,667
Realized and unrealized gain (loss):
Net realized gain (loss) from:
Investments — unaffiliated issuers		(1,192,386	)
Investments — affiliated issuers		—
Futures contracts		42,828
Written options		—
Swap contracts		(59,913	)
Non-deliverable bond forward contracts		(200	)
Forward foreign currency exchange contracts		(100,359	)
Foreign currency transactions		(19,788	)
Net change in unrealized gain (loss) on:
Investments — unaffiliated issuers (including the effects of the foreign capital gains tax liability of $870 and $7,025 for the Dynamic Emerging Markets Debt and Local Emerging Markets Debt Funds, respectively)		477,435
Investments — affiliated issuers		—
Futures contracts		(1,359	)
Non-deliverable bond forward contracts		7,552
Swap contracts		93,257
Forward foreign currency exchange contracts		207,799
Foreign currency translation		25,740
Net realized and unrealized gain (loss)		(519,394	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	891,273

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

	Distribution and Service Fees						Transfer Agency Fees
Fund	Class A		Class C		Class R		Class A		Class C		Institutional		Service		Separate Account Institutional		Class IR		Class R		Class R6(b)
Dynamic Emerging Markets Debt	$	1,513	$	496	$	111	$	786	$	64	$	11,292	$	—	$	—	$	33	$	29	$	—
Emerging Markets Debt		248,982		286,250		—		129,470		37,213		408,276		—		—		18,872		—		19
High Yield		953,241		607,297		81,424		495,685		78,949		1,679,536		6,545		—		14,752		21,170		11,211
High Yield Floating Rate		27,274		18,412		55		14,182		2,393		1,513,703		—		—		1,448		15		—
Investment Grade Credit		69,615		—		—		36,200		—		64,012		—		98,864		1,393		—		2
Local Emerging Markets Debt		414,229		75,160		—		215,399		9,771		334,801		—		—		7,388		—		—
U.S. Mortgages		84,996		—		—		44,198		—		20,770		—		81,412		4,587		—		2

(b) Commenced operations on July 31, 2015.

130 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
$	72,119,269		$	309,979,727		$	180,827,384		$	17,370,306		$	66,759,813		$	6,770,597
	—			292,935			—			81,854			—			—
	—			165,485			849,289			7,830			9,286			22,302
	72,119,269			310,438,147			181,676,673			17,459,990			66,769,099			6,792,899
	9,308,121			31,208,410			20,570,480			1,744,450			9,143,035			1,171,948
	345,921			318,239			1,062,707			112,592			815,514			255,598
	120,756			168,795			149,690			112,307			113,632			127,095
	124,226			139,599			129,552			69,663			131,067			75,807
	299,400			42,871			74,200			30,606			83,309			29,691
	26,648			48,160			34,205			23,921			25,416			18,736
	593,850			2,307,848			1,531,741			200,471			567,359			150,969
	535,232			1,641,962			45,741			69,615			489,389			84,996
	—			40,902			—			—			—			—
	—			40,902			—			—			—			—
	80,387			139,685			215,313			14,659			79,454			11,738
	11,434,541			36,097,373			23,813,629			2,378,284			11,448,175			1,926,578
	(368,871	)		(305,013	)		(524,561	)		(617,883	)		(1,540,656	)		(598,699	)
	11,065,670			35,792,360			23,289,068			1,760,401			9,907,519			1,327,879
	61,053,599			274,645,787			158,387,605			15,699,589			56,861,580			5,465,020
	(60,472,029	)		(328,432,736	)		(39,219,585	)		(7,171,469	)		(270,154,747	)		1,890,970
	—			—			(698,684	)		—			—			—
	9,500,858			(4,314,526	)		—			(287,697	)		(1,928,816	)		1,904,394
	—			—			—			—			—			(126,530	)
	(8,346,671	)		(7,552,674	)		(3,276,738	)		682,783			(13,616,873	)		(243,291	)
	—			—			—			—			(1,230,117	)		—
	4,183,367			274,645			(977,065	)		—			(4,175,682	)		—
	3,673,806			1,096,051			1,601,507			—			(6,960,011	)		—
	37,345,115			(255,967,918	)		(148,539,112	)		(9,536,658	)		125,928,619			(2,008,976	)
	—			—			(20,501	)		—			—			—
	(1,969,584	)		1,780,581			—			(410,994	)		345,523			149,343
	—			—			—			—			309,235			—
	7,881,279			1,542,383			606,871			(878,631	)		9,803,839			(171,774	)
	(5,570,936	)		(2,210,019	)		(1,397,360	)		—			(109,950	)		—
	229,827			79,018			(48,162	)		(521	)		2,876,205			—
	(13,544,968	)		(593,705,195	)		(191,968,829	)		(17,603,187	)		(158,912,775	)		1,394,136
$	47,508,631		$	(319,059,408	)	$	(33,581,224	)	$	(1,903,598	)	$	(102,051,195	)	$	6,859,156

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

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Statements of Changes in Net Assets

	Dynamic Emerging Markets Debt Fund
	For the Fiscal Year Ended March 31, 2016			For the Fiscal Year Ended March 31, 2015
From operations:
Net investment income	$	1,410,667		$	1,223,040
Net realized gain (loss)		(1,329,818	)		(1,541,219	)
Net change in unrealized gain (loss)		810,424			(1,117,846	)
Net increase (decrease) in net assets resulting from operations		891,273			(1,436,025	)
Distributions to shareholders:
From net investment income
Class A Shares		(882	)		(9,355	)
Class B Shares(a)		—			—
Class C Shares		(59	)		(2,955	)
Institutional Shares		(46,017	)		(1,084,108	)
Service Shares		—			—
Class IR Shares		(40	)		(963	)
Class R Shares		(31	)		(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		(24,846	)		(677	)
Class B Shares(a)		—			—
Class C Shares		(1,670	)		(214	)
Institutional Shares		(1,297,260	)		(78,456	)
Service Shares		—			—
Class IR Shares		(1,133	)		(70	)
Class R Shares		(874	)		(61	)
Class R6 Shares(b)		—			—
Total distributions to shareholders		(1,372,812	)		(1,177,705	)
From share transactions:
Proceeds from sales of shares		27,744,900			11,813,819
Reinvestment of distributions		936,740			714,613
Cost of shares redeemed(c)		(4,948,367	)		(17,897,771	)
Net increase (decrease) in net assets resulting from share transactions		23,733,273			(5,369,339	)
TOTAL INCREASE (DECREASE)		23,251,734			(7,983,069	)
Net assets:
Beginning of year		16,343,817			24,326,886
End of year	$	39,595,551		$	16,343,817
Undistributed (distributions in excess of) net investment income	$	(893,268	)	$	(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, $64,357 and $23,053, and $2,248,223 and $223,350 of redemption fees for Dynamic Emerging Markets Debt, Emerging Markets Debt and High Yield Funds, respectively, for the fiscal year ended March 31, 2016 and the fiscal year ended March 31, 2015, respectively.

132 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 Fiscal Year Ended March 31, 2016			For the Fiscal Year Ended March 31, 2015			For the Fiscal Year Ended March 31, 2016			For the Fiscal Year Ended March 31, 2015
$	61,053,599		$	74,591,633		$	274,645,787		$	282,475,705
	(51,460,669	)		51,452,944			(338,929,240	)		25,338,002
	37,915,701			(69,951,184	)		(254,775,955	)		(228,603,218	)
	47,508,631			56,093,393			(319,059,408	)		79,210,489
	(4,995,168	)		(4,003,181	)		(20,364,862	)		(25,025,943	)
	—			—			—			(284,014	)
	(1,216,722	)		(1,082,903	)		(2,814,039	)		(3,635,326	)
	(53,966,540	)		(67,829,030	)		(237,899,617	)		(248,965,574	)
	—			—			(851,015	)		(851,009	)
	(762,559	)		(703,551	)		(634,486	)		(828,194	)
	—			—			(832,949	)		(892,063	)
	(5,212	)		—			(3,321,271	)		—
	—			—			—			(9,750,531	)
	—			—			—			(1,497,617	)
	—			—			—			(90,622,036	)
	—			—			—			(331,483	)
	—			—			—			(291,362	)
	—			—			—			(342,096	)
	—			—			(921,258	)		(296,537	)
	—			—			—			(3,365	)
	—			—			(127,301	)		(43,076	)
	—			—			(10,762,019	)		(2,950,042	)
	—			—			(38,498	)		(10,084	)
	—			—			(28,703	)		(9,813	)
	—			—			(37,681	)		(10,570	)
	—			—			(150,246	)		—
	(60,946,201	)		(73,618,665	)		(278,783,945	)		(386,640,735	)
	569,809,447			817,379,947			1,703,216,450			2,381,930,006
	57,371,986			71,347,084			263,890,802			365,387,845
	(1,270,297,756	)		(609,926,689	)		(3,132,165,143	)		(1,996,852,634	)
	(643,116,323	)		278,800,342			(1,165,057,891	)		750,465,217
	(656,553,893	)		261,275,070			(1,762,901,244	)		443,034,971
	1,706,722,048			1,445,446,978			5,579,417,359			5,136,382,388
$	1,050,168,155		$	1,706,722,048		$	3,816,516,115		$	5,579,417,359
$	(3,412,526	)	$	22,700,730		$	(665,678	)	$	(5,535,464	)

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

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Statements of Changes in Net Assets

	High Yield Floating Rate Fund
	For the Fiscal Year Ended March 31, 2016			For the Fiscal Year Ended March 31, 2015
From operations:
Net investment income	$	158,387,605		$	164,221,651
Net realized gain (loss)		(42,570,565	)		(31,551,633	)
Net change in unrealized gain (loss)		(149,398,264	)		(45,046,641	)
Net increase (decrease) in net assets resulting from operations		(33,581,224	)		87,623,377
Distributions to shareholders:
From net investment income
Class A Shares		(413,957	)		(414,673	)
Class C Shares		(56,931	)		(59,907	)
Institutional Shares		(157,901,983	)		(164,500,555	)
Separate Account Institutional Shares		—			—
Class IR Shares		(45,691	)		(36,691	)
Class R Shares		(401	)		(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	)
Class R6 Shares(a)		—			—
Return of capital
Class A Shares		—			—
Class C Shares		—			—
Institutional Shares		—			—
Separate Account Institutional Shares		—			—
Class IR Shares		—			—
Class R Shares		—			—
Class R6 Shares(a)		—			—
Total distributions to shareholders		(158,418,963	)		(165,516,804	)
From share transactions:
Proceeds from sales of shares		1,478,261,923			2,105,568,828
Reinvestment of distributions		157,537,834			164,611,767
Cost of shares redeemed		(2,312,339,197	)		(2,297,042,086	)
Net increase (decrease) in net assets resulting from share transactions		(676,539,440	)		(26,861,491	)
TOTAL INCREASE (DECREASE)		(868,539,627	)		(104,754,918	)
Net assets:
Beginning of year		4,095,967,000			4,200,721,918
End of year	$	3,227,427,373		$	4,095,967,000
Undistributed (distributions in excess of) net investment income	$	492,659		$	1,769,122

(a) Commenced operations on July 31, 2015.

(b) Net of $86,868 and $110,728 of redemption fees for Local Emerging Markets Debt Fund for the fiscal year ended March 31, 2016 and the fiscal year ended March 31, 2015, respectively.

134 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 Fiscal Year Ended March 31, 2016			For the Fiscal Year Ended March 31, 2015			For the Fiscal Year Ended March 31, 2016			For the Fiscal Year Ended March 31, 2015			For the Fiscal Year Ended March 31, 2016			For the Fiscal Year Ended March 31, 2015
$	15,699,589		$	16,206,086		$	56,861,580		$	90,787,502		$	5,465,020		$	4,639,878
	(6,776,383	)		10,622,770			(298,066,246	)		(132,303,398	)		3,425,543			5,632,371
	(10,826,804	)		3,122,983			139,153,471			(183,094,157	)		(2,031,407	)		2,707,661
	(1,903,598	)		29,951,839			(102,051,195	)		(224,610,053	)		6,859,156			12,979,910
	(913,402	)		(808,807	)		—			—			(826,845	)		(212,519	)
	—			—			—			—			—			—
	(5,800,974	)		(5,947,438	)		—			—			(1,436,745	)		(975,492	)
	(8,951,245	)		(9,498,885	)		—			—			(5,637,774	)		(5,034,660	)
	(37,842	)		(25,838	)		—			—			(93,312	)		(22,895	)
	—			—			—			—			—			—
	(239	)		—			—			—			(185	)		—
	(108,705	)		(490,118	)		—			—			—			—
	—			—			—			—			—			—
	(616,284	)		(3,426,260	)		—			—			—			—
	(940,974	)		(5,274,687	)		—			—			—			—
	(4,123	)		(14,072	)		—			—			—			—
	—			—			—			—			—			—
	(39	)		—			—			—			—			—
	—			—			(8,890,665	)		(5,527,377	)		(1,864	)		—
	—			—			(348,300	)		(659,120	)		—			—
	—			—			(47,959,673	)		(93,999,207	)		(3,238	)		—
	—			—			—			—			(12,706	)		—
	—			—			(318,438	)		(296,968	)		(210	)		—
	—			—			—			—			—			—
	—			—			—			—			(1	)		—
	(17,373,827	)		(25,486,105	)		(57,517,076	)		(100,482,672	)		(8,012,880	)		(6,245,566	)
	88,484,324			117,910,821			473,316,076			787,207,165			99,492,523			109,326,915
	16,024,991			23,690,592			55,907,709			95,950,913			6,935,047			5,327,191
	(127,738,485	)		(156,510,008	)		(1,197,487,224	)(b)		(1,090,151,515	)(b)		(65,888,854	)		(73,294,927	)
	(23,229,170	)		(14,908,595	)		(668,263,439	)		(206,993,437	)		40,538,716			41,359,179
	(42,506,595	)		(10,442,861	)		(827,831,710	)		(532,086,162	)		39,384,992			48,093,523
	467,548,793			477,991,654			1,387,973,545			1,920,059,707			274,958,440			226,864,917
$	425,042,198		$	467,548,793		$	560,141,835		$	1,387,973,545		$	314,343,432		$	274,958,440
$	822,970		$	804,382		$	(146,619,385	)	$	(94,301,530	)	$	(66,732	)	$	21,937

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

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 FISCAL YEARS ENDED MARCH 31,
2016 - A	$	8.59	$	0.36	$	(0.36	)	$	—		$	(0.01	)	$	(0.34	)	$	(0.35	)
2016 - C		8.61		0.30		(0.36	)		(0.06	)		(0.01	)		(0.28	)		(0.29	)
2016 - Institutional		8.62		0.40		(0.37	)		0.03			(0.01	)		(0.37	)		(0.38	)
2016 - IR		8.60		0.39		(0.37	)		0.02			(0.01	)		(0.36	)		(0.37	)
2016 - R		8.62		0.34		(0.37	)		(0.03	)		(0.01	)		(0.32	)		(0.33	)
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 ENDING 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.

136 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)
$	8.24		0.15	%	$	512		1.23	%		2.98	%		4.40	%		98	%
	8.26		(0.70	)		40		1.99			3.79			3.65			98
	8.27		0.39			38,990		0.89			2.45			4.89			98
	8.25		0.29			31		0.98			2.63			4.75			98
	8.26		(0.20	)		23		1.48			3.18			4.20			98
	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. 137

GOLDMAN SACHS EMERGING MARKETS DEBT FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Year

				From investment operations								Distributions to shareholders
	Year - Share Class	Net asset value, beginning of year		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 FISCAL YEARS ENDED March 31,
	2016 - A	$	12.33	$	0.61	$	(0.09	)	$	0.52		$	(0.60	)		$	—		$	—		$	(0.60	)
	2016 - C		12.33		0.51		(0.09	)		0.42			(0.51	)			—			—			(0.51	)
	2016 - Institutional		12.35		0.64		(0.08	)		0.56			(0.65	)			—			—			(0.65	)
	2016 - IR		12.35		0.64		(0.09	)		0.55			(0.64	)	��		—			—			(0.64	)
	2016 - R6 (Commenced July 31, 2015)		12.18		0.46		0.06			0.52			(0.44	)			—			—			(0.44	)
	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	)

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

(b) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year 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 EMERGING MARKETS DEBT FUND

Net asset value, end of year		Total return(b)			Net assets, end of year (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)
$	12.25		4.43	%	$	109,830		1.23	%		1.27	%		5.02	%		99	%
	12.24		3.57			27,645		1.98			2.02			4.26			99
	12.26		4.70			895,309		0.89			0.93			5.30			99
	12.26		4.60			16,927		0.98			1.02			5.26			99
	12.26		4.41			458		0.87	(d)		0.92	(d)		5.84	(d)		99
	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

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

GOLDMAN SACHS HIGH YIELD FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Year

			From investment operations								Distributions to shareholders
Year - Share Class	Net asset value, beginning of year		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 FISCAL YEARS ENDED MARCH 31,
2016 - A	$	6.80	$	0.35	$	(0.77	)	$	(0.42	)	$	(0.34	)	$	—		$	(0.02	)	$	(0.36	)
2016 - C		6.81		0.30		(0.77	)		(0.47	)		(0.30	)		—			(0.01	)		(0.31	)
2016 - Institutional		6.82		0.38		(0.78	)		(0.40	)		(0.36	)		—			(0.02	)		(0.38	)
2016 - Service		6.79		0.34		(0.76	)		(0.42	)		(0.33	)		—			(0.02	)		(0.35	)
2016 - IR		6.81		0.37		(0.78	)		(0.41	)		(0.35	)		—			(0.02	)		(0.37	)
2016 - R		6.80		0.34		(0.78	)		(0.44	)		(0.33	)		—			(0.01	)		(0.34	)
2016 - R6 (commenced July 31, 2015)		6.65		0.24		(0.59	)		(0.35	)		(0.24	)		—			(0.01	)		(0.25	)
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	)

(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.

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

GOLDMAN SACHS HIGH YIELD FUND

Net asset value, end of year		Total return(b)			Net assets, end of year (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)
$	6.02	$	(6.33	)	$	340,534		1.05	%		1.06	%		5.49	%		46	%
	6.03		(7.01	)		51,973		1.80			1.81			4.76			46
	6.04		(5.98	)		3,221,934		0.71			0.72			5.84			46
	6.02		(6.35	)		14,710		1.21			1.22			5.35			46
	6.03		(6.08	)		9,302		0.80			0.81			5.76			46
	6.02		(6.57	)		15,296		1.30			1.31			5.26			46
	6.05		(5.29	)		162,768		0.70	(d)		0.71	(d)		6.02	(d)		46
	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

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

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Year

			From investment operations								Distributions to shareholders
Year - Share Class	Net asset value, beginning of year		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 FISCAL YEARS ENDED MARCH 31,
2016 - A	$	9.92	$	0.37	$	(0.46	)	$	(0.09	)	$	(0.37	)	$	—		$	—		$	(0.37	)
2016 - C		9.92		0.30		(0.46	)		(0.16	)		(0.30	)		—			—			(0.30	)
2016 - Institutional		9.93		0.40		(0.46	)		(0.06	)		(0.40	)		—			—			(0.40	)
2016 - IR		9.94		0.39		(0.45	)		(0.06	)		(0.40	)		—			—			(0.40	)
2016 - R		9.92		0.35		(0.46	)		(0.11	)		(0.35	)		—			—			(0.35	)
2015 - A		10.07		0.34		(0.14	)		0.20			(0.35	)		—	(d)		—			(0.35	)
2015 - C		10.08		0.27		(0.15	)		0.12			(0.28	)		—	(d)		—			(0.28	)
2015 - Institutional		10.09		0.38		(0.16	)		0.22			(0.38	)		—	(d)		—			(0.38	)
2015 - IR		10.09		0.37		(0.14	)		0.23			(0.38	)		—	(d)		—			(0.38	)
2015 - R		10.08		0.32		(0.15	)		0.17			(0.33	)		—	(d)		—			(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	)

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

(b) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year 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.

(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) Amount is less than $0.005 per share.

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

GOLDMAN SACHS HIGH YIELD FLOATING RATE FUND

Net asset value, end of year		Total return(b)			Net assets, end of year (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)
$	9.46		(0.89	)%	$	6,668		0.95	%		0.96	%		3.80	%		42	%
	9.46		(1.63	)		1,760		1.70			1.72			3.09			42
	9.47		(0.55	)		3,217,752		0.61			0.63			4.17			42
	9.48		(0.64	)		1,237		0.70			0.72			4.10			42
	9.46		(1.13	)		11		1.19			1.20			3.60			42
	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

The accompanying notes are an integral part of these financial statements. 143

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Year

				From investment operations								Distributions to shareholders
	Year - Share Class	Net asset value, beginning of year		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 FISCAL YEARS ENDED MARCH 31,
	2016 - A	$	9.47	$	0.30	$	(0.36	)	$	(0.06	)	$	(0.29	)	$	(0.04	)	$	(0.33	)
	2016 - Institutional		9.48		0.33		(0.37	)		(0.04	)		(0.32	)		(0.04	)		(0.36	)
	2016 - Separate Account Institutional		9.48		0.33		(0.36	)		(0.03	)		(0.32	)		(0.04	)		(0.36	)
	2016 - IR		9.48		0.32		(0.35	)		(0.03	)		(0.32	)		(0.04	)		(0.36	)
	2016 - R6 (Commenced July 31, 2015)		9.13		0.22		(0.02	)		0.20			(0.21	)		(0.04	)		(0.25	)
	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	)

(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.

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

GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND

Net asset value, end of year		Total return(b)			Net assets, end of year (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)
$	9.08		(0.53	)%	$	28,037		0.72	%		0.86	%		3.28	%		79	%
	9.08		(0.29	)		156,202		0.38			0.52			3.62			79
	9.09		(0.18	)		239,713		0.38			0.52			3.62			79
	9.09		(0.27	)		1,080		0.47			0.61			3.53			79
	9.08		2.28			10		0.38	(d)		0.53	(d)		3.61	(d)		79
	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

The accompanying notes are an integral part of these financial statements. 145

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Year

				From investment operations								Distributions to shareholders
	Year - Share Class	Net asset value, beginning of year		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 FISCAL YEARS ENDED MARCH 31,
	2016 - A	$	6.96	$	0.34	$	(0.60	)	$	(0.26	)	$	—		$	—		$	(0.34	)	$	(0.34	)
	2016 - C		6.98		0.29		(0.61	)		(0.32	)		—			—			(0.29	)		(0.29	)
	2016 - Institutional		6.97		0.37		(0.62	)		(0.25	)		—			—			(0.36	)		(0.36	)
	2016 - IR		6.96		0.34		(0.59	)		(0.25	)		—			—			(0.36	)		(0.36	)
	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	)

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

(b) Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year 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.

(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.

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

GOLDMAN SACHS LOCAL EMERGING MARKETS DEBT FUND

Net asset value, end of year		Total return(b)			Net assets, end of year (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)
$	6.36		(3.54	)%	$	140,623		1.25	%		1.40	%		5.31	%		100	%
	6.37		(4.38	)		6,574		2.00			2.15			4.58			100
	6.36		(3.35	)		403,203		0.91			1.06			5.67			100
	6.35		(3.45	)		9,741		0.99			1.14			5.55			100
	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

The accompanying notes are an integral part of these financial statements. 147

GOLDMAN SACHS U.S. MORTGAGES FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Year

			From investment operations							Distributions to shareholders
Year - Share Class	Net asset value, beginning of year		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 FISCAL YEARS ENDED MARCH 31,
2016 - A	$	10.74	$	0.17	$	0.03		$	0.20	$	(0.26	)	$	—		$	—	(d)	$	(0.26	)
2016 - Institutional		10.77		0.20		0.04			0.24		(0.30	)		—			—	(d)		(0.30	)
2016 - Separate Account Institutional		10.75		0.20		0.04			0.24		(0.30	)		—			—	(d)		(0.30	)
2016 - IR		10.77		0.17		0.06			0.23		(0.29	)		—			—	(d)		(0.29	)
2016 - R6 (Commenced July 31, 2015)		10.67		0.13		0.11			0.24		(0.20	)		—			—	(d)		(0.20	)
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	)

(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) Amount is less than $0.005 per share.

(e) Annualized.

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

GOLDMAN SACHS U.S. MORTGAGES FUND

Net asset value, end of year		Total return(b)			Net assets, end of year (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)
$	10.68		1.89	%	$	36,465		0.75	%		0.96	%		1.58	%		956	%
	10.71		2.23			60,513		0.41			0.62			1.89			956
	10.69		2.23			210,773		0.41			0.62			1.91			956
	10.71		2.14			6,582		0.51			0.71			1.63			956
	10.71		2.24			10		0.44	(e)		0.64	(e)		1.77	(e)		956
	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	(e)		0.66	(e)		2.06	(e)		1,342

The accompanying notes are an integral part of these financial statements. 149

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Notes to Financial Statements

March 31, 2016

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.

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.

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

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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. 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. 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.

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 distributions, if any, are declared daily and paid monthly, 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.

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Notes to Financial Statements (continued)

March 31, 2016

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 approved 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 traded on a United States (“U.S.”) securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities are valued at the last bid price for long positions and at the last ask price for short positions. 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.

Private Investments — Private investments may include, but are not limited to, investments in private equity or debt instruments. The Investment Manager estimates the fair value of private investments based upon various factors, including, but not limited to, transactions in similar instruments, completed or pending third-party transactions in underlying investments or comparable entities, subsequent rounds of financing, recapitalizations, and other transactions across the capital structure, offerings in equity or debt capital markets, and changes in current and projected financial ratios or cash flows.

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

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3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

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. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.

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.  Bank Loans — Bank 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.

ii.  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.

iii.  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

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Notes to Financial Statements (continued)

March 31, 2016

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

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.

iv.  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. The Funds account for mortgage dollar roll transactions as purchases and sales and realize[s] gains and losses on these transactions.

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.

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. Cash and certain investments may be used to collateralize forward contracts.

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.

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3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

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.  Option Contracts — When a Fund writes call or put option contracts, 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 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

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GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

March 31, 2016

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

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 a 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 upon settlement.

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.

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 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.

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3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

Secured Borrowings — Secured borrowings are valued at their contractual amounts, which approximate 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 gross value of reverse repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

A Fund entering into a reverse repurchase agreement is required to deliver securities as collateral to the counterparty that exceed the value of the reverse repurchase agreement. During the term of a reverse repurchase agreement, the value of the underlying securities pledged as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the reverse repurchase agreement, including accrued interest. If the value of those securities pledged as collateral, including accrued interest, becomes less than the value of the reverse repurchase agreement, including accrued interest, a Fund will be obligated to deliver additional collateral to the buyer. 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 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.

157

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Notes to Financial Statements (continued)

March 31, 2016

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

C.  Fair Value Hierarchy — The following is a summary of the Funds’ investments and derivatives classified in the fair value hierarchy as of March 31, 2016:

DYNAMIC EMERGING MARKETS DEBT FUND
Investment Type	Level 1			Level 2			Level 3
Assets
Fixed Income
Sovereign Debt Obligations	$	—		$	24,802,090		$	—
Corporate Obligations		—			8,028,501			—
Structured Notes		—			1,917,080			—
Municipal Debt Obligations		—			477,945			—
U.S. Treasury Obligations		1,712,065			—			—
Short-term Investments		—			2,600,000			—
Total	$	1,712,065		$	37,825,616		$	—
Derivative Type
Assets(a)
Forward Foreign Currency Exchange Contracts	$	—		$	773,987		$	—
Futures Contracts		3,255			—			—
Interest Rate Swap Contracts		—			54,109			—
Credit Default Swap Contracts		—			17,694			—
Non Deliverable Bond Forward Contracts		—			7,552			—
Total	$	3,255		$	853,342		$	—
Liabilities(a)
Forward Foreign Currency Exchange Contracts	$	—		$	(631,896	)	$	—
Futures Contracts		(9,202	)		—			—
Interest Rate Swap Contracts		—			(48,380	)		—
Credit Default Swap Contracts		—			(9,904	)		—
Total	$	(9,202	)	$	(690,180	)	$	—
EMERGING MARKETS DEBT
Investment Type	Level 1			Level 2			Level 3
Assets
Fixed Income
Sovereign Debt Obligations	$	—		$	599,009,078		$	—
Corporate Obligations		—			268,698,866			—
Structured Note		—			4,025,131			—
Municipal Debt Obligations		—			12,613,560			—
U.S. Treasury Obligations		64,850,808			—			—
Short-term Investments		—			70,700,000			—
Total	$	64,850,808		$	955,046,635		$	—
Liabilities
Reverse Repurchase Agreements	$	—		$	(11,172,620	)	$	—

158

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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	$	—		$	10,834,526		$	—
Futures Contracts		483,053			—			—
Interest Rate Swap Contracts		—			1,326,600			—
Credit Default Swap Contracts		—			724,099			—
Total	$	483,053		$	12,885,225		$	—
Liabilities(a)
Forward Foreign Currency Exchange Contracts	$	—		$	(11,324,537	)	$	—
Futures Contracts		(651,578	)		—			—
Interest Rate Swap Contracts		—			(2,270,276	)		—
Credit Default Swap Contracts		—			(497,577	)		—
Total	$	(651,578	)	$	(14,092,390	)	$	—
HIGH YIELD
Investment Type	Level 1			Level 2			Level 3
Assets
Fixed Income
Bank Loans	$	—		$	169,677,188		$	23,709,490
Corporate Obligations		—			3,379,568,578			—
Common Stock and/or Other Equity Investments(b)
North America		774,715			2,411,200			39
Investment Company		135,148,758			—			—
Total	$	135,923,473		$	3,551,656,966		$	23,709,529
Liabilities
Reverse Repurchase Agreements	$	—		$	(15,254,188	)	$	—
Derivative Type
Assets(a)
Forward Foreign Currency Exchange Contracts	$	—		$	4,052		$	—
Futures Contracts		65,653			—			—
Credit Default Swap Contracts		—			443,501			—
Total	$	65,653		$	447,553		$	—
Liabilities(a)
Forward Foreign Currency Exchange Contracts	$	—		$	(762,144	)	$	—
Futures Contracts		(1,025,446	)		—			—
Total	$	(1,025,446	)	$	(762,144	)	$	—

159

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

March 31, 2016

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

HIGH YIELD FLOATING RATE
Investment Type	Level 1		Level 2			Level 3
Assets
Fixed Income
Bank Loans	$	—	$	2,578,549,285		$	100,227,537
Corporate Obligations		—		287,703,114			—
Asset-Backed Securities		—		7,400,016			—
Common Stock and/or Other Equity Investments(b)
North America		—		—			5,710,009
Investment Company		280,623,494		—			—
Total	$	280,623,494	$	2,873,652,415		$	105,937,546
Derivative Type
Assets(a)
Forward Foreign Currency Exchange Contracts	$	—	$	39,094		$	—
Liabilities(a)
Forward Foreign Currency Exchange Contracts	$	—	$	(527,878	)	$	—
Interest Rate Swap Contracts		—		(716,643	)		—
Total	$	—	$	(1,244,521	)	$	—

The following is a reconciliation of Level 3 investments for the fiscal year ended March 31, 2016:

	Bank Loans			Common Stock
Beginning Balance as of March 31, 2015	$	79,279,669		$	—
Realized gain (loss)		(3,249,459	)		—
Net change in unrealized gain (loss) relating to instruments still held at reporting date		(28,451,770	)		(4,216,762	)
Purchases		31,476,691			9,926,771
Sales		(36,837,744	)		—
Amortization		505,435			—
Transfers into Level 3		82,275,954			—
Transfers out of Level 3		(24,771,239	)		—
Ending Balance as of March 31, 2016	$	100,227,537		$	5,710,009

Transfers of the above investments into or out of Level 3 can be attributable to changes in the availability of valid pricing sources or in the observability of significant inputs used to measure the fair value of those investments.

160

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)

INVESTMENT GRADE CREDIT
Investment Type	Level 1			Level 2			Level 3
Assets
Fixed Income
Corporate Obligations	$	—		$	349,920,159		$	—
Foreign Debt Obligations		—			18,534,983			—
Municipal Debt Obligations		—			14,070,996			—
U.S. Treasury Obligations		37,751,857			—			—
Investment Company		75			—			—
Total	$	37,751,932		$	382,526,138		$	—
Derivative Type
Assets(a)
Futures Contracts	$	106,519		$	—		$	—
Credit Default Swap Contracts		—			20,188			—
Total	$	106,519		$	20,188		$	—
Liabilities(a)
Futures Contracts	$	(102,998	)	$	—		$	—
Credit Default Swap Contracts		—			(6,108	)		—
Total	$	(102,998	)	$	(6,108	)	$	—
LOCAL EMERGING MARKETS DEBT
Investment Type	Level 1			Level 2			Level 3
Assets
Fixed Income
Sovereign Debt Obligations	$	—		$	423,422,683		$	—
Corporate Obligations		—			18,058,768			—
Structured Notes		—			70,901,288			—
Municipal Debt Obligations		—			4,009,225			—
U.S. Treasury Obligations		5,962,092			—			—
Investment Company		2,148,011			—			—
Total	$	8,110,103		$	516,391,964		$	—

161

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Notes to Financial Statements (continued)

March 31, 2016

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	$	—		$	22,132,072		$	—
Futures Contracts		154,026			—			—
Interest Rate Swap Contracts		—			7,623,456			—
Credit Default Swap Contracts		—			22,303			—
Non-Deliverable Bond Forward Contracts		—			309,235			—
Total	$	154,026		$	30,087,066		$	—
Liabilities(a)
Forward Foreign Currency Exchange Contracts	$	—		$	(18,461,977	)	$	—
Futures Contracts		(208,792	)		—			—
Interest Rate Swap Contracts		—			(8,548,665	)		—
Credit Default Swap Contracts		—			(291,703	)		—
Cross Currency Swap Contracts		—			(2,510,490	)		—
Total	$	(208,792	)	$	(29,812,835	)	$	—
U.S. MORTGAGES
Investment Type	Level 1			Level 2			Level 3
Assets
Fixed Income
Mortgage-Backed Obligations	$	—		$	362,055,686		$	—
Asset-Backed Securities		—			21,996,223			—
Investment Company		48,424,630			—			—
Total	$	48,424,630		$	384,051,909		$	—
Liabilities
Fixed Income
Mortgage-Backed Obligations — Forward Sales Contracts	$	—		$	(49,131,447	)	$	—
Derivative Type
Assets(a)
Futures Contracts	$	110,776		$	—		$	—
Credit Default Swap Contracts		—			84,463			—
Total	$	110,776		$	84,463		$	—
Liabilities(a)
Futures Contracts	$	(82,551	)	$	—		$	—
Credit Default Swap Contracts		—			(31,440	)		—
Total	$	(82,551	)	$	(31,440	)	$	—

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

(b) Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of net asset value. Security valuations are based on the principle exchange or system on which they are traded, which may differ from country of domicile. The Funds utilize fair value model prices provided by an independent fair value service for international equities, resulting in a Level 2 classification.

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

162

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

4. INVESTMENTS IN DERIVATIVES

The following tables set forth, by certain risk types, the gross value of derivative contracts as of March 31, 2016. These instruments were used as part of the Funds’ investment strategies 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; Unrealized gain on non-deliverable bond forward sale contracts	$	64,916	(a)	Payable for unrealized loss on swap contracts; Variation margin on certain derivative contracts	$	(57,582)	(a)(b)
Credit	Receivable for unrealized gain on swap contracts		17,694		Payable for unrealized loss on swap contracts		(9,904)	(b)
Currency	Receivable for unrealized gain on forward foreign currency exchange contracts		773,987		Payable for unrealized loss on forward foreign currency exchange contracts		(631,896)
Total		$	856,597				$(699,382)

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	$	1,809,653	(a)	Payable for unrealized loss on swap contracts; Variation margin on certain derivative contracts		$(2,921,854)(a)(b)
Credit	Receivable for unrealized gain on swap contracts		724,099		Payable for unrealized loss on swap contracts		(497,577)	(b)
Currency	Receivable for unrealized gain on forward foreign currency exchange contracts		10,834,526		Payable for unrealized loss on forward foreign currency exchange contracts		(11,324,537)
Total		$	13,368,278				$(14,743,968)
High Yield
Risk	Statements of Assets and Liabilities	Assets			Statements of Assets and Liabilities	Liabilities
Interest rate	Variation margin on certain derivative contracts	$	65,653	(a)	Variation margin on certain derivative contracts	$	(1,025,446)	(a)
Credit	Variation margin on certain derivative contracts		443,501		—		—
Currency	Receivable for unrealized gain on forward foreign currency exchange contracts		4,052		Payable for unrealized loss on forward foreign currency exchange contracts		(762,144)
Total		$	513,206			$	(1,787,590)

163

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

March 31, 2016

4. INVESTMENTS IN DERIVATIVES (continued)

High Yield Floating Rate
Risk	Statements of Assets and Liabilities	Assets			Statements of Assets and Liabilities	Liabilities
Interest rate	—	$	—		Variation margin on certain derivative contracts	$	(716,643)	(a)
Currency	Receivable for unrealized gain on forward foreign currency exchange contracts		39,094		Payable for unrealized loss on forward foreign currency exchange contracts		(527,878)
Total		$	39,094			$	(1,244,521)
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	$	106,519	(a)	Payable for unrealized loss on swap contracts	$	(102,998)	(a)
Credit	Receivable for unrealized gain on swap contracts		20,188		Payable for unrealized loss on swap contracts		(6,108)	(a)(b)
Total		$	126,707			$	(109,106)
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; non-deliverable bond forward contracts	$	8,086,717	(a)	Payable for unrealized loss on swap contracts; Variation margin on certain derivative contracts	$	(8,757,457)	(a)(b)
Credit	Receivable for unrealized gain on swap contracts		22,303		Payable for unrealized loss on swap contracts		(291,703)	(b)
Currency	Receivable for unrealized gain on forward foreign currency exchange contracts		22,132,072		Payable for unrealized loss on swap contracts; Payable for unrealized loss on forward foreign currency exchange contracts		(20,972,467)	(b)
Total		$	30,241,092			$	(30,021,627)

164

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

4. INVESTMENTS IN DERIVATIVES (continued)

U.S. Mortgages
Risk	Statements of Assets and Liabilities	Assets			Statements of Assets and Liabilities	Liabilities
Interest rate	Variation margin on certain derivative contracts	$	110,776	(a)	Variation margin on certain derivative contracts	$	(82,551)	(a)
Credit	Receivable for unrealized gain on swap contracts		84,463		Payable for unrealized loss on swap contracts		(31,440)	(b)
Total		$	195,239			$	(113,991)

(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 $49,609, $2,546,813, $6,108, $11,096,981 and $31,440 for Dynamic Emerging Markets Debt, Emerging Markets Debt, 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 fiscal year ended March 31, 2016. 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. 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, swap contracts, and non-deliverable bond forward contracts/Net change in unrealized gain (loss) on futures, swap contracts and non-deliverable bond forwards	$	(7,785	)	$	85,270		75
Credit	Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts		(9,500	)		14,180		43
Currency	Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts		(100,359	)		207,799		255
Total		$	(117,644	)	$	307,249		373

165

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Notes to Financial Statements (continued)

March 31, 2016

4. INVESTMENTS IN DERIVATIVES (continued)

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	$	1,681,368		$	4,456,789			2,546
Credit	Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts		(527,181	)		1,454,906			41
Currency	Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts		4,183,367			(5,570,936	)		205
Total		$	5,337,554		$	340,759			2,792
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	$	(5,115,362	)	$	2,879,463			4,019
Credit	Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts		(6,546,292	)		443,501			1
Currency	Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts		274,645			(2,210,019	)		3
Equity	Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts		(205,546	)		—			14
Total		$	(11,592,555	)	$	1,112,945			4,037
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	$	(3,571,904	)	$	606,871			2
Credit	Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts		295,166			—			1
Currency	Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts		(977,065	)		(1,397,360	)		4
Total		$	(4,253,803	)	$	(790,489	)		7

166

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

4. INVESTMENTS IN DERIVATIVES (continued)

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	$	304,837		$	(1,164,284	)		672
Credit	Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts		(178,156	)		14,080			15
Total		$	126,681		$	(1,150,204	)		687
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 futures contracts and swap contracts/Net change in unrealized gain (loss) on futures contracts and swap contracts		(7,707,722	)	$	6,294,012			683
Credit	Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts		(816,922	)		394,238			37
Currency	Net realized gain (loss) from swap contracts and forward foreign currency exchange contracts/Net change in unrealized gain (loss) on swap contracts and forward foreign currency exchange contracts		(12,426,844	)		3,660,397			287
Total			(20,951,488	)	$	10,348,647			1,007
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	$	1,798,191			22,903			208
Credit	Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts	$	(267,823	)	$	(45,334	)		5
Total		$	1,530,368		$	(22,431	)		213

(a) Average number of contracts is based on the average of month end balances for the fiscal year ended March 31, 2016.

167

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Notes to Financial Statements (continued)

March 31, 2016

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 the Investment Adviser 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 to the restrictions or prohibitions against the right of setoff that may be imposed in accordance with 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 March 31, 2016:

168

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

4. INVESTMENTS IN DERIVATIVES (continued)

Dynamic 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	$	3,661	$	27,707		$	31,368	$	(730	)	$	(6,416	)	$	(7,146	)	$	24,222		$	—	$	24,222
Barclays Bank PLC		8,305		25,782			34,087		(1,956	)		(37,082	)		(39,038	)		(4,951	)		—		(4,951	)
BNP Paribas SA		—		20,462			20,462		—			(17,403	)		(17,403	)		3,059			—		3,059
Citibank NA		6,103		120,006			126,109		(16,367	)		(66,188	)		(82,555	)		43,554			—		43,554
Credit Suisse International (London)		1,501		30,220			31,721		(5,770	)		(29,996	)		(35,766	)		(4,045	)		4,045		—
Deutsche Bank AG (London)		—		77,002			77,002		—			(25,822	)		(25,822	)		51,180			—		51,180
Deutsche Bank AG		30,210		7,552	*		37,762		(12,835	)		—	*		(12,835	)		24,927			—		24,927
HSBC Bank PLC		—		160,468			160,468		—			(63,767	)		(63,767	)		96,701			—		96,701
JPMorgan Morgan Chase Bank (London)		—		55,615			55,615		—			(66,637	)		(66,637	)		(11,022	)		—		(11,022	)
JPMorgan Securities, Inc.		10,779		—			10,779		(1,565	)		—			(1,565	)		9,214			—		9,214
Morgan Stanley & Co.		—		66,310			66,310		—			(192,122	)		(192,122	)		(125,812	)		—		(125,812	)
Morgan Stanley & Co. International PLC		7,421		—			7,421		(10,386	)		—			(10,386	)		(2,965	)		—		(2,965	)
Royal Bank of Canada		—		12,212			12,212		—			(54,926	)		(54,926	)		(42,714	)		—		(42,714	)
Royal Bank of Scotland PLC		—		17,178			17,178		—			(1,509	)		(1,509	)		15,669			—		15,669
Standard Chartered Bank		—		87,897			87,897		—			(18,760	)		(18,760	)		69,137			—		69,137
State Street Bank (London)		—		45,629			45,629		—			—			—			45,629			—		45,629
UBS AG (London)		—		21,878			21,878		—			(13,278	)		(13,278	)		8,600			—		8,600
Westpac Banking Corp.		—		5,621			5,621		—			(37,990	)		(37,990	)		(32,369	)		—		(32,369	)
Total	$	67,980	$	781,539		$	849,519	$	(49,609	)	$	(631,896	)	$	(681,505	)	$	168,014		$	4,045	$	172,059

* Includes Non-Deliverable Bond Forward Contracts assets of $7,552 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.

169

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

March 31, 2016

4. INVESTMENTS IN DERIVATIVES (continued)

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	$	131,497	$	365,599	$	497,096	$	(157,067	)	$	(94,820	)	$	(251,887	)	$	245,209		$	—	$	245,209
Barclays Bank PLC		250,366		374,950		625,316		(97,593	)		(629,526	)		(727,119	)		(101,803	)		101,803		—
BNP Paribas SA		—		615,438		615,438		—			(283,357	)		(283,357	)		332,081			—		332,081
Citibank NA		734,341		—		734,341		(874,798	)		—			(874,798	)		(140,457	)		140,457		—
Citibank NA (London)		—		1,736,587		1,736,587		—			(1,267,286	)		(1,267,286	)		469,301			—		469,301
Credit Suisse International (London)		—		473,030		473,030		—			(37,989	)		(37,989	)		435,041			—		435,041
Deutsche Bank AG		190,782		—		190,782		(194,735	)		—			(194,735	)		(3,953	)		—		(3,953	)
Deutsche Bank AG (London)		—		1,450,120		1,450,120		—			(551,641	)		(551,641	)		898,479			—		898,479
HSBC Bank PLC		—		929,894		929,894		—			(1,191,307	)		(1,191,307	)		(261,413	)		—		(261,413	)
JPMorgan Chase Bank (London)		—		1,853,768		1,853,768		—			(1,784,508	)		(1,784,508	)		69,260			—		69,260
JPMorgan Securities, Inc.		536,176		—		536,176		(852,958	)		—			(852,958	)		(316,782	)		316,782		—
Morgan Stanley & Co. International PLC		173,543		558,477		732,020		(389,519	)		(2,309,802	)		(2,699,321	)		(1,967,301	)		510,000		(1,457,301	)
Royal Bank of Canada		—		199,181		199,181		—			(1,671,146	)		(1,671,146	)		(1,471,965	)		—		(1,471,965	)
Royal Bank of Scotland PLC		—		283,795		283,795		—			(380,224	)		(380,224	)		(96,429	)		—		(96,429	)
Standard Chartered Bank		—		872,812		872,812		—			(344,898	)		(344,898	)		527,914			—		527,914
State Street Bank and Trust (London)		—		454,272		454,272		—			—			—			454,272			—		454,272
UBS AG (London)		—		534,066		534,066		—			(152,809	)		(152,809	)		381,257			—		381,257
Westpac Banking Corp.		—		132,537		132,537		—			(625,224	)		(625,224	)		(492,687	)		—		(492,687	)
Total	$	2,016,705	$	10,834,526	$	12,851,231	$	(2,566,670	)	$	(11,324,537	)	$	(13,891,207	)	$	(1,039,976	)	$	1,069,042	$	29,066

(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.

170

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

4. INVESTMENTS IN DERIVATIVES (continued)

Local 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	$	234,255	$	529,201	*	$	763,456	$	(15,234	)	$	(110,726	)	$	(125,960	)	$	637,496		$	—		$	637,496
Barclays Bank PLC		555,208		701,018			1,256,226		(3,906,828	)		(855,868	)		(4,762,696	)		(3,506,470	)		3,150,199			(356,271	)
BNP Paribas SA		—		984,187			984,187		—			(305,355	)		(305,355	)		678,832			—			678,832
Citibank NA (London)		2,900,359		2,830,424			5,730,783		(2,183,414	)		(3,033,082	)		(5,216,496	)		514,287			—			514,287
Credit Suisse International (London)		299,397		1,173,177			1,472,574		(743,298	)		(466,408	)		(1,209,706	)		262,868			—			262,868
Deutsche Bank AG (London)		—		3,512,706			3,512,706		—			(1,476,437	)		(1,476,437	)		2,036,269			—			2,036,269
Deutsche Bank AG		3,037,773		309,235	*		3,347,008		(2,555,337	)		—			(2,555,337	)		791,671			(600,000	)		191,671
HSBC Bank PLC		—		4,568,434			4,568,434		—			(2,129,487	)		(2,129,487	)		2,438,947			—			2,438,947
JPMorgan Chase Bank (London)		—		1,331,011			1,331,011		—			(1,119,475	)		(1,119,475	)		211,536			—			211,536
JPMorgan Securities, Inc.		132,677		—			132,677		(546,452	)		—			(546,452	)		(413,775	)		—			(413,775	)
Merrill Lynch International Bank Ltd.		—		313,385			313,385		—			(111,757	)		(111,757	)		201,628			—			201,628
Morgan Stanley & Co. International PLC		254,043		2,122,175			2,376,218		(1,146,418	)		(6,255,099	)		(7,401,517	)		(5,025,299	)		890,000			(4,135,299	)
Royal Bank of Canada		—		419,074			419,074		—			(562,318	)		(562,318	)		(143,244	)		—			(143,244	)
Royal Bank of Scotland PLC		—		403,776			403,776		—			(280,379	)		(280,379	)		123,397			—			123,397
Standard Chartered Bank		—		1,418,550			1,418,550		—			(587,973	)		(587,973	)		830,577			—			830,577
State Street Bank (London)		—		1,186,350			1,186,350		—			—			—			1,186,350			—			1,186,350
UBS AG (London)		—		456,261			456,261		—			(213,843	)		(213,843	)		242,418			—			242,418
Westpac Banking Corp.		—		182,343			182,343		—			(953,770	)		(953,770	)		(771,427	)		—			(771,427	)
Total	$	7,413,712	$	22,441,307		$	29,855,019	$	(11,096,981	)	$	(18,461,977	)	$	(29,558,958	)	$	296,061		$	3,440,199		$	3,736,260

* Includes Non-Deliverable Bond Forward Contracts assets of $309,235.

(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.

171

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

March 31, 2016

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.

For the fiscal year ended March 31, 2016, contractual and effective net management fees with GSAM were at the following rates:

	Contractual Management Rate
Fund	First $1 billion			Next $1 billion			Next $3 billion			Next $3 billion			Over $8 billion			Effective Rate			Effective Net Management 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	#

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

# 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.

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 fiscal year ended March 31, 2016, GSAM waived $305,013, $445,591, $10,263, $38,594 and $57,963, of the Fund’s management fees 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.

172

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

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 fiscal year ended March 31, 2016, Goldman Sachs advised that it retained the following amounts:

	Front End Sales Charge		Contingent Deferred Sales Charge
Fund	Class A		Class C
Emerging Markets Debt	$	5,794	$	10
High Yield		12,226		10
High Yield Floating Rate		520		—
Investment Grade Credit		2,081		N/A
Local Emerging Markets Debt		1,001		—
U.S. Mortgages		908		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. Prior to July 29, 2015, the Other Expense limitations as an annual percentage rate of average daily net assets for the U.S. Mortgages Fund was 0.004%. 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 custodian and 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.

173

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

March 31, 2016

5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

For the fiscal year ended March 31, 2016, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:

Fund	Management Fee Waiver		Other Expense Reimbursements		Total Expense Reductions
Dynamic Emerging Markets Debt	$	28,931	$	422,380	$	451,311
Emerging Markets Debt		—		368,871		368,871
High Yield		305,013		—		305,013
High Yield Floating Rate		524,561		—		524,561
Investment Grade Credit		271,931		345,952		617,883
Local Emerging Markets Debt		1,054,486		486,170		1,540,656
U.S. Mortgages		233,755		364,944		598,699

G.  Line of Credit Facility — As of March 31, 2016, 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 certain 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 fiscal year ended March 31, 2016, the Funds did not have any borrowings under the facility.

H.  Other Transactions with Affiliates — For the fiscal year ended March 31, 2016, Goldman Sachs earned $1,133, $83,730, $105,511, $22,295, $36,426 and $11,380 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.

The Funds may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is solely due to having a common investment adviser, common officers, or common trustees. For the fiscal year ended March 31, 2016, the purchase and sale transactions and related net realized gain (loss) for the Funds with an affiliated fund in compliance with Rule 17a-7 under the Act were as follows:

	Purchases at cost		Proceeds from Sales		Net realized gain (loss)
Emerging Markets Debt	$	—	$	23,481,145	$	(57,833	)
High Yield Floating Rate		30,563,214		24,936,224		(9,996	)

As of March 31, 2016, the Goldman Sachs Satellite Strategies Portfolio was the beneficial owner of 7% and 8% of total outstanding shares of the Emerging Markets Debt Fund and Local Emerging Markets Debt Funds, respectively. The Goldman Sachs Tactical Tilt Implementation Fund was the beneficial owner of 7% and 12% of outstanding Institutional Shares of the High Yield and High Yield Floating Rate Funds, respectively.

174

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

As of March 31, 2016, 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:

Fund	Class C			Institutional			Class IR			Class R			Class R6
Dynamic Emerging Markets Debt		23	%		24	%		76	%		100	%		—	%
High Yield Floating Rate		—			—			—			100			—
Investment Grade Credit		—			—			—			—			100
U.S. Mortgages		—			—			—			—			100

The table below shows the transactions in and earnings from investments by the Funds in the Underlying Fund for the fiscal year ended March 31, 2016:

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 3/31/2016		Dividend Income
High Yield Fund	Goldman Sachs Financial Square Government Fund	$	9,991,607	$	2,440,662,525	$	(2,315,505,374	)	$	—		$	—		$	135,148,758	$	165,485
High Yield Floating Rate Fund	Goldman Sachs Financial Square Government Fund		343,301,170		1,732,261,100		(1,794,938,776	)		—			—			280,623,494		186,372
High Yield Floating Rate Fund	Goldman Sachs High Yield Fund		47,234,307		662,828		(47,177,950	)		(698,684	)		(20,501	)		—		662,917
Investment Grade Credit Fund	Goldman Sachs Financial Square Government Fund		1,996,322		167,865,930		(169,862,177	)		—			—			75		7,830
Local Emerging Markets Debt Fund	Goldman Sachs Financial Square Government Fund		19		705,461,518		(703,313,526	)		—			—			2,148,011		9,286
U.S. Mortgages Fund	Goldman Sachs Financial Square Government Fund		82,588,296		318,037,964		(352,201,630	)		—			—			48,424,630		22,302

175

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

March 31, 2016

5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended March 31, 2016, were as follows:

Fund	Purchases of U.S. Government and Agency Obligations		Purchases (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	$	10,196,834	$	36,347,836	$	8,991,480	$	15,933,785
Emerging Markets Debt		352,071,476		720,518,880		461,847,484		1,263,638,236
High Yield		—		2,085,237,875		—		3,497,805,160
High Yield Floating Rate		—		1,473,909,210		—		2,146,001,698
Investment Grade Credit		95,485,440		240,408,154		69,253,066		281,371,046
Local Emerging Markets Debt		374,045,142		558,419,668		1,146,150,284		444,678,127
U.S. Mortgages		3,572,529,999		18,604,303		3,502,427,315		14,809,795

6. PORTFOLIO SECURITIES TRANSACTIONS

The table below summarizes the reverse repurchase agreement activity for the fiscal year ended March 31, 2016:

Fund	Average amount of borrowings		Weighted average interest rate (Paid) Received			Number of days outstanding during the period
Dynamic Emerging Markets Debt	$	266,575		(0.691	)%		135
Emerging Markets Debt		19,378,049		(0.650	)		333
High Yield		92,418,317		(0.946	)		333
High Yield Floating Rate		4,669,073		(0.232	)		166
Local Emerging Markets Debt		270,381		(0.566	)		155

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 March 31, 2016:

Emerging Markets Debt
	Remaining Contractual Maturity of the Agreements As of March 31, 2016
	Overnight and Continuous		<30 days		Between 30 & 90 days		>90 days		Total
Reverse Repurchase Agreements
Corporate Obligations	$	—	$	—	$	—	$	630,921	$	630,921
Sovereign Debt Obligations		—		—		—		10,541,699		10,541,699
Total		$—		$—		$—		$11,172,620		$11,172,620
Total Borrowings	$	—	$	—	$	—	$	11,172,620	$	11,172,620
Gross amount of recognized liabilities for reverse repurchase agreements										$11,172,620

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GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

6. PORTFOLIO SECURITIES TRANSACTIONS (continued)

High Yield
		Remaining Contractual Maturity of the Agreements As of March 31, 2016
		Overnight and Continuous		<30 days		Between 30 & 90 days		>90 days		Total
Reverse Repurchase Agreements
Corporate Obligations	��	$	—	$	—	$	—	$	15,254,188	$	15,254,188
Total Borrowings		$	—	$	—	$	—	$	15,254,188	$	15,254,188
Gross amount of recognized liabilities for reverse repurchase agreements											$15,254,188

7. TAX INFORMATION

The tax character of distributions paid during the fiscal year ended March 31, 2016 was 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
Distribution paid from:
Ordinary income	$	47,029	$	60,946,201	$	266,718,239	$	158,418,963	$	16,007,680	$	—	$	7,994,861
Net long-term capital gains		—		—		—		—		1,366,147		—		—
Total taxable distributions	$	47,029	$	60,946,201	$	266,718,239	$	158,418,963	$	17,373,827	$	—	$	7,994,861
Tax return of capital	$	1,325,783	$	—	$	12,065,706	$	—	$	—	$	57,517,076	$	18,019

The tax character of distributions paid during the fiscal year ended March 31, 2015 was 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
Distribution paid from:
Ordinary income	$	1,098,227	$	73,618,665	$	298,597,929	$	164,993,110	$	19,293,272	$	—	$	6,245,566
Net long-term capital gains		—		—		84,719,319		523,694		6,192,833		—		—
Total taxable distributions	$	1,098,227	$	73,618,665	$	383,317,248	$	165,516,804	$	25,486,105	$	—	$	6,245,566
Tax return of capital	$	79,478	$	—	$	3,323,487	$	—	$	—	$	100,482,672	$	—

177

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

March 31, 2016

7. TAX INFORMATION (continued)

As of March 31, 2016, the components of accumulated earnings (losses) on a 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
Undistributed ordinary income — net	$	—		$	17,156,223		$	—		$	331,311		$	924,397		$	—		$	—
Undistributed long-term capital gains		—			—			—			—			—			—			—
Total undistributed earnings	$	—		$	17,156,223		$	—		$	331,311		$	924,397		$	—		$	—
Capital loss carryforwards:(1)
Perpetual Short-Term		(149,416	)		(18,203,616	)		(43,577,136	)		(25,790,798	)		(854,320	)		(85,840,344	)		(911,572	)
Perpetual Long-Term		(202,764	)		(10,692,559	)		(57,606,642	)		(18,096,396	)		—			(23,730,467	)		—
Total capital loss carryforwards	$	(352,180	)	$	(28,896,175	)	$	(101,183,778	)	$	(43,887,194	)	$	(854,320	)	$	(109,570,811	)	$	(911,572	)
Timing differences (Straddle Loss Deferral, Post-October Loss Deferral, Defaulted Bonds, Distribution Payable, Post-October Specified Loss Deferral)	$	(842,161	)	$	(25,312,178	)	$	(246,293,157	)	$	(31,680,755	)	$	(6,548,296	)	$	(166,829,398	)	$	(220,292	)
Unrealized gains (losses) — net		(659,682	)		(41,374,031	)		(280,694,499	)		(189,828,660	)		7,945,645			(161,942,004	)		2,094,886
Total accumulated earnings (losses) net	$	(1,854,023	)	$	(78,426,161	)	$	(628,171,434	)	$	(265,065,298	)	$	1,467,426		$	(438,342,213	)	$	963,022

(1) The U.S. Mortgages Fund utilized capital losses in the current fiscal year of $1,211,371.

As of March 31, 2016, the Funds’ 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	$	40,251,883		$	1,058,097,976		$	3,992,838,154		$	3,449,327,509		$	412,359,591		$	683,994,489		$	430,322,006
Gross unrealized gain		1,222,117			26,067,164			67,836,541			6,967,636			15,003,930			6,690,150			4,255,058
Gross unrealized loss		(1,936,319	)		(64,267,696	)		(349,384,727	)		(196,081,690	)		(7,085,451	)		(166,182,572	)		(2,100,525	)
Net unrealized gains (losses) on securities	$	(714,202	)	$	(38,200,532	)	$	(281,548,186	)	$	(189,114,054	)	$	7,918,479		$	(159,492,422	)	$	2,154,533
Net unrealized gains (losses) on other investments		54,520			(3,173,499	)		853,687			(714,606	)		27,166			(2,449,582	)		(59,647	)
Net unrealized gains (losses)	$	(659,682	)	$	(41,374,031	)	$	(280,694,499	)	$	(189,828,660	)	$	7,945,645		$	(161,942,004	)	$	2,094,886

The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales, net mark-to-market gains (losses) on regulated futures contracts and foreign currency contracts, and differences related to the tax treatment of inflation protected securities, underlying fund investments, the recognition of income and gains/losses of certain bonds, bank loans, certain debt securities, swap transactions, and material modification of debt securities.

In order to present certain components of the Funds’ capital accounts on a tax-basis, certain reclassifications have been recorded to the Funds’ accounts. These reclassifications have no impact on the NAVs of the Funds and result primarily from return

178

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

7. TAX INFORMATION (continued)

of capital distributions, dividend redesignations, net operating losses, and differences in the tax treatment of underlying fund investments, swap transactions, foreign currency transactions, the recognition of income and gains/losses of certain bonds, section 305 dividends, bank loan amendment fees, material modification of debt securities, inflation protected securities, realized capital gains tax, and paydown gains and losses.

Fund	Paid-in Capital			Accumulated Net Realized Gain (Loss)			Undistributed Net Investment Income (Loss)
Dynamic Emerging Markets Debt	$	(280,071	)	$	1,129,727		$	(849,656	)
Emerging Markets Debt		—			26,220,654			(26,220,654	)
High Yield		—			3,057,762			(3,057,762	)
High Yield Floating Rate		—			1,245,105			(1,245,105	)
Investment Grade Credit		—			(22,701	)		22,701
Local Emerging Markets Debt		(268,693,235	)		262,838,519			5,854,716
U.S. Mortgages		—			(2,441,172	)		2,441,172

GSAM has reviewed the Funds’ tax positions 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:

Derivatives Risk — Loss may result from the Funds’ investments in derivative instruments. These instruments may be illiquid, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the Funds. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. Losses from investments in derivatives can result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.

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.

Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by the Fund will generally decline in value. Long-term fixed income securities or instruments will normally have more price volatility because of this risk than short-term fixed income securities or instruments. The risks associated with increasing rates are heightened given that interest rates are near historic lows, but are expected to increase in the future with unpredictable effects on the markets and the Funds’ investments.

Investments in Other Investment Companies — As a shareholder of another investment company, including an exchange-traded fund (“ETF”), a Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by

179

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

March 31, 2016

8. OTHER RISKS (continued)

such other investment companies, in addition to the fees and expenses regularly borne by the Fund. ETFs are subject to risks that do not apply to conventional mutual funds, including but not limited to the following: (i) the market price of the ETF’s shares may trade at a premium or a discount to their NAV; and (ii) an active trading market for an ETF’s shares may not develop or be maintained.

Large Shareholder Transactions Risk — 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 the Fund is delayed in investing new cash and is required to maintain 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.

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.

Loan-Related Investments Risk — In addition to risks generally associated with debt investments, loan related investments such as loan participations and assignments are subject to other risks. Although a loan obligation may be fully collateralized at the time of acquisition, the collateral may decline in value, be relatively illiquid, or lose all or substantially all of its value subsequent to investment. Many loan investments are subject to legal or contractual restrictions on resale and may be relatively illiquid and difficult to value. There is less readily available, reliable information about most loan investments than is the case for many other types of securities. Substantial increases in interest rates may cause an increase in loan obligation defaults. With respect to loan participations, the Fund may not always have direct recourse against a borrower if the borrower fails to pay scheduled principal and/or interest; may be subject to greater delays, expenses and risks than if the Fund had purchased a direct obligation of the borrower; and may be regarded as the creditor of the agent lender (rather than the borrower), subjecting the Fund to the creditworthiness of that lender as well. The market for loan obligations may be subject to irregular trading activity, wide bid/ask spreads and extended trade settlement periods. Because transactions in many loans are subject to extended trade settlement periods, the Fund may not receive the proceeds from the sale of a loan for a period after the sale. As a result, sale proceeds related to the sale of loans may not be available to make additional investments or to meet the Fund’s redemption obligations for a period after the sale of the loans, and, as a result, the Fund may have to sell other investments or engage in borrowing transactions, such as

180

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

8. OTHER RISKS (continued)

borrowing from its credit facility, if necessary to raise cash to meet its obligations. Senior Loans hold the most senior position in the capital structure of a business entity, and are typically secured with specific collateral, but are nevertheless usually rated below investment grade. Because Second Lien Loans are subordinated or unsecured and thus lower in priority of payment to Senior Loans, they are subject to the additional risk that the cash flow of the borrower and property securing the loan or debt, if any, may be insufficient to meet scheduled payments after giving effect to the senior secured obligations of the borrower. Second Lien Loans generally have greater price volatility than Senior Loans and may be less liquid.

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 United States. Foreign securities may be subject to risk of loss because of more or less foreign government regulation, less public information and less economic, political and social stability in the countries in which the Fund invests. 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 Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that the Fund also invests in securities of issuers located in emerging markets, these risks may be more pronounced.

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 they are permitted to invest a larger percentage of their 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 their 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.

Short Position Risk — A Fund may enter into a short position through a futures contract, an option or swap agreement or through short sales of any instrument that a Fund may purchase for investment. Taking short positions involves leverage of a Fund’s assets and presents various risks. If the value of the underlying instrument or market in which a Fund has taken a short position increases, then the Fund will incur a loss equal to the increase in value from the time that the short position was entered into plus any related interest payments or other fees. Taking short positions involves the risk that losses may be disproportionate, may exceed the amount invested, and may be unlimited.

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.

181

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

March 31, 2016

10. SUBSEQUENT EVENTS

Subsequent events after the Statements 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.

182

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

11. SUMMARY OF SHARE TRANSACTIONS

Share activity is as follows:

	Dynamic Emerging Markets Debt Fund
	For the Fiscal Year Ended March 31, 2016						For the Fiscal Year Ended March 31, 2015
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		13,900		$	114,060			83,224		$	746,648
Reinvestment of distributions		3,161			25,717			1,126			9,998
Shares redeemed		(32,372	)		(253,968	)		(17,396	)		(159,747	)
		(15,311	)		(114,191	)		66,954			596,899
Class C Shares
Shares sold		—			—			6,046			57,386
Reinvestment of distributions		210			1,720			339			3,169
Shares redeemed		(2,571	)		(20,859	)		(5,488	)		(48,905	)
		(2,361	)		(19,139	)		897			11,650
Institutional Shares
Shares sold		3,390,796			27,623,840			1,193,549			11,009,785
Reinvestment of distributions		111,683			907,279			75,352			699,506
Shares redeemed		(592,259	)		(4,673,540	)		(2,011,428	)		(17,689,119	)
		2,910,220			23,857,579			(742,527	)		(5,979,828	)
Class IR Shares
Shares sold		863			7,000			—			—
Reinvestment of distributions		142			1,144			111			1,033
		1,005			8,144			111			1,033
Class R Shares
Reinvestment of distributions		108			880			98			907
		108			880			98			907
NET INCREASE (DECREASE)		2,893,661		$	23,733,273			(674,467	)	$	(5,369,339	)

183

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

March 31, 2016

11. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:

	Emerging Markets Debt Fund
	For the Fiscal Year Ended March 31, 2016						For the Fiscal Year Ended March 31, 2015
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		4,665,161		$	56,375,727			5,480,596		$	68,967,346
Reinvestment of distributions		404,652			4,880,615			306,625			3,864,644
Shares redeemed		(3,788,830	)		(45,371,323	)		(6,225,076	)		(78,511,124	)
		1,280,983			15,885,019			(437,855	)		(5,679,134	)
Class C Shares
Shares sold		423,422			5,111,604			621,261			7,784,884
Reinvestment of distributions		87,245			1,052,806			70,856			892,311
Shares redeemed		(761,168	)		(9,166,757	)		(767,711	)		(9,603,101	)
		(250,501	)		(3,002,347	)		(75,594	)		(925,906	)
Institutional Shares
Shares sold		41,503,508			501,021,562			58,091,034			733,756,282
Reinvestment of distributions		4,176,383			50,670,957			5,223,093			65,886,452
Shares redeemed		(99,497,646	)		(1,210,709,072	)		(40,922,189	)		(512,115,905	)
		(53,817,755	)		(659,016,553	)		22,391,938			287,526,829
Class IR Shares
Shares sold		571,647			6,869,523			543,341			6,871,435
Reinvestment of distributions		63,083			762,403			55,699			703,677
Shares redeemed		(422,066	)		(5,043,642	)		(765,154	)		(9,696,559	)
		212,664			2,588,284			(166,114	)		(2,121,447	)
Class R6 Shares(a)
Shares sold		37,482			431,031			—			—
Reinvestment of distributions		434			5,205			—			—
Shares redeemed		(571	)		(6,962	)		—			—
		37,345			429,274			—			—
NET INCREASE (DECREASE)		(52,537,264	)	$	(643,116,323	)		21,712,375		$	278,800,342

(a) Commenced operations on July 31, 2015.

184

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

11. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:

	High Yield Fund
	For the Fiscal Year Ended March 31, 2016						For the Fiscal Year Ended March 31, 2015
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		33,525,228		$	209,770,367			39,958,551		$	276,716,359
Reinvestment of distributions		3,239,087			20,610,259			4,906,817			33,949,036
Shares converted from Class B(a)		—			—			245,694			1,734,547
Shares redeemed		(51,291,956	)		(322,285,814	)		(49,989,159	)		(347,321,401	)
		(14,527,641	)		(91,905,188	)		(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		608,378			3,828,902			926,449			6,542,861
Reinvestment of distributions		372,179			2,367,490			603,595			4,179,897
Shares redeemed		(2,872,428	)		(18,301,746	)		(3,249,436	)		(22,799,136	)
		(1,891,871	)		(12,105,354	)		(1,719,392	)		(12,076,378	)
Institutional Shares
Shares sold		205,189,144			1,303,287,827			300,506,357			2,086,719,807
Reinvestment of distributions		36,789,982			235,269,548			46,674,753			323,636,798
Shares redeemed		(437,980,962	)		(2,763,912,787	)		(229,051,072	)		(1,603,158,563	)
		(196,001,836	)		(1,225,355,412	)		118,130,038			807,198,042
Service Shares
Shares sold		441,299			2,833,687			655,753			4,542,455
Reinvestment of distributions		101,790			645,493			147,834			1,020,779
Shares redeemed		(674,406	)		(4,252,353	)		(587,740	)		(4,125,478	)
		(131,317	)		(773,173	)		215,847			1,437,756
Class IR Shares
Shares sold		275,748			1,761,052			563,770			4,005,197
Reinvestment of distributions		103,875			662,275			162,720			1,129,338
Shares redeemed		(888,279	)		(5,709,368	)		(764,994	)		(5,356,176	)
		(508,656	)		(3,286,041	)		(38,504	)		(221,641	)
Class R Shares
Shares sold		487,916			3,061,348			468,959			3,296,443
Reinvestment of distributions		136,322			863,648			177,172			1,225,486
Shares redeemed		(645,111	)		(4,076,039	)		(582,783	)		(4,075,509	)
		(20,873	)		(151,043	)		63,348			446,420
Class R6 Shares(b)
Shares sold		28,612,859			178,673,267			—			—
Reinvestment of distributions		578,904			3,472,089			—			—
Shares redeemed		(2,276,517	)		(13,627,036	)		—			—
		26,915,246			168,518,320			—			—
NET INCREASE (DECREASE)		(186,166,948	)	$	(1,165,057,891	)		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.

185

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

March 31, 2016

11. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:

	High Yield Floating Rate Fund
	For the Fiscal Year Ended March 31, 2016						For the Fiscal Year Ended March 31, 2015
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		1,807,090		$	17,903,306			457,661		$	4,574,505
Reinvestment of distributions		40,879			397,875			41,231			412,356
Shares redeemed		(1,767,513	)		(17,298,273	)		(2,330,202	)		(23,313,468	)
		80,456			1,002,908			(1,831,310	)		(18,326,607	)
Class C Shares
Shares sold		27,814			268,289			50,989			509,881
Reinvestment of distributions		5,894			56,730			5,673			56,497
Shares redeemed		(42,839	)		(410,894	)		(106,112	)		(1,054,285	)
		(9,131	)		(85,875	)		(49,450	)		(487,907	)
Institutional Shares
Shares sold		150,739,619			1,459,525,317			210,661,401			2,100,478,441
Reinvestment of distributions		16,273,648			157,037,143			16,464,494			164,105,775
Shares redeemed		(238,798,504	)		(2,294,504,035	)		(229,072,256	)		(2,271,827,355	)
		(71,785,237	)		(677,941,575	)		(1,946,361	)		(7,243,139	)
Class IR Shares
Shares sold		57,233			565,011			598			6,001
Reinvestment of distributions		4,760			45,696			3,683			36,777
Shares redeemed		(13,001	)		(125,995	)		(84,289	)		(846,978	)
		48,992			484,712			(80,008	)		(804,200	)
Class R Shares
Reinvestment of distributions		40			390			37			362
		40			390			37			362
NET DECREASE		(71,664,880	)	$	(676,539,440	)		(3,907,092	)	$	(26,861,491	)

186

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

11. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:

	Investment Grade Credit Fund
	For the Fiscal Year Ended March 31, 2016						For the Fiscal Year Ended March 31, 2015
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		944,601		$	8,538,173			1,190,648		$	11,277,131
Reinvestment of distributions		110,624			999,869			134,424			1,271,629
Shares redeemed		(1,083,853	)		(9,806,825	)		(854,822	)		(8,111,154	)
		(28,628	)		(268,783	)		470,250			4,437,606
Institutional Shares
Shares sold		4,952,815			44,182,193			5,165,029			49,252,878
Reinvestment of distributions		708,414			6,409,234			984,707			9,319,224
Shares redeemed		(7,172,863	)		(64,438,781	)		(5,093,194	)		(48,305,536	)
		(1,511,634	)		(13,847,354	)		1,056,542			10,266,566
Class IR Shares
Shares sold		49,416			446,525			64,077			608,820
Reinvestment of distributions		4,640			41,964			4,215			39,909
Shares redeemed		(48,635	)		(440,515	)		(13,656	)		(129,675	)
		5,421			47,974			54,636			519,054
Separate Account Institutional Shares
Shares sold		3,907,875			35,307,428			5,965,384			56,771,992
Reinvestment of distributions		947,806			8,573,650			1,379,298			13,059,830
Shares redeemed		(5,864,947	)		(53,052,359	)		(10,488,332	)		(99,963,643	)
		(1,009,266	)		(9,171,281	)		(3,143,650	)		(30,131,821	)
Class R6 Shares(a)
Shares sold		1,096			10,005			—			—
Reinvestment of distributions		31			274			—			—
Shares redeemed		(1	)		(5	)		—			—
		1,126			10,274			—			—
NET DECREASE		(2,542,981	)	$	(23,229,170	)		(1,562,222	)	$	(14,908,595	)

(a) Commenced operations on July 31, 2015.

187

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Notes to Financial Statements (continued)

March 31, 2016

11. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:

	Local Emerging Markets Debt Fund
	For the Fiscal Year Ended March 31, 2016						For the Fiscal Year Ended March 31, 2015
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		16,188,007		$	108,203,140			16,069,534		$	126,076,171
Reinvestment of distributions		1,413,380			8,876,842			695,776			5,432,141
Shares redeemed		(15,628,190	)		(94,942,849	)		(8,119,852	)		(64,506,760	)
		1,973,197			22,137,133			8,645,458			67,001,552
Class C Shares
Shares sold		154,250			999,714			155,906			1,242,741
Reinvestment of distributions		48,962			310,761			67,940			547,360
Shares redeemed		(565,871	)		(3,645,519	)		(918,147	)		(7,285,782	)
		(362,659	)		(2,335,044	)		(694,301	)		(5,495,681	)
Institutional Shares
Shares sold		56,849,733			355,705,584			83,380,084			659,418,229
Reinvestment of distributions		7,276,668			46,447,287			11,170,642			89,721,804
Shares redeemed		(177,953,649	)		(1,096,683,583	)		(130,608,217	)		(1,014,278,781	)
		(113,827,248	)		(694,530,712	)		(36,057,491	)		(265,138,748	)
Class IR Shares
Shares sold		1,358,482			8,407,638			57,192			470,024
Reinvestment of distributions		44,357			272,819			30,754			249,608
Shares redeemed		(355,067	)		(2,215,273	)		(494,051	)		(4,080,192	)
		1,047,772			6,465,184			(406,105	)		(3,360,560	)
NET DECREASE		(111,168,938	)	$	(668,263,439	)		(28,512,439	)	$	(206,993,437	)

188

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

11. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:

	U.S. Mortgages Fund
	For the Fiscal Year Ended March 31, 2016						For the Fiscal Year Ended March 31, 2015
	Shares			Dollars			Shares			Dollars
Class A Shares
Shares sold		1,314,665		$	13,993,389			3,325,832		$	35,532,187
Reinvestment of distributions		77,837			828,563			19,884			212,482
Shares redeemed		(929,079	)		(9,875,870	)		(764,578	)		(8,162,992	)
		463,423			4,946,082			2,581,138			27,581,677
Institutional Shares
Shares sold		2,788,512			29,691,367			4,837,392			51,479,259
Reinvestment of distributions		127,680			1,362,411			87,568			935,781
Shares redeemed		(1,526,865	)		(16,270,553	)		(1,780,772	)		(19,044,650	)
		1,389,327			14,783,225			3,144,188			33,370,390
Class IR Shares
Shares sold		500,930			5,341,478			175,347			1,864,094
Reinvestment of distributions		8,764			93,522			2,119			22,718
Shares redeemed		(59,487	)		(635,440	)		(14,878	)		(159,478	)
		450,207			4,799,560			162,588			1,727,334
Separate Account Institutional Shares
Shares sold		4,759,318			50,456,284			1,921,086			20,451,375
Reinvestment of distributions		436,710			4,650,369			390,503			4,156,210
Shares redeemed		(3,674,293	)		(39,106,986	)		(4,325,419	)		(45,927,807	)
		1,521,735			15,999,667			(2,013,830	)		(21,320,222	)
Class R6 Shares(a)
Shares sold		938			10,005			—			—
Reinvestment of distributions		17			182			—			—
Shares redeemed		(1	)		(5	)		—			—
		954			10,182			—			—
NET INCREASE		3,825,646		$	40,538,716			3,874,084		$	41,359,179

(a) Commenced operations on July 31, 2015.

189

Report of Independent Registered Public

Accounting Firm

To the Board of Trustees of Goldman Sachs Trust and Shareholders of

Goldman Sachs Single Sector Fixed Income Funds:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Goldman Sachs U.S. Mortgages Fund, Goldman Sachs Investment Grade Credit Fund, Goldman Sachs High Yield Fund, Goldman Sachs Local Emerging Markets Debt Fund, Goldman Sachs Emerging Markets Debt Fund, Goldman Sachs High Yield Floating Rate Fund, and the Goldman Sachs Dynamic Emerging Markets Debt Fund (collectively the “Funds”), funds of Goldman Sachs Trust, at March 31, 2016, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at March 31, 2016 by correspondence with the custodian, brokers, transfer agent of the underlying funds and the application of alternative auditing procedures where confirmation of securities purchased had not been received, provide a reasonable basis for the opinion expressed above.

PricewaterhouseCoopers LLP

Boston, Massachusetts

May 26, 2016

190

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Fund Expenses — Six Month Period Ended March 31, 2016 (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 October 1, 2015 through March 31, 2016, which represents a period of 183 days in a 366-day year.

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 10/1/15		Ending Account Value 3/31/16			Expenses Paid for the 6 months ended 3/31/16*		Beginning Account Value 10/1/15		Ending Account Value 3/31/16			Expenses Paid for the 6 months ended 3/31/16*		Beginning Account Value 10/1/15		Ending Account Value 3/31/16			Expenses Paid for the 6 months ended 3/31/16*		Beginning Account Value 10/1/15		Ending Account Value 3/31/16			Expenses Paid for the 6 months ended 3/31/16*
Class A
Actual	$	1,000.00	$	1,073.30		$	6.38	$	1,000.00	$	1,061.40		$	6.34	$	1,000.00	$	989.90		$	5.22	$	1,000.00	$	1,000.80		$	4.85
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		1,020.15	+		4.90
Class C
Actual		1,000.00		1,069.20			10.35		1,000.00		1,056.60			10.18		1,000.00		986.20			8.94		1,000.00		997.10			8.59
Hypothetical 5% return		1,000.00		1,015.00	+		10.08		1,000.00		1,015.10	+		9.97		1,000.00		1,016.00	+		9.07		1,000.00		1,016.40	+		8.67
Institutional
Actual		1,000.00		1,075.00			4.62		1,000.00		1,062.30			4.59		1,000.00		991.70			3.54		1,000.00		1,002.50			3.15
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		1,021.85	+		3.18
Service
Actual		N/A		N/A			N/A		N/A		N/A			N/A		1,000.00		989.10			6.02		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		1,074.70			5.08		1,000.00		1,061.80			5.05		1,000.00		991.20			3.98		1,000.00		1,002.10			3.60
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		1,021.40	+		3.64
Class R
Actual		1,000.00		1,071.90			7.67		N/A		N/A			N/A		1,000.00		988.60			6.46		1,000.00		998.60			6.00
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		1,019.00	+		6.06
R6(a)
Actual		N/A		N/A			N/A		1,000.00		1,062.30			4.49		1,000.00		991.80			3.49		N/A		N/A			N/A
Hypothethical 5% return		N/A		N/A			N/A		1,000.00		1,020.65	+		4.39		1,000.00		1,021.50	+		3.54		N/A		N/A			N/A

191

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

	Investment Grade Credit Fund							Local Emerging Markets Debt Fund							U.S. Mortgages Fund
Share Class	Beginning Account Value 10/1/15		Ending Account Value 3/31/16			Expenses Paid for the 6 months ended 3/31/16*		Beginning Account Value 10/1/15		Ending Account Value 3/31/16			Expenses Paid for the 6 months ended 3/31/16*		Beginning Account Value 10/1/15		Ending Account Value 3/31/16			Expenses Paid for the 6 months ended 3/31/16*
Class A
Actual	$	1,000.00	$	1,026.20		$	3.65	$	1,000.00	$	1,095.10		$	6.55	$	1,000.00	$	1,014.00		$	3.93
Hypothetical 5% return		1,000.00		1,021.40	+		3.64		1,000.00		1,018.75	+		6.31		1,000.00		1,021.10	+		3.94
Class C
Actual		N/A		N/A			N/A		1,000.00		1,090.90			10.45		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		1,027.90			1.93		1,000.00		1,097.00			4.77		1,000.00		1,016.70			2.22
Hypothetical 5% return		1,000.00		1,023.10	+		1.92		1,000.00		1,020.45	+		4.60		1,000.00		1,022.80	+		2.23
Class IR
Actual		1,000.00		1,027.40			2.38		1,000.00		1,094.70			5.18		1,000.00		1,015.30			2.67
Hypothetical 5% return		1,000.00		1,022.65	+		2.38		1,000.00		1,020.05	+		5.00		1,000.00		1,022.35	+		2.68
Separate Account Institutional
Actual		1,000.00		1,027.90			1.93		N/A		N/A			N/A		1,000.00		1,016.70			2.22
Hypothetical 5% return		1,000.00		1,023.10	+		1.92		N/A		N/A			N/A		1,000.00		1,022.80	+		2.23
Class R6(a)
Actual		1,000.00		1,027.90			1.93		N/A		N/A			N/A		1,000.00		1,016.70			2.22
Hypothethical 5% return		1,000.00		1,023.10	+		1.92		N/A		N/A			N/A		1,000.00		1,022.80	+		2.23

* 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 March 31, 2016. 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		2.00		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		0.87
High Yield		1.05		1.80		0.71		1.21		N/A		0.80		1.30		0.70
High Yield Floating Rate		0.97		1.72		0.63		N/A		N/A		0.72		1.20		N/A
Investment Grade Credit		0.72		N/A		0.38		N/A		0.38		0.47		N/A		0.38
Local Emerging Markets Debt		1.25		2.00		0.91		N/A		N/A		0.99		N/A		N/A
U.S. Mortgages		0.78		N/A		0.44		N/A		0.44		0.53		N/A		0.44

+ 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.

192

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Trustees and Officers (Unaudited)

Independent Trustees

Name, Address and Age1	Position(s) Held with the Trust	Term of Office and Length of Time Served2	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee3	Other Directorships Held by Trustee4
Ashok N. Bakhru Age: 74	Chairman of the Board of Trustees	Since 1996 (Trustee since 1991)	Mr. Bakhru is retired. He was formerly Director, Apollo Investment Corporation (a business development company) (2008-2013); President, ABN Associates (a management and financial consulting firm) (1994-1996 and 1998-2012); Trustee, Scholarship America (1998-2005); Trustee, Institute for Higher Education Policy (2003-2008); Director, Private Equity Investors — III and IV (1998-2007), and Equity-Linked Investors II (April 2002-2007). Chairman of the Board of Trustees — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust.	142	None
Kathryn A. Cassidy Age: 62	Trustee	Since 2015	Ms. Cassidy is retired. Formerly, she was Advisor to the Chairman (May 2014-December 2014); and Senior Vice President and Treasurer (2008-2014), General Electric Company & General Electric Capital Corporation (technology and financial services companies). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	109	None
Diana M. Daniels Age: 66	Trustee	Since 2007	Ms. Daniels is retired. Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is a Trustee Emeritus and serves as a Presidential Councillor of Cornell University (2013-Present); former Member of the Legal Advisory Board, New York Stock Exchange (2003-2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006-2007). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	109	None
Herbert J. Markley Age: 65	Trustee	Since 2013	Mr. Markley is retired. Formerly, he was Executive Vice President, Deere & Company (an agricultural and construction equipment manufacturer) (2007-2009); and President, Agricultural Division, Deere & Company (2001-2007). Previously, Mr. Markley served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (June 2013-October 2013). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	109	None
Jessica Palmer Age: 67	Trustee	Since 2007	Ms. Palmer is retired. She is Director, Emerson Center for the Arts and Culture (2011-Present); and was formerly a Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	109	None

193

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Trustees and Officers (Unaudited) (continued)

Independent Trustees

Name, Address and Age1	Position(s) Held with the Trust	Term of Office and Length of Time Served2	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee3	Other Directorships Held by Trustee4
Roy W. Templin Age: 55	Trustee	Since 2013	Mr. Templin is retired. He recently served as Chairman of the Board of Directors, Con-Way Incorporated (a transportation, logistics and supply chain management service company) (2014-2015) and was formerly Executive Vice President and Chief Financial Officer, Whirlpool Corporation (an appliance manufacturer and marketer) (2004-2012). Previously, Mr. Templin served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (June 2013-October 2013). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	109	None
Gregory G. Weaver Age: 64	Trustee	Since 2015	Mr. Weaver is retired. He is Director, Verizon Communications Inc. (2015-Present); and was formerly Chairman and Chief Executive Officer, Deloitte & Touche LLP (a professional services firm) (2001-2005 and 2012-2014); and Member of the Board of Directors, Deloitte & Touche LLP (2006-2012). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	109	Verizon Communications Inc.

194

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Trustees and Officers (Unaudited) (continued)

Interested Trustees*

Name, Address and Age1	Position(s) Held with the Trust	Term of Office and Length of Time Served2	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee3	Other Directorships Held by Trustee4
James A. McNamara Age: 53	President and Trustee	Since 2007	Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993- April 1998). President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust.	141	None
Alan A. Shuch Age: 66	Trustee	Since 1990	Advisory Director — GSAM (May 1999-Present); Consultant to GSAM (December 1994-May 1999); and Limited Partner, Goldman Sachs (December 1994-May 1999). Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust.	109	None

* These persons are considered to be “Interested Trustees” because they hold positions with Goldman Sachs and own securities issued by The Goldman Sachs Group, Inc. Each Interested Trustee holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor.

¹  Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of March 31, 2016.

²  Each Trustee holds office for an indefinite term until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board of Trustees or shareholders, in accordance with the Trust’s Declaration of Trust; (c) December 31st of the year in which the Trustee turns 74 years of age, subject to waiver by a majority of the Trustees (in accordance with the current resolutions of the Board of Trustees, which may be changed by the Trustees without shareholder vote); or (d) the termination of the Trust.

³  The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of March 31, 2016, Goldman Sachs Trust consisted of 100 portfolios (95 of which offered shares to the public); Goldman Sachs Variable Insurance Trust consisted of 14 portfolios; Goldman Sachs Trust II consisted of 16 portfolios (seven of which offered shares to the public); Goldman Sachs BDC, Inc., Goldman Sachs MLP Income Opportunities Fund, and Goldman Sachs MLP and Energy Renaissance Fund each consisted of one portfolio; and Goldman Sachs ETF Trust consisted of 14 portfolios (five of which offered shares to the public).

⁴  This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act.

Additional information about the Trustees is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.

195

GOLDMAN SACHS SINGLE SECTOR FIXED INCOME FUNDS

Trustees and Officers (Unaudited) (continued)

Officers of the Trust*

Name, Address and Age1	Position(s) Held With the Trust	Term of Office and Length of Time Served2	Principal Occupation(s) During Past 5 Years
James A. McNamara 200 West Street New York, NY 10282 Age: 53	Trustee and President	Since 2007	Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998). President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust.
Caroline L. Kraus 200 West Street New York, NY 10282 Age: 38	Secretary	Since 2012	Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Associate General Counsel, Goldman Sachs (2012-Present); Assistant General Counsel, Goldman Sachs (August 2006-December 2011); and Associate, Weil, Gotshal & Manges, LLP (2002-2006). Secretary — Goldman Sachs Trust (previously Assistant Secretary (2012)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2012)); Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust.
Scott M. McHugh 200 West Street New York, NY 10282 Age: 44	Treasurer, Senior Vice President and Principal Financial Officer	Since 2009 (Principal Financial Officer since 2013)	Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (February 2007-December 2015); Assistant Treasurer of certain mutual funds administered by DWS Scudder (2005-2007); and Director (2005-2007), Vice President (2000-2005), and Assistant Vice President (1998-2000), Deutsche Asset Management or its predecessor (1998-2007). Treasurer, Senior Vice President and Principal Financial Officer — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; and Goldman Sachs ETF Trust.

* Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384.

¹  Information is provided as of March 31, 2016.

² Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor.

Single Sector Fixed Income Funds Tax Information (Unaudited)

For the fiscal year ended March 31, 2016, 0.07% and 0.48% of the dividends paid from net investment company taxable income by the High Yield Fund and Investment Grade Credit Fund, respectively, qualify for the dividends received deduction available to corporations.

For the fiscal year ended March 31, 2016, 0.08% of the dividends paid from net investment company taxable income by the High Yield Fund qualify for the reduced tax rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.

Pursuant to Section 852 of the Internal Revenue Code, the Investment Grade Credit Fund designates $1,366,147, or, if different, the maximum amount allowable, as capital gain dividends paid during the fiscal year ended March 31, 2016.

Pursuant to Section 871(k) of the Internal Revenue Code, the Investment Grade Credit Fund designates $300,013, as short-term capital gain dividends paid during the fiscal year ended March 31, 2016.

196

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 $1.11 trillion in assets under supervision as of March 31, 2016, 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

n Financial Square Tax-Exempt Money Market Fund

Investor Funds^SM

n Investor Money Market Fund

n Investor Tax-Exempt Money Market Fund³

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 Bond Fund

n Core Fixed Income Fund

n Global Income Fund

n Strategic Income Fund

Municipal and Tax-Free

n High Yield Municipal Fund

n Dynamic Municipal Income Fund

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 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 Fund

n Income Builder Fund

n Focused Value 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 Fund⁵

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 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 Commodity Strategy Fund

n Global Real Estate Securities 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 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 Multi-Manager U.S. Small Cap 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 portfolio is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although a money market portfolio seeks to preserve the value of an investment at $1.00 per share, it is possible to lose money by investing in a money market portfolio. The Fund’s sponsor has no legal obligation to provide financial support to a money market portfolio, and you should not expect that the sponsor will provide financial support to the money market portfolio at any time.

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 March 31, 2016, the Goldman Sachs Financial Square Tax-Free Money Market Fund was renamed the Goldman Sachs Investor Tax-Exempt Money Market Fund.

⁴  Effective on July 31, 2015, the Goldman Sachs Technology Tollkeeper Fund was renamed the Goldman Sachs Technology Opportunities Fund.

⁵  Effective at the close of business on February 5, 2016, the Goldman Sachs International Small Cap Fund was reorganized with and into the Goldman Sachs International Small Cap Insights 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.

*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 Diana M. Daniels Herbert J. Markley James A. McNamara Jessica Palmer Alan A. Shuch Roy W. Templin Gregory G. Weaver	OFFICERS James A. McNamara, President Scott M. McHugh, Treasurer, Senior Vice President and Principal Financial Officer Caroline L. 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).

Economic and market forecasts presented herein reflect our judgment as of the date of this report and are subject to change without notice. These forecasts do not take into account the specific investment objectives, restrictions, tax and financial situation or other needs of any specific client. Actual data will vary and may not be reflected here. These forecasts are subject to high levels of uncertainty that may affect actual performance. Accordingly, these forecasts should be viewed as merely representative of a broad range of possible outcomes. These forecasts are estimated, based on assumptions, and are subject to significant revision and may change materially as economic and market conditions change. Goldman Sachs has no obligation to provide updates or changes to these forecasts. Case studies and examples are for illustrative purposes only.

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 March 31, 2016 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.

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 dealer or from Goldman, Sachs & Co. by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550).

Goldman, Sachs & Co. is the distributor of the Goldman Sachs Funds.

© 2016 Goldman Sachs. All rights reserved. 46684-TMPL-05/2016 SSFIAR-16/66K

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. Gregory G. Weaver 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.

The following disclosure relates to the independence of PricewaterhouseCoopers LLP (“PwC”) with respect to SEC Rule 2-01(c)(1)(ii)(A) of Regulation S-X (the “Loan Rule”). The Loan Rule prohibits accounting firms, such as PwC, from having certain financial relationships with their audit clients and affiliated entities. Specifically, the Loan Rule provides, in relevant part, that an accounting firm generally would not be independent if it receives a loan from a lender that is a “record or beneficial owner of more than ten percent of the audit client’s equity securities.” The Goldman Sachs Asset Management investment company complex (the “Funds”) has been notified by PwC that one of its lenders owns more than ten percent of at least one of the Funds. The Funds are providing this disclosure to explain the facts and circumstances as well as PwC’s conclusions concerning its independence and its objectivity and impartiality with respect to the audits of the Funds.

PwC has advised the Funds that, after evaluating the facts and circumstances related to the matter described above, it has concluded that its financial relationship described above did not and will not impair PwC’s application of objective and impartial judgment on any issues encompassed within its audits of the financial statements of the Funds. PwC has advised the Funds that this conclusion is based in part on the following considerations: (1) the lenders to PwC have no influence over the fund adviser to the Funds; (2) an investment in any such Fund is passive; (3) the PwC lenders are part of various syndicates of unrelated lenders; (4) there have been no changes to the loans in question since the origination of each respective note; (5) the debts are in good standing and no lender has the right to take action against PwC, as borrower, in connection with the financings; (6) the debt balances are immaterial to PwC and to each lender; and (7) the PwC audit engagement team has no involvement in PwC’s treasury function and PwC’s treasury function has no oversight of or ability to influence the PwC audit engagement team.

If it were ultimately determined that PwC was not independent with respect to the Funds for certain periods, any Fund filings with the SEC which contain the Funds’ financial statements for such periods would not comply with applicable securities laws which potentially could have a material adverse effect on the Funds.

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.

	2016			2015			Description of Services Rendered
Audit Fees:
• PricewaterhouseCoopers LLP (“PwC”)		$	3,724,925		$	3,570,472	Financial Statement audits.
Audit-Related Fees:
• PwC		$	158,000		$	0	Other attest services.
Tax Fees:
• PwC		$	1,091,628		$	659,410	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.

	2016			2015			Description of Services Rendered
Audit-Related Fees:
• PwC		$	1,653,616		$	1,568,616	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, 2016 and March 31, 2015 were approximately $1,091,628 and $659,410 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, 2015 and December 31, 2014 were approximately $14.4 million and $10.2 million respectively. With regard to the aggregate non-audit fees billed to GST’s adviser and service affiliates, the 2015 and 2014 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 Shareholders 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:	June 6, 2016

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:	June 6, 2016
By:	/s/ Scott McHugh
	Scott McHugh
	Principal Financial Officer
	Goldman Sachs Trust
Date:	June 6, 2016