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)
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| 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: October 31
Date of reporting period: April 30, 2016
| ITEM 1. | REPORTS TO STOCKHOLDERS. |
| | The Semi-Annual Report to Shareholders is filed herewith. |
Goldman Sachs Funds
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| Semi-Annual Report | | | | April 30, 2016 |
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| | | | Dividend Focus Funds |
| | | | Income Builder |
| | | | Rising Dividend Growth |
Goldman Sachs Dividend Focus Funds
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TABLE OF CONTENTS | | | | |
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Investment Process — Income Builder | | | 1 | |
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Portfolio Management Discussion and Performance Summary — Income Builder | | | 2 | |
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Portfolio Management Discussion and Performance Summary — Rising Dividend Growth | | | 12 | |
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Schedules of Investments | | | 21 | |
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Financial Statements | | | 34 | |
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Financial Highlights | | | 38 | |
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Notes to Financial Statements | | | 42 | |
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Other Information | | | 60 | |
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| NOT FDIC-INSURED | | May Lose Value | | No Bank Guarantee |
GOLDMAN SACHS INCOME BUILDER FUND
What Differentiates Goldman Sachs’
Income Builder Fund Investment Process?
Income Builder Fund is a broadly diversified portfolio that seeks to provide income and capital appreciation.
The Goldman Sachs Income Builder Fund provides exposure to the wealth-building opportunities of stocks and the regular income potential of bonds. The Fund invests in both equity and fixed income securities with a focus on yield enhancing strategies to earn a monthly income stream. The Fund seeks to maintain broad exposure to equities with lower than general equity market volatility.
We believe that similar themes can perform differently across asset classes. The Fund can potentially take advantage of these cross-asset class opportunities as it is a dynamic portfolio that allows the flexibility to allocate across equities and fixed income from a top-down perspective, given our views on macro opportunities and valuations.
In our risk management process, we identify, monitor and measure a fund’s risk profile. We consider the risk relative to the benchmark and the fund’s investment goal to seek income stability and capital growth.
The Fund’s portfolio comprises the ideas of two experienced Goldman Sachs investment groups:
Global Fundamental Equity Group: A group of investment professionals averaging over 17 years of investment experience and with a strong commitment to fundamental research.
Global Fixed Income Group: Broad, deep capabilities across global fixed income markets, with a total return investment philosophy.
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PORTFOLIO RESULTS
Goldman Sachs Income Builder Fund
Investment Objective
The Goldman Sachs Income Builder Fund seeks to provide income and capital appreciation.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Fundamental Equity Team and the Goldman Sachs Fixed Income Investment Management Team, collectively the Goldman Sachs Income Builder Team (the “Income Builder Team”), discuss the Goldman Sachs Income Builder Fund’s (the “Fund”) performance and positioning for the six-month period ended April 30, 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 R6 Shares generated cumulative total returns, without sales charges, of -0.81%, -1.17%, -0.66%, -0.68% and -0.65%, respectively. These returns compare to the 1.93% and 2.36% cumulative total returns of the Russell 1000® Value Index (with dividends reinvested) (the “Russell Index”) and the Bank of America Merrill Lynch BB to B U.S. High Yield Constrained Index (the “BofA Merrill Lynch Index”), respectively, during the same period. |
| Q | | What economic and market factors most influenced the equity and fixed income markets as a whole during the Reporting Period? |
| A | | The U.S. equity market ended the Reporting Period roughly where it started. Federal Reserve (“Fed”) monetary policy, economic data and oil price shifts were some of the biggest themes dominating the U.S. equity markets during the Reporting Period. |
| | After holding the targeted federal funds rate in September and October 2015, in light of external risks, the Fed voted unanimously for a 25 basis point interest rate increase in December 2015, a move largely expected by the markets. (A basis point is 1/100th of a percentage point.) However, the fairly dovish language in the announcement, which emphasized “gradual” future adjustments to policy, helped to somewhat assuage the markets. (Dovish language tends to imply lower interest rates.) |
| | At the beginning of 2016, U.S. equities were embroiled in a rout that encompassed the broad global equity markets, triggered by investor concerns of an intensifying economic slowdown in China and exacerbated by an oil price plunge. In its January 2016 policy statement, the Fed acknowledged these external risks and tightening financial conditions. U.S. equity markets stabilized in mid-February 2016, as market sentiment improved on the more dovish tone set by global central banks broadly. U.S. equities were also supported by stronger economic data, rallying as the fourth quarter 2015 U.S. Gross Domestic Product (“GDP”) came in above expectations. In March 2016, the Fed kept interest rates on hold and surprised on the dovish side, reducing its forecast to two hikes in 2016, down from four. Along with receding global economic concerns, the dovish forecast helped to drive a recovery in U.S. equities. Market sentiment appeared to remain sanguine in April 2016, as oil prices rose and China economic growth concerns abated with modestly improving economic data. The Fed left rates unchanged but expressed less concern about market volatility and global economic growth, opening up the possibility of a June 2016 rate hike. However, U.S. equities fell near the end of April 2016, as first quarter 2016 U.S. GDP disappointed the markets by being weaker than expected at 0.5%. |
| | Within the fixed income markets, spread (or non-Treasury) sectors advanced during the Reporting Period overall. They started off on a positive note, performing well during November and December 2015. At the same time, the U.S. dollar strengthened on expectations the Fed would raise interest rates at its December 2015 policy meeting, as the U.S. economy continued to display a positive growth trend. Spread sectors then sold off in January 2016 through mid-February 2016. The selloff 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 stages. Some of these risks eased in the second half of the first quarter of 2016 as economic news from China improved, U.S. oil production showed signs of slowing and commodity prices appeared to |
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PORTFOLIO RESULTS
| | stabilize. As a result, spread sectors largely retraced their earlier losses by the end of March 2016. In the first calendar quarter overall, the U.S. dollar weakened due to generally tighter financial conditions, mixed U.S. economic data and more dovish commentary from the Fed. During April 2016, spread sectors generally recorded positive returns as investor risk appetite improved in response to better U.S. economic data and stronger oil and commodity prices. Although the U.S. dollar was buoyed by the positive economic data, it depreciated for the month as a whole, weakening after the Fed issued a slightly more dovish than expected statement following its April 2016 policy meeting. |
| Q | | What was the Fund’s asset allocation positioning during the Reporting Period? |
| A | | As part of its principal investment strategies, the Fund has a baseline allocation of 60% to fixed income securities and 40% to equity securities, though in seeking to meet its investment objective, the Fund has the flexibility to opportunistically tilt the allocation to fixed income and equity securities up to 15% above or below that baseline allocation. The Fund aims to provide a high and stable income stream plus capital appreciation, with lower volatility than the equity market. The percentage of the portfolio invested in equity and fixed income securities will vary from time to time as the Income Builder Team evaluates such securities’ relative attractiveness based on, among other factors, income opportunities, market valuations, economic growth and inflation prospects. Because of these stated goals of the Fund, the Income Builder Team believes the returns of the Russell Index and the BofA Merrill Lynch Index should be considered for reference only. |
| | At the beginning of the Reporting Period, the Fund was invested 39.4% in equities and 55.2% in fixed income, with the balance of 5.4% in cash and cash equivalents. During the Reporting Period, we gradually reduced the Fund’s overall exposure to equities because of our increasing concerns about the global economy and equity market volatility. Within the Fund’s fixed income allocation, we favored investment grade corporate bonds, becoming more tactical in our management of the Fund’s positions due to commodity price volatility and market activity suggesting the U.S. was in the later stages of the credit cycle. We also remained cautiously positive on high yield corporate bonds, with a focus on increasing the credit quality of the Fund’s holdings. At the end of the Reporting Period, the Fund was invested 36.7% in equities and 61.8% in fixed income, with the balance of 1.5% in cash and cash equivalents. |
| Q | | What was the Fund’s 12-month distribution rate and what was its 30-day SEC yield during the Reporting Period? |
| A | | During the Reporting Period, the Fund’s Class A, C, Institutional, IR and R6 Shares provided attractive 12-month distribution rates of 4.09%, 3.41%, 4.40%, 4.26% and 4.37%, respectively. As of April 30, 2016, the Fund’s 30-day SEC yields (subsidized) for its Class A, C, Institutional, IR and R6 Shares were 3.35%, 2.81%, 3.95%, 3.80% and 3.87%, respectively. |
| Q | | What key factors had the greatest impact on the performance of the Fund’s equity allocation during the Reporting Period? |
| A | | Relative to the Russell Index, stock selection had the greatest impact on the Fund’s equity allocation performance during the Reporting Period. |
| Q | | Which equity market sectors most significantly affected Fund performance during the Reporting Period? |
| A | | During the Reporting Period, the Fund was hurt by its underweights relative to the Russell Index in the financials and energy sectors and by its overweight in the health care sector. On an industry level, the Fund’s underweights in capital markets companies and in oil, gas and consumable fuels detracted from relative returns. An overweight in the pharmaceuticals industry also hampered results. Conversely, the Fund benefited from its overweight position relative to the Russell Index in the telecommunication services sector. In terms of industries, Fund returns were bolstered by overweights in diversified telecommunication services; health care providers and services; and hotels, restaurants and leisure. |
| Q | | Which stocks detracted significantly from the Fund’s relative performance during the Reporting Period? |
| A | | During the Reporting Period, the Fund’s investments in Credit Suisse Group, Targa Resources Partners LP (“NGLS”) and Devon Energy detracted most from performance relative to the Russell Index. |
| | Credit Suisse Group was hurt by difficult market conditions during the Reporting Period overall. Shares of the Switzerland-based financial services holding company also performed poorly after news of weaker than expected fourth quarter 2015 results. In our view, Credit Suisse Group’s growth and its deleveraging initiatives were challenged by a lack of liquidity in the credit markets and ongoing fears of a |
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PORTFOLIO RESULTS
| | global economic slowdown. The Fund exited the position during the Reporting Period due to the weakness of the stock price. |
| | NGLS is a master limited partnership (“MLP”) engaged in the business of gathering, processing, transporting, storage and sale of natural gas and natural gas liquids. While lower commodity prices dampened sentiment for NGLS during the Reporting Period, we remained positive on its distribution growth outlook, which may be driven, in our view, by infrastructure growth from the MLP’s leading positions in natural gas liquids in the Permian and Bakken shales as well as by its presence on the U.S. Gulf Coast. Although our investment thesis did not change, we eliminated the Fund’s position in NGLS during the Reporting Period in favor of other opportunities we viewed more favorably. |
| | During the Reporting Period, an investment in Devon Energy detracted from the Fund’s relative returns. The independent natural gas, natural gas liquids and petroleum producer underperformed due to weak energy prices as well as investor concerns about a possible acquisition and an equity offering. We exited the Fund’s position in the stock during the Reporting Period as the company had, in our view, weaker fundamentals and was therefore less attractive compared to other companies in the energy sector. |
| Q | | Which stocks contributed significantly to the Fund’s relative performance during the Reporting Period? |
| A | | The largest positive contributors to the Fund’s relative performance during the Reporting Period were AT&T, Apache and ConocoPhillips. |
| | AT&T, a telecommunication services provider, was the top contributor to the Fund’s relative returns during the Reporting Period. Shares of the company gained in response to its management’s positive comments during its fourth quarter 2015 earnings report. AT&T expects to generate mid-single-digit earnings growth during 2016, driven by synergies from its acquisition of DirecTV. In addition to these synergies, several other catalysts could, in our view, drive earnings estimates higher, including a potential increase in future cash flow as the company reduces its capital expenditures over the course of the next two years. However, we exited the Fund’s position in AT&T during the Reporting Period because we found other opportunities within the company’s peer group that we believed to be relatively more compelling on a valuation basis. |
| | Another leading contributor to the Fund’s relative performance during the Reporting Period was Apache, a petroleum and natural gas exploration and production company. Its shares rallied on speculation in November 2015 that the company had received an unsolicited takeover offer from an unnamed buyer. Apache continued to refocus on its North American operations through divestitures in its international operations, and we believed the company’s remaining international exposure was likely to generate stable and free cash flows. In our view, Apache also has attractive positions in the Permian Basin and Eagle Ford Shale. At the end of the Reporting Period, we remained confident in what we considered to be Apache’s strong management team, which has executed well on production goals. In our opinion, the company has an investment grade balance sheet, and its stock has an attractive valuation relative to its exploration and production peers. Although our investment thesis did not change during the Reporting Period, we sold the Fund’s position in Apache, taking profits amid the stock’s strong performance. |
| | The Fund benefited from an investment in ConocoPhillips. The exploration and production company announced that production growth remained strong but also reported weak fourth quarter 2015 results due to lower price realizations and asset write-downs. (A write-down is reducing the book value of an asset because it is overvalued compared to the market value.) In addition, its management reduced the company’s shareholder dividend because of the challenging commodity price environment. Although market reaction was negative, we expect the dividend cut to help balance the company’s sources and uses of cash. We also remained positive about its management’s focus on cost reductions and capital efficiency, which has the goal of keeping production stable. That said, we exited the Fund’s position in ConocoPhillips during the Reporting Period as we identified other companies in the energy sector about which we held more positive views. |
| Q | | Were any significant purchases or sales made within the equity allocation of the Fund during the Reporting Period? |
| A | | During the Reporting Period, the Fund initiated a position in Wal-Mart Stores. We believe the retailer has the potential for incremental traffic growth following improvement initiatives at its existing stores. In addition, we think Wal-Mart Stores may gain from its exposure to lower income consumers, who may be set to benefit from depressed energy prices and an improving U.S. economic backdrop. The company has plans to open 50 to 60 Supercenter stores in the U.S. during 2016. |
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PORTFOLIO RESULTS
| | The Fund purchased shares of Verizon Communications, as we believe the telecommunications company has some of the best assets in the industry. We further believe the company can modestly grow should it continue to invest and focus on its strong wireless business. In our view, Verizon is a high quality franchise with solid revenues from its FiOS service, customer growth and improving free cash flow profile. |
| | In addition to those sales already mentioned, we exited the Fund’s position in Boeing. The aerospace company reported strong fourth quarter 2015 results, with earnings per share coming in ahead of consensus. However, its stock declined because the company issued 2016 revenue and earnings guidance below consensus expectations, driven by commercial aircraft delivery timing and lower margins. Additionally, the company announced a Securities and Exchange Commission (“SEC”) investigation, prompted by an internal whistleblower, into accounting methods used on the 747 and 787 aircraft programs. Although we held a positive view on the commercial aerospace market in general and on Boeing in particular, we considered the near term risk/ reward balance less compelling. As a result, we decided to exit the Fund’s position in Boeing to pursue higher conviction ideas. |
| Q | | What changes were made to the Fund’s equity market sector weightings during the Reporting Period? |
| A | | During the Reporting Period, we shifted the Fund from an overweight position relative to the Russell Index in the financials sector to an underweight position. We reduced the size of the Fund’s overweight in the telecommunication services sector and decreased the size of its underweight in the information technology sector. We shifted the Fund from an underweight in consumer staples to an overweight position. Also, we moved the Fund from relatively neutral positions in health care and utilities to overweight positions. At the end of the Reporting Period, the Fund was overweight the health care, utilities, telecommunication services and consumer staples sectors, and it was underweight the financials, energy, industrials and information technology sectors relative to the Russell Index. Compared to the Russell Index, the Fund was relatively neutrally weighted in the materials and consumer discretionary sectors at the end of the Reporting Period. |
| Q | | Which fixed income market sectors significantly affected the Fund’s performance during the Reporting Period? |
| A | | Relative to the BofA Merrill Lynch Index, the Fund was hurt by its exposure to energy-related and financial-related high yield corporate bonds. Conversely, its bias toward lower credit quality issues versus the BofA Merrill Lynch Index added to performance. In addition, the Fund benefited from its exposure to corporate credit beta (that is, its sensitivity to the performance of the corporate credit market). |
| Q | | How did the Fund’s duration and yield curve positioning strategies affect performance during the Reporting Period? |
| A | | During the Reporting Period, the Fund’s duration strategy detracted slightly from its performance. More specifically, the Fund was hampered by its short duration positioning relative to the BofA Merrill Lynch Index, which it held for most of the Reporting Period. Duration is a measure of the Fund’s sensitivity to changes in interest rates. We do not actively manage the Fund’s yield curve positioning as part of our investment process. Yield curve is a spectrum of maturities. |
| Q | | What changes were made to the Fund’s fixed income weightings during the Reporting Period? |
| A | | During the Reporting Period, we focused the Fund’s investments on industries that we believed were experiencing healthy growth, including consumer-related and real estate-related industries. We also favored certain defensive industries, such as cellular telecommunications and cable. We limited investments in cyclical industries, such as technology, chemicals and metals/mining, which we consider more sensitive to global economic growth worries. For similar reasons, we maintained the Fund’s underweight in commodities-related credits during the Reporting Period. We added positions in B-rated and BB-rated credits and reduced the Fund’s exposure to CCC-rated credits through selective selling in economically sensitive sectors. |
| Q | | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | | During the Reporting Period, the Income Builder Team did not use derivatives as part of its active management strategy within the Fund’s equity allocation. In managing the Fund’s fixed income allocation, the Income Builder Team used U.S. Treasury futures and Eurodollar futures to hedge and manage 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 |
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PORTFOLIO RESULTS
| | in U.S. dollars at banks outside the U.S. The Fund also utilized forward foreign currency exchange contracts to hedge currency exposure. The use of these derivatives did not have a material impact on the performance of the Fund’s fixed income allocation during the Reporting Period. |
| Q | | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
| A | | During the Reporting Period, Collin Bell, Daniel Lochner and Charles “Brook” Dane became portfolio managers for the equity portion of the Income Builder Fund. By design, all investment decisions for the Fund are performed within a co-lead or team structure, with multiple subject matter experts. This strategic decision making has been the cornerstone of our approach and ensures continuity in the Fund. The other portfolio managers for the Fund are Ron Arons, Andrew Braun and David Beers. |
| Q | | What is the Income Builder Team’s tactical view and strategy for the months ahead? |
| A | | At the end of the Reporting Period, the Income Builder Team believed U.S. equities may generate positive mid-single-digit returns for calendar year 2016, despite a volatile start. Our expectation was that returns would be predominantly driven by earnings growth rather than multiple expansion. In our view, positive returns in a low (and potentially negative) interest rate environment make equities attractive, particularly relative to other asset classes. Overall, we considered the U.S. economy healthy at the end of the Reporting Period, with low unemployment, recovering house prices and low energy prices all supporting consumption. We think consumer spending could continue to broaden from industries, such as automobiles, home improvement and restaurants, that have already benefited from improved economic conditions. That said, we believed at the end of the Reporting Period that the U.S. economy had moved into the late-stage cycle, a time when companies find it harder to generate revenue growth, challenging their earnings. Equity valuations overall also tend to be higher in the late-stage cycle. Accordingly, we believe that scrutiny on earnings could potentially benefit stock-picking strategies in the near term, and we believe that active management provides a way to gain selective exposure. At the end of the Reporting Period, we had a favorable view of industry disruptors within the U.S. equity market, as they are often, in our view, long-term secular growth winners as well as asset light companies. (Asset light means lower operating costs and risks.) In addition, among industry disruptors, there is an abundance of technology companies, especially software and Internet-related, as well as health care companies. |
| | In terms of fixed income at the end of the Reporting Period, the Income Builder Team had a cautiously positive outlook for high yield corporate bonds. We believed the asset class remained a compelling source of yield, although high yield corporate bond spreads (or, yield differentials versus U.S. Treasuries of comparable duration) had narrowed significantly between mid-February 2016 and the end of the Reporting Period. That said, we believed at the end of the Reporting Period that corporate fundamentals were slowly deteriorating with higher mergers and acquisitions levels contributing to increased leverage. Despite a number of positive stories, we noted that the earnings environment for high yield issuers had grown more challenging, and several sectors had experienced year-over-year revenue and earnings declines. Refinancing had slowed. We also believed costs were rising for high yield issuers, which we expect to gradually stress their ability to service their debt. Meanwhile, bank lending surveys pointed to tightening lending standards at the end of the Reporting Period, while the capital markets appear to have become less accommodating to lower rated borrowers. In our view, defaults are likely to accelerate during 2016, led, we believe, by energy and metals/mining names, with some contagion spreading to distressed credits in other industries. Meanwhile, we expect mergers and acquisitions activity to slow and 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 led us to adopt “closer to home” positioning at the end of the Reporting Period, with a preference for U.S. service-related and consumer-related credits as well as those credits with exposure to deleveraging stories. At the end of the Reporting Period, we were also continuing to increase the Fund’s credit quality by adding positions in B-rated and BB-rated credits and reducing exposure to CCC-rated credits through selective selling in some of the most economically sensitive sectors. In addition, we saw value in European high yield corporate bonds, which we believe may benefit from the stimulus measures of the European Central Bank and Europe’s early-stage economic rebound. We also continued to favor high yield loans, as we believe they are less vulnerable to oil prices, offer defensive characteristics and have a higher overall quality profile compared to high yield corporate bonds. |
6
FUND BASICS
Income Builder Fund
as of April 30, 2016
| | | | | | | | | | | | | | |
| | PERFORMANCE REVIEW | |
| | | November 1, 2015–April 30, 2016 | | Fund Total Return
(based on NAV)1 | | | Russell 1000
Value Index2 | | | Bank of America Merrill
Lynch BB to B U.S. High
Yield Constrained Index3 | |
| | Class A | | | -0.81 | % | | | 1.93 | % | | | 2.36 | % |
| | Class C | | | -1.17 | | | | 1.93 | | | | 2.36 | |
| | Institutional | | | -0.66 | | | | 1.93 | | | | 2.36 | |
| | Class IR | | | -0.68 | | | | 1.93 | | | | 2.36 | |
| | | Class R6 | | | -0.65 | | | | 1.93 | | | | 2.36 | |
| | 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 Russell 1000® Value Index measures the performance of the large-cap value segment of the U.S. equity universe. It includes those Russell 1000® Index companies with lower price-to-book ratios and lower expected growth values. This index is constructed to provide a comprehensive and unbiased barometer for the large-cap value segment. The Index is completely reconstituted annually to ensure new and growing equities are included and that the represented companies continue to reflect value characteristics. |
| | 3 | | The BofA Merrill Lynch BB to B US High Yield Constrained Index contains all securities in the BofA Merrill Lynch U.S. High Yield Index rated BB1 through B3, based on an average of Moody’s, S&P and Fitch, but caps issuer exposure at 2%. Index constituents are capitalization-weighted, based on their current amount outstanding, provided the total allocation to an individual issuer does not exceed 2%. Issuers that exceed the limit are reduced to 2% and the face value of each of their bonds is adjusted on a pro-rata basis. Similarly, the face values of bonds of all other issuers that fall below the 2% cap are increased on a pro-rata basis. It is not possible to invest directly in an unmanaged index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
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FUND BASICS
| | | | | | | | | | | | | | |
| | PERFORMANCE REVIEW (continued) | |
| | | November 1, 2015–April 30, 2016 | | 12-Month
Distribution Rate4 | | | 30-Day Standardized
Subsidized Yield5 | | | 30-Day Standardized
Unsubsidized Yield5 | |
| | Class A | | | 4.09 | % | | | 3.35 | % | | | 3.25 | % |
| | Class C | | | 3.41 | | | | 2.81 | | | | 2.69 | |
| | Institutional | | | 4.40 | | | | 3.95 | | | | 3.83 | |
| | Class IR | | | 4.26 | | | | 3.80 | | | | 3.68 | |
| | | Class R6 | | | 4.37 | | | | 3.87 | | | | 3.76 | |
| | 4 | | The 12 month distribution rate is calculated by taking the sum of all cash distributions over the past 12 months and dividing by the month end NAV in the last month of the period. Distributions may include interest from fixed income, dividends from equities, short term and long term capital gains, return of capital, and special distributions. Return of capital distribution may include a return of some or all of the money that an investor invested in Fund shares. Distributions from securities such as MLPs passing through the Fund may also be characterized as return of capital. Special distributions may include any off-cycle distributions that occur outside of regular interest or dividend payment dates, such as when a company opts to pay a special dividend. The amounts and sources of distribution are not provided for tax reporting purposes. The Fund reports the character of distributions for federal income tax purposes each calendar year on Form 1099-DIV. Distributions will fluctuate over time and a large proportion of the distribution may occur at the end of the year in the form of capital gains. Distributions and market value movements affect the NAV of the Fund and will also affect this calculation. 12 month distribution rate numbers are based on historical distributions and NAVs and are not predictive of future distributions or yields. 12 month distribution rate is calculated to provide a sense of the total cash flow associated with investment in the Fund, but should not be confused with U.S. Securities and Exchange Commission (“SEC”) yield, dividend yield or interest yield. |
| | 5 | | The method of calculation of the 30-Day Standardized Subsidized Yield is mandated by the SEC 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 RETURNS6 |
| | | For the period ended 3/31/16 | | One Year | | | Five Years | | | Ten Years | | | Since Inception | | | Inception Date |
| | Class A | | | -9.72 | % | | | 4.82 | % | | | 4.79 | % | | | 6.34 | % | | 10/12/94 |
| | Class C | | | -6.20 | | | | 5.21 | | | | 4.60 | | | | 3.70 | | | 8/15/97 |
| | Institutional | | | -4.11 | | | | 6.43 | | | | 5.81 | | | | 4.95 | | | 8/15/97 |
| | Class IR | | | -4.26 | | | | 6.27 | | | | N/A | | | | 8.37 | | | 8/31/10 |
| | | Class R6 | | | N/A | | | | N/A | | | | N/A | | | | -4.22 | | | 7/31/15 |
| | 6 | | The Standardized Total Returns are average annual total returns or cumulative total returns for periods of less than 1 year 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 5.5% 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 returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
| | | | | | | | | | |
| | EXPENSE RATIOS7 | |
| | | | | Net Expense Ratio (Current) | | | Gross Expense Ratio (Before Waivers) | |
| | Class A | | | 0.98 | % | | | 1.10 | % |
| | Class C | | | 1.73 | | | | 1.85 | |
| | Institutional | | | 0.58 | | | | 0.70 | |
| | Class IR | | | 0.73 | | | | 0.85 | |
| | | Class R6 | | | 0.56 | | | | 0.69 | |
| | 7 | | 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 February 26, 2017, 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 EQUITY HOLDINGS AS OF 4/30/168 |
| | | Holding | | % of Net Assets | | | Line of Business |
| | JPMorgan Chase & Co. | | | 1.5 | % | | Commercial Banks |
| | Pfizer, Inc. | | | 1.4 | | | Pharmaceuticals |
| | Verizon Communications, Inc. | | | 1.2 | | | Diversified Telecommunication Services |
| | Wells Fargo & Co. | | | 1.1 | | | Commercial Banks |
| | Wal-Mart Stores, Inc. | | | 1.1 | | | Food & Staples Retailing |
| | Microsoft Corp. | | | 1.1 | | | Software |
| | BP PLC ADR | | | 1.1 | | | Oil, Gas & Consumable Fuels |
| | Exxon Mobil Corp. | | | 1.0 | | | Oil, Gas & Consumable Fuels |
| | M&T Bank Corp. | | | 0.9 | | | Commercial Banks |
| | | Merck & Co., Inc. | | | 0.9 | | | Pharmaceuticals |
| | 8 | | The top 10 holdings may not be representative of the Fund’s future investments. |
|
| FUND’S EQUITY SECTOR ALLOCATIONS VS. BENCHMARK9 |
| As of April 30, 2016 |
| | 9 | | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of the total value of the Fund’s Equity investments. 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. |
10
FUND BASICS
|
| FUND’S FIXED INCOME FUND COMPOSITION10 |
| | 10 | | The percentage shown for each investment category reflects the value of investments in that category as a percentage of the Fund’s Fixed Income investments. Short-term investments represent commercial paper. 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. |
11
PORTFOLIO RESULTS
Goldman Sachs Rising Dividend Growth Fund
Investment Objective
The Fund seeks long-term growth of capital and current income.
Portfolio Management Discussion and Analysis
Below, the Dividend Assets Capital portfolio management team, the Fund’s sub-adviser, discusses the Goldman Sachs Rising Dividend Growth Fund’s (the “Fund”) performance and positioning for the six-month period ended April 30, 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 cumulative total returns, without sales charges, of -1.10%, -1.49%, -0.89%, -0.97% and -1.19%, respectively. These returns compare to the 0.43% cumulative total return of the Fund’s benchmark, the Standard & Poor’s® 500 Index (with dividends reinvested) (the “S&P 500 Index”), during the same time period. |
| Q | | What economic and market factors most influenced the equity markets as a whole during the Reporting Period? |
| A | | The S&P 500 Index return of 0.43% during the Reporting Period we believe masks what was significant volatility. For example, during the six weeks from January 1, 2016 through mid-February 2016, the S&P 500 Index declined approximately 10%. The six weeks that followed demonstrated a considerable recovery. |
| | Much of the volatility can be explained by the actions of the Federal Reserve (the “Fed”). In December 2015, the Fed raised the targeted federal funds rate by 25 basis points, the first increase since 2006. (A basis point equals 1/100th of a percentage point.) At that time, investors seemed to accept the possibility that as many as four additional increases to the federal funds rate might be implemented in 2016. |
| | However, as 2016 progressed, it became increasingly likely that the Fed would not pursue higher interest rates at the pace previously anticipated. The Fed press release dated April 27, 2016 suggested the Fed would continue to be data dependent. The press release pointed out “that labor market conditions have improved further even as growth in economic activity appears to have slowed.” The press release then pointed to moderation in household spending in the face of an expansion in household real income and improved consumer confidence. It also mentioned the division into two mutually exclusive groups between improving capital expenditures on housing while business fixed investment was soft. As we watched various measures of economic growth, it became apparent to us that the U.S. economy, and indeed the global economy, was in a slow growth mode. Of particular concern to the Fed has been China’s decelerating economic growth. In response to the domestic and international softness in economic growth, it appeared at the end of the Reporting Period, there may only be one or two increases to the federal funds rates in 2016 instead of four. |
| | The Fed was not the only central bank that employed low interest rates as a means to stimulate domestic economies. The European Central Bank, the Bank of Japan and the People’s Bank of China are some of the larger central banks to lower interest rates during the Reporting Period. In addition, the central banks put in place asset purchases of fixed income securities. This, in turn, provides liquidity for lending institutions to support credit creation. We believe the activities of central banks was an important factor in the performance of equity markets, including that of the U.S., during the Reporting Period. |
| | There were numerous other factors, some positive and some negative, that impacted equity performance during the Reporting Period. First, the volatility of energy prices had a destabilizing effect on the companies that produce, transport and store the commodity. Gradual price increases improved the broad market outlook for this sector of the economy toward the end of the Reporting Period. Second, the principle U.S. presidential candidate for each party appears to have emerged, which enabled investors to begin to analyze their respective platforms and the potential impact of their policies. |
12
PORTFOLIO RESULTS
| | Third, the threat of terrorism increased, which was seen as potentially destabilizing the global economy. |
| Q | | What key factors were responsible for the Fund’s performance during the Reporting Period? |
| A | | The Fund posted negative absolute returns that underperformed the S&P 500 Index on a relative basis during the Reporting Period. From a broad perspective, stock selection overall detracted, while sector allocation decisions as a whole contributed positively. More specifically, material differences between the Fund and the S&P 500 Index include the Fund’s emphasis on dividend growth stocks, including its investment in Master Limited Partnerships (“MLPs”). While dividend growth stocks performed well during the Reporting Period on both an absolute and relative basis, the MLP portion of the Fund did not outpace the S&P 500 Index. (We define dividend growth stocks as equities that have averaged at least 10% growth in annual dividends over 10 consecutive years.1) During the Reporting Period, the portion of the Fund allocated to dividend growth stocks delivered a total return of 0.49%, which outpaced the 0.43% return of the S&P 500 Index. However, the MLPs in the Fund, with an average weight of 13.32% during the Reporting Period, had a total return of -6.49%, while the Alerian MLP Index2 posted a total return of -5.67%. |
| Q | | Which equity market sectors most significantly affected Fund performance? |
| A | | Of the sectors within the S&P 500 Index, the largest detractors from Fund performance were health care, energy and utilities. While the Fund was prudently allocated to the health care sector, stock selection in the sector proved weak. Having an overweight to energy, which outperformed the S&P 500 Index, contributed positively but was more than offset by stock selection, specifically positions in MLPs, which struggled during the Reporting Period. The Fund had no allocation to utilities, which was the second-best performing sector in the S&P 500 Index during the Reporting Period, and thus it detracted from relative results. |
| | 1 | | The Fund’s strategy is to only buy the stocks of companies where the dividend has increased every year for at least ten years at an average rate of approximately 10% per year (the “10/10 universe”). Dividends are not guaranteed and a company’s future ability to pay dividends may be limited. |
| | 2 | | The Alerian MLP Index is the leading gauge of large- and mid-cap energy Master Limited Partnerships. The float-adjusted, capitalization-weighted index, which includes 50 prominent companies and captures approximately 75% of available market capitalization, is disseminated real-time on a price-return basis (AMZ) and on a total-return basis (AMZX). |
| | Partially offsetting these detractors were the positive contributions made by positioning in the information technology, materials and consumer staples sectors. The Fund was underweight information technology, and overall performance was supported by both sector allocation and strong security selection. The sector was one of the worst performers during the Reporting Period, as many of the leading stocks during 2015 gave back ground in 2016, led by bellwether Apple (not a stock that met our investment criteria and thus not a Fund holding). For both materials and consumer staples, overweight allocations and effective security selection in each were beneficial to the Fund’s relative results. |
| Q | | Which stocks detracted significantly from the Fund’s performance during the Reporting Period? |
| A | | Detracting most from the Fund’s results relative to the S&P 500 Index were positions in pharmaceutical company Perrigo, natural gas midstream3, transportation and storage MLP Energy Transfer Equity LP and global economic and financial data supplier FactSet Research Systems. |
| | Perrigo’s shares were particularly impacted after the company successfully rebuffed a takeover attempt by Mylan Pharmaceutical, but it came at the expense of executing the implementation of its recent acquisition of Omega Pharmaceutical. Further, near the close of the Reporting Period, it was announced that the company’s chief executive officer would be leaving to take over embattled Valiant Pharmaceutical, dealing another blow to an already battered company. At the end of the Reporting Period, we were closely evaluating the forward prospects of the company and focusing our efforts on understanding the fundamental picture of the company in the months ahead. |
| | 3 | | The downstream component of the energy industry is usually defined as the oil and gas operations that take place after the production phase, through to the point of sale. Downstream operations can include refining crude oil and distributing the by-products down to the retail level. By-products can include gasoline, natural gas liquids, diesel and a variety of other energy sources. The upstream component of the energy industry is usually defined as those operations stages in the oil and gas industry that involve exploration and production. Upstream operations deal primarily with the exploration stages of the oil and gas industry, with upstream firms taking the first steps to first locate, test and drill for oil and gas. Later, once reserves are proven, upstream firms will extract any oil and gas from the reserve. The midstream component of the energy industry is usually defined as those companies providing products or services that help link the supply side, i.e. energy producers, and the demand side, i.e. energy end-users, for any type of energy commodity. Such midstream business can include, but are not limited to, those that process, store, market and transport various energy commodities. |
13
PORTFOLIO RESULTS
| | The much-maligned merger of Energy Transfer Equity LP and Williams Partners significantly impacted performance within the energy sector broadly and within the MLP space more specifically. As the companies try to work through the viability of merging, what was once viewed as an attractive transaction quickly lost its luster as energy markets changed rapidly and credit markets, needed to fund the transaction, tightened. |
| | FactSet Research Systems was moved from the information technology sector to the financials sector by Standard & Poor’s during the Reporting Period. Its stock suffered as capital markets contracted and investment firms responded with layoffs expected by many analysts to impact the company. Although overall company performance was positive during the Reporting Period, the market seemed to discount more cuts to come and appeared to remain on the sidelines until more information becomes available as it relates to the company’s subscriptions. |
| Q | | What were some of the Fund’s best-performing individual stocks? |
| A | | The top contributors to the Fund’s relative performance during the Reporting Period were specialty chemicals manufacturer Valspar, packaged foods manufacturer Hormel Foods and industrial products and equipment manufacturer Illinois Tool Works. |
| | The announced acquisition of Valspar by Sherwin Williams (both Fund holdings) during the Reporting Period was an all-cash transaction valued at $9.3 billion and represented a 35% premium for the stock. The transaction is expected to close in the first quarter of 2017, and we intend to prudently reduce the Fund’s exposure over time in consideration of certain technicalities of the merger process and what we perceive as other relative opportunities for investment. |
| | Hormel Foods executed and performed well during the Reporting Period, as the consumer staples sectors served as what many investors considered a “safe harbor” during market volatility. As valuations became more expensive on this stock, we reduced the Fund’s position in Hormel Foods and reallocated to other areas within the Fund’s portfolio. |
| | Shares of Illinois Tool Works rose substantially during the Reporting Period. The industrials sector began to regain investor interest as the U.S. dollar stabilized and then weakened. This scenario provided a tailwind to earnings and improved overall sentiment for the sector. |
| Q | | How did the Fund use derivatives during the Reporting Period? |
| A | | The Fund did not use derivatives during the Reporting Period. |
| Q | | Did the Fund make any significant purchases or sales during the Reporting Period? |
| A | | We initiated a Fund position in Aflac, a supplemental insurance company. In the U.S., Aflac offers a wide range of products, including accident insurance and short-term disability insurance. Approximately 71% of its revenue is generated from its Japan business. Aflac is a leading insurance provider in Japan, selling its well-known cancer insurance through the post office. At the end of 2014, Aflac products were sold through approximately 10,000 post offices, with the potential to expand to 20,000 by the end of the first quarter of 2016. Aflac also has a strong track record of returning wealth to shareholders via dividend growth. Despite a challenging business environment in recent years, 2015 marked the 32nd consecutive year of dividend growth, we believe making Aflac one of the most consistent dividend growers in the 10/10 universe. A key growth driver for Aflac in the U.S. is the expansion of its distribution channels to include insurance brokers. As for Japan, we believe the company will continue to focus on what are known as third-sector product offerings (cancer and medical insurance products) along with new product offerings, which could provide strong cross-selling opportunities through its post office network. Prior to our purchase of the position for the Fund, the company had traded at a discount to its peer group and historical average, as a weak yen served as a headwind for the past couple of years. Should the yen strengthen and the company’s strategy start to generate growth, we believe Aflac’s stock price can potentially benefit both from earnings upgrades and multiple expansion in the near and medium term. (A multiple measures some aspect of a company’s financial well-being, determined by dividing one metric by another metric. Multiple expansion is growth of that multiple.) |
| | We established a Fund position in Buckeye Partners LP, a downstream-midstream MLP (i.e. a mover of refined products), which, in our view, has excellent defensive characteristics. Distribution growth is visible, and it has no incentive distribution rights burden, which is rare in the MLP space. (Incentive distribution rights give a limited partnership’s general partner an increasing share in the incremental distributable cash flow the partnership generates. |
14
PORTFOLIO RESULTS
| | This occurs alongside of per-unit distribution increases to the limited partners.) Despite a challenging oil price environment, Buckeye Partners LP has consistently beaten consensus expectations. Furthermore, from a longer-germ perspective, the MLP’s assets and business model are attractive, we believe, to a larger refiner or integrated sponsor, which can realize significant logistics value by buying and merging the assets with its other sponsored MLP. Without a General Partner burden and with an integrated network of refined product logistics, we believe Buckeye Partners LP presents an attractive investment profile for the Fund. |
| | During the Reporting Period, we sold the Fund’s position in Nestle, as the stock no longer qualified as an investment for the Fund. Although Nestle continued to grow its dividend, its 10-year average dividend growth rate dropped below 10%. Based on the Fund’s investment criteria, which is to invest in companies that grow their respective dividends for at least 10% over 10 consecutive years, we decided to pursue other opportunities. |
| | We exited the Fund’s position in Plains All American Pipeline LP (“PAA”), as its business was facing a persistently challenging oil price environment. In order for PAA’s management to preserve capital, distribution growth may be elusive in the near to medium term, in our view. Although its management affirmed full-year guidance, we believe its assumptions on commodity price and volume growth were too aggressive to meet its goal. Most importantly, the distribution coverage ratio dropped below 1x, implying, in our view, a need to ramp cash flow as the company seeks to sustain its distribution over the longer term. (Distribution coverage ratio is an MLP’s distributable cash flow divided by the total amount of distributions it paid out.) With the above concerns in mind, we believe there are better opportunities elsewhere in the MLP space. |
| Q | | Were there any notable changes in the Fund’s weightings during the Reporting Period? |
| A | | During the Reporting Period, the only notable sector allocation shift in the Fund’s weightings was in industrials, which grew from an underweight relative to the S&P 500 Index to an overweight relative to the S&P 500 Index, mostly due to price appreciation. |
| Q | | How was the Fund positioned relative to its benchmark index at the end of the Reporting Period? |
| A | | At the end of April 2016, the Fund had overweighted positions relative to the S&P 500 Index in energy (mostly MLPs), materials, consumer discretionary, consumer staples and industrials. On the same date, the Fund had underweighted positions compared to the S&P 500 Index in health care, financials and information technology. The Fund had no exposure to the utilities and telecommunication services sectors at the end of the Reporting Period. |
| Q | | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
| A | | There were no changes to the Fund’s portfolio management team during 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 expected the equity market to continue to exhibit fairly high volatility given the backdrop of global monetary policy initiatives, the upcoming U.S. presidential election and the evolving economic cycle. Additionally, we believe there will likely continue to be heavy emphasis on the U.S. dollar and related consequences to strengthening or weakening relative to global currencies. |
| | The U.S. equity market, at the end of the Reporting Period, was also experiencing a rather weak earnings environment across most economic sectors, as the full impact of the recession in the energy sector takes effect. Amid such conditions, we believe the securities the Fund invests in may perform relatively well given their above-market earnings growth expectations and dividend growth profile. These companies exhibit strong balance sheets, profitable business mixes, strong and innovative product pipelines and shareholder-friendly policies, which, together, should continue to provide profitable investment opportunities, in our view. |
| | Within the equity asset class, we seek to focus on valuations given the multiples some sectors and some companies are trading at and be disciplined to reduce overvalued names. Some sectors, such as consumer staples, performed well during the Reporting Period. But some companies were trading near peak multiples, and we are actively evaluating relative opportunities throughout the Fund’s portfolio. |
| | We maintained the Fund’s lowest weight in MLPs relative to the past ten years during the Reporting Period. Going forward, we expect that we may begin to build those positions back up, as we become more constructive on the energy landscape and operating fundamentals of the MLPs in which the Fund invests. We would expect the energy sector to potentially be impacted by political rhetoric that emerges |
15
PORTFOLIO RESULTS
| | during the U.S. presidential election, however, so we will be mindful of possibly shifting investor sentiment toward the sector while positioning the Fund. |
| | As always, we continue to monitor domestic and global economies, geopolitical factors, interest rates and equity market fundamentals as we actively manage the Fund, with a focus on income through quality in an effort to offer investors the potential for rising income and competitive total returns with lower volatility. |
16
FUND BASICS
Rising Dividend Growth Fund
as of April 30, 2016
| | | | | | | | | | |
| | PERFORMANCE REVIEW | |
| | | November 1, 2015–April 30, 2016 | | Fund Total Return
(based on NAV)1 | | | S&P 500 Index2 | |
| | Class A | | | -1.10 | % | | | 0.43 | % |
| | Class C | | | -1.49 | | | | 0.43 | |
| | Institutional | | | -0.89 | | | | 0.43 | |
| | Class IR | | | -0.97 | | | | 0.43 | |
| | | Class R | | | -1.19 | | | | 0.43 | |
| | 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 reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| | 2 | | The S&P 500 Index is the Standard & Poor’s 500 Composite Index of 500 stocks, an unmanaged index of common stock prices. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
| | | | | | | | | | | | | | | | | | | | | | |
| | STANDARDIZED TOTAL RETURNS3 | |
| | | For the period ended 3/31/16 | | One Year | | | Five Years | | | Ten Years | | | Since Inception | | | Inception Date | |
| | Class A | | | -11.40 | % | | | 6.90 | % | | | 6.83 | % | | | 7.17 | % | | | 3/23/04 | |
| | Class C | | | -7.88 | | | | 7.39 | | | | 6.78 | | | | 7.20 | | | | 4/14/05 | |
| | Institutional | | | -5.90 | | | | 8.57 | | | | N/A | | | | 7.34 | | | | 3/21/07 | |
| | Class IR | | | -6.00 | | | | N/A | | | | N/A | | | | 8.84 | | | | 2/27/12 | |
| | | Class R | | | -6.50 | | | | N/A | | | | N/A | | | | 8.31 | | | | 2/27/12 | |
| | 3 | | The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. Effective February 27, 2012, the Rising Dividend Growth Fund, a series of Dividend Growth Trust (the “Predecessor Fund”), was reorganized into the Fund. As accounting successor to the Predecessor Fund, the Fund has assumed the Predecessor Fund’s historical performance. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Prior to February 27, 2012 (the effective date of the reorganization of the Predecessor Fund into the Fund), the maximum initial sales charge applicable to sales of Class A Shares of the Predecessor Fund was 5.75%, which is not reflected in the average annual total return figures shown. Because Institutional, Class IR and Class R Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
17
FUND BASICS
| | | | | | | | | | |
| | EXPENSE RATIOS4 | |
| | | | | Net Expense Ratio (Current) | | | Gross Expense Ratio (Before Waivers) | |
| | Class A | | | 1.13 | % | | | 1.15 | % |
| | Class C | | | 1.88 | | | | 1.90 | |
| | Institutional | | | 0.73 | | | | 0.74 | |
| | Class IR | | | 0.88 | | | | 0.89 | |
| | | Class R | | | 1.38 | | | | 1.39 | |
| | 4 | | 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 February 26, 2017, 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 HOLDINGS AS OF 4/30/165 |
| | | Holding | | % of Net Assets | | | Line of Business |
| | Lowe’s Cos., Inc. | | | 3.9 | % | | Specialty Retail |
| | Novo Nordisk A/S ADR | | | 3.9 | | | Pharmaceuticals |
| | The TJX Cos., Inc. | | | 3.6 | | | Specialty Retail |
| | Cardinal Health, Inc. | | | 3.5 | | | Health Care Providers & Services |
| | Ecolab, Inc. | | | 3.4 | | | Chemicals |
| | CVS Health Corp. | | | 3.4 | | | Food & Staples Retailing |
| | PepsiCo., Inc. | | | 3.3 | | | Beverages |
| | Roche Holding AG ADR | | | 3.2 | | | Pharmaceuticals |
| | NIKE, Inc. Class B | | | 2.9 | | | Textiles, Apparel & Luxury Goods |
| | | The Sherwin-Williams Co. | | | 2.9 | | | Chemicals |
| | 5 | | The top 10 holdings may not be representative of the Fund’s future investments. |
18
FUND BASICS
|
| FUND VS. BENCHMARK SECTOR ALLOCATION6 |
| As of April 30, 2016 |
| | 6 | | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. Short-term investments represent repurchase agreements. |
19
PORTFOLIO RESULTS
Index Definitions
The Bank of America Merrill Lynch BB to B U.S. High Yield Constrained Index contains all securities in the Bank of America Merrill Lynch U.S. High Yield Index rated BB1 through B3 (based on an average of Moody’s Investors Service, S&P Ratings and Fitch Ratings) but caps issuer exposure at 2%. The Index is rebalanced on the last calendar day of the month.
The Russell 1000® Value Index measures the performance of the large-cap value segment of the U.S. equity universe. It includes those Russell 1000® Index companies with lower price-to-book ratios and lower expected growth values. The Russell 1000® Value Index is constructed to provide a comprehensive and unbiased barometer for the large-cap value segment. It is completely reconstituted annually to ensure new and growing equities are included and that the represented companies continue to reflect value characteristics.
The S&P 500® Index is a U.S. stock market index based on the market capitalizations of 500 large companies having common stock listed on the New York Stock Exchange or NASDAQ. The S&P 500® Index components and their weightings are determined by S&P Dow Jones Indices.
20
GOLDMAN SACHS INCOME BUILDER FUND
Schedule of Investments
April 30, 2016 (Unaudited)
| | | | | | | | | | | | | | |
Principal
Amount | | | Interest
Rate | | | Maturity
Date | | | Value | |
| | | | | | | | | | | | | | |
| | Bank Loans(a) – 9.6% | |
| | Aerospace – 0.3% | |
| Transdigm, Inc. | |
| $ | 4,626,630 | | | | 3.750 | % | | | 02/28/20 | | | $ | 4,618,533 | |
| | 1,969,925 | | | | 3.750 | | | | 06/04/21 | | | | 1,957,613 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 6,576,146 | |
| | |
| | Automotive – Parts – 0.1% | |
| Gates Global LLC | |
| | 3,115,569 | | | | 4.250 | | | | 07/06/21 | | | | 2,978,702 | |
| | |
| | Building Materials – 0.0% | |
| Atkore International, Inc. | |
| | 350,000 | | | | 7.750 | | | | 10/09/21 | | | | 327,250 | |
| | |
| | Chemicals – 0.4% | |
| Univar, Inc. | |
| | 3,383,000 | | | | 4.250 | | | | 07/01/22 | | | | 3,340,104 | |
| US Coatings Acquisition, Inc. | |
| | 4,437,689 | | | | 3.750 | | | | 02/01/20 | | | | 4,434,005 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 7,774,109 | |
| | |
| | Consumer Cyclical Services – Business – 0.3% | |
| Equinix, Inc. | |
| | 1,200,000 | | | | 4.000 | | | | 01/08/23 | | | | 1,203,000 | |
| First Data Corp. | |
| | 5,850,000 | | | | 4.189 | | | | 07/08/22 | | | | 5,851,463 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 7,054,463 | |
| | |
| | Energy – 0.4% | |
| American Energy – Marcellus LLC | |
| | 1,075,000 | | | | 8.500 | | | | 08/04/21 | | | | 129,000 | |
| EP Energy LLC | |
| | 450,000 | | | | 4.500 | | | | 04/30/19 | | | | 355,500 | |
| | 3,525,000 | | | | 3.500 | | | | 05/24/18 | | | | 2,775,938 | |
| Magnum Hunter Resources, Inc. | |
| | 987,153 | | | | 9.000 | | | | 09/16/16 | | | | 977,281 | |
| | 3,291,750 | | | | 0.000 | (b) | | | 10/22/19 | | | | 1,607,460 | |
| MEG Energy Corp. | |
| | 2,914,473 | | | | 3.750 | | | | 03/31/20 | | | | 2,603,587 | |
| Targa Resources Corp. | |
| | 725,581 | | | | 5.750 | | | | 02/25/22 | | | | 689,302 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 9,138,068 | |
| | |
| | Environmental – 0.2% | |
| EnergySolutions LLC | |
| | 5,335,036 | | | | 6.750 | | | | 05/29/20 | | | | 5,174,985 | |
| | |
| | Financial Co. – Non Captive – 0.1% | |
| Victory Capital Management, Inc. | |
| | 2,537,821 | | | | 7.000 | | | | 10/31/21 | | | | 2,417,274 | |
| | |
| | Food & Beverage – 0.5% | |
| Performance Food Group, Inc. | |
| | 1,784,609 | | | | 6.000 | | | | 11/14/19 | | | | 1,789,070 | |
| Shearer’s Foods, Inc. | |
| | 1,420,000 | | | | 7.750 | | | | 06/30/22 | | | | 1,299,300 | |
| | 2,000,000 | | | | 4.938 | | | | 06/30/21 | | | | 1,985,000 | |
| | 1,770,563 | | | | 5.250 | | | | 06/30/21 | | | | 1,752,857 | |
| | |
| | | | | | | | | | | | | | |
| | Bank Loans(a) – (continued) | |
| | Food & Beverage – (continued) | |
| US Foods, Inc. | |
| $ | 3,457,225 | | | | 4.500 | % | | | 03/31/19 | | | $ | 3,452,904 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 10,279,131 | |
| | |
| | Gaming – 0.1% | |
| Scientific Games International, Inc. | |
| | 1,817,424 | | | | 6.000 | | | | 10/01/21 | | | | 1,787,037 | |
| | |
| | Health Care – 0.1% | |
| Community Health Systems, Inc. | |
| | 641,656 | | | | 3.750 | | | | 12/31/19 | | | | 631,800 | |
| | 1,180,629 | | | | 4.000 | | | | 01/27/21 | | | | 1,162,648 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 1,794,448 | |
| | |
| | Health Care – Pharmaceuticals – 0.6% | |
| Endo Luxembourg Finance Co. I S.A.R.L. | |
| | 4,588,500 | | | | 3.750 | | | | 09/26/22 | | | | 4,571,293 | |
| Valeant Pharmaceuticals International, Inc. | |
| | 9,007,127 | | | | 5.000 | | | | 04/01/22 | | | | 8,772,942 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 13,344,235 | |
| | |
| | Health Care – Services – 1.2% | |
| Envision Healthcare Corp. | |
| | 7,684,170 | | | | 4.250 | | | | 05/25/18 | | | | 7,689,012 | |
| MPH Acquisition Holdings LLC | |
| | 4,061,415 | | | | 3.750 | | | | 03/31/21 | | | | 4,040,093 | |
| Ortho-Clinical Diagnostics, Inc. | |
| | 4,540,341 | | | | 4.750 | | | | 06/30/21 | | | | 4,294,663 | |
| Sedgwick Claims Management Services, Inc. | |
| | 5,695,000 | | | | 6.750 | | | | 02/28/22 | | | | 5,410,250 | |
| | 240,000 | | | | 6.750 | | | | 02/28/22 | | | | 228,000 | |
| U.S. Renal Care, Inc. | |
| | 4,164,563 | | | | 5.250 | | | | 12/31/22 | | | | 4,167,186 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 25,829,204 | |
| | |
| | Home Construction – 0.1% | |
| Builders FirstSource, Inc. | |
| | 2,314,344 | | | | 6.000 | | | | 07/31/22 | | | | 2,311,451 | |
| | |
| | Lodging – 0.1% | |
| Hilton Worldwide Finance LLC | |
| | 2,396,875 | | | | 3.500 | | | | 10/26/20 | | | | 2,404,785 | |
| | |
| | Media – Broadcasting & Radio – 0.3% | |
| Getty Images, Inc. | |
| | 8,056,940 | | | | 4.750 | | | | 10/18/19 | | | | 6,062,847 | |
| | |
| | Media – Non Cable – 0.3% | |
| Checkout Holding Corp. | |
| | 6,917,726 | | | | 4.500 | | | | 04/09/21 | | | | 5,836,831 | |
| | |
| | Metals & Mining – 0.0% | |
| Hi Crush Partners LP | |
| | 1,336,364 | | | | 4.750 | | | | 04/28/21 | | | | 891,194 | |
| | |
| | Packaging – 0.2% | |
| BWAY Holding Co., Inc. | |
| | 3,000,000 | | | | 5.500 | | | | 08/14/20 | | | | 2,988,750 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 21 |
GOLDMAN SACHS INCOME BUILDER FUND
Schedule of Investments (continued)
April 30, 2016 (Unaudited)
| | | | | | | | | | | | | | |
Principal
Amount | | | Interest
Rate | | | Maturity
Date | | | Value | |
| | | | | | | | | | | | | | |
| | Bank Loans(a) – (continued) | |
| | Packaging – (continued) | |
| Onex Wizard U.S. Acquisition, Inc. | |
| $ | 2,000,000 | | | | 4.250 | % | | | 03/13/22 | | | $ | 1,994,640 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 4,983,390 | |
| | |
| | Real Estate – 0.3% | |
| Communications Sales & Leasing, Inc. | |
| | 2,462,594 | | | | 5.000 | | | | 10/24/22 | | | | 2,414,105 | |
| Realogy Corp. | |
| | 3,457,316 | | | | 3.750 | | | | 03/05/20 | | | | 3,454,446 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 5,868,551 | |
| | |
| | Restaurants – 0.2% | |
| 1011778 B.C. Unlimited Liability Co. | |
| | 3,351,941 | | | | 3.750 | | | | 12/10/21 | | | | 3,357,706 | |
| | |
| | Retailers – 1.2% | |
| Burlington Coat Factory Warehouse Corp. | |
| | 2,629,604 | | | | 4.250 | | | | 08/13/21 | | | | 2,635,626 | |
| Neiman Marcus Group Ltd., Inc. | |
| | 9,397,626 | | | | 4.250 | | | | 10/25/20 | | | | 8,942,405 | |
| PetSmart, Inc. | |
| | 6,260,133 | | | | 4.250 | | | | 03/11/22 | | | | 6,239,036 | |
| The Men’s Wearhouse, Inc. | |
| | 5,550,000 | | | | 5.000 | | | | 06/18/21 | | | | 5,439,000 | |
| True Religion Apparel, Inc. | |
| | 4,197,750 | | | | 5.875 | | | | 07/30/19 | | | | 1,860,989 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 25,117,056 | |
| | |
| | Retailers – Food & Drug – 0.1% | |
| Rite Aid Corp. | |
| | 1,750,000 | | | | 4.875 | | | | 06/21/21 | | | | 1,751,103 | |
| | |
| | Services Cyclical – Business Services – 0.3% | |
| ADS Waste Holdings, Inc. | |
| | 2,859,203 | | | | 3.750 | | | | 10/09/19 | | | | 2,848,480 | |
| Sabre, Inc. | |
| | 3,295,934 | | | | 4.000 | | | | 02/19/19 | | | | 3,301,438 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 6,149,918 | |
| | |
| | Technology – Software/Services – 1.8% | |
| Aspect Software, Inc. | |
| | 1,955,516 | | | | 4.750 | | | | 05/09/16 | | | | 1,923,739 | |
| Avago Technologies Cayman Ltd. | |
| | 11,600,000 | | | | 4.250 | | | | 02/01/23 | | | | 11,602,088 | |
| BMC Software Finance, Inc. | |
| | 7,021,014 | | | | 5.000 | | | | 09/10/20 | | | | 6,029,296 | |
| Global Payments, Inc. | |
| | 1,750,000 | | | | 3.941 | | | | 04/22/23 | | | | 1,763,562 | |
| MA FinanceCo., LLC | |
| | 6,205,743 | | | | 4.500 | | | | 11/20/19 | | | | 6,190,229 | |
| Micron Technology, Inc. | |
| | 3,300,000 | | | | 6.000 | | | | 04/26/22 | | | | 3,311,352 | |
| NXP BV | |
| | 5,860,313 | | | | 3.750 | | | | 12/07/20 | | | | 5,874,963 | |
| Renaissance Learning, Inc. | |
| | 150,000 | | | | 8.000 | | | | 04/11/22 | | | | 138,750 | |
| | |
| | | | | | | | | | | | | | |
| | Bank Loans(a) – (continued) | |
| | Technology – Software/Services – (continued) | |
| SS&C Technologies, Inc. | |
| $ | 2,143,251 | | | | 4.007 | % | | | 07/08/22 | | | $ | 2,148,609 | |
| | 305,353 | | | | 4.019 | | | | 07/08/22 | | | | 306,116 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 39,288,704 | |
| | |
| | Wireless Telecommunications – 0.2% | |
| Intelsat Jackson Holdings SA | |
| | 3,000,000 | | | | 3.750 | | | | 06/30/19 | | | | 2,810,250 | |
| Neptune Finco Corp. | |
| | 2,675,000 | | | | 5.000 | | | | 10/09/22 | | | | 2,683,373 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 5,493,623 | |
| | |
| | Wirelines Telecommunications – 0.2% | |
| Level 3 Financing, Inc. | |
| | 4,850,000 | | | | 4.000 | | | | 08/01/19 | | | | 4,862,125 | |
| | |
| | TOTAL BANK LOANS | |
| | (Cost $217,404,454) | | | $ | 208,854,336 | |
| | |
| | | | | | | | |
| Shares | | | Description | | Value | |
| | | | | | | | |
| | Common Stocks – 35.3% | |
| | Aerospace & Defense – 0.4% | |
| | 80,330 | | | United Technologies Corp. | | $ | 8,384,042 | |
| | |
| | Air Freight & Logistics – 0.4% | |
| | 76,141 | | | United Parcel Service, Inc. Class B | | | 8,000,135 | |
| | |
| | Beverages – 0.2% | |
| | 38,223 | | | PepsiCo, Inc. | | | 3,935,440 | |
| | |
| | Capital Markets – 0.7% | |
| | 243,827 | | | Invesco Ltd. | | | 7,561,075 | |
| | 275,387 | | | Morgan Stanley | | | 7,451,972 | |
| | | | | | | | |
| | | | | | | 15,013,047 | |
| | |
| | Chemicals – 0.4% | |
| | 144,744 | | | E.I. du Pont de Nemours & Co. | | | 9,540,077 | |
| | |
| | Commercial Banks – 4.3% | |
| | 1,687,975 | | | Banco Bilbao Vizcaya Argentaria SA ADR | | | 11,630,148 | |
| | 166,963 | | | BB&T Corp. | | | 5,907,151 | |
| | 502,842 | | | JPMorgan Chase & Co. | | | 31,779,614 | |
| | 168,847 | | | M&T Bank Corp. | | | 19,977,977 | |
| | 490,769 | | | Wells Fargo & Co. | | | 24,528,635 | |
| | | | | | | | |
| | | | | | | 93,823,525 | |
| | |
| | Communications Equipment – 0.5% | |
| | 395,397 | | | Cisco Systems, Inc. | | | 10,869,464 | |
| | |
| | Computers & Peripherals – 0.2% | |
| | 197,179 | | | EMC Corp. | | | 5,148,344 | |
| | |
| | Consumer Finance – 0.5% | |
| | 158,383 | | | American Express Co. | | | 10,363,000 | |
| | |
| | Containers & Packaging – 0.3% | |
| | 114,106 | | | Packaging Corp. of America | | | 7,403,197 | |
| | |
| | |
| 22 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INCOME BUILDER FUND
| | | | | | | | |
Shares | | | Description | | Value | |
| | | | | | | | |
| | Common Stocks – (continued) | |
| | Diversified Telecommunication Services – 1.2% | |
| | 530,288 | | | Verizon Communications, Inc. | | $ | 27,012,871 | |
| | |
| | Electric Utilities – 3.3% | |
| | 197,480 | | | Duke Energy Corp. | | | 15,557,474 | |
| | 1,798,277 | | | Enel SpA ADR | | | 8,110,229 | |
| | 295,916 | | | FirstEnergy Corp. | | | 9,643,902 | |
| | 582,390 | | | Iberdrola SA ADR | | | 16,598,115 | |
| | 88,468 | | | NextEra Energy, Inc. | | | 10,402,068 | |
| | 167,204 | | | Pinnacle West Capital Corp. | | | 12,147,371 | |
| | | | | | | | |
| | | | | | | 72,459,159 | |
| | |
| | Energy Equipment & Services – 0.5% | |
| | 124,471 | | | Schlumberger Ltd. | | | 10,000,000 | |
| | |
| | Food & Staples Retailing – 1.1% | |
| | 361,347 | | | Wal-Mart Stores, Inc. | | | 24,163,274 | |
| | |
| | Health Care Equipment & Supplies – 1.2% | |
| | 248,032 | | | Abbott Laboratories | | | 9,648,445 | |
| | 214,888 | | | Medtronic PLC | | | 17,008,385 | |
| | | | | | | | |
| | | | | | | 26,656,830 | |
| | |
| | Health Care Providers & Services – 0.3% | |
| | 55,345 | | | UnitedHealth Group, Inc. | | | 7,287,830 | |
| | |
| | Hotels, Restaurants & Leisure – 0.3% | |
| | 71,333 | | | Yum! Brands, Inc. | | | 5,675,253 | |
| | |
| | Household Products – 1.1% | |
| | 31,965 | | | Kimberly-Clark Corp. | | | 4,001,699 | |
| | 299,239 | | | Reckitt Benckiser Group PLC ADR | | | 5,909,970 | |
| | 176,609 | | | The Procter & Gamble Co. | | | 14,149,913 | |
| | | | | | | | |
| | | | | | | 24,061,582 | |
| | |
| | Industrial Conglomerates – 0.9% | |
| | 608,557 | | | General Electric Co. | | | 18,713,128 | |
| | |
| | Insurance – 1.2% | |
| | 86,940 | | | Arthur J. Gallagher & Co. | | | 4,002,717 | |
| | 243,607 | | | MetLife, Inc. | | | 10,986,676 | |
| | 139,419 | | | Prudential Financial, Inc. | | | 10,824,491 | |
| | | | | | | | |
| | | | | | | 25,813,884 | |
| | |
| | Machinery – 0.8% | |
| | 82,177 | | | Stanley Black & Decker, Inc. | | | 9,197,250 | |
| | 786,347 | | | Volvo AB ADR | | | 9,294,621 | |
| | | | | | | | |
| | | | | | | 18,491,871 | |
| | |
| | Media – 1.1% | |
| | 193,577 | | | Comcast Corp. Class A | | | 11,761,738 | |
| | 275,170 | | | Viacom, Inc. Class B | | | 11,254,453 | |
| | | | | | | | |
| | | | | | | 23,016,191 | |
| | |
| | Oil, Gas & Consumable Fuels – 3.8% | |
| | 683,692 | | | BP PLC ADR | | | 22,958,377 | |
| | 126,596 | | | Chevron Corp. | | | 12,935,579 | |
| | 251,069 | | | Exxon Mobil Corp. | | | 22,194,500 | |
| | 267,732 | | | Royal Dutch Shell PLC ADR Class A | | | 14,160,346 | |
| | 209,407 | | | Total SA ADR | | | 10,627,405 | |
| | | | | | | | |
| | | | | | | 82,876,207 | |
| | |
| | | | | | | | |
| | Common Stocks – (continued) | |
| | Personal Products – 0.4% | |
| | 175,147 | | | Unilever NV | | $ | 7,709,971 | |
| | |
| | Pharmaceuticals – 4.0% | |
| | 33,796 | | | Allergan PLC(b) | | | 7,318,862 | |
| | 114,879 | | | Johnson & Johnson | | | 12,875,638 | |
| | 348,647 | | | Merck & Co., Inc. | | | 19,119,801 | |
| | 74,799 | | | Novartis AG ADR | | | 5,682,480 | |
| | 958,360 | | | Pfizer, Inc. | | | 31,347,956 | |
| | 236,279 | | | Sanofi ADR | | | 9,711,067 | |
| | | | | | | | |
| | | | | | | 86,055,804 | |
| | |
| | Real Estate Investment Trusts – 1.1% | |
| | 60,782 | | | Boston Properties, Inc. | | | 7,832,369 | |
| | 165,784 | | | Brixmor Property Group, Inc. | | | 4,186,046 | |
| | 306,234 | | | DDR Corp. | | | 5,359,095 | |
| | 290,421 | | | RLJ Lodging Trust | | | 6,119,170 | |
| | | | | | | | |
| | | | | | | 23,496,680 | |
| | |
| | Road & Rail – 0.6% | |
| | 139,164 | | | Union Pacific Corp. | | | 12,139,276 | |
| | |
| | Semiconductors & Semiconductor Equipment – 1.0% | |
| | 232,805 | | | Intel Corp. | | | 7,049,335 | |
| | 277,380 | | | QUALCOMM, Inc. | | | 14,013,238 | |
| | | | | | | | |
| | | | | | | 21,062,573 | |
| | |
| | Software – 1.7% | |
| | 473,560 | | | Microsoft Corp. | | | 23,616,437 | |
| | 206,366 | | | Oracle Corp. | | | 8,225,749 | |
| | 307,859 | | | Symantec Corp. | | | 5,124,313 | |
| | | | | | | | |
| | | | | | | 36,966,499 | |
| | |
| | Specialty Retail – 0.5% | |
| | 1,643,043 | | | Hennes & Mauritz AB ADR | | | 11,567,023 | |
| | |
| | Tobacco – 0.4% | |
| | 132,223 | | | Altria Group, Inc. | | | 8,291,704 | |
| | |
| | Transportation Infrastructure – 0.3% | |
| | 1,411,644 | | | Sydney Airport | | | 7,278,527 | |
| | |
| | Wireless Telecommunication Services – 0.6% | |
| | 373,045 | | | Vodafone Group PLC ADR | | | 12,213,493 | |
| | |
| | TOTAL COMMON STOCKS | | | | |
| | (Cost $730,784,025) | | $ | 765,489,901 | |
| | |
| | | | | | | | |
| Shares | | Rate | | | Value | |
| | | | | | | | |
| Preferred Stocks – 2.5% | |
| Consumer Finance(c) – 0.5% | | | | | |
Citigroup Capital XIII | |
| 145,263 | | | 7.008 | % | | $ | 3,798,628 | |
GMAC Capital Trust I | |
| 31,474 | | | 6.402 | | | | 789,053 | |
Merrill Lynch Capital Trust I | |
| 39,934 | | | 6.450 | | | | 1,037,485 | |
| |
| | |
| The accompanying notes are an integral part of these financial statements. | | 23 |
GOLDMAN SACHS INCOME BUILDER FUND
Schedule of Investments (continued)
April 30, 2016 (Unaudited)
| | | | | | | | |
Shares | | Rate | | | Value | |
| | | | | | | | |
| Preferred Stocks – (continued) | |
| Consumer Finance(c) – (continued) | | | | | |
Morgan Stanley | |
| 183,597 | | | 6.375 | % | | $ | 4,868,992 | |
| | | | | | | | |
| | | | | | | 10,494,158 | |
| |
| Diversified Telecommunication Services – 0.4% | |
Verizon Communications, Inc. | |
| 299,681 | | | 5.900 | | | | 8,169,304 | |
| |
| Electric Utilities – 0.6% | |
Exelon Corp. | |
| 104,612 | | | 6.500 | | | | 5,069,498 | |
SCE Trust III(c) | |
| 320,000 | | | 5.750 | | | | 8,704,000 | |
| | | | | | | | |
| | | | | | | 13,773,498 | |
| |
| Real Estate Investment Trusts – 1.0% | |
DuPont Fabros Technology, Inc. | |
| 76,935 | | | 7.625 | | | | 1,957,996 | |
Public Storage | |
| 268,573 | | | 5.750 | | | | 7,066,155 | |
Taubman Centers, Inc. | |
| 240,461 | | | 6.500 | | | | 6,456,378 | |
Vornado Realty Trust | |
| 232,110 | | | 6.625 | | | | 5,981,475 | |
| | | | | | | | |
| | | | | | | 21,462,004 | |
| |
| TOTAL PREFERRED STOCKS – 2.5% | |
| (Cost $50,537,648) | | | $ | 53,898,964 | |
| |
| | | | | | | | | | | | | | |
Principal
Amount | | | Interest
Rate | | | Maturity
Date | | | Value | |
| | | | | | | | | | | | | | |
| | Corporate Obligations – 46.3% | |
| | Airlines(d) – 0.1% | |
| Air Canada | |
| $ | 2,539,048 | | | | 5.375 | % | | | 11/15/22 | | | $ | 2,533,462 | |
| | |
| | Banks – 4.6% | |
| Ally Financial, Inc. | |
| | 3,000,000 | | | | 8.000 | | | | 11/01/31 | | | | 3,607,500 | |
| American Express Co.(c)(e) | |
| | 6,339,000 | | | | 6.800 | | | | 09/01/66 | | | | 6,323,152 | |
| Bank of America Corp.(c)(e) | |
| | 1,700,000 | | | | 6.300 | | | | 03/10/49 | | | | 1,780,750 | |
| | 6,275,000 | | | | 6.100 | | | | 03/17/49 | | | | 6,275,000 | |
| | 4,850,000 | | | | 6.250 | | | | 09/25/49 | | | | 4,850,000 | |
| Barclays PLC(c)(e) | |
| | 3,000,000 | | | | 6.625 | | | | 09/15/49 | | | | 2,760,000 | |
| BPCE SA(d) | |
| | 5,000,000 | | | | 4.625 | | | | 07/11/24 | | | | 4,935,190 | |
| Citigroup, Inc.(c)(e) | |
| | 5,425,000 | | | | 6.250 | | | | 08/15/49 | | | | 5,574,188 | |
| CoBank ACB(c)(e) | |
| | 5,350,000 | | | | 6.250 | | | | 10/01/49 | | | | 5,537,250 | |
| Credit Agricole SA(c)(d)(e) | |
| | 2,500,000 | | | | 6.625 | | | | 09/23/49 | | | | 2,356,250 | |
| | |
| | | | | | | | | | | | | | |
| | Corporate Obligations – (continued) | |
| | Banks – (continued) | |
| Credit Suisse Group AG(c)(e) | |
| $ | 4,025,000 | | | | 7.500 | %(d) | | | 12/11/49 | | | $ | 3,994,813 | |
| | 2,500,000 | | | | 6.250 | | | | 12/18/49 | | | | 2,312,500 | |
| ING Groep NV(c)(e) | |
| | 4,275,000 | | | | 6.000 | | | | 04/16/49 | | | | 4,086,772 | |
| | 6,650,000 | | | | 6.500 | | | | 12/29/49 | | | | 6,159,562 | |
| Intesa Sanpaolo SpA(d) | |
| | 9,100,000 | | | | 5.017 | | | | 06/26/24 | | | | 8,574,821 | |
| JPMorgan Chase & Co.(c)(e) | |
| | 11,225,000 | | | | 6.125 | | | | 04/30/49 | | | | 11,521,340 | |
| KBC Groep NV(c)(e) | |
| EUR | 1,950,000 | | | | 5.625 | | | | 03/19/49 | | | | 2,148,916 | |
| Lloyds Banking Group PLC(c)(e) | |
| GBP | 2,091,000 | | | | 7.000 | | | | 06/27/49 | | | | 2,962,875 | |
| Santander UK Group Holdings PLC(d) | |
| $ | 4,250,000 | | | | 4.750 | | | | 09/15/25 | | | | 4,165,123 | |
| UBS Group AG(c)(e) | |
| | 10,600,000 | | | | 6.875 | | | | 08/07/49 | | | | 10,274,580 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 100,200,582 | |
| | |
| | Brokerage(e) – 0.4% | |
| Morgan Stanley(c) | |
| | 5,400,000 | | | | 5.550 | | | | 07/15/49 | | | | 5,346,000 | |
| Rialto Holdings LLC/Rialto Corp.(d) | |
| | 3,000,000 | | | | 7.000 | | | | 12/01/18 | | | | 2,940,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 8,286,000 | |
| | |
| | Building Materials(d)(e) – 0.3% | |
| Masonite International Corp. | |
| | 4,000,000 | | | | 5.625 | | | | 03/15/23 | | | | 4,170,000 | |
| RSI Home Products, Inc. | |
| | 2,800,000 | | | | 6.500 | | | | 03/15/23 | | | | 2,912,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 7,082,000 | |
| | |
| | Chemicals(e) – 0.4% | |
| Ashland, Inc. | |
| | 5,250,000 | | | | 6.875 | | | | 05/15/43 | | | | 5,230,312 | |
| PQ Corp.(d) | |
| | 3,400,000 | | | | 6.750 | | | | 11/15/22 | | | | 3,510,500 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 8,740,812 | |
| | |
| | Construction Machinery(d)(e) – 0.1% | |
| Manitowoc Foodservice, Inc. | |
| | 2,650,000 | | | | 9.500 | | | | 02/15/24 | | | | 2,934,875 | |
| | |
| | Consumer Cyclical Services – Business(e) – 2.5% | |
| CoreLogic, Inc. | |
| | 5,000,000 | | | | 7.250 | | | | 06/01/21 | | | | 5,193,750 | |
| Corrections Corp. of America | |
| | 3,000,000 | | | | 5.000 | | | | 10/15/22 | | | | 3,131,250 | |
| Equinix, Inc. | |
| | 5,000,000 | | | | 5.375 | | | | 01/01/22 | | | | 5,225,000 | |
| | 6,000,000 | | | | 5.375 | | | | 04/01/23 | | | | 6,255,000 | |
| | 3,000,000 | | | | 5.750 | | | | 01/01/25 | | | | 3,142,500 | |
| First Data Corp.(d) | |
| | 2,000,000 | | | | 5.000 | | | | 01/15/24 | | | | 2,020,000 | |
| | 6,650,000 | | | | 5.750 | | | | 01/15/24 | | | | 6,799,625 | |
| | |
| | |
| 24 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INCOME BUILDER FUND
| | | | | | | | | | | | | | |
Principal
Amount | | | Interest
Rate | | | Maturity
Date | | | Value | |
| | | | | | | | | | | | | | |
| | Corporate Obligations – (continued) | |
| | Consumer Cyclical Services – Business(e) – (continued) | |
| IHS, Inc. | |
| $ | 4,000,000 | | | | 5.000 | % | | | 11/01/22 | | | $ | 4,180,000 | |
| Iron Mountain Europe PLC | |
| GBP | 2,950,000 | | | | 6.125 | | | | 09/15/22 | | | | 4,407,465 | |
| Iron Mountain, Inc.(d) | |
| $ | 3,300,000 | | | | 6.000 | | | | 10/01/20 | | | | 3,498,000 | |
| WEX, Inc.(d) | |
| | 11,001,000 | | | | 4.750 | | | | 02/01/23 | | | | 10,038,413 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 53,891,003 | |
| | |
| | Consumer Cyclical Services – Rental Equipment(e) – 0.5% | |
| Ahern Rentals, Inc.(d) | |
| | 8,850,000 | | | | 7.375 | | | | 05/15/23 | | | | 6,748,125 | |
| United Rentals North America, Inc. | |
| | 3,950,000 | | | | 4.625 | | | | 07/15/23 | | | | 3,930,250 | |
| | 1,000,000 | | | | 5.750 | | | | 11/15/24 | | | | 1,015,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 11,693,375 | |
| | |
| | Consumer Products(e) – 0.4% | |
| Spectrum Brands, Inc. | |
| | 8,835,000 | | | | 6.625 | | | | 11/15/22 | | | | 9,541,800 | |
| | |
| | Electric(e) – 1.2% | |
| Calpine Corp.(d) | |
| | 8,539,000 | | | | 7.875 | | | | 01/15/23 | | | | 9,104,709 | |
| Dynegy, Inc. | |
| | 6,020,000 | | | | 6.750 | | | | 11/01/19 | | | | 6,095,250 | |
| EDP – Energias de Portugal SA(c) | |
| EUR | 3,100,000 | | | | 5.375 | | | | 09/16/75 | | | | 3,536,629 | |
| Electricite de France SA(c) | |
| | 3,000,000 | | | | 5.000 | | | | 01/22/49 | | | | 3,303,069 | |
| $ | 2,500,000 | | | | 5.250 | (d) | | | 01/29/49 | | | | 2,409,750 | |
| Puget Sound Energy, Inc.(c) | |
| | 550,000 | | | | 6.974 | | | | 06/01/67 | | | | 420,750 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 24,870,157 | |
| | |
| | Energy – 1.9% | |
| Antero Resources Corp.(e) | |
| | 7,975,000 | | | | 5.125 | | | | 12/01/22 | | | | 7,636,063 | |
| | 3,525,000 | | | | 5.625 | | | | 06/01/23 | | | | 3,419,250 | |
| Apache Corp.(e) | |
| | 2,525,000 | | | | 4.750 | | | | 04/15/43 | | | | 2,430,953 | |
| | 2,575,000 | | | | 4.250 | | | | 01/15/44 | | | | 2,357,963 | |
| Centrica PLC(c)(e) | |
| EUR | 2,800,000 | | | | 3.000 | | | | 04/10/76 | | | | 2,898,191 | |
| ConocoPhillips Co.(e) | |
| $ | 2,475,000 | | | | 4.950 | | | | 03/15/26 | | | | 2,723,883 | |
| Laredo Petroleum, Inc.(e) | |
| | 3,375,000 | | | | 5.625 | | | | 01/15/22 | | | | 3,105,000 | |
| Nexen Energy ULC | |
| | 5,000 | | | | 6.400 | | | | 05/15/37 | | | | 5,802 | |
| | 50,000 | | | | 7.500 | | | | 07/30/39 | | | | 63,881 | |
| NRG Energy, Inc.(e) | |
| | 7,000,000 | | | | 7.875 | | | | 05/15/21 | | | | 7,262,500 | |
| Oasis Petroleum, Inc.(e) | |
| | 3,000,000 | | | | 7.250 | | | | 02/01/19 | | | | 2,850,000 | |
| | |
| | | | | | | | | | | | | | |
| | Corporate Obligations – (continued) | |
| | Energy – (continued) | |
| Weatherford International LLC | |
| $ | 550,000 | | | | 6.800 | % | | | 06/15/37 | | | $ | 429,000 | |
| Weatherford International Ltd. | |
| | 4,250,000 | | | | 4.500 | (e) | | | 04/15/22 | | | | 3,750,625 | |
| | 1,300,000 | | | | 6.500 | | | | 08/01/36 | | | | 1,004,250 | |
| Whiting Petroleum Corp.(d) | |
| | 1,000,000 | | | | 1.250 | | | | 04/01/20 | | | | 755,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 40,692,361 | |
| | |
| | Entertainment(d)(e) – 0.2% | |
| WMG Acquisition Corp. | |
| | 4,725,000 | | | | 5.625 | | | | 04/15/22 | | | | 4,795,875 | |
| | |
| | Environmental(e) – 0.1% | |
| Advanced Disposal Services, Inc. | |
| | 3,050,000 | | | | 8.250 | | | | 10/01/20 | | | | 3,172,000 | |
| | |
| | Financial Co. – Non Captive – 2.0% | |
| CIT Group, Inc. | |
| | 1,800,000 | | | | 5.250 | | | | 03/15/18 | | | | 1,863,000 | |
| | 7,250,000 | | | | 5.500 | (d) | | | 02/15/19 | | | | 7,594,375 | |
| HRG Group, Inc.(e) | |
| | 8,075,000 | | | | 7.875 | | | | 07/15/19 | | | | 8,519,125 | |
| International Lease Finance Corp.(d) | |
| | 3,000,000 | | | | 7.125 | | | | 09/01/18 | | | | 3,277,500 | |
| Nationstar Mortgage LLC/Nationstar Capital Corp.(e) | |
| | 3,000,000 | | | | 6.500 | | | | 08/01/18 | | | | 2,925,000 | |
| | 6,000,000 | | | | 6.500 | | | | 07/01/21 | | | | 5,265,000 | |
| Navient Corp. | |
| | 3,000,000 | | | | 5.500 | | | | 01/15/19 | | | | 2,981,250 | |
| | 4,000,000 | | | | 5.875 | | | | 03/25/21 | | | | 3,840,000 | |
| Speedy Cash Intermediate Holdings Corp.(d)(e) | |
| | 9,974,000 | | | | 10.750 | | | | 05/15/18 | | | | 6,782,320 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 43,047,570 | |
| | |
| | Food & Beverage – 1.6% | |
| Anheuser-Busch InBev Finance, Inc.(e) | |
| | 6,625,000 | | | | 4.900 | | | | 02/01/46 | | | | 7,482,413 | |
| Constellation Brands, Inc. | |
| | 5,625,000 | | | | 4.750 | | | | 12/01/25 | | | | 5,962,500 | |
| Cott Beverages, Inc.(e) | |
| | 11,075,000 | | | | 5.375 | | | | 07/01/22 | | | | 11,379,562 | |
| Pernod-Ricard SA(d) | |
| | 3,025,000 | | | | 5.500 | | | | 01/15/42 | | | | 3,415,234 | |
| Sysco Corp.(e) | |
| | 5,000,000 | | | | 4.850 | | | | 10/01/45 | | | | 5,441,101 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 33,680,810 | |
| | |
| | Gaming – 0.9% | |
| CyrusOne LP/CyrusOne Finance Corp.(e) | |
| | 5,299,000 | | | | 6.375 | | | | 11/15/22 | | | | 5,590,445 | |
| GLP Capital LP/GLP Financing II, Inc. | |
| | 1,100,000 | | | | 4.375 | | | | 04/15/21 | | | | 1,124,750 | |
| MGM Resorts International | |
| | 9,750,000 | | | | 6.750 | | | | 10/01/20 | | | | 10,383,750 | |
| MGP Escrow Issuer LLC/MGP Escrow Co-Issuer, Inc.(d)(e) | |
| | 1,250,000 | | | | 5.625 | | | | 05/01/24 | | | | 1,300,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 18,398,945 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 25 |
GOLDMAN SACHS INCOME BUILDER FUND
Schedule of Investments (continued)
April 30, 2016 (Unaudited)
| | | | | | | | | | | | | | |
Principal
Amount | | | Interest
Rate | | | Maturity
Date | | | Value | |
| | | | | | | | | | | | | | |
| | Corporate Obligations – (continued) | |
| | Health Care – 3.5% | |
| Centene Corp.(d)(e) | |
| $ | 3,000,000 | | | | 5.625 | % | | | 02/15/21 | | | $ | 3,165,000 | |
| | 1,550,000 | | | | 6.125 | | | | 02/15/24 | | | | 1,639,125 | |
| CHS/Community Health Systems, Inc.(e) | |
| | 10,625,000 | | | | 6.875 | | | | 02/01/22 | | | | 9,668,750 | |
| DaVita HealthCare Partners, Inc.(e) | |
| | 8,175,000 | | | | 5.000 | | | | 05/01/25 | | | | 8,185,219 | |
| HCA, Inc. | |
| | 10,000,000 | | | | 4.750 | | | | 05/01/23 | | | | 10,250,000 | |
| | 15,000,000 | | | | 5.000 | | | | 03/15/24 | | | | 15,525,000 | |
| | 7,000,000 | | | | 5.875 | (e) | | | 02/15/26 | | | | 7,280,000 | |
| MPT Operating Partnership LP/MPT Finance Corp.(e) | |
| | 5,100,000 | | | | 6.375 | | | | 03/01/24 | | | | 5,431,500 | |
| Tenet Healthcare Corp. | |
| | 11,600,000 | | | | 4.134 | (c)(d)(e) | | | 06/15/20 | | | | 11,600,000 | |
| | 3,150,000 | | | | 6.000 | | | | 10/01/20 | | | | 3,339,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 76,083,594 | |
| | |
| | Health Care – Pharmaceuticals(e) – 1.1% | |
| Actavis Funding SCS | |
| | 6,075,000 | | | | 4.750 | | | | 03/15/45 | | | | 6,138,221 | |
| Bayer AG(c) | |
| EUR | 4,000,000 | | | | 2.375 | | | | 04/02/75 | | | | 4,461,116 | |
| Endo Ltd./Endo Finance LLC/Endo Finco, Inc.(d) | |
| $ | 3,150,000 | | | | 6.000 | | | | 07/15/23 | | | | 3,090,938 | |
| | 5,000,000 | | | | 6.000 | | | | 02/01/25 | | | | 4,800,000 | |
| Merck KGaA(c) | |
| EUR | 4,000,000 | | | | 2.625 | | | | 12/12/74 | | | | 4,642,950 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 23,133,225 | |
| | |
| | Health Care – Services(d)(e) – 0.2% | |
| MEDNAX, Inc. | |
| $ | 4,100,000 | | | | 5.250 | | | | 12/01/23 | | | | 4,243,500 | |
| | |
| | Home Construction – 0.5% | |
| CBRE Services, Inc.(e) | |
| | 5,000,000 | | | | 5.250 | | | | 03/15/25 | | | | 5,186,533 | |
| TRI Pointe Group, Inc./TRI Pointe Homes, Inc. | |
| | 3,000,000 | | | | 4.375 | | | | 06/15/19 | | | | 3,007,500 | |
| William Lyon Homes, Inc.(e) | |
| | 2,000,000 | | | | 5.750 | | | | 04/15/19 | | | | 1,940,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 10,134,033 | |
| | |
| | Insurance(c)(e) – 0.5% | |
| Standard Life PLC | |
| GBP | 7,350,000 | | | | 6.546 | | | | 01/06/49 | | | | 11,222,735 | |
| | |
| | Lodging(d)(e) – 0.1% | |
| MCE Finance Ltd. | |
| $ | 3,000,000 | | | | 5.000 | | | | 02/15/21 | | | | 2,902,500 | |
| | |
| | Media – Cable – 4.8% | |
| Altice Luxembourg SA(e) | |
| EUR | 2,000,000 | | | | 6.250 | | | | 02/15/25 | | | | 2,129,794 | |
| Altice US Finance I Corp.(d)(e) | |
| $ | 5,450,000 | | | | 5.500 | | | | 05/15/26 | | | | 5,490,875 | |
| | |
| | | | | | | | | | | | | | |
| | Corporate Obligations – (continued) | |
| | Media – Cable – (continued) | |
| CCO Holdings LLC/CCO Holdings Capital Corp.(e) | |
| $ | 4,300,000 | | | | 5.125 | % | | | 05/01/23 | | | $ | 4,396,750 | |
| | 4,000,000 | | | | 5.750 | | | | 09/01/23 | | | | 4,180,000 | |
| | 3,100,000 | | | | 5.875 | (d) | | | 04/01/24 | | | | 3,255,000 | |
| | 7,000,000 | | | | 5.375 | | | | 05/01/25 | | | | 7,157,500 | |
| | 4,000,000 | | | | 5.875 | (d) | | | 05/01/27 | | | | 4,100,000 | |
| CCO Safari II LLC(d)(e) | |
| | 6,000,000 | | | | 4.908 | | | | 07/23/25 | | | | 6,464,569 | |
| | 15,000,000 | | | | 6.484 | | | | 10/23/45 | | | | 17,657,184 | |
| CCOH Safari LLC(d)(e) | |
| | 2,195,000 | | | | 5.750 | | | | 02/15/26 | | | | 2,274,569 | |
| Comcast Corp.(e) | |
| | 3,500,000 | | | | 4.600 | | | | 08/15/45 | | | | 3,939,047 | |
| DISH DBS Corp. | |
| | 4,050,000 | | | | 5.875 | | | | 11/15/24 | | | | 3,817,125 | |
| Numericable-SFR SA(d)(e) | |
| | 18,300,000 | | | | 6.000 | | | | 05/15/22 | | | | 18,322,875 | |
| | 2,650,000 | | | | 7.375 | | | | 05/01/26 | | | | 2,703,000 | |
| UPCB Finance IV Ltd.(d)(e) | |
| | 9,275,000 | | | | 5.375 | | | | 01/15/25 | | | | 9,437,313 | |
| Virgin Media Secured Finance PLC(e) | |
| GBP | 4,000,000 | | | | 4.875 | | | | 01/15/27 | | | | 5,468,094 | |
| Ziggo Bond Finance BV(d)(e) | |
| $ | 3,000,000 | | | | 5.875 | | | | 01/15/25 | | | | 2,973,750 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 103,767,445 | |
| | |
| | Media – Non Cable – 3.5% | |
| 21st Century Fox America, Inc. | |
| | 5,025,000 | | | | 6.150 | | | | 02/15/41 | | | | 6,209,728 | |
| Ancestry.com, Inc.(e) | |
| | 1,900,000 | | | | 11.000 | | | | 12/15/20 | | | | 2,071,000 | |
| Clear Channel Worldwide Holdings, Inc.(e) | |
| | 4,000,000 | | | | 6.500 | | | | 11/15/22 | | | | 3,880,000 | |
| Nielsen Finance LLC/Nielsen Finance Co.(d)(e) | |
| | 12,000,000 | | | | 5.000 | | | | 04/15/22 | | | | 12,240,000 | |
| Sirius XM Radio, Inc.(d)(e) | |
| | 6,500,000 | | | | 4.625 | | | | 05/15/23 | | | | 6,435,000 | |
| | 16,000,000 | | | | 6.000 | | | | 07/15/24 | | | | 16,920,000 | |
| Univision Communications, Inc.(e) | |
| | 8,950,000 | | | | 5.125 | (d) | | | 02/15/25 | | | | 8,860,500 | |
| | 6,000,000 | | | | 5.125 | | | | 02/15/25 | | | | 5,940,000 | |
| Videotron Ltd.(d)(e) | |
| | 13,000,000 | | | | 5.375 | | | | 06/15/24 | | | | 13,536,250 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 76,092,478 | |
| | |
| | Metals & Mining(d) – 0.2% | |
| Glencore Funding LLC | |
| | 4,000,000 | | | | 4.000 | | | | 04/16/25 | | | | 3,480,000 | |
| | |
| | Packaging(d)(e) – 0.5% | |
| Ardagh Finance Holdings SA(f) | |
| | 990,968 | | | | 8.625 | | | | 06/15/19 | | | | 988,408 | |
| Ardagh Packaging Finance PLC | |
| | 132,353 | | | | 7.000 | | | | 11/15/20 | | | | 125,404 | |
| | |
| | |
| 26 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INCOME BUILDER FUND
| | | | | | | | | | | | | | |
Principal
Amount | | | Interest
Rate | | | Maturity
Date | | | Value | |
| | | | | | | | | | | | | | |
| | Corporate Obligations – (continued) | |
| | Packaging(d)(e) – (continued) | |
| Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc. | |
| $ | 6,550,000 | | | | 1.000 | %(c) | | | 05/15/21 | | | $ | 6,550,000 | |
| | 3,834,000 | | | | 7.250 | | | | 05/15/24 | | | | 3,834,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 11,497,812 | |
| | |
| | Pipelines – 1.3% | |
| Enterprise Products Operating LLC(c)(e) | |
| | 100,000 | | | | 8.375 | | | | 08/01/66 | | | | 83,286 | |
| | 1,000,000 | | | | 7.000 | | | | 06/01/67 | | | | 720,000 | |
| Kinder Morgan, Inc.(e) | |
| | 6,325,000 | | | | 5.050 | | | | 02/15/46 | | | | 5,532,145 | |
| Sabine Pass Liquefaction LLC(e) | |
| | 4,000,000 | | | | 6.250 | | | | 03/15/22 | | | | 3,990,000 | |
| | 10,000,000 | | | | 5.750 | | | | 05/15/24 | | | | 9,725,000 | |
| The Williams Cos., Inc. | |
| | 9,000,000 | | | | 7.500 | | | | 01/15/31 | | | | 8,415,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 28,465,431 | |
| | |
| | Property/Casualty Insurance – 0.0% | |
| Transatlantic Holdings, Inc. | |
| | 75,000 | | | | 8.000 | | | | 11/30/39 | | | | 98,961 | |
| | |
| | Real Estate – 0.5% | |
| DuPont Fabros Technology LP(e) | |
| | 6,000,000 | | | | 5.875 | | | | 09/15/21 | | | | 6,300,000 | |
| Starwood Property Trust, Inc. | |
| | 4,000,000 | | | | 3.750 | | | | 10/15/17 | | | | 3,976,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 10,276,000 | |
| | |
| | Restaurants(d)(e) – 0.6% | |
| New Red Finance, Inc. | |
| | 8,150,000 | | | | 4.625 | | | | 01/15/22 | | | | 8,353,750 | |
| Seminole Hard Rock Entertainment, Inc. | |
| | 4,450,000 | | | | 5.875 | | | | 05/15/21 | | | | 4,494,500 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 12,848,250 | |
| | |
| | Retailers – 1.4% | |
| Amazon.com, Inc.(e) | |
| | 10,625,000 | | | | 4.950 | | | | 12/05/44 | | | | 12,432,129 | |
| Dollar Tree, Inc.(d)(e) | |
| | 4,000,000 | | | | 5.750 | | | | 03/01/23 | | | | 4,270,000 | |
| L Brands, Inc. | |
| | 6,000,000 | | | | 5.625 | | | | 02/15/22 | | | | 6,615,000 | |
| | 2,000,000 | | | | 5.625 | | | | 10/15/23 | | | | 2,210,000 | |
| Restoration Hardware Holdings, Inc.(d)(g) | |
| | 3,000,000 | | | | 0.000 | | | | 06/15/19 | | | | 2,471,250 | |
| The Neiman Marcus Group, Inc. | |
| | 1,500,000 | | | | 7.125 | | | | 06/01/28 | | | | 1,391,250 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 29,389,629 | |
| | |
| | Retailers – Food & Drug(e) – 0.5% | |
| CVS Health Corp. | |
| | 4,400,000 | | | | 5.125 | | | | 07/20/45 | | | | 5,154,321 | |
| Rite Aid Corp. | |
| | 6,000,000 | | | | 6.750 | | | | 06/15/21 | | | | 6,330,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 11,484,321 | |
| | |
| | | | | | | | | | | | | | |
| | Corporate Obligations – (continued) | |
| | Technology(e) – 0.5% | |
| Hewlett Packard Enterprise Co.(d) | |
| $ | 3,000,000 | | | | 6.200 | % | | | 10/15/35 | | | $ | 2,992,266 | |
| Seagate HDD Cayman | |
| | 3,000,000 | | | | 5.750 | | | | 12/01/34 | | | | 2,009,754 | |
| VeriSign, Inc. | |
| | 2,000,000 | | | | 4.625 | | | | 05/01/23 | | | | 2,060,000 | |
| | 4,000,000 | | | | 5.250 | | | | 04/01/25 | | | | 4,120,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 11,182,020 | |
| | |
| | Technology – Hardware(e) – 0.9% | |
| Micron Technology, Inc.(d) | |
| | 5,400,000 | | | | 7.500 | | | | 09/15/23 | | | | 5,589,000 | |
| NCR Corp. | |
| | 5,000,000 | | | | 5.875 | | | | 12/15/21 | | | | 5,187,500 | |
| Qorvo, Inc.(d) | |
| | 3,450,000 | | | | 6.750 | | | | 12/01/23 | | | | 3,536,250 | |
| Western Digital Corp.(d) | |
| | 4,800,000 | | | | 7.375 | | | | 04/01/23 | | | | 4,845,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 19,157,750 | |
| | |
| | Technology – Software(e) – 1.3% | |
| Aspect Software, Inc.(b) | |
| | 1,000,000 | | | | 10.625 | | | | 05/15/17 | | | | 80,000 | |
| BMC Software Finance, Inc.(d) | |
| | 12,000,000 | | | | 8.125 | | | | 07/15/21 | | | | 8,880,000 | |
| Infor US, Inc. | |
| | 7,350,000 | | | | 6.500 | | | | 05/15/22 | | | | 6,798,750 | |
| Microsoft Corp. | |
| | 5,000,000 | | | | 3.750 | | | | 02/12/45 | | | | 4,979,695 | |
| Nuance Communications, Inc.(d) | |
| | 7,000,000 | | | | 5.375 | | | | 08/15/20 | | | | 7,140,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 27,878,445 | |
| | |
| | Tobacco(e) – 0.8% | |
| Reynolds American, Inc. | |
| | 14,575,000 | | | | 5.850 | | | | 08/15/45 | | | | 17,886,841 | |
| | |
| | Wireless Telecommunications – 4.8% | |
| Altice Financing SA(d)(e) | |
| | 4,425,000 | | | | 6.625 | | | | 02/15/23 | | | | 4,402,875 | |
| Altice Finco SA(d)(e) | |
| | 2,000,000 | | | | 8.125 | | | | 01/15/24 | | | | 1,950,000 | |
| Digicel Group Ltd.(d)(e) | |
| | 3,800,000 | | | | 8.250 | | | | 09/30/20 | | | | 3,467,500 | |
| Digicel Ltd.(d)(e) | |
| | 950,000 | | | | 7.000 | | | | 02/15/20 | | | | 879,938 | |
| Intelsat Jackson Holdings SA(e) | |
| | 3,300,000 | | | | 7.250 | | | | 10/15/20 | | | | 2,409,000 | |
| | 6,000,000 | | | | 5.500 | | | | 08/01/23 | | | | 3,810,000 | |
| SBA Communications Corp.(e) | |
| | 17,191,000 | | | | 4.875 | | | | 07/15/22 | | | | 17,319,932 | |
| SoftBank Group Corp. | |
| | 8,000,000 | | | | 4.500 | (d) | | | 04/15/20 | | | | 8,120,000 | |
| | 4,425,000 | | | | 6.000 | (e) | | | 07/30/25 | | | | 4,624,125 | |
| Sprint Communications, Inc. | |
| | 8,975,000 | | | | 6.000 | | | | 12/01/16 | | | | 9,019,875 | |
| | 2,000,000 | | | | 6.000 | | | | 11/15/22 | | | | 1,475,000 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 27 |
GOLDMAN SACHS INCOME BUILDER FUND
Schedule of Investments (continued)
April 30, 2016 (Unaudited)
| | | | | | | | | | | | | | |
Principal
Amount | | | Interest
Rate | | | Maturity
Date | | | Value | |
| | | | | | | | | | | | | | |
| | Corporate Obligations – (continued) | |
| | Wireless Telecommunications – (continued) | |
| Sprint Corp. | |
| $ | 16,000,000 | | | | 7.875 | % | | | 09/15/23 | | | $ | 12,460,000 | |
| | 7,500,000 | | | | 7.125 | | | | 06/15/24 | | | | 5,615,625 | |
| T-Mobile USA, Inc.(e) | |
| | 2,000,000 | | | | 6.250 | | | | 04/01/21 | | | | 2,095,000 | |
| | 1,550,000 | | | | 6.633 | | | | 04/28/21 | | | | 1,643,000 | |
| | 8,200,000 | | | | 6.625 | | | | 04/01/23 | | | | 8,774,000 | |
| | 2,000,000 | | | | 6.375 | | | | 03/01/25 | | | | 2,115,000 | |
| | 10,550,000 | | | | 6.500 | | | | 01/15/26 | | | | 11,209,375 | |
| VimpelCom Holdings BV | |
| | 1,000,000 | | | | 7.504 | | | | 03/01/22 | | | | 1,071,250 | |
| Wind Acquisition Finance SA(d)(e) | |
| | 2,425,000 | | | | 4.750 | | | | 07/15/20 | | | | 2,328,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 104,789,495 | |
| | |
| | Wirelines Telecommunications – 1.6% | |
| AT&T, Inc.(e) | |
| | 6,300,000 | | | | 4.750 | | | | 05/15/46 | | | | 6,336,836 | |
| Communications Sales & Leasing, Inc./CSL Capital LLC(d)(e) | |
| | 3,600,000 | | | | 6.000 | | | | 04/15/23 | | | | 3,591,000 | |
| Frontier Communications Corp. | |
| | 4,926,000 | | | | 8.500 | | | | 04/15/20 | | | | 5,233,875 | |
| Telecom Italia SpA(d) | |
| | 12,875,000 | | | | 5.303 | | | | 05/30/24 | | | | 13,486,563 | |
| Verizon Communications, Inc. | |
| | 2,500,000 | | | | 4.862 | | | | 08/21/46 | | | | 2,677,710 | |
| | 2,500,000 | | | | 4.672 | | | | 03/15/55 | | | | 2,442,455 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 33,768,439 | |
| | |
| | TOTAL CORPORATE OBLIGATIONS | |
| | (Cost $1,000,157,732) | | | $ | 1,003,344,531 | |
| | |
| | |
| | Mortgage-Backed Obligations – 0.0% | |
| | Collateralized Mortgage Obligations – 0.0% | |
| | Adjustable Rate Non-Agency(c) – 0.0% | |
| Countrywide Alternative Loan Trust Series 2005-31, Class 2A1 | |
| $ | 159,476 | | | | 0.733 | % | | | 08/25/35 | | | $ | 135,133 | |
| Countrywide Alternative Loan Trust Series 2005-38, Class A3 | |
| | 163,463 | | | | 0.783 | | | | 09/25/35 | | | | 132,647 | |
| Countrywide Home Loan Mortgage Pass-Through Trust
Series 2004-HYB6, Class A2 |
|
| | 10,426 | | | | 2.671 | | | | 11/20/34 | | | | 9,788 | |
| JPMorgan Alternative Loan Trust Series 2005-A2, Class 1A1 | |
| | 130,851 | | | | 0.693 | | | | 01/25/36 | | | | 123,698 | |
| Merrill Lynch Alternative Note Asset Trust Series 2007-OAR3,
Class A1 |
|
| | 359,846 | | | | 0.629 | | | | 07/25/47 | | | | 278,538 | |
| Structured Adjustable Rate Mortgage Loan Trust Series 2004-06,
Class 3A2 |
|
| | 126,490 | | | | 2.574 | | | | 06/25/34 | | | | 125,134 | |
| Wells Fargo Mortgage Backed Securities Trust Series 2005-AR16,
Class 1A1 |
|
| | 59,557 | | | | 2.861 | | | | 08/25/33 | | | | 60,106 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 865,044 | |
| | |
| | | | | | | | | | | | | | |
| | Mortgage-Backed Obligations – (continued) | |
| | Interest Only(h) – 0.0% | |
| CS First Boston Mortgage Securities Corp. Series 2003-19,
Class 1A2 |
|
| $ | 2,161 | | | | 5.250 | % | | | 07/25/33 | | | $ | 56 | |
| CS First Boston Mortgage Securities Corp. Series 2003-AR18,
Class 2X(c) |
|
| | 20,075 | | | | 0.000 | | | | 07/25/33 | | | | — | |
| CS First Boston Mortgage Securities Corp. Series 2003-AR20,
Class 2X(c) |
|
| | 21,993 | | | | 0.000 | | | | 08/25/33 | | | | — | |
| Master Adjustable Rate Mortgages Trust Series 2003-2,
Class 3AX(c) |
|
| | 33,238 | | | | 0.123 | | | | 08/25/33 | | | | 203 | |
| Master Adjustable Rate Mortgages Trust Series 2003-2,
Class 4AX(c) |
|
| | 6,340 | | | | 0.320 | | | | 07/25/33 | | | | 72 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 331 | |
| | |
| | TOTAL MORTGAGE-BACKED OBLIGATIONS | |
| | (Cost $753,153) | | | $ | 865,375 | |
| | |
| | |
| | Asset-Backed Securities – 0.0% | |
| | Home Equity(c) – 0.0% | |
| Countrywide Home Equity Loan Trust Series 2004-N, Class 2A | |
| $ | 48,362 | | | | 0.713 | % | | | 02/15/34 | | | $ | 41,872 | |
| | |
| | Manufactured Housing – 0.0% | |
| Mid-State Trust Series 4, Class A | |
| | 22,927 | | | | 8.330 | | | | 04/01/30 | | | | 23,395 | |
| | |
| | TOTAL ASSET-BACKED SECURITIES | |
| | (Cost $76,110) | | | $ | 65,267 | |
| | |
| | |
| | U.S. Treasury Obligations – 4.0% | |
| United States Treasury Note | |
| $ | 85,500,000 | | | | 1.375 | % | | | 09/30/20 | | | $ | 86,045,484 | |
| | (Cost $85,968,553) | | | | | |
| | |
| | | | | | | | |
| Shares | | Description | | | Value | |
| | | | | | | | |
| Investment Companies(c)(i) – 0.7% | |
Goldman Sachs Financial Square Government Fund – FST Institutional Shares | |
| 11,460,564 | | | 0.250 | % | | $ | 11,460,564 | |
Goldman Sachs High Yield Fund – Institutional Shares | |
| 462,300 | | | 0.060 | | | | 2,870,886 | |
| |
| TOTAL INVESTMENT COMPANIES | |
| (Cost $14,813,477) | | | $ | 14,331,450 | |
| |
| | |
| 28 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INCOME BUILDER FUND
| | | | | | | | | | | | | | |
Principal
Amount | | | Interest
Rate | | | Maturity
Date | | | Value | |
| | | | | | | | | | | | | | |
| | Short-term Investments – 1.4% | |
| | Commercial Paper – 1.4% | |
| Eaton Corp. | |
| $ | 2,500,000 | | | | 0.659 | % | | | 05/05/16 | | | $ | 2,499,819 | |
| | 5,000,000 | | | | 0.690 | | | | 05/11/16 | | | | 4,999,056 | |
| Marriott Internation | |
| | 5,000,000 | | | | 0.669 | | | | 05/09/16 | | | | 4,999,267 | |
| Monsanto Co. | |
| | 5,000,000 | | | | 0.832 | | | | 05/23/16 | | | | 4,997,494 | |
| Omnicom Cap, Inc. | |
| | 5,000,000 | | | | 0.781 | | | | 05/16/16 | | | | 4,998,396 | |
| Schlumberger Holdings Corp. | |
| | 5,000,000 | | | | 1.015 | | | | 06/03/16 | | | | 4,995,417 | |
| Tyco International Finance SA | |
| | 3,000,000 | | | | 0.862 | | | | 05/10/16 | | | | 2,999,362 | |
| | |
| | TOTAL SHORT-TERM INVESTMENTS | |
| | (Cost $30,488,811) | | | $ | 30,488,811 | |
| | |
| | TOTAL INVESTMENTS – 99.8% | | | | | |
| | (Cost $2,130,983,963) | | | $ | 2,163,384,119 | |
| | |
| OTHER ASSETS IN EXCESS OF
LIABILITIES – 0.2% |
| | | 3,836,887 | |
| | |
| | NET ASSETS – 100.0% | | | $ | 2,167,221,006 | |
| | |
| | |
| 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 April 30, 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) | | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on April 30, 2016. |
(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 $379,453,612, which represents approximately 17.5% of net assets as of April 30, 2016. |
(e) | | Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. |
(f) | | Pay-in-kind securities. |
(g) | | Issued with a zero coupon. Income is recognized through the accretion of discount. |
(h) | | Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate. |
(i) | | Represents affiliated funds. |
| | |
|
Currency Abbreviations: |
CHF | | —Swiss Franc |
EUR | | —Euro |
GBP | | —British Pound |
USD | | —United States Dollar |
| | |
Investment Abbreviations: |
ADR | | —American Depositary Receipt |
GMAC | | —General Motors Acceptance Corporation |
LLC | | —Limited Liability Company |
LP | | —Limited Partnership |
PLC | | —Public Limited Company |
|
| | |
| The accompanying notes are an integral part of these financial statements. | | 29 |
GOLDMAN SACHS INCOME BUILDER FUND
Schedule of Investments (continued)
April 30, 2016 (Unaudited)
|
| ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At April 30, 2016, the Fund had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency
Purchased | | | Currency
Sold | | | Current
Value | | | Settlement
Date | | | Unrealized
Loss | |
Goldman Sachs Asset Management International | | USD | | | 281,073 | | | CHF | | | 269,512 | | | $ | 281,234 | | | | 05/24/16 | | | $ | (161 | ) |
| | USD | | | 22,254,078 | | | EUR | | | 19,831,643 | | | | 22,720,963 | | | | 05/19/16 | | | | (466,885 | ) |
| | | USD | | | 24,370,465 | | | GBP | | | 17,146,011 | | | | 25,054,616 | | | | 05/27/16 | | | | (684,152 | ) |
| TOTAL | | | | | | | | | | | | | | | | | | | | | | $ | (1,151,198 | ) |
FUTURES CONTRACTS — At April 30, 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 Notes | | | (141 | ) | | June 2016 | | $ | (30,826,125 | ) | | $ | (57,497 | ) |
5 Year U.S. Treasury Notes | | | (364 | ) | | June 2016 | | | (44,012,719 | ) | | | (22,985 | ) |
10 Year U.S. Treasury Notes | | | (956 | ) | | June 2016 | | | (124,339,750 | ) | | | (127,560 | ) |
20 Year U.S. Treasury Bonds | | | (497 | ) | | June 2016 | | | (81,166,312 | ) | | | 888,590 | |
Ultra Long U.S. Treasury Bonds | | | (189 | ) | | June 2016 | | | (32,383,969 | ) | | | 370,141 | |
| TOTAL | | | | | | | | | | | | $ | 1,050,689 | |
| | |
| 30 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS RISING DIVIDEND GROWTH FUND
Schedule of Investments
April 30, 2016 (Unaudited)
| | | | | | | | |
| Shares | | | Description | | Value | |
| | | | | | | | |
| | | | | | | | |
| | Common Stocks – 97.5% | |
| | Aerospace & Defense – 1.7% | | | | |
| | 499,700 | | | United Technologies Corp. | | $ | 52,153,689 | |
| | |
| | Beverages – 3.3% | | | | |
| | 990,000 | | | PepsiCo., Inc. | | | 101,930,400 | |
| | |
| | Capital Markets – 1.7% | | | | |
| | 262,077 | | | SEI Investments Co. | | | 12,600,662 | |
| | 511,000 | | | T. Rowe Price Group, Inc. | | | 38,473,190 | |
| | | | | | | | |
| | | | | | | 51,073,852 | |
| | |
| | Chemicals – 10.7% | | | | |
| | 905,000 | | | Ecolab, Inc. | | | 104,056,900 | |
| | 535,000 | | | Monsanto Co. | | | 50,118,800 | |
| | 310,000 | | | The Sherwin-Williams Co. | | | 89,066,100 | |
| | 800,000 | | | The Valspar Corp. | | | 85,352,000 | |
| | | | | | | | |
| | | | | | | 328,593,800 | |
| | |
| | Commercial Banks – 1.6% | | | | |
| | 1,200,000 | | | Bank of the Ozarks, Inc. | | | 49,560,000 | |
| | |
| | Communications Equipment – 2.8% | | | | |
| | 1,071,800 | | | Harris Corp. | | | 85,754,718 | |
| | |
| | Diversified Financial Services – 2.4% | | | | |
| | 497,320 | | | FactSet Research Systems, Inc. | | | 74,970,990 | |
| | |
| | Food & Staples Retailing – 3.4% | | | | |
| | 1,034,500 | | | CVS Health Corp. | | | 103,967,250 | |
| | |
| | Food Products – 2.2% | | | | |
| | 1,770,000 | | | Hormel Foods Corp. | | | 68,233,500 | |
| | |
| | Health Care Providers & Services – 3.5% | | | | |
| | 1,348,600 | | | Cardinal Health, Inc. | | | 105,811,156 | |
| | |
| | Household Products – 2.3% | | | | |
| | 750,000 | | | Church & Dwight Co., Inc. | | | 69,525,000 | |
| | |
| | Industrial Conglomerates – 2.7% | |
| | 470,000 | | | Roper Technologies, Inc. | | | 82,762,300 | |
| | |
| | Insurance – 3.5% | | | | |
| | 425,000 | | | Aflac, Inc. | | | 29,312,250 | |
| | 667,109 | | | Chubb Ltd. | | | 78,625,467 | |
| | | | | | | | |
| | | | | | | 107,937,717 | |
| | |
| | IT Services – 3.8% | | | | |
| | 935,000 | | | Automatic Data Processing, Inc. | | | 82,691,400 | |
| | 427,709 | | | Jack Henry & Associates, Inc. | | | 34,657,260 | |
| | | | | | | | |
| | | | | | | 117,348,660 | |
| | |
| | Leisure Equipment & Products – 2.5% | | | | |
| | 768,290 | | | Polaris Industries, Inc. | | | 75,200,225 | |
| | |
| | Machinery – 3.9% | | | | |
| | 740,700 | | | Illinois Tool Works, Inc. | | | 77,417,964 | |
| | 376,200 | | | Parker-Hannifin Corp. | | | 43,646,724 | |
| | | | | | | | |
| | | | | | | 121,064,688 | |
| | |
| | Common Stocks – (continued) | |
| | Oil, Gas & Consumable Fuels – 19.5% | | | | |
| | 105,000 | | | Buckeye Partners LP | | $ | 7,560,000 | |
| | 1,017,500 | | | Columbia Pipeline Partners LP | | | 14,784,275 | |
| | 1,759,629 | | | Enable Midstream Partners LP | | | 20,886,796 | |
| | 2,499,000 | | | Energy Transfer Equity LP | | | 31,062,570 | |
| | 1,667,300 | | | Enterprise Products Partners LP | | | 44,500,237 | |
| | 989,700 | | | EOG Resources, Inc. | | | 81,769,014 | |
| | 669,816 | | | EQT Midstream Partners LP | | | 53,109,711 | |
| | 1,480,000 | | | Genesis Energy LP | | | 47,981,600 | |
| | 697,200 | | | Magellan Midstream Partners LP | | | 50,247,204 | |
| | 1,324,953 | | | NGL Energy Partners LP | | | 16,932,899 | |
| | 1,850,000 | | | Suncor Energy, Inc. | | | 54,334,500 | |
| | 1,399,200 | | | Sunoco Logistics Partners LP | | | 40,968,576 | |
| | 1,110,000 | | | Tallgrass Energy GP LP | | | 23,121,300 | |
| | 445,000 | | | Tallgrass Energy Partners LP | | | 18,289,500 | |
| | 790,000 | | | Tesoro Logistics LP | | | 36,529,600 | |
| | 569,270 | | | Western Gas Partners LP | | | 27,814,532 | |
| | 872,904 | | | Williams Partners LP | | | 26,387,888 | |
| | | | | | | | |
| | | | | | | 596,280,202 | |
| | |
| | Pharmaceuticals – 9.6% | | | | |
| | 2,137,600 | | | Novo Nordisk A/S ADR | | | 119,256,704 | |
| | 810,000 | | | Perrigo Co. PLC | | | 78,302,700 | |
| | 3,086,658 | | | Roche Holding AG ADR | | | 97,445,793 | |
| | | | | | | | |
| | | | | | | 295,005,197 | |
| | |
| | Road & Rail – 2.8% | | | | |
| | 1,403,500 | | | Canadian National Railway Co. | | | 86,399,460 | |
| | |
| | Specialty Retail – 8.8% | | | | |
| | 1,570,000 | | | Lowe’s Cos., Inc. | | | 119,351,400 | |
| | 250,000 | | | Ross Stores, Inc. | | | 14,195,000 | |
| | 1,450,000 | | | The TJX Cos., Inc. | | | 109,939,000 | |
| | 347,590 | | | Tiffany & Co. | | | 24,800,547 | |
| | | | | | | | |
| | | | | | | 268,285,947 | |
| | |
| | Textiles, Apparel & Luxury Goods – 4.8% | | | | |
| | 1,525,000 | | | NIKE, Inc. Class B | | | 89,883,500 | |
| | 900,000 | | | VF Corp. | | | 56,745,000 | |
| | | | | | | | |
| | | | | | | 146,628,500 | |
| | |
| | TOTAL COMMON STOCKS | | | | |
| | (Cost $2,372,492,883) | | $ | 2,988,487,251 | |
| | |
| | | | | | | | | | | | | | |
Principal
Amount | | | Interest
Rate | | | Maturity
Date | | | Value | |
| | | | | | | | | | | | | | |
| | Short-term Investment(a) – 2.3% | |
| | Repurchase Agreements – 2.3% | |
| Joint Repurchase Agreement Account II | |
| $ | 70,200,000 | | | | 0.290 | % | | | 05/02/16 | | | $ | 70,200,000 | |
| | (Cost $70,200,000) | | | | | |
| | |
| | TOTAL INVESTMENTS – 99.8% | |
| | (Cost $2,442,692,883) | | | $ | 3,058,687,251 | |
| | |
| OTHER ASSETS IN EXCESS OF
LIABILITIES – 0.2% |
| | | 5,031,077 | |
| | |
| | NET ASSETS – 100.0% | | | $ | 3,063,718,328 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 31 |
GOLDMAN SACHS RISING DIVIDEND GROWTH FUND
Schedule of Investments (continued)
April 30, 2016 (Unaudited)
| | |
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
(a) | | Joint repurchase agreement was entered into on April 29, 2016. Additional information appears on page 33. |
| | | | |
|
Investment Abbreviations: |
ADR | | —American Depositary Receipt |
GP | | —General Partnership |
LP | | —Limited Partnership |
PLC | | —Public Limited Company |
|
| | |
| 32 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Schedule of Investments
April 30, 2016 (Unaudited)
|
| ADDITIONAL INVESTMENT INFORMATION |
JOINT REPURCHASE AGREEMENT ACCOUNT II — At April 30, 2016, the Rising Dividend Growth Fund had undivided interests in the Joint Repurchase Agreement Account II, with a maturity date of May 2, 2016, as follows:
| | | | | | | | | | |
| Fund | | Principal
Amount | | | Maturity
Value | | | Collateral
Allocation
Value |
Rising Dividend Growth | | $ | 70,200,000 | | | $ | 70,201,132 | | | $71,674,097 |
REPURCHASE AGREEMENTS — At April 30, 2016, the Principal Amount of the Fund’s interest in the Joint Repurchase Agreement Account II was as follows:
| | | | | | | | |
| Counterparty | | Interest Rate | | | Rising
Dividend
Growth | |
BNP Paribas Securities Co. | | | 0.30 | % | | $ | 11,655,435 | |
Citigroup Global Markets, Inc. | | | 0.30 | | | | 14,740,697 | |
Merrill Lynch & Co., Inc. | | | 0.30 | | | | 9,865,983 | |
Merrill Lynch & Co., Inc. | | | 0.28 | | | | 33,937,885 | |
| TOTAL | | | | | | $ | 70,200,000 | |
At April 30, 2016, the Joint Repurchase Agreement Account II was fully collateralized by:
| | | | | | | | |
| Issuer | | Interest Rates | | | Maturity Dates | |
Federal Farm Credit Banks | | | 3.330 | % | | | 02/01/33 | |
Federal Home Loan Banks | | | 3.375 to 5.500 | | | | 09/01/28 to 07/15/36 | |
Federal Home Loan Mortgage Corp. | | | 4.000 to 7.500 | | | | 09/01/17 to 11/01/45 | |
Federal National Mortgage Association | | | 2.500 to 6.500 | | | | 03/01/19 to 08/01/45 | |
Government National Mortgage Association | | | 3.500 to 10.000 | | | | 02/15/18 to 04/20/46 | |
United States Treasury Floating Rate Note | | | 0.518 | | | | 10/31/17 | |
United States Treasury Inflation Protected Securities | | | 0.125 | | | | 07/15/22 | |
U.S. Treasury Notes | | | 1.625 to 2.500 | | | | 06/30/20 to 08/15/23 | |
United States Treasury Stripped Securities | | | 0.000 | | | | 11/15/31 to 02/15/44 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 33 |
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Statements of Assets and Liabilities
April 30, 2016 (Unaudited)
| | | | | | | | | | |
| | | | | Income Builder
Fund | | | Rising Dividend
Growth Fund | |
| | Assets: | | | | | | | | |
| | Investments of unaffiliated issuers, at value (cost $2,116,170,486 and $2,442,692,883) | | $ | 2,149,052,669 | | | $ | 3,058,687,251 | |
| | Investments of affiliated issuers, at value (cost $14,813,477 and $0) | | | 14,331,450 | | | | — | |
| | Cash | | | 20,161,560 | | | | 14,644 | |
| | Foreign currencies, at value (cost $2,734 and $0, respectively) | | | 2,914 | | | | — | |
| | Receivables: | | | | | | | | |
| | Dividends and interest | | | 18,204,957 | | | | 5,597,265 | |
| | Investments sold | | | 16,666,092 | | | | 10,109,133 | |
| | Investments sold on an extended-settlement basis | | | 4,447,830 | | | | — | |
| | Collateral on certain derivative contracts(a) | | | 4,195,668 | | | | — | |
| | Fund shares sold | | | 3,838,772 | | | | 2,129,262 | |
| | Foreign tax reclaims | | | 168,646 | | | | 2,608,007 | |
| | Reimbursement from investment adviser | | | 9,212 | | | | 49,856 | |
| | Other assets | | | 6,733 | | | | 13,144 | |
| | Total assets | | | 2,231,086,503 | | | | 3,079,208,562 | |
| | | | | | | | | | |
| | Liabilities: | | | | | | | | |
| | Unrealized loss on forward foreign currency exchange contracts | | | 1,151,198 | | | | — | |
| | Variation margin on certain derivative contracts | | | 576,678 | | | | — | |
| | Payables: | | | | | | | | |
| | Investments purchased on an extended-settlement basis | | | 38,623,036 | | | | — | |
| | Investments purchased | | | 17,128,249 | | | | 3,827,905 | |
| | Fund shares redeemed | | | 4,376,680 | | | | 8,691,821 | |
| | Distribution and Service fees and Transfer Agency fees | | | 945,467 | | | | 1,069,334 | |
| | Management fees | | | 895,959 | | | | 1,751,099 | |
| | Accrued expenses | | | 168,272 | | | | 150,075 | |
| | Total liabilities | | | 63,865,497 | | | | 15,490,234 | |
| | | | | | | | | | |
| | Net Assets: | | | | | | | | |
| | Paid-in capital | | | 2,286,024,173 | | | | 2,470,899,451 | |
| | Distributions in excess of net investment income | | | (3,296,174 | ) | | | (51,106,956 | ) |
| | Accumulated net realized gain (loss) | | | (145,296,300 | ) | | | 33,403,586 | |
| | Net unrealized gain | | | 29,789,307 | | | | 610,522,247 | |
| | | NET ASSETS | | $ | 2,167,221,006 | | | $ | 3,063,718,328 | |
| | | Net Assets: | | | | | | | | |
| | | Class A | | $ | 633,571,178 | | | $ | 881,806,518 | |
| | | Class C | | | 695,785,447 | | | | 665,889,440 | |
| | | Institutional | | | 721,089,485 | | | | 1,185,121,071 | |
| | | Class IR | | | 116,765,122 | | | | 326,109,416 | |
| | | Class R | | | — | | | | 4,791,883 | |
| | | Class R6 | | | 9,774 | | | | — | |
| | | Total Net Assets | | $ | 2,167,221,006 | | | $ | 3,063,718,328 | |
| | | Shares Outstanding $0.001 par value (unlimited number of shares authorized): | | | | | | | | |
| | | Class A | | | 29,924,810 | | | | 43,366,798 | |
| | | Class C | | | 33,372,180 | | | | 32,542,854 | |
| | | Institutional | | | 33,392,685 | | | | 57,069,005 | |
| | | Class IR | | | 5,420,688 | | | | 15,714,762 | |
| | | Class R | | | — | | | | 235,957 | |
| | | Class R6 | | | 453 | | | | — | |
| | | Net asset value, offering and redemption price per share:(b) | | | | | | | | |
| | | Class A | | | $21.17 | | | | $20.33 | |
| | | Class C | | | 20.85 | | | | 20.46 | |
| | | Institutional | | | 21.59 | | | | 20.77 | |
| | | Class IR | | | 21.54 | | | | 20.75 | |
| | | Class R | | | — | | | | 20.31 | |
| | | Class R6 | | | 21.59 | | | | — | |
| | (a) | | Represents initial margin on future transactions. |
| | (b) | | Maximum public offering price per share for Class A Shares of the Income Builder and the Rising Dividend Growth Funds is $22.40 and $21.51, 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. |
| | |
| 34 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Statements of Operations
For the Six Months Ended April 30, 2016 (Unaudited)
| | | | | | | | | | |
| | | | | Income Builder
Fund | | | Rising Dividend
Growth Fund | |
| | Investment income: | | | | | | | | |
| | Dividends — unaffiliated issuers (net of foreign withholding taxes of $341,655 and $0) | | $ | 15,781,369 | | | $ | 25,305,263 | |
| | Dividends — affiliated issuers | | | 134,077 | | | | — | |
| | Interest | | | 36,868,695 | | | | 150,874 | |
| | Total investment income | | | 52,784,141 | | | | 25,456,137 | |
| | | | | | | | | | |
| | Expenses: | | | | | | | | |
| | Management fees | | | 6,648,384 | | | | 11,062,665 | |
| | Distribution and Service fees(a) | | | 4,211,795 | | | | 4,515,646 | |
| | Transfer Agency fees(a) | | | 1,518,661 | | | | 2,122,167 | |
| | Custody, accounting and administrative services | | | 128,694 | | | | 122,807 | |
| | Printing and mailing costs | | | 121,802 | | | | 194,008 | |
| | Registration fees | | | 82,288 | | | | 88,774 | |
| | Professional fees | | | 50,327 | | | | 62,657 | |
| | Trustee fees | | | 14,600 | | | | 17,441 | |
| | Other | | | 24,069 | | | | 35,378 | |
| | Total expenses | | | 12,800,620 | | | | 18,221,543 | |
| | Less — expense reductions | | | (1,243,903 | ) | | | (295,385 | ) |
| | Net expenses | | | 11,556,717 | | | | 17,926,158 | |
| | NET INVESTMENT INCOME | | | 41,227,424 | | | | 7,529,979 | |
| | | | | | | | | | |
| | Realized and unrealized gain (loss): | | | | | | | | |
| | Net realized gain (loss) from: | | | | | | | | |
| | Investments — unaffiliated issuers | | | (125,718,303 | ) | | | 27,243,515 | |
| | Futures contracts | | | (5,688,704 | ) | | | — | |
| | Forward foreign currency exchange contracts | | | 943,695 | | | | — | |
| | Foreign currency transactions | | | 224,062 | | | | (2,075 | ) |
| | Net change in unrealized gain on: | | | | | | | | |
| | Investments — unaffiliated issuers | | | 61,320,583 | | | | (101,548,811 | ) |
| | Investments — affiliated issuers | | | (92,012 | ) | | | — | |
| | Futures contracts | | | 2,026,229 | | | | — | |
| | Forward foreign currency exchange contracts | | | (921,000 | ) | | | — | |
| | Foreign currency translation | | | 15,569 | | | | — | |
| | Net realized and unrealized loss | | | (67,889,881 | ) | | | (74,307,371 | ) |
| | NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | (26,662,457 | ) | | $ | (66,777,392 | ) |
| | (a) | | Class specific Distribution and Service and Transfer Agency fees were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Distribution and Service Fees | | | Transfer Agency Fees | |
Class A | | | Class C | | | Class R | | | Class A | | | Class C | | | Institutional | | | Class R6 | | | Class IR | | | Class R | |
| | $ 810,604 | | | $ | 3,401,191 | | | $ | — | | | $ | 616,059 | | | $ | 646,226 | | | $ | 142,554 | | | $ | 2 | | | $ | 113,820 | | | $ | — | |
| | 1,155,043 | | | | 3,349,019 | | | | 11,584 | | | | 877,833 | | | | 636,314 | | | | 250,832 | | | | — | | | | 352,786 | | | | 4,402 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 35 |
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Statements of Changes in Net Assets
| | | | | | | | | | |
| | | | | Income Builder Fund | |
| | | | | For the
Six Months Ended
April 30, 2016
(Unaudited) | | | For the Fiscal
Year Ended
October 31, 2015 | |
| | From operations: | |
| | Net investment income | | $ | 41,227,424 | | | $ | 78,282,345 | |
| | Net realized gain (loss) | | | (130,239,250 | ) | | | (17,376,216 | ) |
| | Net change in unrealized gain (loss) | | | 62,349,369 | | | | (79,279,212 | ) |
| | Net decrease in net assets resulting from operations | | | (26,662,457 | ) | | | (18,373,083 | ) |
| | | | | | | | | | |
| | Distributions to shareholders: | | | | | | | | |
| | From net investment income | | | | | | | | |
| | Class A Shares | | | (12,809,992 | ) | | | (25,272,901 | ) |
| | Class C Shares | | | (11,308,695 | ) | | | (19,196,423 | ) |
| | Institutional Shares | | | (15,185,890 | ) | | | (27,929,995 | ) |
| | Class IR Shares | | | (2,457,470 | ) | | | (4,386,513 | ) |
| | Class R Shares | | | — | | | | — | |
| | Class R6 Shares(a) | | | (202 | ) | | | (100 | ) |
| | Return of capital | | | | | | | | |
| | Class A Shares | | | — | | | | (2,841,064 | ) |
| | Class C Shares | | | — | | | | (2,157,975 | ) |
| | Institutional Shares | | | — | | | | (3,139,763 | ) |
| | Class IR Shares | | | — | | | | (493,112 | ) |
| | Class R Shares | | | — | | | | — | |
| | Class R6 Shares(a) | | | — | | | | (11 | ) |
| | Total distributions to shareholders | | | (41,762,249 | ) | | | (85,417,857 | ) |
| | | | | | | | | | |
| | From share transactions: | |
| | Proceeds from sales of shares | | | 399,374,194 | | | | 1,079,141,908 | |
| | Reinvestment of distributions | | | 37,110,599 | | | | 75,118,014 | |
| | Cost of shares redeemed | | | (510,983,836 | ) | | | (674,836,151 | ) |
| | Net increase (decrease) in net assets resulting from share transactions | | | (74,499,043 | ) | | | 479,423,771 | |
| | TOTAL INCREASE (DECREASE) | | | (142,923,749 | ) | | | 375,632,831 | |
| | | | | | | | | | |
| | Net assets: | |
| | Beginning of period | | | 2,310,144,755 | | | | 1,934,511,924 | |
| | End of period | | $ | 2,167,221,006 | | | $ | 2,310,144,755 | |
| | Distributions in excess of net investment income | | $ | (3,296,174 | ) | | $ | (2,399,866 | ) |
| | (a) | | Commenced operations on July 31, 2015. |
| | |
| 36 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Statements of Changes in Net Assets
| | | | | | | | | | |
| | | | | Rising Dividend Growth Fund | |
| | | | | For the Six Months
Ended April 30,
2016 (Unaudited) | | | For the Fiscal
Year Ended
October 31, 2015 | |
| | From operations: | |
| | Net investment income | | $ | 7,529,979 | | | $ | 13,315,816 | |
| | Net realized gain (loss) | | | 27,241,440 | | | | (19,902,659 | ) |
| | Net change in unrealized gain (loss) | | | (101,548,811 | ) | | | (71,345,396 | ) |
| | Net decrease in net assets resulting from operations | | | (66,777,392 | ) | | | (77,932,239 | ) |
| | | | | | | | | | |
| | Distributions to shareholders: | | | | | | | | |
| | From net investment income | | | | | | | | |
| | Class A Shares | | | (5,410,232 | ) | | | (5,209,223 | ) |
| | Class C Shares | | | (2,304,747 | ) | | | (809,923 | ) |
| | Institutional Shares | | | (9,541,858 | ) | | | (10,560,502 | ) |
| | Class IR Shares | | | (2,566,349 | ) | | | (2,740,540 | ) |
| | Class R Shares | | | (24,943 | ) | | | (15,469 | ) |
| | Return of capital | | | | | | | | |
| | Class A Shares | | | — | | | | (5,665,776 | ) |
| | Class C Shares | | | — | | | | (880,908 | ) |
| | Institutional Shares | | | — | | | | (11,486,057 | ) |
| | Class IR Shares | | | — | | | | (2,980,729 | ) |
| | Class R Shares | | | — | | | | (16,824 | ) |
| | Total distributions to shareholders | | | (19,848,129 | ) | | | (40,365,951 | ) |
| | | | | | | | | | |
| | From share transactions: | | | | | | | | |
| | Proceeds from sales of shares | | | 233,299,227 | | | | 1,287,414,003 | |
| | Reinvestment of distributions | | | 17,079,957 | | | | 34,426,282 | |
| | Cost of shares redeemed | | | (805,086,927 | ) | | | (1,139,920,958 | ) |
| | Net increase (decrease) in net assets resulting from share transactions | | | (554,707,743 | ) | | | 181,919,327 | |
| | TOTAL INCREASE (DECREASE) | | | (641,333,264 | ) | | | 63,621,137 | |
| | | | | | | | | | |
| | Net assets: | | | | | | | | |
| | Beginning of period | | | 3,705,051,592 | | | | 3,641,430,455 | |
| | End of period | | $ | 3,063,718,328 | | | $ | 3,705,051,592 | |
| | Distributions in excess of net investment income | | $ | (51,106,956.00 | ) | | $ | (18,013,483 | ) |
| | |
| The accompanying notes are an integral part of these financial statements. | | 37 |
GOLDMAN SACHS INCOME BUILDER FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | From
investment operations | | | Distributions
to shareholders | |
| | | Year - Share Class | | Net asset
value,
beginning
of period | | | Net
investment
income(a) | | | Net realized
and unrealized
gain (loss) | | | Total from
investment
operations | | | From net
investment
income | | | From net
realized
gains | | | From
capital | | | Total
distributions | |
| | FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED) | |
| | 2016 - A | | $ | 21.77 | | | $ | 0.40 | | | $ | (0.59 | ) | | $ | (0.19 | ) | | $ | (0.41 | ) | | $ | — | | | $ | — | | | $ | (0.41 | ) |
| | 2016 - C | | | 21.45 | | | | 0.32 | | | | (0.58 | ) | | | (0.26 | ) | | | (0.34 | ) | | | — | | | | — | | | | (0.34 | ) |
| | 2016 - Institutional | | | 22.20 | | | | 0.45 | | | | (0.61 | ) | | | (0.16 | ) | | | (0.45 | ) | | | — | | | | — | | | | (0.45 | ) |
| | 2016 - IR | | | 22.14 | | | | 0.44 | | | | (0.61 | ) | | | (0.17 | ) | | | (0.43 | ) | | | — | | | | — | | | | (0.43 | ) |
| | 2016 - R6 | | | 22.20 | | | | 0.45 | | | | (0.61 | ) | | | (0.16 | ) | | | (0.45 | ) | | | — | | | | — | | | | (0.45 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | FOR THE FISCAL YEAR ENDED OCTOBER 31, | |
| | 2015 - A | | | 22.83 | | | | 0.84 | | | | (0.99 | ) | | | (0.15 | ) | | | (0.82 | ) | | | — | | | | (0.09 | ) | | | (0.91 | ) |
| | 2015 - C | | | 22.51 | | | | 0.66 | | | | (0.98 | ) | | | (0.32 | ) | | | (0.66 | ) | | | — | | | | (0.08 | ) | | | (0.74 | ) |
| | 2015 - Institutional | | | 23.25 | | | | 0.94 | | | | (0.99 | ) | | | (0.05 | ) | | | (0.90 | ) | | | — | | | | (0.10 | ) | | | (1.00 | ) |
| | 2015 - IR | | | 23.20 | | | | 0.91 | | | | (1.01 | ) | | | (0.10 | ) | | | (0.86 | ) | | | — | | | | (0.10 | ) | | | (0.96 | ) |
| | 2015 - R6 (Commenced July 31, 2015) | | | 22.83 | | | | 0.18 | | | | (0.56 | ) | | | (0.38 | ) | | | (0.22 | ) | | | — | | | | (0.03 | ) | | | (0.25 | ) |
| | 2014 - A | | | 22.47 | | | | 0.89 | | | | 0.64 | | | | 1.53 | | | | (0.96 | ) | | | (0.21 | ) | | | — | | | | (1.17 | ) |
| | 2014 - C | | | 22.17 | | | | 0.70 | | | | 0.65 | | | | 1.35 | | | | (0.80 | ) | | | (0.21 | ) | | | — | | | | (1.01 | ) |
| | 2014 - Institutional | | | 22.86 | | | | 1.01 | | | | 0.64 | | | | 1.65 | | | | (1.05 | ) | | | (0.21 | ) | | | — | | | | (1.26 | ) |
| | 2014 - IR | | | 22.81 | | | | 0.96 | | | | 0.66 | | | | 1.62 | | | | (1.02 | ) | | | (0.21 | ) | | | — | | | | (1.23 | ) |
| | 2013 - A | | | 20.99 | | | | 0.75 | | | | 2.21 | | | | 2.96 | | | | (0.88 | ) | | | (0.60 | ) | | | — | | | | (1.48 | ) |
| | 2013 - C | | | 20.74 | | | | 0.57 | | | | 2.19 | | | | 2.76 | | | | (0.73 | ) | | | (0.60 | ) | | | — | | | | (1.33 | ) |
| | 2013 - Institutional | | | 21.33 | | | | 0.83 | | | | 2.27 | | | | 3.10 | | | | (0.97 | ) | | | (0.60 | ) | | | — | | | | (1.57 | ) |
| | 2013 - IR | | | 21.29 | | | | 0.79 | | | | 2.27 | | | | 3.06 | | | | (0.94 | ) | | | (0.60 | ) | | | — | | | | (1.54 | ) |
| | 2012 - A | | | 19.01 | | | | 0.55 | | | | 1.95 | | | | 2.50 | | | | (0.52 | ) | | | — | | | | — | | | | (0.52 | ) |
| | 2012 - C | | | 18.79 | | | | 0.42 | | | | 1.90 | | | | 2.32 | | | | (0.37 | ) | | | — | | | | — | | | | (0.37 | ) |
| | 2012 - Institutional | | | 19.31 | | | | 0.66 | | | | 1.97 | | | | 2.63 | | | | (0.61 | ) | | | — | | | | — | | | | (0.61 | ) |
| | 2012 - IR | | | 19.28 | | | | 0.57 | | | | 2.02 | | | | 2.59 | | | | (0.58 | ) | | | — | | | | — | | | | (0.58 | ) |
| | 2011 - A | | | 18.21 | | | | 0.42 | (f) | | | 0.83 | | | | 1.25 | | | | (0.45 | ) | | | — | | | | — | | | | (0.45 | ) |
| | 2011 - C | | | 18.01 | | | | 0.26 | (f) | | | 0.84 | | | | 1.10 | | | | (0.32 | ) | | | — | | | | — | | | | (0.32 | ) |
| | 2011 - Institutional | | | 18.50 | | | | 0.47 | (f) | | | 0.87 | | | | 1.34 | | | | (0.53 | ) | | | — | | | | — | | | | (0.53 | ) |
| | 2011 - IR | | | 18.48 | | | | 0.40 | (f) | | | 0.90 | | | | 1.30 | | | | (0.50 | ) | | | — | | | | — | | | | (0.50 | ) |
| | (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) | | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| | (d) | | 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. |
| | (f) | | Reflects income recognized from special dividends which amounted to $0.08 per share and 0.40% of average net assets. |
| | |
| 38 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INCOME BUILDER 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(c) | | | | | Ratio of
total expenses
to average
net assets(c) | | | | | Ratio of
net investment
income
to average
net assets | | | | | Portfolio
turnover
rate(d) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 21.17 | | | | | | (0.81 | )% | | | | $ | 633,571 | | | | | | 0.98 | %(e) | | | | | 1.09 | %(e) | | | | | 3.91 | %(e) | | | | | 47 | % |
| | | 20.85 | | | | | | (1.17 | ) | | | | | 695,785 | | | | | | 1.73 | (e) | | | | | 1.84 | (e) | | | | | 3.16 | (e) | | | | | 47 | |
| | | 21.59 | | | | | | (0.66 | ) | | | | | 721,089 | | | | | | 0.58 | (e) | | | | | 0.69 | (e) | | | | | 4.30 | (e) | | | | | 47 | |
| | | 21.54 | | | | | | (0.68 | ) | | | | | 116,765 | | | | | | 0.73 | (e) | | | | | 0.84 | (e) | | | | | 4.16 | (e) | | | | | 47 | |
| | | 21.59 | | | | | | (0.65 | ) | | | | | 10 | | | | | | 0.58 | (e) | | | | | 0.70 | (e) | | | | | 4.30 | (e) | | | | | 47 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 21.77 | | | | | | (0.70 | ) | | | | | 708,457 | | | | | | 0.97 | | | | | | 1.10 | | | | | | 3.73 | | | | | | 57 | |
| | | 21.45 | | | | | | (1.44 | ) | | | | | 704,566 | | | | | | 1.72 | | | | | | 1.85 | | | | | | 2.98 | | | | | | 57 | |
| | | 22.20 | | | | | | (0.25 | ) | | | | | 766,537 | | | | | | 0.57 | | | | | | 0.70 | | | | | | 4.13 | | | | | | 57 | |
| | | 22.14 | | | | | | (0.45 | ) | | | | | 130,575 | | | | | | 0.72 | | | | | | 0.85 | | | | | | 3.98 | | | | | | 57 | |
| | | 22.20 | | | | | | (1.63 | ) | | | | | 10 | | | | | | 0.58 | (e) | | | | | 0.69 | (e) | | | | | 3.15 | (e) | | | | | 57 | |
| | | 22.83 | | | | | | 6.96 | | | | | | 660,692 | | | | | | 0.95 | | | | | | 1.13 | | | | | | 3.89 | | | | | | 52 | |
| | | 22.51 | | | | | | 6.20 | | | | | | 530,983 | | | | | | 1.70 | | | | | | 1.88 | | | | | | 3.10 | | | | | | 52 | |
| | | 23.25 | | | | | | 7.39 | | | | | | 644,757 | | | | | | 0.55 | | | | | | 0.73 | | | | | | 4.31 | | | | | | 52 | |
| | | 23.20 | | | | | | 7.24 | | | | | | 94,528 | | | | | | 0.70 | | | | | | 0.88 | | | | | | 4.13 | | | | | | 52 | |
| | | 22.47 | | | | | | 14.81 | | | | | | 279,374 | | | | | | 0.97 | | | | | | 1.27 | | | | | | 3.48 | | | | | | 53 | |
| | | 22.17 | | | | | | 13.94 | | | | | | 155,764 | | | | | | 1.71 | | | | | | 2.02 | | | | | | 2.64 | | | | | | 53 | |
| | | 22.86 | | | | | | 15.25 | | | | | | 180,419 | | | | | | 0.56 | | | | | | 0.86 | | | | | | 3.74 | | | | | | 53 | |
| | | 22.81 | | | | | | 15.06 | | | | | | 33,886 | | | | | | 0.71 | | | | | | 1.01 | | | | | | 3.55 | | | | | | 53 | |
| | | 20.99 | | | | | | 13.26 | | | | | | 95,116 | | | | | | 1.05 | | | | | | 1.44 | | | | | | 2.73 | | | | | | 369 | |
| | | 20.74 | | | | | | 12.39 | | | | | | 18,699 | | | | | | 1.80 | | | | | | 2.21 | | | | | | 2.09 | | | | | | 369 | |
| | | 21.33 | | | | | | 13.74 | | | | | | 13,601 | | | | | | 0.65 | | | | | | 1.06 | | | | | | 3.21 | | | | | | 369 | |
| | | 21.29 | | | | | | 13.55 | | | | | | 1,639 | | | | | | 0.80 | | | | | | 1.19 | | | | | | 2.77 | | | | | | 369 | |
| | | 19.01 | | | | | | 6.95 | | | | | | 94,819 | | | | | | 1.05 | | | | | | 1.38 | | | | | | 2.20 | (f) | | | | | 357 | |
| | | 18.79 | | | | | | 6.13 | | | | | | 9,297 | | | | | | 1.80 | | | | | | 2.13 | | | | | | 1.38 | (f) | | | | | 357 | |
| | | 19.31 | | | | | | 7.33 | | | | | | 6,610 | | | | | | 0.65 | | | | | | 0.98 | | | | | | 2.44 | (f) | | | | | 357 | |
| | | 19.28 | | | | | | 7.09 | | | | | | 177 | | | | | | 0.80 | | | | | | 1.13 | | | | | | 2.06 | (f) | | | | | 357 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 39 |
GOLDMAN SACHS RISING DIVIDEND GROWTH 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 (loss)(a) | | | Net realized
and unrealized
gain (loss) | | | Total from
investment
operations | | | From net
investment
income | | | From net
realized
gains | | | From
capital | | | Total
distributions | |
| | FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED) | |
| | 2016 - A | | $ | 20.68 | | | $ | 0.04 | | | $ | (0.27 | ) | | $ | (0.23 | ) | | $ | (0.12 | ) | | $ | — | | | $ | — | | | $ | (0.12 | ) |
| | 2016 - C | | | 20.84 | | | | (0.03 | ) | | | (0.28 | ) | | | (0.31 | ) | | | (0.07 | ) | | | — | | | | — | | | | (0.07 | ) |
| | 2016 - Institutional | | | 21.12 | | | | 0.08 | | | | (0.27 | ) | | | (0.19 | ) | | | (0.16 | ) | | | — | | | | — | | | | (0.16 | ) |
| | 2016 - IR | | | 21.10 | | | | 0.07 | | | | (0.28 | ) | | | (0.21 | ) | | | (0.14 | ) | | | — | | | | — | | | | (0.14 | ) |
| | 2016 - R | | | 20.66 | | | | 0.02 | | | | (0.27 | ) | | | (0.25 | ) | | | (0.10 | ) | | | — | | | | — | | | | (0.10 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | FOR THE FISCAL YEAR ENDED OCTOBER 31, | |
| | 2015 - A | | | 21.25 | | | | 0.06 | | | | (0.42 | ) | | | (0.36 | ) | | | (0.10 | ) | | | — | | | | (0.11 | ) | | | (0.21 | ) |
| | 2015 - C | | | 21.41 | | | | (0.10 | ) | | | (0.42 | ) | | | (0.52 | ) | | | (0.02 | ) | | | — | | | | (0.03 | ) | | | (0.05 | ) |
| | 2015 - Institutional | | | 21.69 | | | | 0.15 | | | | (0.43 | ) | | | (0.28 | ) | | | (0.14 | ) | | | — | | | | (0.15 | ) | | | (0.29 | ) |
| | 2015 - IR | | | 21.68 | | | | 0.11 | | | | (0.43 | ) | | | (0.32 | ) | | | (0.13 | ) | | | — | | | | (0.13 | ) | | | (0.26 | ) |
| | 2015 - R | | | 21.20 | | | | 0.01 | | | | (0.43 | ) | | | (0.42 | ) | | | (0.06 | ) | | | — | | | | (0.06 | ) | | | (0.12 | ) |
| | 2014 - A | | | 18.50 | | | | 0.03 | | | | 2.88 | | | | 2.91 | | | | (0.07 | ) | | | — | | | | (0.09 | ) | | | (0.16 | ) |
| | 2014 - C | | | 18.65 | | | | (0.13 | ) | | | 2.92 | | | | 2.79 | | | | (0.02 | ) | | | — | | | | (0.01 | ) | | | (0.03 | ) |
| | 2014 - Institutional | | | 18.88 | | | | 0.11 | | | | 2.94 | | | | 3.05 | | | | (0.11 | ) | | | — | | | | (0.13 | ) | | | (0.24 | ) |
| | 2014 - IR | | | 18.87 | | | | 0.07 | | | | 2.95 | | | | 3.02 | | | | (0.10 | ) | | | — | | | | (0.11 | ) | | | (0.21 | ) |
| | 2014 - R | | | 18.46 | | | | (0.03 | ) | | | 2.89 | | | | 2.86 | | | | (0.06 | ) | | | — | | | | (0.06 | ) | | | (0.12 | ) |
| | 2013 - A | | | 15.16 | | | | (0.03 | ) | | | 3.54 | | | | 3.51 | | | | (0.04 | ) | | | — | | | | (0.13 | ) | | | (0.17 | ) |
| | 2013 - C | | | 15.30 | | | | (0.17 | ) | | | 3.58 | | | | 3.41 | | | | (0.02 | ) | | | — | | | | (0.04 | ) | | | (0.06 | ) |
| | 2013 - Institutional | | | 15.46 | | | | 0.04 | | | | 3.61 | | | | 3.65 | | | | (0.06 | ) | | | — | | | | (0.17 | ) | | | (0.23 | ) |
| | 2013 - IR | | | 15.46 | | | | — | (e) | | | 3.61 | | | | 3.61 | | | | (0.04 | ) | | | — | | | | (0.16 | ) | | | (0.20 | ) |
| | 2013 - R | | | 15.15 | | | | (0.11 | ) | | | 3.57 | | | | 3.46 | | | | (0.02 | ) | | | — | | | | (0.13 | ) | | | (0.15 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | THE PERIOD OCTOBER 1, 2012 TO OCTOBER 31, | |
| | 2012 - A | | | 15.35 | | | | (0.01 | ) | | | (0.18 | ) | | | (0.19 | ) | | | — | | | | — | | | | — | | | | — | |
| | 2012 - C | | | 15.50 | | | | (0.02 | ) | | | (0.18 | ) | | | (0.20 | ) | | | — | | | | — | | | | — | | | | — | |
| | 2012 - Institutional | | | 15.65 | | | | (0.01 | ) | | | (0.18 | ) | | | (0.19 | ) | | | — | | | | — | | | | — | | | | — | |
| | 2012 - IR | | | 15.65 | | | | (0.01 | ) | | | (0.18 | ) | | | (0.19 | ) | | | — | | | | — | | | | — | | | | — | |
| | 2012 - R | | | 15.34 | | | | (0.02 | ) | | | (0.17 | ) | | | (0.19 | ) | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | FOR THE FISCAL YEARS ENDED SEPTEMBER 30, | |
| | 2012 - A | | | 12.82 | | | | 0.05 | | | | 2.66 | | | | 2.71 | | | | (0.16 | ) | | | (0.02 | ) | | | — | | | | (0.18 | ) |
| | 2012 - C | | | 12.97 | | | | (0.07 | ) | | | 2.71 | | | | 2.64 | | | | (0.09 | ) | | | (0.02 | ) | | | — | | | | (0.11 | ) |
| | 2012 - Institutional | | | 13.06 | | | | 0.11 | | | | 2.71 | | | | 2.82 | | | | (0.21 | ) | | | (0.02 | ) | | | — | | | | (0.23 | ) |
| | 2012 - IR | | | 15.25 | | | | (0.01 | ) | | | 0.57 | | | | 0.56 | | | | (0.14 | ) | | | (0.02 | ) | | | — | | | | (0.16 | ) |
| | 2012 - R | | | 14.96 | | | | (0.07 | ) | | | 0.57 | | | | 0.50 | | | | (0.10 | ) | | | (0.02 | ) | | | — | | | | (0.12 | ) |
| | 2011 - A | | | 12.94 | | | | 0.02 | | | | 0.12 | | | | 0.14 | | | | (0.03 | ) | | | — | | | | (0.15 | ) | | | (0.26 | ) |
| | 2011 - C | | | 13.08 | | | | (0.07 | ) | | | 0.15 | | | | 0.08 | | | | (0.02 | ) | | | — | | | | (0.11 | ) | | | (0.19 | ) |
| | 2011 - Institutional | | | 13.16 | | | | 0.07 | | | | 0.14 | | | | 0.21 | | | | (0.03 | ) | | | — | | | | (0.18 | ) | | | (0.31 | ) |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the beginning 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. The Goldman Sachs Rising Dividend Growth Fund’s predecessor was the Rising Dividend Growth Fund (the “Predecessor Fund”). On February 27, 2012, the Predecessor Fund was reorganized as a new series of the Goldman Sachs Trust. Performance prior to February 27, 2012 is that of the Predecessor Fund. Total return information of the Predecessor Fund is provided in the above table because the Predecessor Fund is considered the accounting survivor of the reorganization. |
| | (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. |
| | (e) | | Amount is less than $0.005 per share. |
| | (f) | | Expense ratios include the effect of the operating expenses of the Predecessor Fund prior to Reorganization. |
| | |
| 40 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS RISING DIVIDEND GROWTH FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Net asset
value, end
of period | | | | | Total
return(b) | | | | | Net assets,
end of
period
(in 000s) | | | | | Ratio of
net expenses
to average
net assets | | | | | Ratio of
total expenses
to average
net assets | | | | | Ratio of
net investment
income (loss)
to average
net assets | | | | | Portfolio
turnover
rate(c) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 20.33 | | | | | | (1.10 | )% | | | | $ | 881,807 | | | | | | 1.14 | %(d) | | | | | 1.16 | %(d) | | | | | 0.44 | %(d) | | | | | 8 | % |
| | | 20.46 | | | | | | (1.49 | ) | | | | | 665,889 | | | | | | 1.89 | (d) | | | | | 1.91 | (d) | | | | | (0.29 | )(d) | | | | | 8 | |
| | | 20.77 | | | | | | (0.89 | ) | | | | | 1,185,121 | | | | | | 0.74 | (d) | | | | | 0.76 | (d) | | | | | 0.83 | (d) | | | | | 8 | |
| | | 20.75 | | | | | | (0.97 | ) | | | | | 326,109 | | | | | | 0.89 | (d) | | | | | 0.91 | (d) | | | | | 0.67 | (d) | | | | | 8 | |
| | | 20.31 | | | | | | (1.19 | ) | | | | | 4,792 | | | | | | 1.39 | (d) | | | | | 1.41 | (d) | | | | | 0.22 | (d) | | | | | 8 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 20.68 | | | | | | (1.72 | ) | | | | | 1,054,093 | | | | | | 1.13 | | | | | | 1.15 | | | | | | 0.28 | | | | | | 25 | |
| | | 20.84 | | | | | | (2.44 | ) | | | | | 732,998 | | | | | | 1.88 | | | | | | 1.90 | | | | | | (0.47 | ) | | | | | 25 | |
| | | 21.12 | | | | | | (1.29 | ) | | | | | 1,476,799 | | | | | | 0.73 | | | | | | 0.74 | | | | | | 0.67 | | | | | | 25 | |
| | | 21.10 | | | | | | (1.49 | ) | | | | | 437,422 | | | | | | 0.88 | | | | | | 0.89 | | | | | | 0.53 | | | | | | 25 | |
| | | 20.66 | | | | | | (2.00 | ) | | | | | 3,740 | | | | | | 1.38 | | | | | | 1.39 | | | | | | 0.05 | | | | | | 25 | |
| | | 21.25 | | | | | | 15.81 | | | | | | 1,063,292 | | | | | | 1.15 | | | | | | 1.16 | | | | | | 0.13 | | | | | | 12 | |
| | | 21.41 | | | | | | 14.93 | | | | | | 632,859 | | | | | | 1.90 | | | | | | 1.91 | | | | | | (0.63 | ) | | | | | 12 | |
| | | 21.69 | | | | | | 16.26 | | | | | | 1,509,224 | | | | | | 0.75 | | | | | | 0.76 | | | | | | 0.52 | | | | | | 12 | |
| | | 21.68 | | | | | | 16.10 | | | | | | 428,787 | | | | | | 0.90 | | | | | | 0.91 | | | | | | 0.37 | | | | | | 12 | |
| | | 21.20 | | | | | | 15.53 | | | | | | 7,268 | | | | | | 1.40 | | | | | | 1.41 | | | | | | (0.14 | ) | | | | | 12 | |
| | | 18.50 | | | | | | 23.27 | | | | | | 858,185 | | | | | | 1.18 | | | | | | 1.21 | | | | | | (0.18 | ) | | | | | 13 | |
| | | 18.65 | | | | | | 22.35 | | | | | | 384,551 | | | | | | 1.93 | | | | | | 1.96 | | | | | | (0.98 | ) | | | | | 13 | |
| | | 18.88 | | | | | | 23.77 | | | | | | 918,912 | | | | | | 0.78 | | | | | | 0.81 | | | | | | 0.21 | | | | | | 13 | |
| | | 18.87 | | | | | | 23.55 | | | | | | 258,492 | | | | | | 0.93 | | | | | | 0.96 | | | | | | 0.03 | | | | | | 13 | |
| | | 18.46 | | | | | | 22.98 | | | | | | 4,141 | | | | | | 1.42 | | | | | | 1.45 | | | | | | (0.63 | ) | | | | | 13 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 15.16 | | | | | | (1.24 | ) | | | | | 252,945 | | | | | | 1.20 | (d) | | | | | 1.32 | (d) | | | | | (0.69 | )(d) | | | | | 2 | |
| | | 15.30 | | | | | | (1.29 | ) | | | | | 61,464 | | | | | | 1.94 | (d) | | | | | 2.06 | (d) | | | | | (1.39 | )(d) | | | | | 2 | |
| | | 15.46 | | | | | | (1.21 | ) | | | | | 220,145 | | | | | | 1.80 | (d) | | | | | 0.93 | (d) | | | | | (0.31 | )(d) | | | | | 2 | |
| | | 15.46 | | | | | | (1.21 | ) | | | | | 45,472 | | | | | | 0.95 | (d) | | | | | 1.07 | (d) | | | | | (0.40 | )(d) | | | | | 2 | |
| | | 15.15 | | | | | | (1.24 | ) | | | | | 127 | | | | | | 1.45 | (d) | | | | | 1.57 | (d) | | | | | (0.99 | )(d) | | | | | 2 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 15.35 | | | | | | 21.15 | | | | | | 230,319 | | | | | | 1.31 | (f) | | | | | 1.49 | (f) | | | | | 0.35 | (f) | | | | | 18 | |
| | | 15.50 | | | | | | 20.38 | | | | | | 51,158 | | | | | | 2.04 | (f) | | | | | 2.16 | (f) | | | | | (0.45 | )(f) | | | | | 18 | |
| | | 15.65 | | | | | | 21.64 | | | | | | 195,794 | | | | | | 0.93 | (f) | | | | | 1.10 | (f) | | | | | 0.74 | (f) | | | | | 18 | |
| | | 15.65 | | | | | | 3.70 | | | | | | 36,122 | | | | | | 0.95 | (d) | | | | | 1.14 | (d) | | | | | 0.50 | (d) | | | | | 18 | |
| | | 15.34 | | | | | | 3.36 | | | | | | 127 | | | | | | 1.42 | (d) | | | | | 1.60 | (d) | | | | | (0.17 | )(d) | | | | | 18 | |
| | | 12.82 | | | | | | 0.95 | | | | | | 66,336 | | | | | | 1.65 | | | | | | 1.68 | | | | | | 0.12 | | | | | | 52 | |
| | | 12.97 | | | | | | 0.51 | | | | | | 12,332 | | | | | | 2.25 | | | | | | 2.28 | | | | | | (0.48 | ) | | | | | 52 | |
| | | 13.06 | | | | | | 1.47 | | | | | | 55,565 | | | | | | 1.25 | | | | | | 1.28 | | | | | | 0.51 | | | | | | 52 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 41 |
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Notes to Financial Statements
April 30, 2016 (Unaudited)
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 |
Income Builder | | A, C, Institutional, IR and R6* | | Diversified |
Rising Dividend Growth | | A, C, Institutional, IR and R | | Non-Diversified |
| * | | Class R6 commenced operations on July 31, 2015. |
Class A Shares are sold with a front-end sales charge of up to 5.50%. Class C Shares are sold with contingent deferred sales charge (“CDSC”) of 1.00% which is imposed on redemptions made within 12 months of purchase. 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. Dividend Assets Capital, LLC (“DAC” or the “Sub Adviser”) serves as the sub-adviser to the Rising Dividend Growth Fund. GSAM compensates the Sub Adviser directly in accordance with the terms of the Sub-Advisory Agreement. The Fund is not charged any separate or additional investment advisory fees by the Sub-Adviser.
|
| 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.
42
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
|
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
Distributions from Master Limited Partnerships (“MLPs”) are generally recorded based on the characterization reported on the MLP’s tax return. The Funds record their pro-rata share of the income/loss and capital gains/losses, allocated from the underlying partnerships and adjusts the cost basis of the underlying partnerships accordingly.
For derivative contracts, realized gains and losses are recorded upon settlement of the contract. For securities with paydown provisions, principal payments received are treated as a proportionate reduction to the cost basis of the securities, and excess or shortfall amounts are recorded as income.
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. Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Funds are not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid according to the following schedule:
| | | | | | |
| Fund | | | | Income Distributions
Declared/Paid | | Capital Gains Distributions
Declared/Paid |
Income Builder | | | | Monthly | | Annually |
Rising Dividend Growth | | | | Quarterly | | 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.
43
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
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.
E. 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.
| | |
| 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.
44
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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.
Underlying Funds (including Money Market Funds) — Underlying Funds (“Underlying Funds”) include other investment companies and Exchange Traded Funds (“ETFs”). Investments in investment companies are valued at the NAV per share of the Institutional Share class (FST 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.
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.
45
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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.
ii. Mortgage-Backed and Asset-Backed Securities — Mortgage-backed securities represent direct or indirect participations in, or are collateralized by and payable from, mortgage loans secured by residential and/or commercial real estate property. Asset-backed securities include securities whose principal and interest payments are collateralized by pools of other assets or receivables. The value of certain mortgage-backed and asset-backed securities (including adjustable rate mortgage loans) may be particularly sensitive to changes in prevailing interest rates. The value of these securities may also fluctuate in response to the market’s perception of the creditworthiness of the issuers.
Asset-backed securities may present credit risks that are not presented by mortgage-backed securities because they generally do not have the benefit of a security interest in collateral that is comparable to mortgage assets. Some asset-backed securities may only have a subordinated claim on collateral.
Stripped mortgage-backed securities are usually structured with two different classes: one that receives substantially all interest payments (interest-only, or “IO” and/or high coupon rate with relatively low principal amount, or “IOette”), and the other that receives substantially all principal payments (principal-only, or “PO”) from a pool of mortgage loans. Little to no principal will be received at the maturity of an IO; as a result, periodic adjustments are recorded to reduce the cost of the security until maturity. These adjustments are included in interest income.
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.
46
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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.
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.
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.
47
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
Secured Borrowings — Secured borrowings are valued at their contractual amounts, which approximates fair value and are generally classified as Level 2 of the fair value hierarchy.
i. Reverse Repurchase Agreements — Reverse repurchase agreements involve the sale of securities held by the Income Builder Fund subject to the Fund’s agreement to repurchase the securities at a mutually agreed upon date and price (including interest), under the terms of an MRA.
The Fund is required to deliver securities as collateral to the counterparty that exceeds the value of the reverse repurchase agreement. The gross value of reverse repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.
If the buyer defaults on its commitment to sell back the securities, a Fund could suffer a loss to the extent that the amount borrowed is less than the replacement cost of similar securities and the Fund’s costs associated with delay and enforcement of the reverse repurchase agreement. In addition, in the event of default or insolvency of the buyer, a court could determine that a Fund’s interest in the amount borrowed is not enforceable, resulting in additional losses to the Fund.
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.
48
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
B. Fair Value Hierarchy — The following is a summary of the Funds’ investments and derivatives classified in the fair value hierarchy as of April 30, 2016:
| | | | | | | | | | | | |
|
| INCOME BUILDER | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| Assets | | | | | | | | | | | | |
Common Stocks(a) | | | | | | | | | | | | |
Australia and Oceania | | $ | — | | | $ | 7,278,527 | | | $ | — | |
Europe | | | 163,181,630 | | | | — | | | | — | |
North America | | | 595,029,744 | | | | — | | | | — | |
Preferred Stocks(a) | | | | | | | | | | | | |
North America | | | — | | | | 53,898,964 | | | | — | |
Fixed Income | | | | | | | | | | | | |
Bank Loans | | | — | | | | 193,958,061 | | | | 14,896,275 | |
Corporate Obligations | | | — | | | | 1,003,344,531 | | | | — | |
Mortgage-Backed Obligations | | | — | | | | 865,375 | | | | — | |
Asset-Backed Securities | | | — | | | | 65,267 | | | | — | |
U.S. Treasury Obligations | | | 86,045,484 | | | | — | | | | — | |
Investment Companies | | | 14,331,450 | | | | — | | | | — | |
Short-term Investments | | | — | | | | 30,488,811 | | | | — | |
| Total | | $ | 858,588,308 | | | $ | 1,289,899,536 | | | $ | 14,896,275 | |
| | | |
| Derivative Type | | | | | | | | | |
| Assets(b) | | | | | | | | | | | | |
Futures Contracts | | $ | 1,258,731 | | | $ | — | | | $ | — | |
| Liabilities(b) | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts | | $ | — | | | $ | (1,151,198 | ) | | $ | — | |
Futures Contracts | | | (208,042 | ) | | | — | | | | — | |
| Total | | $ | (208,042 | ) | | $ | (1,151,198 | ) | | $ | — | |
|
| RISING DIVIDEND GROWTH | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| Assets | | | | | | | | | | | | |
Common Stocks(a) | | | | | | | | | | | | |
Europe | | $ | 373,630,664 | | | $ | — | | | $ | — | |
North America | | | 2,614,856,587 | | | | — | | | | — | |
Short-term Investments | | | — | | | | 70,200,000 | | | | — | |
| Total | | $ | 2,988,487,251 | | | $ | 70,200,000 | | | $ | — | |
| (a) | | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of net asset value. Security valuations are based on the principle exchange or system on which they are traded, which may differ from country of domicile. |
| (b) | | Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Schedules of Investments.
49
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 4. INVESTMENTS IN DERIVATIVES |
The following tables set forth, by certain risk types, the gross value of derivative contracts as of April 30, 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.
| | | | | | | | | | | | |
| Income Builder | | | | | | | | | | |
| Risk | | Statements of Assets and Liabilities | | Assets | | | Statements of Assets and Liabilities | | Liabilities | |
Interest rate | | Variation margin on certain derivative contracts | | $ | 1,258,731 | (a) | | Variation margin on certain derivative contracts | | $ | (208,042) | (a) |
Currency | | Receivable for unrealized gain on forward foreign currency exchange contracts | | | — | | | Payable for unrealized loss on forward foreign currency exchange contracts | | | (1,151,198) | |
| Total | | | | $ | 1,258,731 | | | | | $ | (1,359,240) | |
| (a) | | Includes unrealized gain (loss) on futures 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. |
The following tables set forth, by certain risk types, the Funds’ gains (losses) related to these derivatives and their indicative volumes for the six months ended April 30, 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:
| | | | | | | | | | | | | | |
| Income Builder | |
| Risk | | Statement 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/Net change in unrealized gain (loss) on futures contracts | | $ | (5,688,704 | ) | | $ | 2,026,229 | | | | 2,162 | |
| Currency | | Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts | | | 943,695 | | | | (921,000 | ) | | | 4 | |
| Total | | | | $ | (4,745,009 | ) | | $ | 1,105,229 | | | | 2,166 | |
| (a) | | Average number of contracts is based on the average of month end balances for the period ended April 30, 2016. |
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.
50
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
|
| 4. INVESTMENTS IN DERIVATIVES (continued) |
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.
|
| 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 six months ended April 30, 2016, contractual and effective net management fees with GSAM were at the following rates:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Contractual Management Rate | | | Effective Net
Management
Rate^ | |
| Fund | | | | First
$1 billion | | | Next $1 billion | | | Next $3 billion | | | Next $3 billion | | | Over $8 billion | | | Effective
Rate | | |
Income Builder | | | | | 0.65 | % | | | 0.59 | % | | | 0.56 | % | | | 0.55 | % | | | 0.54 | % | | | 0.62 | % | | | 0.51 | %* |
Rising Dividend Growth | | | | | 0.75 | | | | 0.68 | | | | 0.64 | | | | 0.63 | | | | 0.62 | | | | 0.69 | % | | | 0.69 | % |
| * | | GSAM has agreed to waive a portion of its management fee in order to achieve net management rates, as defined in the Funds’ most recent prospectuses. These waivers will be effective through at least February 26, 2017, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. The Effective Net Management Rates above are calculated based on management rates before and after waivers had been adjusted, if applicable. |
| ^ | | Effective Net Management Rate includes the impact of management fee waivers of affiliated underlying funds, if any. |
51
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
The Income Builder Fund invests in FST Institutional Shares of the Goldman Sachs Financial Square Government Fund and the Institutional Shares of the Goldman Sachs High Yield Fund, which are affiliated Underlying Funds. GSAM has agreed to waive a portion of its management fee payable by the Funds in an amount equal to the management fee it earns as an investment adviser to any of the affiliated Underlying Funds in which the Fund invests. For the six months ended April 30, 2016, GSAM waived $52,520 of the Fund’s management fee.
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. |
C. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Funds pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front end sales charge and Class C Shares’ CDSC. During the six months ended April 30, 2016, Goldman Sachs advised that it retained the following amounts:
| | | | | | | | | | |
| | | | | Front End
Sales Charge | | | Contingent Deferred
Sales Charge | |
| Fund | | | | Class A | | | Class C | |
Income Builder | | | | $ | 132,988 | | | $ | 46 | |
Rising Dividend Growth | | | | | 78,358 | | | | — | |
D. 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: 0.19% of the average daily net assets of Class A, Class C, Class IR and Class R Shares; 0.04% of the average daily net assets of Institutional Shares; and 0.02% of the average daily net assets of Class R6 Shares.
E. 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, 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 Income Builder and Rising Dividend Growth are 0.034% and 0.014%, respectively. These Other Expense limitations will remain in place through at least February 26, 2017, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Funds have entered into certain offset arrangements with the transfer agent, which may result in a reduction of the Funds’ expenses and are received irrespective of the application of the “Other Expense” limitations described above.
52
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the six months ended April 30, 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 | |
Income Builder | | | | $ | 1,137,044 | | | $ | 106,859 | | | $ | 1,243,903 | |
Rising Dividend Growth | | | | | — | | | | 295,385 | | | | 295,385 | |
F. Line of Credit Facility — As of April 30, 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”). This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the six months ended April 30, 2016, the Funds did not have any borrowings under the facility. The facility was renewed in the amount of $1,100,000,000 effective May 3, 2016.
G. Other Transactions with Affiliates — For the six months ended April 30, 2016, Goldman Sachs earned $49,621, in brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant, on behalf of the Income Builder Fund.
The table below shows the transactions in and earnings from investments in the Underlying Fund for the Income Builder Fund for the six months ended April 30, 2016:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Underlying Fund | | Market
Value
10/31/2015 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Net
Change in
Unrealized
Gain (Loss) | | | Market
Value
4/30/2016 | | | Dividend
Income | |
Goldman Sachs Financial Square Government Fund | | $ | 64,950,238 | | | $ | 414,859,012 | | | $ | (468,348,686 | ) | | $ | — | | | $ | 11,460,564 | | | $ | 107,007 | |
Goldman Sachs High Yield Fund | | | 2,878,792 | | | | 84,106 | | | | — | | | | (92,012 | ) | | | 2,870,886 | | | | 27,070 | |
Total | | $ | 67,829,030 | | | $ | 414,943,118 | | | $ | (468,348,686 | ) | | $ | (92,012 | ) | | $ | 14,331,450 | | | | 134,077 | |
|
| 6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the period ended April 30, 2016, were as follows:
| | | | | | | | | | | | | | | | | | |
| Fund | | | | Purchases of
U.S Government
Securities | | | Purchases (Excluding
U.S Government
Securities) | | | Sales and
Maturities of
U.S Government
Securities | | | Sales and
Maturities (Excluding
U.S Government
Securities) | |
Income Builder | | | | $ | 85,977,598 | | | $ | 915,349,670 | | | $ | — | | | $ | 979,328,126 | |
Rising Dividend Growth | | | | | — | | | | 256,691,133.00 | | | | — | | | | 509,602,251.00 | |
53
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 6. PORTFOLIO SECURITIES TRANSACTIONS (continued) |
The table below summarizes the reverse repurchase agreement activity for the period ended April 30, 2016:
| | | | | | | | | | | | | | |
| Fund Name | | | | Average amounts of
borrowings | | | Weighted average
interest rate | | | Number of days
outstanding during
the period | |
Income Builder Fund | | | | $ | 5,008,196 | | | | 1.92 | % | | | 70 | |
In order to present certain components of the Funds’ capital accounts, certain reclassifications have been recorded to the Funds’ accounts to take into consideration return of capital distributions. These reclassifications have no impact on the net asset value of the Funds.
| | | | | | | | |
| | | Income Builder | | | Rising Dividend Growth | |
Distributions in excess of net investment income | | $ | (361,483 | ) | | $ | (20,775,323 | ) |
Accumulated net realized gain (loss) | | | 2,886,113 | | | | 26,247,445 | |
Net unrealized gain | | | (2,524,630 | ) | | | (5,472,122 | ) |
As of the Funds’ most recent fiscal year end, October 31, 2015, the Funds’ capital loss carryforwards and certain timing differences on a tax basis were as follows:
| | | | | | | | |
| | | Income
Builder | | | Rising
Dividend
Growth | |
Capital loss carryforwards: | | | | | | | | |
Perpetual Short-term | | $ | (7,473,372) | | | $ | (18,476,430 | ) |
Perpetual Long-term | | | (9,680,873) | | | | — | |
Total capital loss carryforwards | | $ | (17,154,245) | | | $ | (18,476,430 | ) |
As of April 30, 2016, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
| | | | | | | | |
| | | Income
Builder | | | Rising
Dividend
Growth | |
Tax Cost | | $ | 2,128,417,247 | | | $ | 2,458,032,271 | |
Gross unrealized gain | | | 128,038,947 | | | | 764,160,490 | |
Gross unrealized loss | | | (93,072,075 | ) | | | (163,505,510 | ) |
Net unrealized security gain | | $ | 34,966,872 | | | $ | 600,654,980 | |
The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to net mark to market gains/losses on regulated futures and options contracts, net mark to market gain/loss on foreign currency contracts.
54
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
|
| 7. TAX INFORMATION (continued) |
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.
The Funds’ risks include, but are not limited to, the following:
Derivatives Risk — Loss may result from the Fund[s] 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 Fund[s]. 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 also can result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.
Foreign and Emerging Countries Risk — 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 Funds invest. Loss may also result from the imposition of exchange controls, confiscations and other government restrictions by the United States or other governments, or from problems in registration, settlement or custody. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which the Funds have exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that the Funds also invest in securities of issuers located in emerging markets, these risks may be more pronounced.
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 into bankruptcy.
Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by a 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 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
55
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 8. OTHER RISKS (continued) |
ratio. Similarly, large Fund share purchases may adversely affect a Fund’s performance to the extent that a Fund is delayed in investing new cash and is required to maintain a larger cash position than it ordinarily would.
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 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.
Master Limited Partnership Risk — Investments in securities of MLPs involve risks that differ from investments in common stock, including risks related to limited control and limited rights to vote on matters affecting the MLP, risks related to potential conflicts of interest between the MLP and the MLP’s general partner, cash flow risks, dilution risks, limited liquidity and risks related to the general partner’s right to require unit-holders to sell their common units at an undesirable time or price.
Non-Diversification Risk — Goldman Sachs Rising Dividend Growth Fund is non-diversified, meaning that it is permitted to invest a larger percentage of its assets in fewer issuers than diversified mutual funds. Thus, the Fund may be more susceptible to
56
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
|
| 8. OTHER RISKS (continued) |
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 the 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.
Short Position Risk — The Income Builder Fund may enter into a short position through a futures contract, an option or swap agreement or through short sales of any instrument that the Income Builder 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.
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.
Subsequent events after the Statement of Assets and Liabilities date have been evaluated through the date the financial statements were issued. GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
57
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 11. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | Income Builder Fund | |
| | | | |
| | | For the Six Months Ended
April 30, 2016
(Unaudited) | | | For the Fiscal Year Ended
October 31, 2015 | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 4,244,602 | | | $ | 88,584,633 | | | | 12,779,697 | | | $ | 286,853,445 | |
Reinvestment of distributions | | | 593,351 | | | | 12,280,653 | | | | 1,196,026 | | | | 26,711,679 | |
Shares converted from Class B(a) | | | — | | | | — | | | | 19,114 | | | | 437,131 | |
Shares redeemed | | | (7,450,487 | ) | | | (154,406,880 | ) | | | (10,401,047 | ) | | | (232,997,529 | ) |
| | | | (2,612,534 | ) | | | (53,541,594 | ) | | | 3,593,790 | | | | 81,004,726 | |
| Class B Shares(a) | | | | | | | | | | | | | | | | |
Shares converted to Class A | | | — | | | | — | | | | (19,265 | ) | | | (437,131 | ) |
Shares redeemed | | | — | | | | — | | | | (137,506 | ) | �� | | (3,119,537 | ) |
| | | | — | | | | — | | | | (156,771 | ) | | | (3,556,668 | ) |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 4,769,805 | | | | 98,073,302 | | | | 14,329,849 | | | | 316,761,315 | |
Reinvestment of distributions | | | 477,327 | | | | 9,727,098 | | | | 821,596 | | | | 18,057,009 | |
Shares redeemed | | | (4,718,294 | ) | | | (96,220,751 | ) | | | (5,901,233 | ) | | | (130,023,598 | ) |
| | | | 528,838 | | | | 11,579,649 | | | | 9,250,212 | | | | 204,794,726 | |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 8,709,915 | | | | 185,056,782 | | | | 17,357,197 | | | | 396,735,861 | |
Reinvestment of distributions | | | 599,008 | | | | 12,646,554 | | | | 1,119,976 | | | | 25,472,088 | |
Shares redeemed | | | (10,449,920 | ) | | | (220,265,171 | ) | | | (11,673,589 | ) | | | (266,746,352 | ) |
| | | | (1,140,997 | ) | | | (22,561,835 | ) | | | 6,803,584 | | | | 155,461,597 | |
| Class IR Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 1,316,141 | | | | 27,659,477 | | | | 3,455,961 | | | | 78,781,282 | |
Reinvestment of distributions | | | 116,653 | | | | 2,456,092 | | | | 215,202 | | | | 4,877,127 | |
Shares redeemed | | | (1,908,886 | ) | | | (40,091,034 | ) | | | (1,849,114 | ) | | | (41,949,130 | ) |
| | | | (476,092 | ) | | | (9,975,465 | ) | | | 1,822,049 | | | | 41,709,279 | |
| Class R6 Shares(b) | | | | | | | | | | | | | | | | |
Shares sold | | | — | | | | — | | | | 439 | | | | 10,005 | |
Reinvestment of distributions | | | 10 | | | | 202 | | | | 5 | | | | 111 | |
Shares redeemed | | | — | | | | — | | | | (1 | ) | | | (5 | ) |
| | | | 10 | | | | 202 | | | | 443 | | | | 10,111 | |
NET INCREASE (DECREASE) | | | (3,700,775 | ) | | $ | (74,499,043 | ) | | | 21,313,307 | | | $ | 479,423,771 | |
| (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. |
58
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
|
| 11. SUMMARY OF SHARE TRANSACTIONS (continued) |
| | | | | | | | | | | | | | | | |
| | | Rising Dividend Growth Fund | |
| | | | |
| | | For the Six Months Ended
April 30, 2016
(Unaudited) | | | For the Fiscal Year Ended
October 31, 2015 | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 2,528,518 | | | $ | 49,742,918 | | | | 14,646,468 | | | $ | 313,769,741 | |
Reinvestment of distributions | | | 257,129 | | | | 5,142,587 | | | | 495,768 | | | | 10,353,908 | |
Shares redeemed | | | (10,389,095 | ) | | | (202,102,145 | ) | | | (14,204,704 | ) | | | (300,876,001 | ) |
| | | | (7,603,448 | ) | | | (147,216,640 | ) | | | 937,532 | | | | 23,247,648 | |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 2,066,061 | | | | 41,070,962 | | | | 10,746,927 | | | | 231,900,878 | |
Reinvestment of distributions | | | 96,152 | | | | 1,944,187 | | | | 66,814 | | | | 1,412,211 | |
Shares redeemed | | | (4,799,290 | ) | | | (94,690,346 | ) | | | (5,193,304 | ) | | | (110,896,308 | ) |
| | | | (2,637,077 | ) | | | (51,675,197 | ) | | | 5,620,437 | | | | 122,416,781 | |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 5,282,397 | | | | 105,083,850 | | | | 25,578,313 | | | | 558,466,208 | |
Reinvestment of distributions | | | 363,947 | | | | 7,415,499 | | | | 794,147 | | | | 16,933,049 | |
Shares redeemed | | | (18,515,948 | ) | | | (369,009,923 | ) | | | (26,001,134 | ) | | | (558,260,002 | ) |
| | | | (12,869,604 | ) | | | (256,510,574 | ) | | | 371,326 | | | | 17,139,255 | |
| Class IR Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 1,756,558 | | | | 35,449,624 | | | | 8,230,890 | | | | 179,690,099 | |
Reinvestment of distributions | | | 125,955 | | | | 2,565,690 | | | | 268,260 | | | | 5,718,881 | |
Shares redeemed | | | (6,897,274 | ) | | | (138,428,612 | ) | | | (7,548,178 | ) | | | (162,697,754 | ) |
| | | | (5,014,761 | ) | | | (100,413,298 | ) | | | 950,972 | | | | 22,711,226 | |
| Class R Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 97,701 | | | | 1,951,873 | | | | 167,414 | | | | 3,587,077 | |
Reinvestment of distributions | | | 599 | | | | 11,994 | | | | 398 | | | | 8,233 | |
Shares redeemed | | | (43,334 | ) | | | (855,901 | ) | | | (329,627 | ) | | | (7,190,893 | ) |
| | | | 54,966 | | | | 1,107,966 | | | | (161,815 | ) | | | (3,595,583 | ) |
NET INCREASE (DECREASE) | | | (28,069,924 | ) | | $ | (554,707,743 | ) | | | 7,718,452 | | | $ | 181,919,327 | |
59
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Fund Expenses — Six Month Period Ended April 30, 2016 (Unaudited)
As a shareholder of Class A, Class C, 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, 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 November 1, 2015 through April 30, 2016, which represents a period of 182 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.
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Income Builder Fund | | | Rising Dividend Growth Fund | |
| Share Class | | Beginning
Account
Value
11/1/15 | | | Ending
Account
Value
4/30/16 | | | Expenses
Paid for the
6 months ended
4/30/16* | | | Beginning
Account
Value
11/1/15 | | | Ending
Account
Value
4/30/16 | | | Expenses
Paid for the
6 months ended
4/30/16* | |
| Class A | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 991.90 | | | $ | 4.85 | | | $ | 1,000.00 | | | $ | 989.00 | | | $ | 5.64 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,019.99 | + | | | 4.92 | | | | 1,000.00 | | | | 1,019.19 | + | | | 5.72 | |
| Class C | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 988.30 | | | | 8.55 | | | | 1,000.00 | | | | 985.10 | | | | 9.33 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,016.26 | + | | | 8.67 | | | | 1,000.00 | | | | 1,015.46 | + | | | 9.47 | |
| Institutional | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 993.40 | | | | 2.87 | | | | 1,000.00 | | | | 991.10 | | | | 3.66 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,021.98 | + | | | 2.92 | | | | 1,000.00 | | | | 1,021.18 | + | | | 3.72 | |
| Class IR | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 993.20 | | | | 3.62 | | | | 1,000.00 | | | | 990.30 | | | | 4.40 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,021.23 | + | | | 3.67 | | | | 1,000.00 | | | | 1,020.44 | + | | | 4.47 | |
| Class R | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | N/A | | | | N/A | | | | — | | | | 1,000.00 | | | | 988.10 | | | | 6.87 | |
Hypothetical 5% return | | | N/A | | | | N/A | | | | N/A | | | | 1,000.00 | | | | 1,017.95 | + | | | 6.97 | |
| Class R6 | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,000.00 | | | | 2.88 | | | | N/A | | | | N/A | | | | — | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,021.98 | + | | | 2.92 | | | | N/A | | | | N/A | | | | N/A | |
| * | | 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 April 30, 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: |
| + | | 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. |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | Class A | | | Class C | | | Institutional | | | Class IR | | | Class R | | | Class R6 | |
Income Builder | | | 0.98 | % | | | 1.73 | % | | | 0.58 | % | | | 0.73 | % | | | N/A | | | | 0.58 | % |
Rising Dividend Growth | | | 1.14 | | | | 1.89 | | | | 0.74 | | | | 0.89 | | | | 1.39 | % | | | N/A | |
| + | | 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. |
60
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 FundsSM
| 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 FundsSM
| n | | Investor Money Market Fund |
| n | | Investor Tax-Exempt Money Market Fund3 |
Fixed Income
Short Duration and Government
| n | | High Quality Floating Rate Fund |
| n | | Limited Maturity Obligations Fund |
| n | | Short Duration Government Fund |
| n | | Short Duration Income Fund |
| n | | Inflation Protected Securities Fund |
Multi-Sector
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 | | 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 | | Small/Mid Cap Value 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 |
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 | | Emerging Markets Equity Fund6 |
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 | | 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 | | Tactical Tilt Overlay Fund8 |
| 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 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. |
| 8 | | Effective on June 1, 2016, the Goldman Sachs Tactical Tilt Implementation Fund was renamed the Goldman Sachs Tactical Tilt Overlay Fund. |
Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman, Sachs & Co.
| * | | This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds. |
| | |
TRUSTEES Ashok N. Bakhru, Chairman Kathryn A. Cassidy 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, Principal Financial Officer, Senior Vice President and Treasurer Caroline L. Kraus, Secretary |
| |
GOLDMAN, SACHS & CO. Distributor and Transfer Agent | | GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser |
Visit our website 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).
Fund holdings and allocations shown are as of April 30, 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.
Economic and market forecasts presented herein reflect our judgment as of the date of this presentation 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.
The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus or summary prospectus, if applicable. Investors should consider a Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about a Fund and may be obtained from your authorized dealer or from Goldman, Sachs & Co. by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550).
© 2015 Goldman Sachs. All rights reserved. 50847-TMPL-06/2016 DIVFOSAR-16 / 105K
Goldman Sachs Funds
| | | | |
| | |
| Semi-Annual Report | | | | April 30, 2016 |
| | |
| | | | Domestic Equity Insights Funds |
| | | | Large Cap Growth Insights |
| | | | Large Cap Value Insights |
| | | | Small Cap Equity Insights |
| | | | Small Cap Growth Insights |
| | | | Small Cap Value Insights |
| | | | U.S. Equity Insights |
Goldman Sachs Domestic Equity Insights Funds
| n | | LARGE CAP GROWTH INSIGHTS |
| n | | LARGE CAP VALUE INSIGHTS |
| n | | SMALL CAP EQUITY INSIGHTS |
| n | | SMALL CAP GROWTH INSIGHTS |
| n | | SMALL CAP VALUE INSIGHTS |
| | | | |
TABLE OF CONTENTS | | | | |
| |
Market Review | | | 1 | |
| |
Investment Process | | | 3 | |
| |
Portfolio Management Discussion and Performance Summaries | | | 5 | |
| |
Schedules of Investments | | | 36 | |
| |
Financial Statements | | | 64 | |
| |
Financial Highlights | | | 72 | |
| |
Notes to Financial Statements | | | 84 | |
| |
Other Information | | | 104 | |
| | | | |
| | | |
| NOT FDIC-INSURED | | May Lose Value | | No Bank Guarantee |
MARKET REVIEW
Goldman Sachs Domestic Equity Insights Funds
Market Review
The U.S. equity market ended the six months ended April 30, 2016 (the “Reporting Period”) roughly where it started. Federal Reserve (“Fed”) monetary policy, economic data and oil price shifts were some of the biggest themes dominating the U.S. equity markets during the Reporting Period.
After holding the targeted federal funds rate in September and October 2015, in light of external risks, the Fed voted unanimously for a 25 basis point interest rate increase in December 2015, a move largely expected by the markets. (A basis point is 1/100th of a percentage point.) However, the fairly dovish language in the announcement, which emphasized “gradual” future adjustments to policy, helped to somewhat assuage the markets. (Dovish language tends to imply lower interest rates.)
At the beginning of 2016, U.S. equities suffered in a rout that encompassed the broad global equity market, triggered by investor concerns of an intensifying economic slowdown in China and exacerbated by an oil price plunge. In its January 2016 policy statement, the Fed acknowledged these external risks and tightening financial conditions. U.S. equity markets stabilized in mid-February 2016, as market sentiment improved on the more dovish tone set by global central banks broadly. U.S. equities were also supported by stronger economic data, rallying as the fourth quarter 2015 U.S. Gross Domestic Product (“GDP”) came in above expectations. In March 2016, the Fed kept interest rates on hold and surprised on the dovish side, reducing its forecast to two hikes in 2016, down from four. Along with receding global economic concerns, the dovish forecast helped to drive a recovery in U.S. equities.
Market sentiment appeared to remain sanguine in April 2016, as oil prices rose and China economic growth concerns abated with modestly improving economic data. The Fed left rates unchanged but expressed less concern about market volatility and global economic growth, opening up the possibility of a June 2016 rate hike. However, U.S. equities fell near the end of April 2016, as first quarter 2016 U.S. GDP disappointed the markets by being weaker than expected at 0.5%.
For the Reporting Period overall, the S&P 500® Index returned 0.43%, with six of the 10 sectors in the Index generating positive returns. The telecommunication services and utilities sectors generated double-digit gains, followed at a distance by the consumer staples and materials sectors. The information technology, financials, health care and consumer discretionary sectors posted declines.
In terms of market capitalization, large-cap stocks outperformed small-cap stocks. The Russell 2000® Index, which measures the small-cap universe, returned -1.90% during the Reporting Period. In the style arena, value stocks outperformed growth stocks overall. The Russell 1000® Value Index, representing large-cap value stocks, rose 1.93% during the Reporting Period, while the Russell 1000® Growth Index, representing large-cap growth stocks, returned -1.37%.
1
MARKET REVIEW
Looking Ahead
At the end of the Reporting Period, we continued to believe that less expensive stocks should outpace more expensive stocks. In addition, we expected stocks with good momentum to outperform those with poor momentum. We plan to focus on seeking companies about which fundamental research analysts are becoming more positive as well as profitable companies with sustainable earnings and a track record of using their capital to enhance shareholder value. As such, we anticipate remaining fully invested, with long-term performance likely to be the result of stock selection rather than sector or capitalization allocations.
We stand behind our investment philosophy that sound economic investment principles, coupled with a disciplined quantitative approach, can provide strong, uncorrelated returns over the long term. Our research agenda is robust, and we continue to enhance our existing models, add new proprietary forecasting signals and improve our trading execution as we seek to provide the most value to our shareholders.
2
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
What Differentiates Goldman Sachs’ Domestic Equity Insights Funds Investment Process?
At Goldman Sachs Asset Management, L.P. (“GSAM”), Equity Insights combines traditional fundamental analysis with sophisticated quantitative modeling. Our approach is not unlike that of a more traditional active manager: we look at fundamental investment themes that have been effective historically in forecasting excess returns of stocks. However, where we differ from traditional managers is that we seek to rigorously test every potential research theme or signal to verify whether they have shown consistent predictive ability across a wide variety of stocks in different time periods and under different market conditions.
| n | | Comprehensive – We calculate expected excess returns for more than 10,000 stocks on a daily basis. |
| n | | Rigorous – We evaluate stocks based on fundamental investment criteria that have outperformed historically. |
| n | | Objective – Our stock selection process is free from the emotion that may lead to biased investment decisions. |
| n | | Our computer optimization process allocates risk to our high conviction investment ideas and constructs funds that strive to neutralize systematic risks and deliver better returns. |
| n | | We use a proprietary risk model that is designed to be more precise, more focused and faster to respond because it seeks to identify, track and manage risk specific to our process, using daily data. |
Fully invested, well-diversified portfolio that seeks to:
| n | | Maintain style, sector, risk and capitalization characteristics similar to the benchmark. |
| n | | Offer broad access to a clearly defined equity universe. |
| n | | Generate excess returns that are positive, consistent and repeatable. |
3
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Enhancements Made to Proprietary Quantitative Model during the Six-Month Period Ended April 30, 2016
We continuously look for ways to improve our investment process. Accordingly, we introduced a number of enhancements to our proprietary quantitative model during the six-month period ended April 30, 2016 (the “Reporting Period”).
We enhanced our Management theme by expanding the scope of an existing signal that looks at managements’ personal transactions in the stock of their respective company. Corporate executives purchasing or selling shares can potentially signal their conviction in the company’s stock when assessed under the right circumstances. We obtain and analyze this information through regulatory filings for more than 7,500 companies globally. In addition, we expanded the scope of two signals within our global linkages theme. First, we extended a signal, which analyzes patent data to identify economically linked companies, to all investment regions. We now analyze about 40 million patents from various patent offices for more than 3,000 companies globally to establish the economic linkages between stocks of various industries. Second, we extended a signal that establishes economic linkages between companies in the automotive supply chain from Japan to the U.S. investment region. We take a differentiated, region-specific approach and analyze the potential relationships between the stock returns of suppliers and manufacturers multiple levels down the supply chain.
Changes to the Domestic Equity Insights Funds’ Portfolio Management Team
On February 5, 2016, Ron Hua, Chief Investment Officer of Equity Alpha Strategies for the Quantitative Investment Strategies (“QIS”) Team, announced his intention to retire from Goldman Sachs Asset Management, L.P. (“GSAM”). As such, effective that date, Mr. Hua no longer had portfolio management responsibilities for the Domestic Equity Insights Funds (the “Funds”). Effective February 5, 2016, Armen Avanessians assumed the responsibilities as Chief Investment Officer of GSAM’s Equity Alpha Team, overseeing research, portfolio management and implementation for all of the Funds. As always, the Quantitative Investment Strategies platform is organized into a series of specialist portfolio management teams that focus on generating and implementing investment ideas within their area of expertise. Investment decisions are made by these portfolio management teams, rather than by one portfolio manager or committee. Ultimate accountability for each of the Funds resides with the senior portfolio managers dedicated to each Team strategy, who oversee their respective research, portfolio management and implementation processes.
4
PORTFOLIO RESULTS
Goldman Sachs Large Cap Growth Insights Fund
Investment Objective
The Fund seeks long-term growth of capital, with dividend income as a secondary consideration.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs Large Cap Growth Insights Fund’s (the “Fund”) performance and positioning for the six-month period ended April 30, 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, R and R6 Shares generated cumulative total returns, without sales charges, of -1.67%, -2.01%, -1.49%, -1.73%, -1.56%, -1.84% and -1.46%, respectively. These returns compare to the -1.37% cumulative total return of the Fund’s benchmark, the Russell 1000® Growth Index (with dividends reinvested) (the “Index”), during the same period. |
| Q | | What key factors were most responsible for the Fund’s performance during the Reporting Period? |
| A | | During the Reporting Period, the Fund benefited from stock selection driven by our quantitative model, with five of our quantitative model’s six investment themes contributing positively to relative returns. However, the Fund underperformed the Index, largely due to the underperformance of our Momentum investment theme. |
| Q | | What impact did the Fund’s investment themes have on performance during the Reporting Period? |
| A | | In keeping with our investment approach, we use our quantitative model and six investment themes to take a long-term view of market patterns and look for inefficiencies, selecting stocks for the Fund and overweighting or underweighting the ones chosen by the model. Over time and by design, the performance of any one of the model’s investment themes have historically had a low correlation with the model’s other themes, demonstrating the diversification benefit of the Fund’s theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by our different investment themes is expected to provide a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term. Of course, diversification does not protect an investor from market risk nor does it ensure a profit. |
| | | During the Reporting Period, five of our six investment themes added to the Fund’s relative returns. Sentiment and Quality were our best performing themes. The Sentiment theme reflects selected investment views and decisions of individuals and financial intermediaries. The Quality theme seeks to assess both firm and management quality. Profitability, Management and Valuation also bolstered relative results. The Profitability theme seeks to assess whether a company is earning more than its cost of capital. The Management theme seeks to assess the characteristics, policies and strategic decisions of company management. The Valuation theme attempts to capture potential mispricings of securities, typically by comparing a measure of the company’s intrinsic value to its market value. |
| | | Our Momentum theme detracted from relative performance during the Reporting Period. The Momentum theme seeks to predict drifts in stock prices caused by delayed investor reaction to company-specific information and information about related companies. |
| Q | | How did the Fund’s sector and industry allocations affect relative performance? |
| A | | In constructing the Fund’s portfolio, we focus on picking stocks rather than on making sector or industry bets. Consequently, the Fund is similar to the Index in terms of its sector and industry allocations and style. Changes in its sector or industry weights generally do not have a meaningful impact on relative performance. That said, the Fund was hurt during the Reporting Period by its overweight in energy, though stock selection in the sector added to performance. |
5
PORTFOLIO RESULTS
| Q | | Did stock selection help or hurt Fund performance during the Reporting Period? |
| A | | We seek to outpace the Index by overweighting stocks we expect to outperform and underweighting those we think may lag. At the same time, we strive to maintain a risk profile similar to the Index. The Fund’s investments are selected using fundamental research and a variety of quantitative techniques based on our investment themes. For example, the Fund aims to hold a basket of stocks with better Momentum characteristics than the benchmark. |
| | | During the Reporting Period, security selection overall added modestly to the Fund’s relative performance. Investments in the industrials, consumer discretionary and energy sectors enhanced relative results, while stock picks in the health care, financials and materials sectors detracted from relative returns. |
| Q | | Which individual stock positions contributed most to the Fund’s relative returns during the Reporting Period? |
| A | | The Fund benefited from overweight positions in Tyson Foods, Illinois Tool Works and HD Supply Holdings. Our positive views on Momentum and Sentiment led to the Fund’s overweight in food maker Tyson Foods. The Fund was overweight Illinois Tool Works, a producer of engineered fasteners and components, equipment and consumable systems, and specialty products, because of our positive views on Quality and Sentiment. We assumed the overweight in industrial distributor HD Supply Holdings based on our positive views on Momentum and Sentiment. |
| Q | | Which individual stock positions detracted most from the Fund’s results during the Reporting Period? |
| A | | Overweight positions in Marathon Petroleum and HollyFrontier detracted from relative performance. We chose to overweight both petroleum refiners because of our positive views on Sentiment and Valuation. The Fund was also hurt by an overweight in networking products maker Juniper Networks. Our positive views on Profitability and Sentiment led us to overweight the stock. |
| Q | | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | | During the Reporting Period, we used financial futures contracts to equitize the Fund’s cash holdings. In other words, we put the Fund’s cash holdings to work by using them as collateral for the purchase of financial futures contracts. The use of these derivatives did not have a material impact on Fund results during the Reporting Period. |
| Q | | What was the Fund’s sector positioning relative to the Index at the end of the Reporting Period? |
| A | | At the end of the Reporting Period, the Fund was overweight the information technology, health care and materials sectors relative to the Index. Compared to the Index, the Fund was underweight the consumer staples, industrials, financials, consumer discretionary and telecommunication services sectors. The Fund was relatively neutral compared to the Index in the energy and utilities sectors at the end of the Reporting Period. |
6
FUND BASICS
Large Cap Growth Insights Fund
as of April 30, 2016
| | | | | | | | | | |
| | PERFORMANCE REVIEW | |
| | | November 1, 2015–April 30, 2016 | | Fund Total Return
(based on NAV)1 | | | Russell 1000®
Growth Index2 | |
| | Class A | | | -1.67 | % | | | -1.37 | % |
| | Class C | | | -2.01 | | | | -1.37 | |
| | Institutional | | | -1.49 | | | | -1.37 | |
| | Service | | | -1.73 | | | | -1.37 | |
| | Class IR | | | -1.56 | | | | -1.37 | |
| | Class R | | | -1.84 | | | | -1.37 | |
| | | Class R6 | | | -1.46 | | | | -1.37 | |
| | 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 Russell 1000® Growth Index (with dividends reinvested) is an unmanaged market capitalization weighted index of the 1000 largest U.S. companies with higher price-to-book ratios and higher forecasted growth values. The figures for the Index do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
| | | | | | | | | | | | | | | | | | | | |
| | STANDARDIZED TOTAL RETURNS3 |
| | | For the period ended 3/31/16 | | One Year | | | Five Years | | | Ten Years | | | Since Inception | | | Inception Date |
| | Class A | | | -5.17 | % | | | 11.73 | % | | | 5.50 | % | | | 8.18 | % | | 5/1/97 |
| | Class C | | | -1.43 | | | | 12.16 | | | | 5.30 | | | | 3.82 | | | 8/15/97 |
| | Institutional | | | 0.70 | | | | 13.46 | | | | 6.54 | | | | 8.77 | | | 5/1/97 |
| | Service | | | 0.24 | | | | 12.90 | | | | 6.00 | | | | 8.36 | | | 5/1/97 |
| | Class IR | | | 0.59 | | | | 13.28 | | | | N/A | | | | 6.79 | | | 11/30/07 |
| | Class R | | | 0.05 | | | | 12.73 | | | | N/A | | | | 6.27 | | | 11/30/07 |
| | | Class R6 | | | N/A | | | | N/A | | | | N/A | | | | -1.38 | | | 7/31/15 |
| | 3 | | 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 5.5% 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 returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
7
FUND BASICS
| | | | | | | | | | |
| | EXPENSE RATIOS4 | |
| | | | | Net Expense Ratio (Current) | | | Gross Expense Ratio (Before Waivers) | |
| | Class A | | | 0.96 | % | | | 1.16 | % |
| | Class C | | | 1.71 | | | | 1.91 | |
| | Institutional | | | 0.56 | | | | 0.76 | |
| | Service | | | 1.06 | | | | 1.26 | |
| | Class IR | | | 0.71 | | | | 0.91 | |
| | Class R | | | 1.21 | | | | 1.41 | |
| | | Class R6 | | | 0.54 | | | | 0.74 | |
| | 4 | | 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 February 26, 2017, 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 HOLDINGS AS OF 4/30/165 |
| | | Holding | | % of Net Assets | | | Line of Business |
| | Apple, Inc. | | | 4.7 | % | | Computers & Peripherals |
| | The Home Depot, Inc. | | | 2.6 | | | Specialty Retail |
| | Amazon.com, Inc. | | | 2.5 | | | Internet & Catalog Retail |
| | Facebook, Inc. Class A | | | 2.5 | | | Internet Software & Services |
| | PepsiCo., Inc. | | | 2.5 | | | Beverages |
| | Amgen, Inc. | | | 2.2 | | | Biotechnology |
| | Alphabet, Inc. Class A | | | 2.1 | | | Internet Software & Services |
| | Alphabet, Inc. Class C | | | 2.1 | | | Internet Software & Services |
| | Microsoft Corp. | | | 2.0 | | | Software |
| | | Oracle Corp. | | | 1.7 | | | Software |
| | 5 | | The top 10 holdings may not be representative of the Fund’s future investments. |
8
FUND BASICS
| | |
| FUND VS. BENCHMARK SECTOR ALLOCATIONS6 |
| As of April 30, 2016 | | |
| | 6 | | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Investments in the securities lending reinvestment vehicle represented 0.7% of the Fund’s net assets as of April 30, 2016. Short-term investments represent repurchase agreements. 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. |
9
PORTFOLIO RESULTS
Goldman Sachs Large Cap Value Insights Fund
Investment Objective
The Fund seeks long-term growth of capital and dividend income.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs Large Cap Value Insights Fund’s (the “Fund”) performance and positioning for the six-month period ended April 30, 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, R and R6 Shares generated cumulative total returns, without sales charges, of -0.67%, -1.03%, -0.49%, -0.72%, -0.55%, -0.78% and -0.42%, respectively. These returns compare to the 1.93% cumulative total return of the Fund’s benchmark, the Russell 1000® Value Index (with dividends reinvested) (the “Index”), during the same period. |
| Q | | What key factors were most responsible for the Fund’s performance during the Reporting Period? |
| A | | During the Reporting Period, the Fund underperformed the Index, largely due to stock selection driven by our quantitative model and one of our quantitative model’s six investment themes. More specifically, our Momentum theme underperformed during the Reporting Period. |
| Q | | What impact did the Fund’s investment themes have on performance during the Reporting Period? |
| A | | In keeping with our investment approach, we use our quantitative model and six investment themes to take a long-term view of market patterns and look for inefficiencies, selecting stocks for the Fund and overweighting or underweighting the ones chosen by the model. Over time and by design, the performance of any one of the model’s investment themes have historically had a low correlation with the model’s other themes, demonstrating the diversification benefit of the Fund’s theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by our different investment themes is expected to provide a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term. Of course, diversification does not protect an investor from market risk nor does it ensure a profit. |
| | | During the Reporting Period, one of our six investment themes — Momentum — detracted from relative returns. The Momentum theme seeks to predict drifts in stock prices caused by delayed investor reaction to company-specific information and information about related companies. |
| | | Our five other investment themes added modestly to relative results. Sentiment and Quality were our best performing themes. The Sentiment theme reflects selected investment views and decisions of individuals and financial intermediaries. The Quality theme seeks to assess both firm and management quality. Valuation, Profitability and Management also contributed positively. The Valuation theme attempts to capture potential mispricings of securities, typically by comparing a measure of the company’s intrinsic value to its market value. The Profitability theme seeks to assess whether a company is earning more than its cost of capital. The Management theme seeks to assess the characteristics, policies and strategic decisions of company management. |
| Q | | How did the Fund’s sector and industry allocations affect relative performance? |
| A | | In constructing the Fund’s portfolio, we focus on picking stocks rather than on making sector or industry bets. Consequently, the Fund is similar to the Index in terms of its sector and industry allocations and its style. Changes in its sector or industry weights generally do not have a meaningful impact on relative performance. |
10
PORTFOLIO RESULTS
| Q | | Did stock selection help or hurt Fund performance during the Reporting Period? |
| A | | We seek to outpace the Index by overweighting stocks we expect to outperform and underweighting those we think may lag. At the same time, we strive to maintain a risk profile similar to the Index. The Fund’s investments are selected using fundamental research and a variety of quantitative techniques based on our investment themes. For example, the Fund aims to hold a basket of stocks with better Momentum characteristics than the benchmark. |
| | | During the Reporting Period, security selection overall detracted from the Fund’s relative performance. Stock picks in the financials, materials and health care sectors hurt relative results. Investments in the industrials and consumer discretionary sectors contributed positively. |
| Q | | Which individual stock positions detracted most from the Fund’s results during the Reporting Period? |
| A | | The Fund was hurt during the Reporting Period by its overweight positions in Marathon Petroleum, a refiner; WestRock, a corrugated packaging company; and Flowers Foods, a producer of packaged bakery foods. We adopted the overweight in Marathon Petroleum due to our positive views on Momentum and Quality. The overweight in WestRock was the result of our positive views on Profitability and Quality, while we assumed the overweight in Flowers Foods because of our positive views on Management and Quality. |
| Q | | Which individual stock positions contributed most to the Fund’s relative returns during the Reporting Period? |
| A | | The Fund’s underweight in semiconductor manufacturer Qualcomm added positively to relative performance during the Reporting Period. We adopted the underweight because of our negative views on Management and Quality. In addition, the Fund benefited from its overweight positions in Tyson Foods, a food maker, and Pioneer Natural Resources, an independent petroleum, natural gas and natural gas liquids exploration and production company. We chose to overweight both stocks because of our positive views on Momentum and Sentiment. |
| Q | | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | | During the Reporting Period, we used financial futures contracts to equitize the Fund’s cash holdings. In other words, we put the Fund’s cash holdings to work by using them as collateral for the purchase of financial futures contracts. The use of these derivatives did not have a material impact on Fund results during the Reporting Period. |
| Q | | What was the Fund’s sector positioning relative to the Index at the end of the Reporting Period? |
| A | | At the end of the Reporting Period, the Fund was overweight the materials, information technology and health care sectors relative to the Index. Compared to the Index, the Fund was underweight the industrials, financials, telecommunication services and utilities sectors. The Fund was relatively neutral compared to the Index in the consumer staples, consumer discretionary and energy sectors at the end of the Reporting Period. |
11
FUND BASICS
Large Cap Value Insights Fund
as of April 30, 2016
| | | | | | | | | | |
| | PERFORMANCE REVIEW | |
| | | November 1, 2015–April 30, 2016 | | Fund Total Return
(based on NAV)1 | | | Russell 1000® Value Index2 | |
| | Class A | | | -0.67 | % | | | 1.93 | % |
| | Class C | | | -1.03 | | | | 1.93 | |
| | Institutional | | | -0.49 | | | | 1.93 | |
| | Service | | | -0.72 | | | | 1.93 | |
| | Class IR | | | -0.55 | | | | 1.93 | |
| | Class R | | | -0.78 | | | | 1.93 | |
| | | Class R6 | | | -0.42 | | | | 1.93 | |
| | 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 Russell 1000® Value Index (with dividends reinvested) is an unmanaged market capitalization weighted index of the 1000 largest U.S. companies with lower price-to-book ratios and lower forecasted growth values. The figures for the Index do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
| | | | | | | | | | | | | | | | | | | | |
| | STANDARDIZED TOTAL RETURNS3 |
| | | For the period ended 3/31/16 | | One Year | | | Five Years | | | Ten Years | | | Since Inception | | | Inception Date |
| | Class A | | | -8.62 | % | | | 8.81 | % | | | 3.49 | % | | | 4.63 | % | | 12/31/98 |
| | Class C | | | -5.03 | | | | 9.22 | | | | 3.30 | | | | 4.19 | | | 12/31/98 |
| | Institutional | | | -3.00 | | | | 10.48 | | | | 4.50 | | | | 5.38 | | | 12/31/98 |
| | Service | | | -3.46 | | | | 9.91 | | | | 3.98 | | | | 4.87 | | | 12/31/98 |
| | Class IR | | | -3.10 | | | | 10.31 | | | | N/A | | | | 4.31 | | | 11/30/07 |
| | Class R | | | -3.58 | | | | 9.76 | | | | N/A | | | | 3.81 | | | 11/30/07 |
| | | Class R6 | | | N/A | | | | N/A | | | | N/A | | | | -3.70 | | | 7/31/15 |
| | 3 | | 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 5.5% 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 returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
12
FUND BASICS
| | | | | | | | | | |
| | EXPENSE RATIOS4 | |
| | | | | Net Expense Ratio (Current) | | | Gross Expense Ratio (Before Waivers) | |
| | Class A | | | 0.96 | % | | | 1.12 | % |
| | Class C | | | 1.71 | | | | 1.87 | |
| | Institutional | | | 0.56 | | | | 0.72 | |
| | Service | | | 1.06 | | | | 1.22 | |
| | Class IR | | | 0.71 | | | | 0.87 | |
| | Class R | | | 1.21 | | | | 1.37 | |
| | | Class R6 | | | 0.54 | | | | 0.70 | |
| | 4 | | 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 February 26, 2017, 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 HOLDINGS AS OF 4/30/165 |
| | | Holding | | % of Net
Assets | | | Line of Business |
| | Johnson & Johnson | | | 3.7 | % | | Pharmaceuticals |
| | Exxon Mobil Corp. | | | 2.7 | | | Oil, Gas & Consumable Fuels |
| | Merck & Co., Inc. | | | 2.4 | | | Pharmaceuticals |
| | Berkshire Hathaway, Inc. Class B | | | 2.0 | | | Diversified Financial Services |
| | General Electric Co. | | | 1.9 | | | Industrial Conglomerates |
| | The Procter & Gamble Co. | | | 1.9 | | | Household Products |
| | Pfizer, Inc. | | | 1.9 | | | Pharmaceuticals |
| | JPMorgan Chase & Co. | | | 1.6 | | | Commercial Banks |
| | Bank of America Corp. | | | 1.6 | | | Commercial Banks |
| | | Oracle Corp. | | | 1.5 | | | Software |
| | 5 | | The top 10 holdings may not be representative of the Fund’s future investments. |
13
FUND BASICS
|
| FUND VS. BENCHMARK SECTOR ALLOCATIONS6 |
| As of April 30, 2016 |
| | 6 | | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Investments in the securities lending reinvestment vehicle represented 0.6% of the Fund’s net assets as of April 30, 2016. Short-term investments represent repurchase agreements. 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. |
14
PORTFOLIO RESULTS
Goldman Sachs Small Cap Equity Insights Fund
Investment Objective
The Fund seeks long-term growth of capital.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs Small Cap Equity Insights Fund’s (the “Fund”) performance and positioning for the six-month period ended April 30, 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, R and R6 Shares generated cumulative total returns, without sales charges, of -2.11%, -2.50%, -1.95%, -2.18%, -2.02%, -2.26% and -1.91%, respectively. These returns compare to the -1.90% cumulative total return of the Fund’s benchmark, the Russell 2000® Index (with dividends reinvested) (the “Index”), during the same period. |
| Q | | What key factors were most responsible for the Fund’s performance during the Reporting Period? |
| A | | During the Reporting Period, the Fund benefited from stock selection driven by our quantitative model, with five of our quantitative model’s six investment themes contributing positively to relative returns. However, the Fund underperformed the Index in certain share classes, largely due to the underperformance of our Management investment theme. |
| Q | | What impact did the Fund’s investment themes have on performance during the Reporting Period? |
| A | | In keeping with our investment approach, we use our quantitative model and six investment themes to take a long-term view of market patterns and look for inefficiencies, selecting stocks for the Fund and overweighting or underweighting the ones chosen by the model. Over time and by design, the performance of any one of the model’s investment themes have historically had a low correlation with the model’s other themes, demonstrating the diversification benefit of the Fund’s theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by our different investment themes is expected to provide a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term. Of course, diversification does not protect an investor from market risk nor does it ensure a profit. |
| | | During the Reporting Period, five of our six investment themes added to the Fund’s relative returns. Sentiment, Quality and Momentum were our best performing themes. The Sentiment theme reflects selected investment views and decisions of individuals and financial intermediaries. The Quality theme seeks to assess both firm and management quality. The Momentum theme seeks to predict drifts in stock prices caused by delayed investor reaction to company-specific information and information about related companies. Profitability and Valuation also contributed positively. The Profitability theme seeks to assess whether a company is earning more than its cost of capital. The Valuation theme attempts to capture potential mispricings of securities, typically by comparing a measure of the company’s intrinsic value to its market value. |
| | | Our Management theme, which seeks to assess the characteristics, policies and strategic decisions of company management, detracted from relative performance during the Reporting Period. |
| Q | | How did the Fund’s sector and industry allocations affect relative performance? |
| A | | In constructing the Fund’s portfolio, we focus on picking stocks rather than on making sector or industry bets. Consequently, the Fund is similar to the Index in terms of its sector and industry allocations and its style. Changes in its sector or industry weights generally do not have a meaningful impact on relative performance. |
15
PORTFOLIO RESULTS
| Q | | Did stock selection help or hurt Fund performance during the Reporting Period? |
| A | | We seek to outpace the Index by overweighting stocks we expect to outperform and underweighting those we think may lag. At the same time, we strive to maintain a risk profile similar to the Index. The Fund’s investments are selected using fundamental research and a variety of quantitative techniques based on our investment themes. For example, the Fund aims to hold a basket of stocks with better Momentum characteristics than the benchmark. |
| | | During the Reporting Period, security selection overall added modestly to the Fund’s relative performance. The Fund’s investments in the industrials, consumer discretionary and financials sectors enhanced results. Stock selection in the information technology, telecommunication services and health care sectors detracted from relative returns. |
| Q | | Which individual stock positions contributed most to the Fund’s relative returns during the Reporting Period? |
| A | | The Fund benefited from overweight positions in Coresite Realty, Talen Energy and Dupont Fabros Technology. We adopted the overweight in Coresite Realty, a provider of data centers and interconnection services, because of our positive views on Momentum and Valuation. The Fund was overweight independent power producer Talen Energy due to our positive views on Profitability and Valuation. Our positive views on Momentum and Quality led us to overweight Dupont Fabros Technology, which offers outsourced data center management services. |
| Q | | Which individual stock positions detracted most from the Fund’s results during the Reporting Period? |
| A | | Overweight positions in American Equity Investment Life Holding Company, a provider of annuity and life insurance products; Delek U.S. Holdings, an energy company focused on petroleum refining, logistics and convenience store retailing; and Anacor Pharmaceuticals, a biopharmaceutical company, detracted from the Fund’s relative performance. The Fund was overweight American Equity Life Holding Company due to our positive views on Momentum and Valuation. We chose to overweight Delek U.S. Holdings because of our positive views on Management and Quality, while the overweight in Anacor Pharmaceuticals was the result of our positive views on Sentiment and Value. |
| Q | | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | | During the Reporting Period, we used financial futures contracts to equitize the Fund’s cash holdings. In other words, we put the Fund’s cash holdings to work by using them as collateral for the purchase of financial futures contracts. The use of these derivatives did not have a material impact on Fund results during the Reporting Period. |
| Q | | What was the Fund’s sector positioning relative to the Index at the end of the Reporting Period? |
| A | | At the end of the Reporting Period, the Fund was overweight the industrials and materials sectors relative to the Index. Compared to the Index, the Fund was underweight the utilities, financials and consumer staples sectors. The Fund was relatively neutral compared to the Index in the consumer discretionary, health care, information technology, telecommunication services and energy sectors at the end of the Reporting Period. |
16
FUND BASICS
Small Cap Equity Insights Fund
as of April 30, 2016
| | | | | | | | | | |
| | PERFORMANCE REVIEW | |
| | | November 1, 2015–April 30, 2016 | | Fund Total Return
(based on NAV)1 | | | Russell 2000® Index2 | |
| | Class A | | | -2.11 | % | | | -1.90 | % |
| | Class C | | | -2.50 | | | | -1.90 | |
| | Institutional | | | -1.95 | | | | -1.90 | |
| | Service | | | -2.18 | | | | -1.90 | |
| | Class IR | | | -2.02 | | | | -1.90 | |
| | Class R | | | -2.26 | | | | -1.90 | |
| | | Class R6 | | | -1.91 | | | | -1.90 | |
| | 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 Russell 2000® Index (with dividends reinvested) is an unmanaged index of common stock prices that measures the performance of the 2000 smallest companies in the Russell 3000® Index. The figures for the Index do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
| | | | | | | | | | | | | | | | | | | | |
| | STANDARDIZED TOTAL RETURNS3 |
| | | For the period ended 3/31/16 | | One Year | | | Five Years | | | Ten Years | | | Since Inception | | | Inception Date |
| | Class A | | | -13.19 | % | | | 6.52 | % | | | 3.05 | % | | | 5.81 | % | | 8/15/97 |
| | Class C | | | -9.75 | | | | 6.94 | | | | 2.86 | | | | 5.35 | | | 8/15/97 |
| | Institutional | | | -7.77 | | | | 8.18 | | | | 4.05 | | | | 6.55 | | | 8/15/97 |
| | Service | | | -8.22 | | | | 7.64 | | | | 3.53 | | | | 6.02 | | | 8/15/97 |
| | Class IR | | | -7.88 | | | | 8.01 | | | | N/A | | | | 6.65 | | | 11/30/07 |
| | Class R | | | -8.36 | | | | 7.49 | | | | N/A | | | | 6.14 | | | 11/30/07 |
| | | Class R6 | | | N/A | | | | N/A | | | | N/A | | | | -4.65 | | | 7/31/15 |
| | 3 | | 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 5.5% 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 returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
17
FUND BASICS
| | | | | | | | | | |
| | EXPENSE RATIOS4 | |
| | | | | Net Expense Ratio (Current) | | | Gross Expense Ratio (Before Waivers) | |
| | Class A | | | 1.24 | % | | | 1.45 | % |
| | Class C | | | 1.99 | | | | 2.20 | |
| | Institutional | | | 0.84 | | | | 1.05 | |
| | Service | | | 1.34 | | | | 1.56 | |
| | Class IR | | | 0.99 | | | | 1.21 | |
| | Class R | | | 1.49 | | | | 1.70 | |
| | | Class R6 | | | 0.82 | | | | 1.03 | |
| | 4 | | 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 February 26, 2017, 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 HOLDINGS AS OF 4/30/165 |
| | | Holding | | % of Net Assets | | | Line of Business |
| | Vail Resorts, Inc. | | | 0.8 | % | | Hotels, Restaurants & Leisure |
| | Manhattan Associates, Inc. | | | 0.7 | | | Software |
| | WellCare Health Plans, Inc. | | | 0.7 | | | Health Care Providers & Services |
| | CubeSmart | | | 0.7 | | | Real Estate Investment Trusts |
| | IBERIABANK Corp. | | | 0.7 | | | Commercial Banks |
| | Western Alliance Bancorp | | | 0.7 | | | Commercial Banks |
| | ONE Gas, Inc. | | | 0.7 | | | Gas Utilities |
| | Pool Corp. | | | 0.7 | | | Distributors |
| | Prosperity Bancshares, Inc. | | | 0.7 | | | Commercial Banks |
| | | Coresite Realty Corp. | | | 0.7 | | | Real Estate Investment Trusts |
| | 5 | | The top 10 holdings may not be representative of the Fund’s future investments. |
18
FUND BASICS
|
| FUND VS. BENCHMARK SECTOR ALLOCATIONS6 |
| As of April 30, 2016 |
| | 6 | | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Investments in the securities lending reinvestment vehicle represented 4.6% of the Fund’s net assets as of April 30, 2016. Short-term investments represent repurchase agreements. 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. |
19
PORTFOLIO RESULTS
Goldman Sachs Small Cap Growth Insights Fund
Investment Objective
The Fund seeks long-term growth of capital.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs Small Cap Growth Insights Fund’s (the “Fund”) performance and positioning for the six-month period ended April 30, 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, R and R6 Shares generated cumulative total returns, without sales charges, of -4.94%, -5.29%, -4.75%, -4.81%, -5.04% and -4.72%, respectively. These returns compare to the -4.96% cumulative total return of the Fund’s benchmark, the Russell 2000® Growth Index (with dividends reinvested) (the “Index”), during the same period. |
| Q | | What key factors were most responsible for the Fund’s performance during the Reporting Period? |
| A | | During the Reporting Period, the Fund benefited from stock selection driven by our quantitative model, with five of our quantitative model’s six investment themes contributing positively to relative returns. However, the Fund underperformed the Index in certain share classes, largely due to the underperformance of our Management investment theme. |
| Q | | What impact did the Fund’s investment themes have on performance during the Reporting Period? |
| A | | In keeping with our investment approach, we use our quantitative model and six investment themes to take a long-term view of market patterns and look for inefficiencies, selecting stocks for the Fund and overweighting or underweighting the ones chosen by the model. Over time and by design, the performance of any one of the model’s investment themes have historically had a low correlation with the model’s other themes, demonstrating the diversification benefit of the Fund’s theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by our different investment themes is expected to provide a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term. Of course, diversification does not protect an investor from market risk nor does it ensure a profit. |
| | | During the Reporting Period, five of our six investment themes added to the Fund’s relative returns. Sentiment, Quality and Momentum were our best performing themes. The Sentiment theme reflects selected investment views and decisions of individuals and financial intermediaries. The Quality theme seeks to assess both firm and management quality. The Momentum theme seeks to predict drifts in stock prices caused by delayed investor reaction to company-specific information and information about related companies. Valuation and Profitability also contributed positively. The Valuation theme attempts to capture potential mispricings of securities, typically by comparing a measure of the company’s intrinsic value to its market value. The Profitability theme seeks to assess whether a company is earning more than its cost of capital. |
| | | Our Management theme, which seeks to assess the characteristics, policies and strategic decisions of company management, detracted from relative performance during the Reporting Period. |
| Q | | How did the Fund’s sector and industry allocations affect relative performance? |
| A | | In constructing the Fund’s portfolio, we focus on picking stocks rather than on making sector or industry bets. Consequently, the Fund is similar to the Index in terms of its sector and industry allocations and style. Changes in its sector or industry weights generally do not have a meaningful impact on relative performance. |
| Q | | Did stock selection help or hurt Fund performance during the Reporting Period? |
| A | | We seek to outpace the Index by overweighting stocks we expect to outperform and underweighting those we think |
20
PORTFOLIO RESULTS
| | may lag. At the same time, we strive to maintain a risk profile similar to the Index. The Fund’s investments are selected using fundamental research and a variety of quantitative techniques based on our investment themes. For example, the Fund aims to hold a basket of stocks with better Momentum characteristics than the benchmark. |
| | | During the Reporting Period, security selection overall added to the Fund’s relative performance. Stock selection in the consumer discretionary, industrials and health care sectors bolstered results. Investments in the information technology, telecommunication services and consumer staples sectors detracted from relative returns. |
| Q | | Which individual stock positions contributed most to the Fund’s relative returns during the Reporting Period? |
| A | | The Fund benefited from overweight positions in Constant Contact, an online marketing company; Coherent, a supplier of laser products and solutions; and Coresite Realty, a provider of data centers and interconnection services. We chose to overweight all three stocks because of our positive views on Quality and Sentiment. |
| Q | | Which individual stock positions detracted most from the Fund’s results during the Reporting Period? |
| A | | The Fund was hampered by overweight positions in American Equity Investment Life Holding Company, a provider of annuity and life insurance products; NewLink Genetics, a biopharmaceutical company; and Delek U.S. Holdings, an energy company focused on petroleum refining, logistics and convenience store retailing. The Fund was overweight American Equity Life Holding Company due to our positive views on Valuation and Momentum. Our positive views on Quality and Management led us to overweight NewLink Genetics. We adopted the overweight in Delek U.S. Holdings because of our positive views on Sentiment and Valuation. |
| Q | | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | | During the Reporting Period, we used financial futures contracts to equitize the Fund’s cash holdings. In other words, we put the Fund’s cash holdings to work by using them as collateral for the purchase of financial futures contracts. The use of these derivatives did not have a material impact on Fund results during the Reporting Period. |
| Q | | What was the Fund’s sector positioning relative to the Index at the end of the Reporting Period? |
| A | | At the end of the Reporting Period, the Fund was overweight the consumer discretionary and industrials sectors relative to the Index. Compared to the Index, the Fund was underweight the consumer staples and information technology sectors. The Fund was relatively neutral compared to the Index in the financials, materials, utilities, energy, telecommunication services and health care sectors at the end of the Reporting Period. |
21
FUND BASICS
Small Cap Growth Insights Fund
as of April 30, 2016
| | | | | | | | | | |
| | PERFORMANCE REVIEW | |
| | | November 1, 2015–April 30,
2016 | | Fund Total Return
(based on NAV)1 | | | Russell 2000 Growth® Index2 | |
| | Class A | | | -4.94 | % | | | -4.96 | % |
| | Class C | | | -5.29 | | | | -4.96 | |
| | Institutional | | | -4.75 | | | | -4.96 | |
| | Class IR | | | -4.81 | | | | -4.96 | |
| | Class R | | | -5.04 | | | | -4.96 | |
| | | Class R6 | | | -4.72 | | | | -4.96 | |
| | 1�� | | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| | 2 | | The Russell 2000® Growth Index (with dividends reinvested) is an unmanaged index of common stock prices that measures the performance of those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
| | | | | | | | | | | | | | | | |
| | STANDARDIZED TOTAL RETURNS3 |
| | | For the period ended 3/31/16 | | One Year | | | Five Years | | | Since Inception | | | Inception Date |
| | Class A | | | -15.06 | % | | | 7.46 | % | | | 4.98 | % | | 6/25/07 |
| | Class C | | | -11.68 | | | | 7.87 | | | | 4.87 | | | 6/25/07 |
| | Institutional | | | -9.78 | | | | 9.11 | | | | 6.08 | | | 6/25/07 |
| | Class IR | | | -9.92 | | | | 8.94 | | | | 7.43 | | | 11/30/07 |
| | Class R | | | -10.36 | | | | 8.40 | | | | 6.89 | | | 11/30/07 |
| | | Class R6 | | | N/A | | | | N/A | | | | -8.97 | | | 7/31/15 |
| | 3 | | 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 5.5% 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, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
22
FUND BASICS
| | | | | | | | | | |
| | EXPENSE RATIOS4 | |
| | | | | Net Expense Ratio (Current) | | | Gross Expense Ratio (Before Waivers) | |
| | Class A | | | 1.25 | % | | | 1.59 | % |
| | Class C | | | 2.00 | | | | 2.35 | |
| | Institutional | | | 0.85 | | | | 1.19 | |
| | Class IR | | | 1.00 | | | | 1.32 | |
| | Class R | | | 1.50 | | | | 1.84 | |
| | | Class R6 | | | 0.83 | | | | 1.17 | |
| | 4 | | 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 February 26, 2017, 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 HOLDINGS AS OF 4/30/165 |
| | | Holding | | % of Net Assets | | | Line of Business |
| | Manhattan Associates, Inc. | | | 1.1 | % | | Software |
| | Vail Resorts, Inc. | | | 1.1 | | | Hotels, Restaurants & Leisure |
| | WellCare Health Plans, Inc. | | | 1.0 | | | Health Care Providers & Services |
| | Pool Corp. | | | 0.9 | | | Distributors |
| | Prestige Brands Holdings, Inc. | | | 0.9 | | | Pharmaceuticals |
| | CubeSmart | | | 0.9 | | | Real Estate Investment Trusts |
| | CoreSite Realty Corp. | | | 0.8 | | | Real Estate Investment Trusts |
| | Bank of the Ozarks, Inc. | | | 0.8 | | | Commercial Banks |
| | West Pharmaceutical Services, Inc. | | | 0.8 | | | Health Care Equipment & Supplies |
| | | Cantel Medical Corp. | | | 0.8 | | | Health Care Equipment & Supplies |
| | 5 | | The top 10 holdings may not be representative of the Fund’s future investments. |
23
FUND BASICS
| | |
| FUND VS. BENCHMARK SECTOR ALLOCATIONS6 |
| As of April 30, 2016 | | |
| | 6 | | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Investments in the securities lending reinvestment vehicle represented 5.8% of the Fund’s net assets as of April 30, 2016. Short-term investments represent repurchase agreements. 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. |
24
PORTFOLIO RESULTS
Goldman Sachs Small Cap Value Insights Fund
Investment Objective
The Fund seeks long-term growth of capital.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs Small Cap Value Insights Fund’s (the “Fund”) performance and positioning for the six-month period ended April 30, 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, R and R6 Shares generated cumulative total returns, without sales charges, of 1.04%, 0.64%, 1.23%, 1.17%, 0.91% and 1.21%, respectively. These returns compare to the 1.18% cumulative total return of the Fund’s benchmark, the Russell 2000® Value Index (with dividends reinvested) (the “Index”), during the same period. |
| Q | | What key factors were most responsible for the Fund’s performance during the Reporting Period? |
| A | | During the Reporting Period, the Fund benefited from stock selection driven by our quantitative model, with four of our quantitative model’s six investment themes contributing positively to relative returns. However, the Fund underperformed the Index in certain share classes, largely due to the underperformance of our Management investment theme. |
| Q | | What impact did the Fund’s investment themes have on performance during the Reporting Period? |
| A | | In keeping with our investment approach, we use our quantitative model and six investment themes to take a long-term view of market patterns and look for inefficiencies, selecting stocks for the Fund and overweighting or underweighting the ones chosen by the model. Over time and by design, the performance of any one of the model’s investment themes have historically had a low correlation with the model’s other themes, demonstrating the diversification benefit of the Fund’s theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by our different investment themes is expected to provide a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term. Of course, diversification does not protect an investor from market risk nor does it ensure a profit. |
| | | During the Reporting Period, four of our six investment themes added to the Fund’s relative returns — Quality, Sentiment, Momentum and Profitability. The Quality theme seeks to assess both firm and management quality. The Sentiment theme reflects selected investment views and decisions of individuals and financial intermediaries. The Momentum theme seeks to predict drifts in stock prices caused by delayed investor reaction to company-specific information and information about related companies. The Profitability theme seeks to assess whether a company is earning more than its cost of capital. |
| | | Our Management theme, which seeks to assess the characteristics, policies and strategic decisions of company management, detracted from relative results during the Reporting Period. |
| | | The impact of our Valuation theme on relative performance was neutral during the Reporting Period. The Valuation theme attempts to capture potential mispricings of securities, typically by comparing a measure of the company’s intrinsic value to its market value. |
| Q | | How did the Fund’s sector and industry allocations affect relative performance? |
| A | | In constructing the Fund’s portfolio, we focus on picking stocks rather than on making sector or industry bets. Consequently, the Fund is similar to the Index in terms of its sector and industry allocations and style. Changes in its sector or industry weights generally do not have a meaningful impact on relative performance. |
25
PORTFOLIO RESULTS
| Q | | Did stock selection help or hurt Fund performance during the Reporting Period? |
| A | | We seek to outpace the Index by overweighting stocks we expect to outperform and underweighting those we think may lag. At the same time, we strive to maintain a risk profile similar to the Index. The Fund’s investments are selected using fundamental research and a variety of quantitative techniques based on our investment themes. For example, the Fund aims to hold a basket of stocks with better Momentum characteristics than the benchmark. |
| | | During the Reporting Period, security selection overall contributed positively to the Fund’s relative returns. Stock picks in the industrials, financials and energy sectors added to performance, while holdings in the materials, information technology and consumer staples sectors dampened relative results. |
| Q | | Which individual stock positions contributed most to the Fund’s relative returns during the Reporting Period? |
| A | | The Fund benefited from overweight positions in Coresite Realty, Talen Energy and Granite Construction during the Reporting Period. We adopted the overweight in Coresite Realty, a provider of data centers and interconnection services, because of our positive views on Quality and Sentiment. The Fund was overweight independent power producer Talen Energy due to our positive views on Momentum and Profitability. Our positive views on Sentiment and Momentum led us to overweight Granite Construction, which builds transportation infrastructure and produces construction materials. |
| Q | | Which individual stock positions detracted most from the Fund’s results during the Reporting Period? |
| A | | The Fund was hurt by overweight positions in American Equity Investment Life Holding Company, a provider of annuity and life insurance products; Delek U.S. Holdings, an energy company focused on petroleum refining, logistics and convenience store retailing; and Alon USA Energy, an independent refiner and marketer of petroleum products. The Fund was overweight American Equity Life Holding Company due to our positive views on Valuation and Momentum. We chose to overweight Delek U.S. Holdings because of our positive views on Sentiment and Valuation, while the overweight in Alon USA Energy was the result of our positive views on Valuation and Profitability. |
| Q | | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | | During the Reporting Period, we used financial futures contracts to equitize the Fund’s cash holdings. In other words, we put the Fund’s cash holdings to work by using them as collateral for the purchase of financial futures contracts. The use of these derivatives did not have a material impact on Fund results during the Reporting Period. |
| Q | | What was the Fund’s sector positioning relative to the Index at the end of the Reporting Period? |
| A | | At the end of the Reporting Period, the Fund was overweight the industrials and materials sectors relative to the Index. Compared to the Index, the Fund was underweight the utilities, financials and consumer staples sectors. The Fund was relatively neutral compared to the Index in the health care, consumer discretionary, information technology, energy and telecommunication services sectors at the end of the Reporting Period. |
26
FUND BASICS
Small Cap Value Insights Fund
as of April 30, 2016
| | | | | | | | | | |
| | PERFORMANCE REVIEW | |
| | | November 1, 2015–April 30, 2016 | | Fund Total Return
(based on NAV)1 | | | Russell 2000® Value Index2 | |
| | Class A | | | 1.04 | % | | | 1.18 | % |
| | Class C | | | 0.64 | | | | 1.18 | |
| | Institutional | | | 1.23 | | | | 1.18 | |
| | Class IR | | | 1.17 | | | | 1.18 | |
| | Class R | | | 0.91 | | | | 1.18 | |
| | | Class R6 | | | 1.21 | | | | 1.18 | |
| | 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 Russell 2000® Value Index (with dividends reinvested) is an unmanaged index of common stock prices that measures the performance of those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
| | | | | | | | | | | | | | | | |
| | STANDARDIZED TOTAL RETURNS3 |
| | | For the period ended 3/31/16 | | One Year | | | Five Years | | | Since Inception | | | Inception Date |
| | Class A | | | -11.62 | % | | | 5.72 | % | | | 2.94 | % | | 6/25/07 |
| | Class C | | | -8.13 | | | | 6.12 | | | | 2.81 | | | 6/25/07 |
| | Institutional | | | -6.14 | | | | 7.35 | | | | 4.04 | | | 6/25/07 |
| | Class IR | | | -6.29 | | | | 7.18 | | | | 6.09 | | | 11/30/07 |
| | Class R | | | -6.74 | | | | 6.66 | | | | 5.60 | | | 11/30/07 |
| | | Class R6 | | | N/A | | | | N/A | | | | -1.66 | | | 7/31/15 |
| | 3 | | 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 5.5% 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, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
27
FUND BASICS
| | | | | | | | | | |
| | EXPENSE RATIOS4 | |
| | | | | Net Expense Ratio (Current) | | | Gross Expense Ratio (Before Waivers) | |
| | Class A | | | 1.24 | % | | | 1.51 | % |
| | Class C | | | 1.99 | | | | 2.26 | |
| | Institutional | | | 0.84 | | | | 1.11 | |
| | Class IR | | | 0.99 | | | | 1.26 | |
| | Class R | | | 1.49 | | | | 1.76 | |
| | | Class R6 | | | 0.82 | | | | 1.09 | |
| | 4 | | 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 February 26, 2017, 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 HOLDINGS AS OF 4/30/165 |
| | | Holding | | % of Net Assets | | | Line of Business |
| | DCT Industrial Trust, Inc. | | | 1.1 | % | | Real Estate Investment Trusts |
| | EMCOR Group, Inc. | | | 1.0 | | | Construction & Engineering |
| | PrivateBancorp, Inc. | | | 0.9 | | | Commercial Banks |
| | Prosperity Bancshares, Inc. | | | 0.9 | | | Commercial Banks |
| | Mack-Cali Realty Corp. | | | 0.9 | | | Real Estate Investment Trusts |
| | First Industrial Realty Trust, Inc. | | | 0.9 | | | Real Estate Investment Trusts |
| | ONE Gas, Inc. | | | 0.9 | | | Gas Utilities |
| | Commercial Metals Co. | | | 0.9 | | | Metals & Mining |
| | IBERIABANK Corp. | | | 0.9 | | | Commercial Banks |
| | | CVB Financial Corp. | | | 0.8 | | | Commercial Banks |
| | 5 | | The top 10 holdings may not be representative of the Fund’s future investments. |
28
FUND BASICS
|
| FUND VS. BENCHMARK SECTOR ALLOCATIONS6 |
| As of April 30, 2016 |
| | 6 | | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Investments in the securities lending reinvestment vehicle represented 2.3% of the Fund’s net assets as of April 30, 2016. Short-term investments represent repurchase agreements. 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. |
29
PORTFOLIO RESULTS
Goldman Sachs U.S. Equity Insights Fund
Investment Objective
The Fund seeks long-term growth of capital and dividend income.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs U.S. Equity Insights Fund’s (the “Fund”) performance and positioning for the six-month period ended April 30, 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, R and R6 Shares generated cumulative total returns, without sales charges, of -1.61%, -1.99%, -1.40%, -1.65%, -1.49%, -1.74% and -1.40%, respectively. These returns compare to the 0.43% cumulative total return of the Fund’s benchmark, the S&P 500® Index (with dividends reinvested) (the “Index”), during the same period. |
| Q | | What key factors were most responsible for the Fund’s performance during the Reporting Period? |
| A | | During the Reporting Period, the Fund underperformed the Index, largely due to stock selection driven by our quantitative model and one of our quantitative model’s six investment themes. More specifically, our Momentum theme underperformed during the Reporting Period. |
| Q | | What impact did the Fund’s investment themes have on performance during the Reporting Period? |
| A | | In keeping with our investment approach, we use our quantitative model and six investment themes to take a long-term view of market patterns and look for inefficiencies, selecting stocks for the Fund and overweighting or underweighting the ones chosen by the model. Over time and by design, the performance of any one of the model’s investment themes have historically had a low correlation with the model’s other themes, demonstrating the diversification benefit of the Fund’s theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by our different investment themes is expected to provide a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term. Of course, diversification does not protect an investor from market risk nor does it ensure a profit. |
| | | During the Reporting Period, one of our six investment themes — Momentum — detracted from relative returns. The Momentum theme seeks to predict drifts in stock prices caused by delayed investor reaction to company-specific information and information about related companies. |
| | | Three of our other investment themes added to the Fund’s relative returns. Sentiment and Quality were our best performing themes. The Sentiment theme reflects selected investment views and decisions of individuals and financial intermediaries. The Quality theme seeks to assess both firm and management quality. Our Valuation theme also contributed positively, although to a lesser extent. The Valuation theme attempts to capture potential mispricings of securities, typically by comparing a measure of the company’s intrinsic value to its market value. |
| | | The impact of our Profitability and Management themes on relative performance was neutral during the Reporting Period. The Profitability theme seeks to assess whether a company is earning more than its cost of capital. The Management theme seeks to assess the characteristics, policies and strategic decisions of company management. |
| Q | | How did the Fund’s sector and industry allocations affect relative performance? |
| A | | In constructing the Fund’s portfolio, we focus on picking stocks rather than on making sector or industry bets. Consequently, the Fund is similar to the Index in terms of its sector and industry allocations and style. Changes in its sector or industry weights generally do not have a meaningful impact on relative performance. |
30
PORTFOLIO RESULTS
| Q | | Did stock selection help or hurt Fund performance during the Reporting Period? |
| A | | We seek to outpace the Index by overweighting stocks we expect to outperform and underweighting those we think may lag. At the same time, we strive to maintain a risk profile similar to the Index. The Fund’s investments are selected using fundamental research and a variety of quantitative techniques based on our investment themes. For example, the Fund aims to hold a basket of stocks with better Momentum characteristics than the benchmark. |
| | | During the Reporting Period, security selection overall detracted from the Fund’s relative performance. Stock picks in the financials, energy and materials sectors hurt relative returns, while investments in the consumer discretionary and industrials sectors were advantageous. |
| Q | | Which individual stock positions detracted most from the Fund’s results during the Reporting Period? |
| A | | The Fund was hampered by overweight positions in Marathon Petroleum, HollyFrontier and Bank of America. We chose to overweight Marathon Petroleum and HollyFrontier, both petroleum refiners, because of our positive views on Sentiment and Valuation. The overweight in Bank of America was due to our positive views on Momentum and Valuation. |
| Q | | Which individual stock positions contributed most to the Fund’s relative returns during the Reporting Period? |
| A | | During the Reporting Period, the Fund benefited from overweight positions in Tyson Foods, a food maker, and Pioneer Natural Resources, an independent petroleum, natural gas and natural gas liquids exploration and production company. We chose to overweight both stocks because of our positive views on Momentum and Sentiment. An underweight in pharmaceutical company Allergan also added to relative performance. We adopted the underweight because of our negative views on Profitability and Sentiment. |
| Q | | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | | During the Reporting Period, we used financial futures contracts to equitize the Fund’s cash holdings. In other words, we put the Fund’s cash holdings to work by using them as collateral for the purchase of financial futures contracts. The use of these derivatives did not have a material impact on Fund results during the Reporting Period. |
| Q | | What was the Fund’s sector positioning relative to the Index at the end of the Reporting Period? |
| A | | At the end of the Reporting Period, the Fund was overweight the information technology, materials and health care sectors relative to the Index. Compared to the Index, the Fund was underweight the industrials, financials, consumer discretionary and utilities sectors. The Fund was relatively neutral compared to the Index in the energy, consumer staples and telecommunication services sectors at the end of the Reporting Period. |
31
FUND BASICS
U.S. Equity Insights Fund
as of April 30, 2016
| | | | | | | | | | |
| | PERFORMANCE REVIEW | |
| | | November 1, 2015–April 30, 2016 | | Fund Total Return
(based on NAV)1 | | | S&P 500® Index2 | |
| | Class A | | | -1.61 | % | | | 0.43 | % |
| | Class C | | | -1.99 | | | | 0.43 | |
| | Institutional | | | -1.40 | | | | 0.43 | |
| | Service | | | -1.65 | | | | 0.43 | |
| | Class IR | | | -1.49 | | | | 0.43 | |
| | Class R | | | -1.74 | | | | 0.43 | |
| | | Class R6 | | | -1.40 | | | | 0.43 | |
| | 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 S&P 500® Index (with dividends reinvested) is the Standard & Poor’s 500 Composite Index of 500 stocks, an unmanaged index of common stock prices. The figures for the Index do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
| | | | | | | | | | | | | | | | | | | | |
| | STANDARDIZED TOTAL RETURNS3 |
| | | For the period ended 3/31/16 | | One Year | | | Five Years | | | Ten Years | | | Since Inception | | | Inception Date |
| | Class A | | | -8.15 | % | | | 10.05 | % | | | 4.63 | % | | | 7.87 | % | | 5/24/91 |
| | Class C | | | -4.51 | | | | 10.46 | | | | 4.44 | | | | 4.68 | | | 8/15/97 |
| | Institutional | | | -2.45 | | | | 11.73 | | | | 5.64 | | | | 8.23 | | | 6/15/95 |
| | Service | | | -2.90 | | | | 11.18 | | | | 5.13 | | | | 6.75 | | | 6/07/96 |
| | Class IR | | | -2.57 | | | | 11.57 | | | | N/A | | | | 5.53 | | | 11/30/07 |
| | Class R | | | -3.06 | | | | 11.02 | | | | N/A | | | | 5.02 | | | 11/30/07 |
| | | Class R6 | | | N/A | | | | N/A | | | | N/A | | | | -3.42 | | | 7/31/15 |
| | 3 | | 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 5.5% 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 returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
32
FUND BASICS
| | | | | | | | | | |
| | EXPENSE RATIOS4 | |
| | | | | Net Expense Ratio (Current) | | | Gross Expense Ratio (Before Waivers) | |
| | Class A | | | 0.96 | % | | | 1.17 | % |
| | Class C | | | 1.71 | | | | 1.92 | |
| | Institutional | | | 0.56 | | | | 0.77 | |
| | Service | | | 1.06 | | | | 1.27 | |
| | Class IR | | | 0.71 | | | | 0.92 | |
| | Class R6 | | | 1.21 | | | | 1.42 | |
| | | Class R | | | 0.54 | | | | 0.74 | |
| | 4 | | 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 February 26, 2017, 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 HOLDINGS AS OF 4/30/165 |
| | | Holding | | % of Net Assets | | | Line of Business |
| | Johnson & Johnson | | | 2.7 | % | | Pharmaceuticals |
| | Apple, Inc. | | | 2.6 | | | Computers & Peripherals |
| | Verizon Communications, Inc. | | | 1.9 | | | Diversified Telecommunication Services |
| | Merck & Co., Inc. | | | 1.8 | | | Pharmaceuticals |
| | PepsiCo., Inc. | | | 1.8 | | | Beverages |
| | The Home Depot, Inc. | | | 1.8 | | | Specialty Retail |
| | Microsoft Corp. | | | 1.7 | | | Software |
| | Oracle Corp. | | | 1.7 | | | Software |
| | Amgen, Inc. | | | 1.6 | | | Biotechnology |
| | | Facebook, Inc. Class A | | | 1.5 | | | Internet Software & Services |
| | 5 | | The top 10 holdings may not be representative of the Fund’s future investments. |
33
FUND BASICS
| | |
| FUND VS. BENCHMARK SECTOR ALLOCATIONS6 |
| As of April 30, 2016 | | |
| | 6 | | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. Short-term investments represent repurchase agreements. 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. |
34
MARKET REVIEW
Index Definitions
The S&P 500® Index is the Standard & Poor’s 500 composite index of 500 stocks, an unmanaged index of common stock prices.
The Russell 1000® Index measures the performance of the large-cap segment of the U.S. equity universe. It is a subset of the Russell 3000® Index and includes approximately 1000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000® Index represents approximately 92% of the U.S. market.
The Russell 1000® Growth Index is an unmanaged index of common stock prices that measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values.
The Russell 1000® Value Index measures the performance of the large-cap value segment of the U.S. equity universe. It includes those Russell 1000® Index companies with lower price-to-book ratios and forecasted expected growth values.
The Russell 2000® Index is an unmanaged index of common stock prices that measures the performance of the 2000 smallest companies in the Russell 3000 Index.
The Russell 2000® Growth Index is an unmanaged index of common stock prices that measures the performance of those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values.
The Russell 2000® Value Index measures the performance of the small-cap value segment of the U.S. equity universe. It includes those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values. The Index is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true small-cap opportunity set and that the represented companies continue to reflect value characteristics.
35
GOLDMAN SACHS LARGE CAP GROWTH INSIGHTS FUND
Schedule of Investments
April 30, 2016 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| | Common Stocks – 97.5% | |
| | Aerospace & Defense – 0.9% | |
| | 33,294 | | | BE Aerospace, Inc. | | $ | 1,619,087 | |
| | 91,960 | | | Spirit AeroSystems Holdings, Inc. Class A* | | | 4,335,914 | |
| | 7,251 | | | The Boeing Co. | | | 977,435 | |
| | | | | | | | |
| | | | | | | 6,932,436 | |
| | |
| | Air Freight & Logistics – 0.4% | |
| | 61,709 | | | Expeditors International of Washington, Inc. | | | 3,061,383 | |
| | |
| | Airlines – 0.4% | |
| | 12,895 | | | Delta Air Lines, Inc. | | | 537,334 | |
| | 117,515 | | | JetBlue Airways Corp.* | | | 2,325,622 | |
| | | | | | | | |
| | | | | | | 2,862,956 | |
| | |
| | Auto Components – 1.5% | |
| | 51,022 | | | Lear Corp. | | | 5,874,163 | |
| | 72,923 | | | Visteon Corp. | | | 5,809,775 | |
| | | | | | | | |
| | | | | | | 11,683,938 | |
| | |
| | Beverages – 3.7% | |
| | 85,456 | | | Coca-Cola Enterprises, Inc. | | | 4,484,731 | |
| | 189,822 | | | PepsiCo., Inc. | | | 19,544,073 | |
| | 116,004 | | | The Coca-Cola Co. | | | 5,196,979 | |
| | | | | | | | |
| | | | | | | 29,225,783 | |
| | |
| | Biotechnology – 7.7% | |
| | 107,161 | | | AbbVie, Inc. | | | 6,536,821 | |
| | 106,951 | | | Amgen, Inc. | | | 16,930,343 | |
| | 66,566 | | | Baxalta, Inc. | | | 2,792,444 | |
| | 8,450 | | | Biogen, Inc.* | | | 2,323,665 | |
| | 101,624 | | | Celgene Corp.* | | | 10,508,938 | |
| | 80,224 | | | Gilead Sciences, Inc. | | | 7,076,559 | |
| | 43,790 | | | Incyte Corp.* | | | 3,164,703 | |
| | 10,666 | | | Medivation, Inc.* | | | 616,495 | |
| | 3,733 | | | Regeneron Pharmaceuticals, Inc.* | | | 1,406,258 | |
| | 49,343 | | | United Therapeutics Corp.* | | | 5,190,884 | |
| | 43,328 | | | Vertex Pharmaceuticals, Inc.* | | | 3,654,284 | |
| | | | | | | | |
| | | | | | | 60,201,394 | |
| | |
| | Capital Markets – 1.8% | |
| | 3,606 | | | Affiliated Managers Group, Inc.* | | | 614,174 | |
| | 63,433 | | | Ameriprise Financial, Inc. | | | 6,083,225 | |
| | 147,004 | | | SEI Investments Co. | | | 7,067,952 | |
| | | | | | | | |
| | | | | | | 13,765,351 | |
| | |
| | Chemicals – 3.7% | |
| | 38,726 | | | Air Products & Chemicals, Inc. | | | 5,649,736 | |
| | 61,624 | | | Axalta Coating Systems Ltd.* | | | 1,754,435 | |
| | 23,402 | | | Celanese Corp. Series A | | | 1,654,522 | |
| | 71,143 | | | PPG Industries, Inc. | | | 7,853,476 | |
| | 85,426 | | | Praxair, Inc. | | | 10,034,138 | |
| | 4,649 | | | The Sherwin-Williams Co. | | | 1,335,704 | |
| | 11,760 | | | W.R. Grace & Co.* | | | 901,757 | |
| | | | | | | | |
| | | | | | | 29,183,768 | |
| | |
| | | | | | | | |
Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Commercial Services & Supplies – 0.1% | |
| | 19,963 | | | Tyco International PLC | | $ | 768,975 | |
| | |
| | Communications Equipment – 0.4% | |
| | 51,251 | | | ARRIS International PLC* | | | 1,166,985 | |
| | 26,235 | | | Brocade Communications Systems, Inc. | | | 252,119 | |
| | 67,568 | | | Juniper Networks, Inc. | | | 1,581,091 | |
| | | | | | | | |
| | | | | | | 3,000,195 | |
| | |
| | Computers & Peripherals – 5.3% | |
| | 391,811 | | | Apple, Inc. | | | 36,728,363 | |
| | 83,551 | | | EMC Corp. | | | 2,181,517 | |
| | 103,989 | | | NetApp, Inc. | | | 2,458,300 | |
| | | | | | | | |
| | | | | | | 41,368,180 | |
| | |
| | Construction & Engineering* – 0.4% | |
| | 129,154 | | | Quanta Services, Inc. | | | 3,063,533 | |
| | |
| | Construction Materials – 0.9% | |
| | 69,198 | | | Vulcan Materials Co. | | | 7,447,781 | |
| | |
| | Containers & Packaging – 0.4% | |
| | 215,952 | | | Graphic Packaging Holding Co. | | | 2,867,843 | |
| | |
| | Distributors* – 0.1% | |
| | 27,368 | | | LKQ Corp. | | | 877,144 | |
| | |
| | Diversified Financial Services – 0.6% | |
| | 20,276 | | | Intercontinental Exchange, Inc. | | | 4,866,848 | |
| | |
| | Diversified Telecommunication Services – 1.0% | |
| | 160,196 | | | Verizon Communications, Inc. | | | 8,160,384 | |
| | |
| | Electrical Equipment – 0.3% | |
| | 50,717 | | | AMETEK, Inc. | | | 2,438,980 | |
| | |
| | Energy Equipment & Services* – 0.6% | |
| | 167,371 | | | FMC Technologies, Inc. | | | 5,103,142 | |
| | |
| | Food & Staples Retailing – 2.5% | |
| | 170,881 | | | Sysco Corp. | | | 7,872,488 | |
| | 148,851 | | | The Kroger Co. | | | 5,267,837 | |
| | 85,840 | | | Walgreens Boots Alliance, Inc. | | | 6,805,395 | |
| | | | | | | | |
| | | | | | | 19,945,720 | |
| | |
| | Food Products – 2.0% | |
| | 182,414 | | | ConAgra Foods, Inc. | | | 8,128,368 | |
| | 94,721 | | | Kellogg Co. | | | 7,275,520 | |
| | | | | | | | |
| | | | | | | 15,403,888 | |
| | |
| | Health Care Equipment & Supplies – 3.2% | |
| | 159,740 | | | Baxter International, Inc.(a) | | | 7,063,703 | |
| | 43,524 | | | C.R. Bard, Inc. | | | 9,234,487 | |
| | 2,734 | | | Edwards Lifesciences Corp.* | | | 290,378 | |
| | 229,237 | | | Hologic, Inc.* | | | 7,700,071 | |
| | 8,524 | | | ResMed, Inc. | | | 475,639 | |
| | | | | | | | |
| | | | | | | 24,764,278 | |
| | |
| | Health Care Providers & Services – 3.5% | |
| | 12,247 | | | Aetna, Inc. | | | 1,374,970 | |
| | 16,988 | | | Anthem, Inc. | | | 2,391,401 | |
| | |
| | |
| 36 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS LARGE CAP GROWTH INSIGHTS FUND
| | | | | | | | |
Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Health Care Providers & Services – (continued) | |
| | 77,722 | | | Cigna Corp. | | $ | 10,767,606 | |
| | 21,838 | | | Express Scripts Holding Co.* | | | 1,610,116 | |
| | 47,734 | | | McKesson Corp. | | | 8,010,720 | |
| | 8,243 | | | UnitedHealth Group, Inc. | | | 1,085,438 | |
| | 13,913 | | | Universal Health Services, Inc. Class B | | | 1,859,890 | |
| | | | | | | | |
| | | | | | | 27,100,141 | |
| | |
| | Health Care Technology* – 0.1% | |
| | 80,452 | | | Allscripts Healthcare Solutions, Inc. | | | 1,078,057 | |
| | |
| | Hotels, Restaurants & Leisure – 0.6% | |
| | 41,592 | | | International Game Technology PLC | | | 721,205 | |
| | 33,422 | | | McDonald’s Corp. | | | 4,227,549 | |
| | | | | | | | |
| | | | | | | 4,948,754 | |
| | |
| | Household Durables – 1.6% | |
| | 57,376 | | | D.R. Horton, Inc. | | | 1,724,722 | |
| | 26,454 | | | Leggett & Platt, Inc. | | | 1,303,918 | |
| | 22,702 | | | Mohawk Industries, Inc.* | | | 4,373,086 | |
| | 28,155 | | | Whirlpool Corp. | | | 4,902,912 | |
| | | | | | | | |
| | | | | | | 12,304,638 | |
| | |
| | Independent Power Producers & Energy Traders – 0.6% | |
| | 80,485 | | | AES Corp. | | | 898,213 | |
| | 229,120 | | | Calpine Corp.* | | | 3,615,513 | |
| | | | | | | | |
| | | | | | | 4,513,726 | |
| | |
| | Industrial Conglomerates – 0.4% | |
| | 32,430 | | | Carlisle Cos., Inc. | | | 3,304,617 | |
| | |
| | Insurance – 0.2% | |
| | 30,611 | | | Lincoln National Corp. | | | 1,330,048 | |
| | 3,258 | | | Reinsurance Group of America, Inc. | | | 310,227 | |
| | | | | | | | |
| | | | | | | 1,640,275 | |
| | |
| | Internet & Catalog Retail – 3.6% | |
| | 30,234 | | | Amazon.com, Inc.*(b) | | | 19,942,044 | |
| | 5,751 | | | Expedia, Inc. | | | 665,793 | |
| | 28,180 | | | Netflix, Inc.* | | | 2,537,046 | |
| | 3,658 | | | The Priceline Group, Inc.* | | | 4,915,108 | |
| | 6,341 | | | TripAdvisor, Inc.* | | | 409,565 | |
| | | | | | | | |
| | | | | | | 28,469,556 | |
| | |
| | Internet Software & Services* – 8.3% | |
| | 22,895 | | | Alphabet, Inc. Class A | | | 16,206,912 | |
| | 23,367 | | | Alphabet, Inc. Class C | | | 16,193,565 | |
| | 407,156 | | | eBay, Inc. | | | 9,946,821 | |
| | 168,457 | | | Facebook, Inc. Class A | | | 19,807,174 | |
| | 7,038 | | | LinkedIn Corp. Class A | | | 881,932 | |
| | 66,614 | | | Rackspace Hosting, Inc. | | | 1,523,462 | |
| | 35,727 | | | Twitter, Inc. | | | 522,329 | |
| | | | | | | | |
| | | | | | | 65,082,195 | |
| | |
| | IT Services – 3.3% | |
| | 43,842 | | | Alliance Data Systems Corp.* | | | 8,913,517 | |
| | 58,322 | | | Cognizant Technology Solutions Corp. Class A* | | | 3,404,255 | |
| | |
| | | | | | | | |
Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | IT Services – (continued) | |
| | 19,990 | | | CoreLogic, Inc.* | | $ | 709,245 | |
| | 9,660 | | | Jack Henry & Associates, Inc. | | | 782,750 | |
| | 24,115 | | | MasterCard, Inc. Class A | | | 2,338,914 | |
| | 109,899 | | | Vantiv, Inc. Class A* | | | 5,993,891 | |
| | 47,924 | | | Visa, Inc. Class A | | | 3,701,650 | |
| | | | | | | | |
| | | | | | | 25,844,222 | |
| | |
| | Leisure Equipment & Products* – 0.0% | |
| | 5,971 | | | Vista Outdoor, Inc. | | | 286,489 | |
| | |
| | Life Sciences Tools & Services – 0.8% | |
| | 2,616 | | | Mettler-Toledo International, Inc.* | | | 936,397 | |
| | 37,556 | | | Thermo Fisher Scientific, Inc. | | | 5,417,453 | |
| | | | | | | | |
| | | | | | | 6,353,850 | |
| | |
| | Machinery – 2.1% | |
| | 217,657 | | | Allison Transmission Holdings, Inc. | | | 6,270,698 | |
| | 98,154 | | | Illinois Tool Works, Inc. | | | 10,259,056 | |
| | | | | | | | |
| | | | | | | 16,529,754 | |
| | |
| | Media – 3.8% | |
| | 133,214 | | | Cablevision Systems Corp. Class A | | | 4,448,015 | |
| | 25,655 | | | Cinemark Holdings, Inc. | | | 888,946 | |
| | 67,830 | | | Comcast Corp. Class A | | | 4,121,351 | |
| | 192,201 | | | The Interpublic Group of Cos., Inc. | | | 4,409,091 | |
| | 51,797 | | | The Walt Disney Co. | | | 5,348,558 | |
| | 39,561 | | | Time Warner Cable, Inc. | | | 8,391,284 | |
| | 31,027 | | | Time Warner, Inc. | | | 2,331,369 | |
| | | | | | | | |
| | | | | | | 29,938,614 | |
| | |
| | Metals & Mining – 1.1% | |
| | 5,427 | | | Reliance Steel & Aluminum Co. | | | 401,435 | |
| | 319,903 | | | Steel Dynamics, Inc. | | | 8,064,755 | |
| | | | | | | | |
| | | | | | | 8,466,190 | |
| | |
| | Multiline Retail – 0.8% | |
| | 49,790 | | | Dollar General Corp. | | | 4,078,299 | |
| | 27,161 | | | Target Corp. | | | 2,159,299 | |
| | | | | | | | |
| | | | | | | 6,237,598 | |
| | |
| | Oil, Gas & Consumable Fuels – 0.7% | |
| | 74,682 | | | Newfield Exploration Co.* | | | 2,707,223 | |
| | 53,470 | | | World Fuel Services Corp. | | | 2,498,653 | |
| | | | | | | | |
| | | | | | | 5,205,876 | |
| | |
| | Personal Products – 0.3% | |
| | 21,847 | | | The Estee Lauder Cos., Inc. Class A | | | 2,094,472 | |
| | |
| | Pharmaceuticals – 3.7% | |
| | 28,078 | | | Bristol-Myers Squibb Co. | | | 2,026,670 | |
| | 39,563 | | | Eli Lilly & Co. | | | 2,988,193 | |
| | 97,698 | | | Johnson & Johnson | | | 10,949,992 | |
| | 165,860 | | | Merck & Co., Inc. | | | 9,095,762 | |
| | 99,619 | | | Mylan NV* | | | 4,155,109 | |
| | | | | | | | |
| | | | | | | 29,215,726 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 37 |
GOLDMAN SACHS LARGE CAP GROWTH INSIGHTS FUND
Schedule of Investments (continued)
April 30, 2016 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Real Estate Investment Trusts – 1.1% | |
| | 117,995 | | | Empire State Realty Trust, Inc. Class A | | $ | 2,184,087 | |
| | 74,355 | | | Equity LifeStyle Properties, Inc. | | | 5,092,574 | |
| | 18,213 | | | Lamar Advertising Co. Class A | | | 1,129,935 | |
| | | | | | | | |
| | | | | | | 8,406,596 | |
| | |
| | Road & Rail – 1.4% | |
| | 109,930 | | | CSX Corp. | | | 2,997,791 | |
| | 59,292 | | | Hertz Global Holdings, Inc.* | | | 549,044 | |
| | 11,459 | | | Norfolk Southern Corp. | | | 1,032,570 | |
| | 70,938 | | | Union Pacific Corp. | | | 6,187,922 | |
| | | | | | | | |
| | | | | | | 10,767,327 | |
| | |
| | Semiconductors & Semiconductor Equipment – 3.2% | |
| | 313,509 | | | Applied Materials, Inc. | | | 6,417,529 | |
| | 122,399 | | | KLA-Tencor Corp. | | | 8,560,586 | |
| | 24,598 | | | Lam Research Corp. | | | 1,879,287 | |
| | 219,011 | | | Maxim Integrated Products, Inc. | | | 7,823,073 | |
| | 11,919 | | | Texas Instruments, Inc. | | | 679,860 | |
| | | | | | | | |
| | | | | | | 25,360,335 | |
| | |
| | Software – 9.4% | |
| | 109,379 | | | Adobe Systems, Inc.* | | | 10,305,690 | |
| | 39,525 | | | ANSYS, Inc.* | | | 3,587,684 | |
| | 364,575 | | | Cadence Design Systems, Inc.* | | | 8,454,494 | |
| | 81,962 | | | CDK Global, Inc. | | | 3,898,932 | |
| | 107,096 | | | Citrix Systems, Inc.* | | | 8,764,737 | |
| | 6,407 | | | Electronic Arts, Inc.* | | | 396,273 | |
| | 311,241 | | | Microsoft Corp. | | | 15,521,589 | |
| | 106,879 | | | Nuance Communications, Inc.* | | | 1,836,181 | |
| | 338,735 | | | Oracle Corp. | | | 13,501,977 | |
| | 48,947 | | | PTC, Inc.* | | | 1,784,608 | |
| | 6,490 | | | Red Hat, Inc.* | | | 476,171 | |
| | 5,179 | | | salesforce.com, Inc.* | | | 392,568 | |
| | 94,969 | | | Synopsys, Inc.* | | | 4,512,927 | |
| | | | | | | | |
| | | | | | | 73,433,831 | |
| | |
| | Specialty Retail – 6.3% | |
| | 2,799 | | | Advance Auto Parts, Inc. | | | 436,924 | |
| | 7,851 | | | AutoZone, Inc.* | | | 6,007,820 | |
| | 44,737 | | | L Brands, Inc. | | | 3,502,460 | |
| | 175,491 | | | Lowe’s Cos., Inc. | | | 13,340,826 | |
| | 12,710 | | | O’Reilly Automotive, Inc.* | | | 3,338,663 | |
| | 85,478 | | | Sally Beauty Holdings, Inc.* | | | 2,684,009 | |
| | 151,911 | | | The Home Depot, Inc. | | | 20,339,364 | |
| | | | | | | | |
| | | | | | | 49,650,066 | |
| | |
| | Textiles, Apparel & Luxury Goods – 0.7% | |
| | 8,569 | | | Carter’s, Inc. | | | 914,055 | |
| | 26,953 | | | Hanesbrands, Inc. | | | 782,446 | |
| | 66,848 | | | NIKE, Inc. Class B | | | 3,940,021 | |
| | | | | | | | |
| | | | | | | 5,636,522 | |
| | |
| | Tobacco – 0.1% | |
| | 6,731 | | | Altria Group, Inc. | | | 422,101 | |
| | |
| | | | | | | | |
Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Trading Companies & Distributors – 1.9% | |
| | 105,662 | | | HD Supply Holdings, Inc.* | | $ | 3,622,094 | |
| | 44,056 | | | United Rentals, Inc.* | | | 2,948,668 | |
| | 61,879 | | | Watsco, Inc. | | | 8,320,869 | |
| | | | | | | | |
| | | | | | | 14,891,631 | |
| | |
| | TOTAL COMMON STOCKS | |
| | (Cost $753,192,825) | | $ | 764,177,059 | |
| | |
| | | | | | | | | | | | | | |
Principal
Amount | | | Interest
Rate | | | Maturity
Date | | | Value | |
| | | | | | | | | | | | | | |
| | Short-term Investment(c) – 1.1% | |
| | Repurchase Agreements – 1.1% | | | | | |
| Joint Repurchase Agreement Account II | |
| $ | 8,300,000 | | | | 0.290 | % | | | 05/02/16 | | | $ | 8,300,000 | |
| | (Cost $8,300,000) | | | | | | | | | |
| | |
| TOTAL INVESTMENTS BEFORE SECURITIES
LENDING REINVESTMENT VEHICLE |
|
| | (Cost $761,492,825) | | | $ | 772,477,059 | |
| | |
| | | | | | | | |
| Shares | | | Rate | | Value | |
| | | | | | | | |
| | Securities Lending Reinvestment Vehicle(d)(e) – 0.7% | |
| Goldman Sachs Financial Square Money Market Fund – FST
Institutional Shares |
|
| | 5,814,625 | | | 0.430% | | $ | 5,814,625 | |
| | (Cost $5,814,625) | | | | |
| | |
| | TOTAL INVESTMENTS – 99.3% | | | | |
| | (Cost $767,307,450) | | $ | 778,291,684 | |
| | |
| OTHER ASSETS IN EXCESS OF
LIABILITIES – 0.7% | | | 5,869,254 | |
| | |
| | NET ASSETS – 100.0% | | $ | 784,160,938 | |
| | |
| | |
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | | Non-income producing security. |
(a) | | All or a portion of security is on loan. |
(b) | | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. |
(c) | | Joint repurchase agreement was entered into on April 29, 2016. Additional information appears on page 63. |
(d) | | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on April 30, 2016. |
(e) | | Represents an affiliated issuer. |
| | |
| 38 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS LARGE CAP GROWTH INSIGHTS FUND
|
| ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At April 30, 2016, the Fund had the following futures contracts:
| | | | | | | | | | | | |
| Type | | Number of
Contracts
Long (Short) | | Expiration
Date | | Current
Value | | | Unrealized
Gain (Loss) | |
S&P 500 E-Mini Index | | 126 | | June 2016 | | $ | 12,972,330 | | | $ | 502,202 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 39 |
GOLDMAN SACHS LARGE CAP VALUE INSIGHTS FUND
Schedule of Investments
April 30, 2016 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| | Common Stocks – 97.5% | |
| | Aerospace & Defense – 1.1% | | | | |
| | 4,273 | | | General Dynamics Corp. | | $ | 600,442 | |
| | 16,245 | | | L-3 Communications Holdings, Inc. | | | 2,136,705 | |
| | 29,796 | | | Spirit AeroSystems Holdings, Inc. Class A* | | | 1,404,881 | |
| | | | | | | | |
| | | | | | | 4,142,028 | |
| | |
| | Airlines* – 0.1% | | | | |
| | 25,813 | | | JetBlue Airways Corp. | | | 510,839 | |
| | |
| | Auto Components – 0.7% | | | | |
| | 21,914 | | | Lear Corp. | | | 2,522,959 | |
| | 2,166 | | | Visteon Corp. | | | 172,565 | |
| | | | | | | | |
| | | | | | | 2,695,524 | |
| | |
| | Automobiles – 0.3% | | | | |
| | 89,758 | | | Ford Motor Co. | | | 1,217,118 | |
| | |
| | Beverages – 0.1% | | | | |
| | 4,322 | | | PepsiCo., Inc. | | | 444,993 | |
| | |
| | Biotechnology – 1.1% | | | | |
| | 19,030 | | | Amgen, Inc. | | | 3,012,449 | |
| | 18,244 | | | Baxalta, Inc. | | | 765,336 | |
| | 1,043 | | | United Therapeutics Corp.* | | | 109,723 | |
| | | | | | | | |
| | | | | | | 3,887,508 | |
| | |
| | Capital Markets – 2.8% | | | | |
| | 28,682 | | | Ameriprise Financial, Inc. | | | 2,750,603 | |
| | 89,699 | | | E*TRADE Financial Corp.* | | | 2,258,621 | |
| | 33,219 | | | Invesco Ltd. | | | 1,030,121 | |
| | 14,818 | | | Legg Mason, Inc. | | | 475,806 | |
| | 14,698 | | | Northern Trust Corp. | | | 1,044,734 | |
| | 64,845 | | | The Bank of New York Mellon Corp. | | | 2,609,363 | |
| | | | | | | | |
| | | | | | | 10,169,248 | |
| | |
| | Chemicals – 2.3% | | | | |
| | 16,180 | | | Air Products & Chemicals, Inc. | | | 2,360,500 | |
| | 10,718 | | | Celanese Corp. Series A | | | 757,763 | |
| | 32,199 | | | Praxair, Inc. | | | 3,782,094 | |
| | 3,703 | | | The Dow Chemical Co. | | | 194,815 | |
| | 26,515 | | | Westlake Chemical Corp. | | | 1,330,788 | |
| | | | | | | | |
| | | | | | | 8,425,960 | |
| | |
| | Commercial Banks – 8.5% | | | | |
| | 404,911 | | | Bank of America Corp. | | | 5,895,504 | |
| | 43,808 | | | Citigroup, Inc. | | | 2,027,434 | |
| | 119,136 | | | Fifth Third Bancorp | | | 2,181,380 | |
| | 39,781 | | | First Horizon National Corp. | | | 560,116 | |
| | 93,862 | | | JPMorgan Chase & Co. | | | 5,932,078 | |
| | 301,550 | | | KeyCorp. | | | 3,706,050 | |
| | 5,893 | | | Popular, Inc. | | | 175,140 | |
| | 71,110 | | | Regions Financial Corp. | | | 667,012 | |
| | 82,216 | | | SunTrust Banks, Inc. | | | 3,431,696 | |
| | 28,767 | | | Synovus Financial Corp. | | | 896,380 | |
| | 77,893 | | | TCF Financial Corp. | | | 1,062,461 | |
| | 98,601 | | | Wells Fargo & Co. | | | 4,928,078 | |
| | 4,983 | | | Zions Bancorp | | | 137,132 | |
| | | | | | | | |
| | | | | | | 31,600,461 | |
| | |
| | | | | | | | |
Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Commercial Services & Supplies – 0.0% | | | | |
| | 3,121 | | | Tyco International PLC | | $ | 120,221 | |
| | |
| | Communications Equipment – 1.2% | | | | |
| | 13,917 | | | ARRIS International PLC* | | | 316,890 | |
| | 121,071 | | | Brocade Communications Systems, Inc. | | | 1,163,492 | |
| | 74,199 | | | Cisco Systems, Inc. | | | 2,039,731 | |
| | 34,322 | | | Juniper Networks, Inc. | | | 803,135 | |
| | 27,549 | | | Viavi Solutions, Inc.* | | | 179,344 | |
| | | | | | | | |
| | | | | | | 4,502,592 | |
| | |
| | Computers & Peripherals – 1.7% | | | | |
| | 141,153 | | | EMC Corp. | | | 3,685,505 | |
| | 95,224 | | | Hewlett Packard Enterprise Co. | | | 1,586,432 | |
| | 36,942 | | | NetApp, Inc. | | | 873,309 | |
| | | | | | | | |
| | | | | | | 6,145,246 | |
| | |
| | Construction & Engineering – 0.6% | | | | |
| | 65,715 | | | KBR, Inc. | | | 1,022,526 | |
| | 47,924 | | | Quanta Services, Inc.* | | | 1,136,757 | |
| | | | | | | | |
| | | | | | | 2,159,283 | |
| | |
| | Construction Materials – 0.9% | | | | |
| | 31,437 | | | Vulcan Materials Co. | | | 3,383,564 | |
| | |
| | Consumer Finance – 1.8% | | | | |
| | 53,955 | | | Ally Financial, Inc.* | | | 960,939 | |
| | 21,264 | | | American Express Co. | | | 1,391,303 | |
| | 136,302 | | | Synchrony Financial* | | | 4,166,752 | |
| | | | | | | | |
| | | | | | | 6,518,994 | |
| | |
| | Containers & Packaging – 0.2% | | | | |
| | 43,106 | | | Graphic Packaging Holding Co. | | | 572,448 | |
| | |
| | Diversified Financial Services – 2.7% | | | | |
| | 49,846 | | | Berkshire Hathaway, Inc. Class B* | | | 7,251,596 | |
| | 10,837 | | | Intercontinental Exchange, Inc. | | | 2,601,205 | |
| | | | | | | | |
| | | | | | | 9,852,801 | |
| | |
| | Diversified Telecommunication Services(a) – 1.1% | | | | |
| | 95,024 | | | AT&T, Inc. | | | 3,688,832 | |
| | 5,381 | | | Verizon Communications, Inc. | | | 274,108 | |
| | | | | | | | |
| | | | | | | 3,962,940 | |
| | |
| | Electric Utilities – 2.0% | | | | |
| | 88,748 | | | FirstEnergy Corp. | | | 2,892,298 | |
| | 94,062 | | | Great Plains Energy, Inc. | | | 2,937,556 | |
| | 38,794 | | | PPL Corp. | | | 1,460,206 | |
| | | | | | | | |
| | | | | | | 7,290,060 | |
| | |
| | Electrical Equipment – 0.7% | | | | |
| | 36,728 | | | Eaton Corp. PLC | | | 2,323,780 | |
| | 1,831 | | | Hubbell, Inc. | | | 193,647 | |
| | | | | | | | |
| | | | | | | 2,517,427 | |
| | |
| | Energy Equipment & Services – 1.2% | | | | |
| | 110,906 | | | FMC Technologies, Inc.* | | | 3,381,524 | |
| | 12,494 | | | Halliburton Co. | | | 516,127 | |
| | 36,409 | | | Rowan Cos. PLC Class A | | | 684,853 | |
| | | | | | | | |
| | | | | | | 4,582,504 | |
| | |
| | |
| 40 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS LARGE CAP VALUE INSIGHTS FUND
| | | | | | | | |
Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Food & Staples Retailing – 2.2% | | | | |
| | 77,066 | | | Sysco Corp. | | $ | 3,550,431 | |
| | 6,107 | | | Wal-Mart Stores, Inc. | | | 408,375 | |
| | 52,303 | | | Walgreens Boots Alliance, Inc. | | | 4,146,582 | |
| | | | | | | | |
| | | | | | | 8,105,388 | |
| | |
| | Food Products – 3.4% | | | | |
| | 35,899 | | | Bunge Ltd. | | | 2,243,688 | |
| | 89,497 | | | ConAgra Foods, Inc. | | | 3,987,986 | |
| | 35,932 | | | Kellogg Co. | | | 2,759,937 | |
| | 28,873 | | | Pinnacle Foods, Inc. | | | 1,229,701 | |
| | 19,638 | | | The J.M. Smucker Co. | | | 2,493,633 | |
| | | | | | | | |
| | | | | | | 12,714,945 | |
| | |
| | Gas Utilities – 0.0% | | | | |
| | 3,791 | | | UGI Corp. | | | 152,550 | |
| | |
| | Health Care Equipment & Supplies – 1.8% | | | | |
| | 58,654 | | | Baxter International, Inc.(b) | | | 2,593,680 | |
| | 12,309 | | | C.R. Bard, Inc. | | | 2,611,600 | |
| | 28,942 | | | Hologic, Inc.* | | | 972,162 | |
| | 5,146 | | | Medtronic PLC | | | 407,306 | |
| | | | | | | | |
| | | | | | | 6,584,748 | |
| | |
| | Health Care Providers & Services – 1.7% | | | | |
| | 9,298 | | | Aetna, Inc. | | | 1,043,887 | |
| | 8,633 | | | Anthem, Inc. | | | 1,215,267 | |
| | 25,424 | | | Cigna Corp. | | | 3,522,241 | |
| | 3,231 | | | Universal Health Services, Inc. Class B | | | 431,920 | |
| | | | | | | | |
| | | | | | | 6,213,315 | |
| | |
| | Hotels, Restaurants & Leisure – 0.5% | | | | |
| | 36,907 | | | Carnival Corp. | | | 1,810,288 | |
| | |
| | Household Durables – 1.2% | | | | |
| | 13,490 | | | D.R. Horton, Inc. | | | 405,509 | |
| | 8,582 | | | Mohawk Industries, Inc.* | | | 1,653,151 | |
| | 12,728 | | | Whirlpool Corp. | | | 2,216,454 | |
| | | | | | | | |
| | | | | | | 4,275,114 | |
| | |
| | Household Products – 1.9% | | | | |
| | 85,955 | | | The Procter & Gamble Co. | | | 6,886,715 | |
| | |
| | Independent Power Producers & Energy Traders – 1.6% | | | | |
| | 338,472 | | | AES Corp. | | | 3,777,348 | |
| | 138,425 | | | Calpine Corp.* | | | 2,184,346 | |
| | | | | | | | |
| | | | | | | 5,961,694 | |
| | |
| | Industrial Conglomerates – 2.3% | | | | |
| | 15,746 | | | Carlisle Cos., Inc. | | | 1,604,517 | |
| | 226,596 | | | General Electric Co. | | | 6,967,827 | |
| | | | | | | | |
| | | | | | | 8,572,344 | |
| | |
| | Insurance – 6.7% | | | | |
| | 10,051 | | | Allied World Assurance Co. Holdings AG | | | 357,615 | |
| | 20,029 | | | Assured Guaranty Ltd. | | | 518,150 | |
| | 90,070 | | | Lincoln National Corp. | | | 3,913,541 | |
| | 15,625 | | | Principal Financial Group, Inc. | | | 666,875 | |
| | |
| | | | | | | | |
Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Insurance – (continued) | | | | |
| | 41,360 | | | Reinsurance Group of America, Inc. | | $ | 3,938,299 | |
| | 61,972 | | | The Allstate Corp. | | | 4,031,279 | |
| | 38,735 | | | The Travelers Cos., Inc. | | | 4,256,976 | |
| | 16,564 | | | Torchmark Corp. | | | 958,890 | |
| | 19,622 | | | Unum Group | | | 671,269 | |
| | 31,529 | | | W.R. Berkley Corp. | | | 1,765,624 | |
| | 116,561 | | | XL Group PLC | | | 3,815,042 | |
| | | | | | | | |
| | | | | | | 24,893,560 | |
| | |
| | Internet Software & Services* – 0.9% | | | | |
| | 84,138 | | | eBay, Inc. | | | 2,055,491 | |
| | 31,012 | | | Yahoo!, Inc. | | | 1,135,039 | |
| | | | | | | | |
| | | | | | | 3,190,530 | |
| | |
| | IT Services – 0.4% | | | | |
| | 28,885 | | | Amdocs Ltd. | | | 1,633,158 | |
| | |
| | Life Sciences Tools & Services – 0.8% | | | | |
| | 21,151 | | | Thermo Fisher Scientific, Inc. | | | 3,051,032 | |
| | |
| | Machinery – 1.2% | | | | |
| | 129,080 | | | Allison Transmission Holdings, Inc. | | | 3,718,795 | |
| | 5,209 | | | Kennametal, Inc. | | | 121,787 | |
| | 9,885 | | | PACCAR, Inc. | | | 582,325 | |
| | | | | | | | |
| | | | | | | 4,422,907 | |
| | |
| | Media – 0.7% | | | | |
| | 51,204 | | | Cablevision Systems Corp. Class A | | | 1,709,701 | |
| | 12,027 | | | Time Warner, Inc. | | | 903,709 | |
| | | | | | | | |
| | | | | | | 2,613,410 | |
| | |
| | Metals & Mining – 2.9% | | | | |
| | 9,052 | | | Newmont Mining Corp. | | | 316,549 | |
| | 47,399 | | | Nucor Corp. | | | 2,359,522 | |
| | 53,765 | | | Reliance Steel & Aluminum Co. | | | 3,976,997 | |
| | 158,440 | | | Steel Dynamics, Inc. | | | 3,994,272 | |
| | | | | | | | |
| | | | | | | 10,647,340 | |
| | |
| | Multi-Utilities – 1.4% | | | | |
| | 35,757 | | | Ameren Corp. | | | 1,716,336 | |
| | 23,295 | | | NiSource, Inc. | | | 529,029 | |
| | 30,090 | | | Sempra Energy | | | 3,109,802 | |
| | | | | | | | |
| | | | | | | 5,355,167 | |
| | |
| | Multiline Retail – 1.2% | | | | |
| | 16,074 | | | Kohl’s Corp. | | | 712,078 | |
| | 45,802 | | | Target Corp. | | | 3,641,259 | |
| | | | | | | | |
| | | | | | | 4,353,337 | |
| | |
| | Oil, Gas & Consumable Fuels – 11.4% | | | | |
| | 33,371 | | | Chevron Corp. | | | 3,409,849 | |
| | 95,690 | | | ConocoPhillips | | | 4,573,025 | |
| | 16,156 | | | Devon Energy Corp. | | | 560,290 | |
| | 2,553 | | | Diamondback Energy, Inc.* | | | 221,039 | |
| | 40,934 | | | Energen Corp. | | | 1,739,286 | |
| | 27,972 | | | EOG Resources, Inc. | | | 2,311,047 | |
| | 112,319 | | | Exxon Mobil Corp. | | | 9,929,000 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 41 |
GOLDMAN SACHS LARGE CAP VALUE INSIGHTS FUND
Schedule of Investments (continued)
April 30, 2016 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Oil, Gas & Consumable Fuels – (continued) | | | | |
| | 92,770 | | | Kinder Morgan, Inc. | | $ | 1,647,595 | |
| | 102,988 | | | Newfield Exploration Co.* | | | 3,733,315 | |
| | 33,750 | | | Noble Energy, Inc. | | | 1,218,712 | |
| | 65,504 | | | Occidental Petroleum Corp. | | | 5,020,882 | |
| | 28,345 | | | Pioneer Natural Resources Co. | | | 4,708,104 | |
| | 66,514 | | | World Fuel Services Corp. | | | 3,108,199 | |
| | | | | | | | |
| | | | | | | 42,180,343 | |
| | |
| | Pharmaceuticals – 8.2% | | | | |
| | 122,971 | | | Johnson & Johnson | | | 13,782,590 | |
| | 159,766 | | | Merck & Co., Inc. | | | 8,761,567 | |
| | 26,860 | | | Mylan NV* | | | 1,120,331 | |
| | 209,274 | | | Pfizer, Inc. | | | 6,845,352 | |
| | | | | | | | |
| | | | | | | 30,509,840 | |
| | |
| | Real Estate Investment Trusts – 2.9% | | | | |
| | 143,921 | | | CBL & Associates Properties, Inc. | | | 1,680,997 | |
| | 119,782 | | | Empire State Realty Trust, Inc. Class A | | | 2,217,165 | |
| | 82,480 | | | Equity Commonwealth* | | | 2,302,017 | |
| | 12,174 | | | Post Properties, Inc. | | | 698,301 | |
| | 24,895 | | | ProLogis, Inc. | | | 1,130,482 | |
| | 137,951 | | | Starwood Property Trust, Inc. | | | 2,670,731 | |
| | | | | | | | |
| | | | | | | 10,699,693 | |
| | |
| | Road & Rail – 1.4% | | | | |
| | 78,572 | | | CSX Corp. | | | 2,142,659 | |
| | 32,247 | | | Norfolk Southern Corp. | | | 2,905,777 | |
| | | | | | | | |
| | | | | | | 5,048,436 | |
| | |
| | Semiconductors & Semiconductor Equipment – 3.8% | | | | |
| | 133,275 | | | Applied Materials, Inc. | | | 2,728,139 | |
| | 44,938 | | | Intel Corp. | | | 1,360,723 | |
| | 33,920 | | | KLA-Tencor Corp. | | | 2,372,365 | |
| | 5,674 | | | Lam Research Corp. | | | 433,493 | |
| | 101,165 | | | Maxim Integrated Products, Inc. | | | 3,613,614 | |
| | 36,591 | | | QUALCOMM, Inc. | | | 1,848,577 | |
| | 95,402 | | | Teradyne, Inc. | | | 1,804,052 | |
| | | | | | | | |
| | | | | | | 14,160,963 | |
| | |
| | Software – 5.5% | | | | |
| | 16,897 | | | ANSYS, Inc.* | | | 1,533,741 | |
| | 40,738 | | | Citrix Systems, Inc.* | | | 3,333,998 | |
| | 101,274 | | | Microsoft Corp. | | | 5,050,534 | |
| | 155,182 | | | Nuance Communications, Inc.* | | | 2,666,027 | |
| | 139,319 | | | Oracle Corp. | | | 5,553,255 | |
| | 59,750 | | | Symantec Corp. | | | 994,539 | |
| | 29,297 | | | Synopsys, Inc.* | | | 1,392,193 | |
| | | | | | | | |
| | | | | | | 20,524,287 | |
| | |
| | Specialty Retail – 0.4% | | | | |
| | 17,729 | | | Lowe’s Cos., Inc. | | | 1,347,759 | |
| | |
| | Trading Companies & Distributors – 0.0% | | | | |
| | 838 | | | Watsco, Inc. | | | 112,686 | |
| | |
| | TOTAL COMMON STOCKS | |
| | (Cost $356,839,125) | | $ | 360,723,308 | |
| | |
| | | | | | | | | | | | | | |
Principal
Amount | | | Interest
Rate | | | Maturity
Date | | | Value | |
| | | | | | | | | | | | | | |
| | Short-term Investment(c) – 6.8% | |
| | Repurchase Agreements – 6.8% | |
| Joint Repurchase Agreement Account II | |
| $ | 25,200,000 | | | | 0.290 | % | | | 05/02/16 | | | $ | 25,200,000 | |
| | (Cost $25,200,000) | | | | | |
| | |
| TOTAL INVESTMENTS BEFORE SECURITIES
LENDING REINVESTMENT VEHICLE |
|
| | (Cost $382,039,125) | | | $ | 385,923,308 | |
| | |
| | | | | | | | |
| Shares | | | Rate | | Value | |
| | | | | | | | |
| | Securities Lending Reinvestment Vehicle(d)(e) – 0.6% | |
| Goldman Sachs Financial Square Money Market Fund – FST
Institutional Shares |
|
| | 2,253,450 | | | 0.430% | | $ | 2,253,450 | |
| | (Cost $2,253,450) | |
| | |
| | TOTAL INVESTMENTS – 104.9% | |
| | (Cost $384,292,575) | | $ | 388,176,758 | |
| | |
| LIABILITIES IN EXCESS OF
OTHER ASSETS – (4.9)% | | | (18,283,252 | ) |
| | |
| | NET ASSETS – 100.0% | | $ | 369,893,506 | |
| | |
| | |
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | | Non-income producing security. |
(a) | | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. |
(b) | | All or a portion of security is on loan. |
(c) | | Joint repurchase agreement was entered into on April 29, 2016. Additional information appears on page 63. |
(d) | | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on April 30, 2016. |
(e) | | Represents an affiliated issuer. |
| | |
| 42 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS LARGE CAP VALUE INSIGHTS FUND
|
| ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At April 30, 2016, the Fund had the following futures contracts:
| | | | | | | | | | | | |
| Type | | Number of
Contracts
Long (Short) | | Expiration
Date | | Current
Value | | | Unrealized
Gain (Loss) | |
S&P 500 E-Mini Index | | 49 | | June 2016 | | $ | 5,044,795 | | | $ | 195,301 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 43 |
GOLDMAN SACHS SMALL CAP EQUITY INSIGHTS FUND
Schedule of Investments
April 30, 2016 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| | Common Stocks – 97.5% | |
| | Aerospace & Defense – 0.8% | |
| | 37,449 | | | DigitalGlobe, Inc.* | | $ | 829,870 | |
| | 7,679 | | | Esterline Technologies Corp.* | | | 527,240 | |
| | 1,162 | | | National Presto Industries, Inc.(a) | | | 101,315 | |
| | | | | | | | |
| | | | | | | 1,458,425 | |
| | |
| | Air Freight & Logistics* – 0.7% | |
| | 22,890 | | | Atlas Air Worldwide Holdings, Inc. | | | 914,226 | |
| | 10,007 | | | Hub Group, Inc. Class A | | | 385,470 | |
| | | | | | | | |
| | | | | | | 1,299,696 | |
| | |
| | Auto Components – 2.3% | |
| | 9,326 | | | American Axle & Manufacturing Holdings, Inc.* | | | 144,646 | |
| | 19,728 | | | Cooper Tire & Rubber Co. | | | 681,405 | |
| | 4,376 | | | Cooper-Standard Holding, Inc.* | | | 337,433 | |
| | 47,275 | | | Dana Holding Corp. | | | 611,266 | |
| | 3,802 | | | Dorman Products, Inc.*(a) | | | 204,510 | |
| | 16,366 | | | Drew Industries, Inc. | | | 1,061,008 | |
| | 40,267 | | | Modine Manufacturing Co.* | | | 435,286 | |
| | 2,767 | | | Superior Industries International, Inc. | | | 72,274 | |
| | 2,412 | | | Tenneco, Inc.* | | | 128,560 | |
| | 13,735 | | | Tower International, Inc. | | | 315,218 | |
| | | | | | | | |
| | | | | | | 3,991,606 | |
| | |
| | Beverages* – 0.2% | |
| | 1,750 | | | The Boston Beer Co., Inc. Class A | | | 273,140 | |
| | |
| | Biotechnology – 5.9% | |
| | 3,042 | | | ACADIA Pharmaceuticals, Inc.*(a) | | | 98,257 | |
| | 10,306 | | | Acceleron Pharma, Inc.* | | | 308,665 | |
| | 25,049 | | | Achillion Pharmaceuticals, Inc.* | | | 214,169 | |
| | 31,738 | | | Acorda Therapeutics, Inc.* | | | 820,427 | |
| | 9,761 | | | Anacor Pharmaceuticals, Inc.* | | | 612,405 | |
| | 125,989 | | | Array BioPharma, Inc.* | | | 401,905 | |
| | 32,264 | | | Cepheid, Inc.* | | | 920,815 | |
| | 21,509 | | | Emergent Biosolutions, Inc.* | | | 828,527 | |
| | 14,318 | | | FibroGen, Inc.* | | | 257,724 | |
| | 3,613 | | | Five Prime Therapeutics, Inc.* | | | 171,943 | |
| | 27,597 | | | Genomic Health, Inc.* | | | 725,249 | |
| | 55,769 | | | Halozyme Therapeutics, Inc.*(a) | | | 588,363 | |
| | 4,152 | | | Insys Therapeutics, Inc.*(a) | | | 60,162 | |
| | 37,310 | | | MiMedx Group, Inc.*(a) | | | 280,944 | |
| | 23,401 | | | Myriad Genetics, Inc.*(a) | | | 842,436 | |
| | 7,027 | | | Neurocrine Biosciences, Inc.* | | | 320,291 | |
| | 8,915 | | | NewLink Genetics Corp.*(a) | | | 144,512 | |
| | 10,338 | | | Ophthotech Corp.* | | | 483,198 | |
| | 187,239 | | | PDL BioPharma, Inc. | | | 705,891 | |
| | 8,074 | | | Prothena Corp. PLC*(a) | | | 348,716 | |
| | 36,658 | | | Repligen Corp.* | | | 976,569 | |
| | 2,195 | | | Sage Therapeutics, Inc.* | | | 82,729 | |
| | 21,538 | | | ZIOPHARM Oncology, Inc.*(a) | | | 169,289 | |
| | | | | | | | |
| | | | | | | 10,363,186 | |
| | |
| | Building Products – 1.0% | |
| | 10,287 | | | Apogee Enterprises, Inc. | | | 426,293 | |
| | 12,977 | | | Continental Building Products, Inc.* | | | 254,479 | |
| | |
| | | | | | | | |
Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Building Products – (continued) | |
| | 2,289 | | | Gibraltar Industries, Inc.* | | $ | 60,544 | |
| | 1,524 | | | Simpson Manufacturing Co., Inc. | | | 57,303 | |
| | 12,097 | | | Universal Forest Products, Inc. | | | 927,235 | |
| | | | | | | | |
| | | | | | | 1,725,854 | |
| | |
| | Capital Markets – 2.0% | |
| | 3,915 | | | Associated Capital Group, Inc. Class A* | | | 119,290 | |
| | 23,801 | | | Cohen & Steers, Inc. | | | 934,665 | |
| | 3,407 | | | Financial Engines, Inc.(a) | | | 109,739 | |
| | 8,554 | | | GAMCO Investors, Inc. Class A(a) | | | 338,482 | |
| | 21,952 | | | Investment Technology Group, Inc. | | | 428,503 | |
| | 12,175 | | | OM Asset Management PLC | | | 163,389 | |
| | 19,013 | | | Piper Jaffray Cos.* | | | 793,032 | |
| | 60,276 | | | WisdomTree Investments, Inc.(a) | | | 656,406 | |
| | | | | | | | |
| | | | | | | 3,543,506 | |
| | |
| | Chemicals – 2.9% | |
| | 39,813 | | | Chemtura Corp.* | | | 1,108,792 | |
| | 23,273 | | | FutureFuel Corp. | | | 261,589 | |
| | 25,792 | | | H.B. Fuller Co. | | | 1,153,418 | |
| | 18,222 | | | Innophos Holdings, Inc. | | | 673,485 | |
| | 11,203 | | | Minerals Technologies, Inc. | | | 671,060 | |
| | 15,643 | | | PolyOne Corp. | | | 562,835 | |
| | 708 | | | Quaker Chemical Corp. | | | 63,054 | |
| | 10,225 | | | Stepan Co. | | | 626,690 | |
| | | | | | | | |
| | | | | | | 5,120,923 | |
| | |
| | Commercial Banks – 8.1% | |
| | 3,778 | | | 1st Source Corp. | | | 130,114 | |
| | 6,333 | | | Banco Latinoamericano de Comercio Exterior SA Class E | | | 163,771 | |
| | 27,726 | | | Bank of the Ozarks, Inc.(a) | | | 1,145,084 | |
| | 51,282 | | | Brookline Bancorp, Inc. | | | 583,589 | |
| | 35,854 | | | Central Pacific Financial Corp. | | | 836,832 | |
| | 20,267 | | | Columbia Banking System, Inc. | | | 597,674 | |
| | 59,487 | | | CVB Financial Corp.(a) | | | 1,021,987 | |
| | 23,905 | | | FCB Financial Holdings, Inc. Class A* | | | 835,480 | |
| | 1,694 | | | First Citizens BancShares, Inc. Class A | | | 431,970 | |
| | 37,879 | | | First Midwest Bancorp, Inc. | | | 700,004 | |
| | 1,635 | | | Great Southern Bancorp, Inc. | | | 61,901 | |
| | 12,483 | | | Hanmi Financial Corp. | | | 288,607 | |
| | 8,122 | | | Home BancShares, Inc. | | | 349,165 | |
| | 21,286 | | | IBERIABANK Corp. | | | 1,255,661 | |
| | 17,720 | | | International Bancshares Corp. | | | 464,087 | |
| | 18,735 | | | LegacyTexas Financial Group, Inc. | | | 462,005 | |
| | 69,283 | | | OFG Bancorp | | | 611,769 | |
| | 26,677 | | | PrivateBancorp, Inc. | | | 1,110,030 | |
| | 23,065 | | | Prosperity Bancshares, Inc. | | | 1,217,140 | |
| | 11,148 | | | Renasant Corp. | | | 382,822 | |
| | 9,960 | | | Trustmark Corp. | | | 244,120 | |
| | 34,121 | | | Western Alliance Bancorp* | | | 1,248,146 | |
| | | | | | | | |
| | | | | | | 14,141,958 | |
| | |
| | Commercial Services & Supplies – 3.4% | | | | |
| | 38,054 | | | Brady Corp. Class A | | | 1,008,050 | |
| | 15,948 | | | Essendant, Inc. | | | 491,039 | |
| | |
| | |
| 44 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL CAP EQUITY INSIGHTS FUND
| | | | | | | | |
Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Commercial Services & Supplies – (continued) | | | | |
| | 10,336 | | | Herman Miller, Inc. | | $ | 311,837 | |
| | 4,779 | | | HNI Corp. | | | 208,938 | |
| | 16,950 | | | Interface, Inc. | | | 288,489 | |
| | 54,676 | | | Kimball International, Inc. Class B | | | 636,429 | |
| | 30,944 | | | Knoll, Inc. | | | 722,542 | |
| | 57,133 | | | Quad Graphics, Inc. | | | 717,019 | |
| | 17,617 | | | Tetra Tech, Inc. | | | 517,940 | |
| | 30,826 | | | The Brink’s Co. | | | 1,043,152 | |
| | | | | | | | |
| | | | | | | 5,945,435 | |
| | |
| | Communications Equipment – 1.6% | | | | |
| | 21,970 | | | Calix, Inc.* | | | 152,252 | |
| | 10,947 | | | Ciena Corp.* | | | 184,238 | |
| | 4,824 | | | Finisar Corp.* | | | 79,403 | |
| | 18,298 | | | Infinera Corp.* | | | 217,563 | |
| | 17,942 | | | Ixia* | | | 181,573 | |
| | 21,601 | | | NETGEAR, Inc.* | | | 915,883 | |
| | 11,066 | | | Plantronics, Inc. | | | 425,488 | |
| | 35,353 | | | Polycom, Inc.* | | | 422,468 | |
| | 26,886 | | | ShoreTel, Inc.* | | | 164,542 | |
| | | | | | | | |
| | | | | | | 2,743,410 | |
| | |
| | Computers & Peripherals* – 0.4% | | | | |
| | 16,563 | | | Cray, Inc. | | | 627,241 | |
| | |
| | Construction & Engineering – 2.0% | | | | |
| | 45,359 | | | Aegion Corp.* | | | 962,971 | |
| | 24,428 | | | Comfort Systems USA, Inc. | | | 720,382 | |
| | 24,193 | | | EMCOR Group, Inc. | | | 1,172,877 | |
| | 14,278 | | | Granite Construction, Inc. | | | 636,656 | |
| | | | | | | | |
| | | | | | | 3,492,886 | |
| | |
| | Consumer Finance* – 0.2% | | | | |
| | 81,038 | | | EZCORP, Inc. Class A | | | 401,138 | |
| | |
| | Distributors – 1.0% | | | | |
| | 6,292 | | | Core-Mark Holding Co., Inc. | | | 513,805 | |
| | 13,933 | | | Pool Corp. | | | 1,217,883 | |
| | | | | | | | |
| | | | | | | 1,731,688 | |
| | |
| | Diversified Consumer Services – 1.6% | | | | |
| | 23,209 | | | Bridgepoint Education, Inc.* | | | 221,414 | |
| | 3,517 | | | Bright Horizons Family Solutions, Inc.* | | | 230,785 | |
| | 4,098 | | | Capella Education Co. | | | 226,660 | |
| | 18,909 | | | DeVry Education Group, Inc.(a) | | | 328,071 | |
| | 56,127 | | | K12, Inc.* | | | 689,801 | |
| | 58,694 | | | Regis Corp.* | | | 802,347 | |
| | 9,278 | | | Sotheby’s | | | 252,733 | |
| | | | | | | | |
| | | | | | | 2,751,811 | |
| | |
| | Diversified Telecommunication Services* – 0.6% | | | | |
| | 25,687 | | | General Communication, Inc. Class A | | | 434,110 | |
| | 119,296 | | | Vonage Holdings Corp. | | | 557,113 | |
| | | | | | | | |
| | | | | | | 991,223 | |
| | |
| | Electric Utilities – 0.7% | | | | |
| | 20,980 | | | ALLETE, Inc. | | | 1,178,866 | |
| | |
| | | | | | | | |
Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Electrical Equipment – 2.1% | | | | |
| | 18,318 | | | AZZ, Inc.(b) | | $ | 1,006,025 | |
| | 20,027 | | | EnerSys | | | 1,168,976 | |
| | 64,710 | | | General Cable Corp. | | | 1,012,064 | |
| | 34,160 | | | LSI Industries, Inc. | | | 432,124 | |
| | | | | | | | |
| | | | | | | 3,619,189 | |
| | |
| | Electronic Equipment, Instruments & Components – 3.1% | |
| | 42,326 | | | Benchmark Electronics, Inc.* | | | 821,971 | |
| | 26,276 | | | II-VI, Inc.* | | | 548,380 | |
| | 33,520 | | | Insight Enterprises, Inc.* | | | 828,279 | |
| | 32,001 | | | Kimball Electronics, Inc.* | | | 350,091 | |
| | 27,914 | | | Methode Electronics, Inc. | | | 829,883 | |
| | 12,297 | | | MTS Systems Corp. | | | 691,337 | |
| | 15,493 | | | Plexus Corp.* | | | 646,988 | |
| | 7,217 | | | Tech Data Corp.* | | | 495,736 | |
| | 35,223 | | | TTM Technologies, Inc.* | | | 229,654 | |
| | | | | | | | |
| | | | | | | 5,442,319 | |
| | |
| | Energy Equipment & Services – 0.4% | | | | |
| | 11,243 | | | Archrock, Inc. | | | 110,744 | |
| | 71,367 | | | McDermott International, Inc.*(a) | | | 324,006 | |
| | 85,965 | | | Pioneer Energy Services Corp.* | | | 267,351 | |
| | | | | | | | |
| | | | | | | 702,101 | |
| | |
| | Food & Staples Retailing – 0.3% | | | | |
| | 19,676 | | | SpartanNash Co. | | | 545,025 | |
| | 1,719 | | | United Natural Foods, Inc.* | | | 61,317 | |
| | | | | | | | |
| | | | | | | 606,342 | |
| | |
| | Food Products – 0.9% | | | | |
| | 5,409 | | | Calavo Growers, Inc. | | | 309,233 | |
| | 24,225 | | | Fresh Del Monte Produce, Inc. | | | 1,047,973 | |
| | 3,323 | | | John B. Sanfilippo & Son, Inc. | | | 183,862 | |
| | | | | | | | |
| | | | | | | 1,541,068 | |
| | |
| | Gas Utilities – 0.8% | | | | |
| | 20,968 | | | ONE Gas, Inc. | | | 1,225,999 | |
| | 3,281 | | | Southwest Gas Corp. | | | 212,970 | |
| | | | | | | | |
| | | | | | | 1,438,969 | |
| | |
| | Health Care Equipment & Supplies – 3.7% | | | | |
| | 2,394 | | | Atrion Corp. | | | 951,136 | |
| | 11,712 | | | Cantel Medical Corp. | | | 784,587 | |
| | 5,318 | | | Cynosure, Inc. Class A* | | | 260,263 | |
| | 4,707 | | | Haemonetics Corp.* | | | 152,648 | |
| | 7,158 | | | ICU Medical, Inc.* | | | 711,076 | |
| | 6,019 | | | Inogen, Inc.* | | | 294,088 | |
| | 22,545 | | | Invacare Corp. | | | 253,406 | |
| | 3,002 | | | LivaNova PLC* | | | 158,295 | |
| | 12,815 | | | Masimo Corp.* | | | 555,530 | |
| | 6,446 | | | Merit Medical Systems, Inc.* | | | 130,532 | |
| | 19,580 | | | Natus Medical, Inc.* | | | 624,015 | |
| | 8,543 | | | NuVasive, Inc.* | | | 452,266 | |
| | 7,220 | | | Orthofix International NV* | | | 315,947 | |
| | 11,113 | | | West Pharmaceutical Services, Inc. | | | 791,246 | |
| | | | | | | | |
| | | | | | | 6,435,035 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 45 |
GOLDMAN SACHS SMALL CAP EQUITY INSIGHTS FUND
Schedule of Investments (continued)
April 30, 2016 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Health Care Providers & Services – 2.6% | | | | |
| | 1,800 | | | Amedisys, Inc.* | | $ | 92,682 | |
| | 13,283 | | | Magellan Health, Inc.* | | | 935,920 | |
| | 6,522 | | | Molina Healthcare, Inc.* | | | 337,579 | |
| | 31,019 | | | Owens & Minor, Inc. | | | 1,128,781 | |
| | 31,244 | | | Triple-S Management Corp. Class B* | | | 813,594 | |
| | 14,253 | | | WellCare Health Plans, Inc.* | | | 1,282,628 | |
| | | | | | | | |
| | | | | | | 4,591,184 | |
| | |
| | Health Care Technology – 0.7% | | | | |
| | 1,281 | | | Computer Programs & Systems, Inc.(a) | | | 65,754 | |
| | 13,139 | | | HMS Holdings Corp.* | | | 221,918 | |
| | 28,203 | | | Omnicell, Inc.* | | | 898,547 | |
| | | | | | | | |
| | | | | | | 1,186,219 | |
| | |
| | Hotels, Restaurants & Leisure – 3.8% | | | | |
| | 21,917 | | | BJ’s Restaurants, Inc.* | | | 977,498 | |
| | 16,753 | | | Bob Evans Farms, Inc. | | | 762,932 | |
| | 23,709 | | | Boyd Gaming Corp.* | | | 441,936 | |
| | 1,482 | | | Churchill Downs, Inc. | | | 198,855 | |
| | 12,604 | | | Isle of Capri Casinos, Inc.* | | | 187,799 | |
| | 18,268 | | | Papa John’s International, Inc. | | | 1,033,786 | |
| | 30,664 | | | Pinnacle Entertainment, Inc.* | | | 338,530 | |
| | 10,370 | | | Ruth’s Hospitality Group, Inc. | | | 164,676 | |
| | 33,784 | | | Sonic Corp. | | | 1,161,156 | |
| | 10,500 | | | Vail Resorts, Inc. | | | 1,361,220 | |
| | | | | | | | |
| | | | | | | 6,628,388 | |
| | |
| | Household Durables – 1.1% | | | | |
| | 5,428 | | | Cavco Industries, Inc.* | | | 475,981 | |
| | 30,393 | | | Ethan Allen Interiors, Inc.(a) | | | 1,034,578 | |
| | 12,718 | | | La-Z-Boy, Inc. | | | 329,015 | |
| | | | | | | | |
| | | | | | | 1,839,574 | |
| | |
| | Independent Power Producers & Energy Traders – 0.3% | | | | |
| | 6,699 | | | Ormat Technologies, Inc. | | | 290,737 | |
| | 20,440 | | | Talen Energy Corp.* | | | 238,330 | |
| | | | | | | | |
| | | | | | | 529,067 | |
| | |
| | Insurance – 1.6% | | | | |
| | 65,264 | | | American Equity Investment Life Holding Co. | | | 913,696 | |
| | 18,879 | | | Argo Group International Holdings Ltd. | | | 1,037,779 | |
| | 2,697 | | | FBL Financial Group, Inc. Class A | | | 163,087 | |
| | 57,740 | | | Maiden Holdings Ltd. | | | 706,160 | |
| | | | | | | | |
| | | | | | | 2,820,722 | |
| | |
| | Internet & Catalog Retail – 0.6% | | | | |
| | 3,116 | | | FTD Cos., Inc.* | | | 86,656 | |
| | 6,769 | | | HSN, Inc. | | | 358,960 | |
| | 10,339 | | | Nutrisystem, Inc. | | | 227,665 | |
| | 7,786 | | | Shutterfly, Inc.* | | | 358,000 | |
| | | | | | | | |
| | | | | | | 1,031,281 | |
| | |
| | Internet Software & Services – 2.2% | | | | |
| | 32,076 | | | Bankrate, Inc.* | | | 293,175 | |
| | 17,631 | | | Blucora, Inc.* | | | 141,224 | |
| | |
| | | | | | | | |
Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Internet Software & Services – (continued) | | | | |
| | 10,203 | | | Cornerstone OnDemand, Inc.* | | $ | 350,473 | |
| | 2,980 | | | Cvent, Inc.* | | | 105,343 | |
| | 152,501 | | | EarthLink Holdings Corp. | | | 886,031 | |
| | 8,937 | | | LogMeIn, Inc.* | | | 533,539 | |
| | 33,034 | | | Marchex, Inc. Class B | | | 140,394 | |
| | 26,489 | | | Monster Worldwide, Inc.* | | | 84,765 | |
| | 20,482 | | | NIC, Inc. | | | 362,736 | |
| | 2,188 | | | SPS Commerce, Inc.* | | | 111,435 | |
| | 40,488 | | | Web.com Group, Inc.* | | | 809,355 | |
| | | | | | | | |
| | | | | | | 3,818,470 | |
| | |
| | IT Services – 1.9% | | | | |
| | 15,586 | | | Blackhawk Network Holdings, Inc.* | | | 500,778 | |
| | 7,579 | | | Cardtronics, Inc.* | | | 298,764 | |
| | 71,829 | | | EVERTEC, Inc. | | | 967,537 | |
| | 2,741 | | | ExlService Holdings, Inc.* | | | 132,637 | |
| | — | | | Global Payments, Inc. | | | 2 | |
| | 31,812 | | | ManTech International Corp. Class A | | | 1,075,246 | |
| | 2,440 | | | Sykes Enterprises, Inc.* | | | 71,126 | |
| | 12,857 | | | Travelport Worldwide Ltd. | | | 179,355 | |
| | | | | | | | |
| | | | | | | 3,225,445 | |
| | |
| | Leisure Equipment & Products*(a) – 0.2% | | | | |
| | 12,310 | | | Smith & Wesson Holding Corp. | | | 268,727 | |
| | |
| | Machinery – 2.9% | | | | |
| | 10,063 | | | Altra Industrial Motion Corp. | | | 288,808 | |
| | 5,229 | | | Astec Industries, Inc. | | | 253,084 | |
| | 2,963 | | | CLARCOR, Inc. | | | 174,135 | |
| | 50,075 | | | Federal Signal Corp. | | | 685,527 | |
| | 6,993 | | | Hyster-Yale Materials Handling, Inc. | | | 428,321 | |
| | 8,671 | | | Kadant, Inc. | | | 410,572 | |
| | 17,149 | | | Miller Industries, Inc. | | | 364,588 | |
| | 8,216 | | | Standex International Corp. | | | 630,085 | |
| | 4,615 | | | Tennant Co. | | | 246,487 | |
| | 76,252 | | | Wabash National Corp.* | | | 1,086,591 | |
| | 9,262 | | | Woodward, Inc. | | | 502,093 | |
| | | | | | | | |
| | | | | | | 5,070,291 | |
| | |
| | Media – 0.0% | | | | |
| | 44,613 | | | Harte-Hanks, Inc. | | | 81,196 | |
| | |
| | Metals & Mining – 2.6% | | | | |
| | 27,441 | | | Carpenter Technology Corp.(a) | | | 971,686 | |
| | 63,275 | | | Commercial Metals Co.(b) | | | 1,133,888 | |
| | 66,298 | | | Ferroglobe PLC | | | 675,577 | |
| | 16,592 | | | Materion Corp. | | | 481,002 | |
| | 40,802 | | | Schnitzer Steel Industries, Inc. Class A | | | 841,337 | |
| | 11,341 | | | Worthington Industries, Inc. | | | 428,123 | |
| | | | | | | | |
| | | | | | | 4,531,613 | |
| | |
| | Multi-Utilities – 0.6% | | | | |
| | 19,038 | | | NorthWestern Corp. | | | 1,082,120 | |
| | |
| | Oil, Gas & Consumable Fuels – 2.2% | | | | |
| | 20,138 | | | Alon USA Energy, Inc.(a) | | | 211,449 | |
| | 8,233 | | | Carrizo Oil & Gas, Inc.* | | | 291,201 | |
| | |
| | |
| 46 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL CAP EQUITY INSIGHTS FUND
| | | | | | | | |
Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Oil, Gas & Consumable Fuels – (continued) | | | | |
| | 109,279 | | | DHT Holdings, Inc. | | $ | 627,262 | |
| | 19,084 | | | Gener8 Maritime, Inc.*(a) | | | 137,977 | |
| | 43,360 | | | Oasis Petroleum, Inc.* | | | 420,158 | |
| | 3,396 | | | Par Pacific Holdings, Inc.*(a) | | | 64,898 | |
| | 10,438 | | | Parsley Energy, Inc. Class A* | | | 244,458 | |
| | 18,608 | | | PDC Energy, Inc.* | | | 1,168,396 | |
| | 10,089 | | | REX American Resources Corp.* | | | 548,539 | |
| | 31,374 | | | Scorpio Tankers, Inc. | | | 196,401 | |
| | | | | | | | |
| | | | | | | 3,910,739 | |
| | |
| | Pharmaceuticals – 1.6% | | | | |
| | 13,268 | | | Impax Laboratories, Inc.* | | | 442,488 | |
| | 24,193 | | | Phibro Animal Health Corp. Class A | | | 501,763 | |
| | 21,282 | | | Prestige Brands Holdings, Inc.* | | | 1,208,392 | |
| | 22,692 | | | Sagent Pharmaceuticals, Inc.* | | | 264,135 | |
| | 13,346 | | | SciClone Pharmaceuticals, Inc.* | | | 176,167 | |
| | 18,946 | | | Sucampo Pharmaceuticals, Inc. Class A* | | | 204,238 | |
| | | | | | | | |
| | | | | | | 2,797,183 | |
| | |
| | Professional Services – 0.4% | | | | |
| | 4,414 | | | Barrett Business Services, Inc. | | | 136,878 | |
| | 19,021 | | | CDI Corp. | | | 136,000 | |
| | 5,220 | | | Insperity, Inc. | | | 275,459 | |
| | 14,420 | | | RPX Corp.* | | | 159,774 | |
| | | | | | | | |
| | | | | | | 708,111 | |
| | |
| | Real Estate Investment Trusts – 9.2% | | | | |
| | 65,136 | | | American Capital Mortgage Investment Corp. | | | 965,967 | |
| | 179,116 | | | Anworth Mortgage Asset Corp. | | | 845,427 | |
| | 16,174 | | | CoreSite Realty Corp. | | | 1,211,918 | |
| | 41,776 | | | Cousins Properties, Inc. | | | 432,381 | |
| | 43,087 | | | CubeSmart | | | 1,275,806 | |
| | 13,260 | | | CyrusOne, Inc. | | | 585,164 | |
| | 18,740 | | | DCT Industrial Trust, Inc. | | | 756,534 | |
| | 12,702 | | | DuPont Fabros Technology, Inc. | | | 505,794 | |
| | 37,123 | | | FelCor Lodging Trust, Inc. | | | 265,801 | |
| | 46,709 | | | First Industrial Realty Trust, Inc. | | | 1,071,504 | |
| | 26,064 | | | Gaming and Leisure Properties, Inc. | | | 854,652 | |
| | 34,865 | | | Hudson Pacific Properties, Inc. | | | 1,019,801 | |
| | 73,040 | | | Invesco Mortgage Capital, Inc. | | | 938,564 | |
| | 46,170 | | | Mack-Cali Realty Corp. | | | 1,180,105 | |
| | 22,345 | | | Pennsylvania Real Estate Investment Trust | | | 512,594 | |
| | 11,359 | | | PS Business Parks, Inc. | | | 1,087,738 | |
| | 2,787 | | | Sovran Self Storage, Inc. | | | 296,035 | |
| | 3,677 | | | STAG Industrial, Inc. | | | 73,393 | |
| | 23,154 | | | Summit Hotel Properties, Inc. | | | 263,956 | |
| | 10,575 | | | Sun Communities, Inc. | | | 717,725 | |
| | 70,563 | | | Sunstone Hotel Investors, Inc. | | | 903,912 | |
| | 25,371 | | | Western Asset Mortgage Capital Corp.(a) | | | 252,949 | |
| | | | | | | | |
| | | | | | | 16,017,720 | |
| | |
| | | | | | | | |
Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Real Estate Management & Development – 1.0% | | | | |
| | 24,887 | | | Alexander & Baldwin, Inc. | | $ | 951,679 | |
| | 20,192 | | | RE/MAX Holdings, Inc. Class A | | | 743,065 | |
| | | | | | | | |
| | | | | | | 1,694,744 | |
| | |
| | Road & Rail – 0.1% | | | | |
| | 9,019 | | | ArcBest Corp. | | | 172,173 | |
| | |
| | Semiconductors & Semiconductor Equipment – 3.4% | | | | |
| | 31,054 | | | Advanced Energy Industries, Inc.* | | | 1,004,597 | |
| | 8,706 | | | Cabot Microelectronics Corp. | | | 364,694 | |
| | 7,378 | | | Cirrus Logic, Inc.* | | | 266,346 | |
| | 28,113 | | | Entegris, Inc.* | | | 373,622 | |
| | 17,480 | | | Inphi Corp.* | | | 518,632 | |
| | 7,387 | | | Integrated Device Technology, Inc.* | | | 142,421 | |
| | 6,311 | | | MaxLinear, Inc. Class A* | | | 105,709 | |
| | 28,790 | | | MKS Instruments, Inc. | | | 1,032,410 | |
| | 87,259 | | | Photronics, Inc.* | | | 923,200 | |
| | 10,455 | | | Power Integrations, Inc. | | | 504,454 | |
| | 10,849 | | | Semtech Corp.* | | | 234,772 | |
| | 1,221 | | | Silicon Laboratories, Inc.* | | | 57,143 | |
| | 3,206 | | | Synaptics, Inc.* | | | 229,389 | |
| | 4,767 | | | Tessera Technologies, Inc. | | | 136,908 | |
| | | | | | | | |
| | | | | | | 5,894,297 | |
| | |
| | Software – 5.1% | | | | |
| | 13,941 | | | Aspen Technology, Inc.* | | | 530,176 | |
| | 12,661 | | | Blackbaud, Inc. | | | 782,070 | |
| | 8,367 | | | CommVault Systems, Inc.* | | | 366,224 | |
| | 14,877 | | | Fleetmatics Group PLC*(a) | | | 539,291 | |
| | 6,901 | | | Gigamon, Inc.* | | | 224,904 | |
| | 4,422 | | | Imperva, Inc.* | | | 205,534 | |
| | 29,603 | | | Infoblox, Inc.* | | | 495,258 | |
| | 21,333 | | | Manhattan Associates, Inc.*(b) | | | 1,291,500 | |
| | 53,434 | | | Mentor Graphics Corp. | | | 1,066,543 | |
| | 5,670 | | | MicroStrategy, Inc. Class A* | | | 1,016,744 | |
| | 7,775 | | | Monotype Imaging Holdings, Inc. | | | 171,283 | |
| | 15,524 | | | Pegasystems, Inc. | | | 409,678 | |
| | 12,007 | | | Progress Software Corp.* | | | 306,419 | |
| | 4,804 | | | Qlik Technologies, Inc.* | | | 147,915 | |
| | 13,409 | | | Qualys, Inc.* | | | 337,639 | |
| | 22,717 | | | RealPage, Inc.* | | | 499,547 | |
| | 18,212 | | | Synchronoss Technologies, Inc.* | | | 565,847 | |
| | | | | | | | |
| | | | | | | 8,956,572 | |
| | |
| | Specialty Retail – 2.9% | | | | |
| | 9,212 | | | Abercrombie & Fitch Co. Class A | | | 246,237 | |
| | 24,147 | | | American Eagle Outfitters, Inc.(a) | | | 345,544 | |
| | 16,999 | | | Asbury Automotive Group, Inc.* | | | 1,030,479 | |
| | 3,006 | | | Burlington Stores, Inc.* | | | 171,252 | |
| | 8,112 | | | Caleres, Inc. | | | 204,504 | |
| | 13,955 | | | Group 1 Automotive, Inc. | | | 918,797 | |
| | 11,982 | | | Outerwall, Inc.(a) | | | 494,976 | |
| | 12,414 | | | Pier 1 Imports, Inc. | | | 85,532 | |
| | 34,492 | | | Rent-A-Center, Inc. | | | 507,032 | |
| | 12,627 | | | Stage Stores, Inc.(a) | | | 92,935 | |
| | 25,957 | | | The Cato Corp. Class A | | | 949,767 | |
| | | | | | | | |
| | | | | | | 5,047,055 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 47 |
GOLDMAN SACHS SMALL CAP EQUITY INSIGHTS FUND
Schedule of Investments (continued)
April 30, 2016 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Textiles, Apparel & Luxury Goods – 0.8% | | | | |
| | 1,783 | | | Columbia Sportswear Co. | | $ | 104,430 | |
| | 14,957 | | | Crocs, Inc.* | | | 124,891 | |
| | 4,580 | | | Deckers Outdoor Corp.* | | | 264,770 | |
| | 7,611 | | | G-III Apparel Group Ltd.* | | | 344,398 | |
| | 27,897 | | | Wolverine World Wide, Inc. | | | 528,648 | |
| | | | | | | | |
| | | | | | | 1,367,137 | |
| | |
| | Thrifts & Mortgage Finance – 1.5% | | | | |
| | 18,486 | | | BofI Holding, Inc.*(a) | | | 376,560 | |
| | 48,279 | | | Dime Community Bancshares, Inc. | | | 874,333 | |
| | 5,283 | | | Flagstar Bancorp, Inc.* | | | 125,048 | |
| | 50,328 | | | Oritani Financial Corp. | | | 872,184 | |
| | 12,354 | | | Radian Group, Inc. | | | 158,008 | |
| | 4,642 | | | WSFS Financial Corp. | | | 158,478 | |
| | | | | | | | |
| | | | | | | 2,564,611 | |
| | |
| | Trading Companies & Distributors – 1.3% | | | | |
| | 24,166 | | | Applied Industrial Technologies, Inc. | | | 1,107,528 | |
| | 25,467 | | | H&E Equipment Services, Inc. | | | 515,197 | |
| | 42,046 | | | MRC Global, Inc.* | | | 587,803 | |
| | | | | | | | |
| | | | | | | 2,210,528 | |
| | |
| | Wireless Telecommunication Services – 0.2% | | | | |
| | 22,931 | | | Spok Holdings, Inc. | | | 389,598 | |
| | |
| | TOTAL COMMON STOCKS | |
| | (Cost $172,242,947) | | $ | 170,001,780 | |
| | |
| | | | | | | | | | | | |
Principal
Amount | | Interest
Rate | | | Maturity
Date | | | Value | |
| | | | | | | | | | | | |
| Short-term Investment(c) – 7.5% | |
| Repurchase Agreements – 7.5% | | | | | |
Joint Repurchase Agreement Account II | |
| $13,100,000 | | | 0.290 | % | | | 05/02/16 | | | $ | 13,100,000 | |
| (Cost $13,100,000) | |
| |
TOTAL INVESTMENTS BEFORE SECURITIES
LENDING REINVESTMENT VEHICLE | |
| (Cost $185,342,947) | | | $ | 183,101,780 | |
| |
| | | | | | | | |
Shares | | | Rate | | Value | |
| | Securities Lending Reinvestment Vehicle(d)(e) – 4.6% | |
| Goldman Sachs Financial Square Money Market Fund – FST
Institutional Shares |
|
| | 8,035,251 | | | 0.430% | | $ | 8,035,251 | |
| | (Cost $8,035,251) | | | | |
| | |
| | TOTAL INVESTMENTS – 109.6% | |
| | (Cost $193,378,198) | | $ | 191,137,031 | |
| | |
| LIABILITIES IN EXCESS OF
OTHER ASSETS – (9.6)% | | | (16,689,242 | ) |
| | |
| | NET ASSETS – 100.0% | | $ | 174,447,789 | |
| | |
| | |
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | | Non-income producing security. |
(a) | | All or a portion of security is on loan. |
(b) | | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. |
(c) | | Joint repurchase agreement was entered into on April 29, 2016. Additional information appears on page 63. |
(d) | | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on April 30, 2016. |
(e) | | Represents an affiliated issuer. |
|
| ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At April 30, 2016, the Fund had the following futures contracts:
| | | | | | | | | | | | |
| Type | | Number of
Contracts
Long (Short) | | Expiration
Date | | Current
Value | | | Unrealized
Gain (Loss) | |
Russell 2000 Mini Index | | 27 | | June 2016 | | $ | 3,044,520 | | | $ | 49,013 | |
| | |
| 48 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL CAP GROWTH INSIGHTS FUND
Schedule of Investments
April 30, 2016 (Unaudited)
| | | | | | | | |
| Shares | | | Description | | Value | |
| | Common Stocks – 97.3% | |
| | Air Freight & Logistics* – 0.9% | |
| | 12,369 | | | Atlas Air Worldwide Holdings, Inc. | | $ | 494,018 | |
| | 22,167 | | | Hub Group, Inc. Class A | | | 853,873 | |
| | | | | | | | |
| | | | | | | 1,347,891 | |
| | |
| | Airlines* – 0.1% | |
| | 2,769 | | | Hawaiian Holdings, Inc. | | | 116,492 | |
| | |
| | Auto Components – 2.7% | |
| | 25,402 | | | American Axle & Manufacturing Holdings, Inc.* | | | 393,985 | |
| | 15,943 | | | Cooper Tire & Rubber Co. | | | 550,671 | |
| | 7,848 | | | Cooper-Standard Holding, Inc.* | | | 605,159 | |
| | 27,984 | | | Dana Holding Corp. | | | 361,833 | |
| | 4,580 | | | Dorman Products, Inc.*(a) | | | 246,358 | |
| | 16,210 | | | Drew Industries, Inc. | | | 1,050,895 | |
| | 4,017 | | | Gentherm, Inc.* | | | 147,585 | |
| | 5,516 | | | Tenneco, Inc.* | | | 294,003 | |
| | 13,878 | | | Tower International, Inc. | | | 318,500 | |
| | | | | | | | |
| | | | | | | 3,968,989 | |
| | |
| | Beverages* – 0.2% | |
| | 2,132 | | | The Boston Beer Co., Inc. Class A | | | 332,763 | |
| | |
| | Biotechnology* – 10.8% | |
| | 13,640 | | | ACADIA Pharmaceuticals, Inc.(a) | | | 440,572 | |
| | 18,141 | | | Acceleron Pharma, Inc. | | | 543,323 | |
| | 45,967 | | | Achillion Pharmaceuticals, Inc. | | | 393,018 | |
| | 33,201 | | | Acorda Therapeutics, Inc. | | | 858,246 | |
| | 13,449 | | | AMAG Pharmaceuticals, Inc.(a) | | | 356,667 | |
| | 13,079 | | | Anacor Pharmaceuticals, Inc. | | | 820,576 | |
| | 126,925 | | | Array BioPharma, Inc. | | | 404,891 | |
| | 34,668 | | | Cepheid, Inc. | | | 989,425 | |
| | 29,876 | | | Dyax Corp. | | | 45,262 | |
| | 23,700 | | | Emergent Biosolutions, Inc. | | | 912,924 | |
| | 2,677 | | | Enanta Pharmaceuticals, Inc. | | | 78,168 | |
| | 40,056 | | | Exelixis, Inc.(a) | | | 184,658 | |
| | 22,074 | | | FibroGen, Inc. | | | 397,332 | |
| | 8,759 | | | Five Prime Therapeutics, Inc. | | | 416,841 | |
| | 31,629 | | | Genomic Health, Inc. | | | 831,210 | |
| | 17,935 | | | Geron Corp.(a) | | | 52,908 | |
| | 73,324 | | | Halozyme Therapeutics, Inc.(a)(b) | | | 773,568 | |
| | 12,189 | | | ImmunoGen, Inc. | | | 83,495 | |
| | 18,800 | | | Insys Therapeutics, Inc.(a) | | | 272,412 | |
| | 36,753 | | | Ironwood Pharmaceuticals, Inc. | | | 384,069 | |
| | 5,920 | | | Kite Pharma, Inc.(a) | | | 273,978 | |
| | 1,002 | | | Ligand Pharmaceuticals, Inc.(a) | | | 121,112 | |
| | 6,646 | | | Merrimack Pharmaceuticals, Inc. | | | 47,054 | |
| | 34,570 | | | MiMedx Group, Inc.(a) | | | 260,312 | |
| | 25,862 | | | Momenta Pharmaceuticals, Inc. | | | 245,948 | |
| | 31,229 | | | Myriad Genetics, Inc.(a) | | | 1,124,244 | |
| | 20,536 | | | Neurocrine Biosciences, Inc. | | | 936,031 | |
| | 17,599 | | | NewLink Genetics Corp.(a) | | | 285,280 | |
| | 11,640 | | | Ophthotech Corp. | | | 544,054 | |
| | 4,669 | | | Portola Pharmaceuticals, Inc. | | | 110,935 | |
| | 14,607 | | | Prothena Corp. PLC(a) | | | 630,876 | |
| | 32,893 | | | Repligen Corp. | | | 876,269 | |
| | |
| | | | | | | | |
| Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Biotechnology* – (continued) | |
| | 14,695 | | | Retrophin, Inc. | | $ | 202,497 | |
| | 8,466 | | | Sage Therapeutics, Inc.(a) | | | 319,083 | |
| | 1,809 | | | Seres Therapeutics, Inc. | | | 53,402 | |
| | 2,803 | | | TESARO, Inc. | | | 116,156 | |
| | 3,692 | | | Ultragenyx Pharmaceutical, Inc. | | | 249,653 | |
| | 42,308 | | | ZIOPHARM Oncology, Inc.(a) | | | 332,541 | |
| | | | | | | | |
| | | | | | | 15,968,990 | |
| | |
| | Building Products – 1.3% | |
| | 19,429 | | | Apogee Enterprises, Inc. | | | 805,138 | |
| | 30,374 | | | Continental Building Products, Inc.* | | | 595,634 | |
| | 3,110 | | | Masonite International Corp.* | | | 210,423 | |
| | 5,699 | | | Simpson Manufacturing Co., Inc. | | | 214,282 | |
| | 2,140 | | | Universal Forest Products, Inc. | | | 164,031 | |
| | | | | | | | |
| | | | | | | 1,989,508 | |
| | |
| | Capital Markets – 1.7% | |
| | 23,856 | | | Cohen & Steers, Inc. | | | 936,825 | |
| | 6,907 | | | Evercore Partners, Inc. Class A | | | 356,678 | |
| | 2,425 | | | Financial Engines, Inc. | | | 78,109 | |
| | 21,440 | | | Investment Technology Group, Inc. | | | 418,509 | |
| | 72,780 | | | WisdomTree Investments, Inc.(a) | | | 792,574 | |
| | | | | | | | |
| | | | | | | 2,582,695 | |
| | |
| | Chemicals – 3.4% | |
| | 39,951 | | | Chemtura Corp.* | | | 1,112,635 | |
| | 25,844 | | | H.B. Fuller Co. | | | 1,155,744 | |
| | 6,366 | | | Innophos Holdings, Inc. | | | 235,287 | |
| | 16,468 | | | Minerals Technologies, Inc. | | | 986,433 | |
| | 19,448 | | | PolyOne Corp. | | | 699,739 | |
| | 741 | | | Quaker Chemical Corp. | | | 65,994 | |
| | 9,418 | | | Stepan Co. | | | 577,229 | |
| | 3,323 | | | Trinseo SA*(a) | | | 142,191 | |
| | | | | | | | |
| | | | | | | 4,975,252 | |
| | |
| | Commercial Banks – 1.8% | |
| | 29,375 | | | Bank of the Ozarks, Inc. | | | 1,213,187 | |
| | 1,823 | | | First Financial Bankshares, Inc.(a) | | | 59,029 | |
| | 5,463 | | | Home BancShares, Inc. | | | 234,854 | |
| | 21,419 | | | OFG Bancorp | | | 189,130 | |
| | 27,570 | | | Western Alliance Bancorp* | | | 1,008,511 | |
| | | | | | | | |
| | | | | | | 2,704,711 | |
| | |
| | Commercial Services & Supplies – 4.0% | |
| | 26,919 | | | Brady Corp. Class A | | | 713,084 | |
| | 3,193 | | | G&K Services, Inc. Class A | | | 225,585 | |
| | 18,522 | | | Herman Miller, Inc. | | | 558,809 | |
| | 21,398 | | | HNI Corp. | | | 935,521 | |
| | 45,395 | | | Interface, Inc. | | | 772,623 | |
| | 40,886 | | | Knoll, Inc. | | | 954,688 | |
| | 26,791 | | | Quad Graphics, Inc. | | | 336,227 | |
| | 25,124 | | | Steelcase, Inc. Class A | | | 383,392 | |
| | 30,122 | | | The Brink’s Co. | | | 1,019,329 | |
| | | | | | | | |
| | | | | | | 5,899,258 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 49 |
GOLDMAN SACHS SMALL CAP GROWTH INSIGHTS FUND
Schedule of Investments (continued)
April 30, 2016 (Unaudited)
| | | | | | | | |
| Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Communications Equipment – 1.3% | |
| | 28,973 | | | Ciena Corp.* | | $ | 487,616 | |
| | 24,982 | | | Infinera Corp.* | | | 297,036 | |
| | 48,742 | | | Ixia* | | | 493,269 | |
| | 12,129 | | | Plantronics, Inc. | | | 466,360 | |
| | 30,524 | | | ShoreTel, Inc.* | | | 186,807 | |
| | | | | | | | |
| | | | | | | 1,931,088 | |
| | |
| | Computers & Peripherals* – 0.6% | |
| | 24,613 | | | Cray, Inc. | | | 932,094 | |
| | |
| | Construction & Engineering – 1.4% | |
| | 28,392 | | | Aegion Corp.* | | | 602,762 | |
| | 30,138 | | | Comfort Systems USA, Inc. | | | 888,769 | |
| | 10,768 | | | EMCOR Group, Inc. | | | 522,033 | |
| | | | | | | | |
| | | | | | | 2,013,564 | |
| | |
| | Construction Materials* – 0.1% | |
| | 5,787 | | | Headwaters, Inc. | | | 115,798 | |
| | |
| | Distributors – 1.2% | |
| | 6,486 | | | Core-Mark Holding Co., Inc. | | | 529,647 | |
| | 14,695 | | | Pool Corp. | | | 1,284,490 | |
| | | | | | | | |
| | | | | | | 1,814,137 | |
| | |
| | Diversified Consumer Services – 1.6% | |
| | 9,796 | | | Bright Horizons Family Solutions, Inc.* | | | 642,814 | |
| | 11,741 | | | Capella Education Co. | | | 649,395 | |
| | 30,755 | | | Regis Corp.* | | | 420,421 | |
| | 25,998 | | | Sotheby’s | | | 708,185 | |
| | | | | | | | |
| | | | | | | 2,420,815 | |
| | |
| | Diversified Financial Services – 0.0% | |
| | 518 | | | MarketAxess Holdings, Inc. | | | 63,590 | |
| | |
| | Diversified Telecommunication Services* – 0.7% | |
| | 29,287 | | | General Communication, Inc. Class A | | | 494,950 | |
| | 114,640 | | | Vonage Holdings Corp. | | | 535,369 | |
| | | | | | | | |
| | | | | | | 1,030,319 | |
| | |
| | Electrical Equipment – 1.8% | |
| | 17,901 | | | AZZ, Inc. | | | 983,123 | |
| | 14,533 | | | EnerSys | | | 848,291 | |
| | 56,345 | | | General Cable Corp. | | | 881,236 | |
| | | | | | | | |
| | | | | | | 2,712,650 | |
| | |
| | Electronic Equipment, Instruments & Components – 2.6% | |
| | 2,218 | | | Belden, Inc. | | | 140,044 | |
| | 19,569 | | | Benchmark Electronics, Inc.* | | | 380,030 | |
| | 15,143 | | | Insight Enterprises, Inc.* | | | 374,183 | |
| | 12,016 | | | InvenSense, Inc.*(a) | | | 92,283 | |
| | 31,000 | | | Methode Electronics, Inc. | | | 921,630 | |
| | 14,873 | | | MTS Systems Corp. | | | 836,160 | |
| | 17,468 | | | Plexus Corp.* | | | 729,464 | |
| | 8,327 | | | Rofin-Sinar Technologies, Inc.* | | | 268,046 | |
| | 1,157 | | | Universal Display Corp.* | | | 67,465 | |
| | | | | | | | |
| | | | | | | 3,809,305 | |
| | |
| | | | | | | | |
| Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Energy Equipment & Services* – 0.1% | |
| | 31,729 | | | Pioneer Energy Services Corp. | | $ | 98,677 | |
| | |
| | Food & Staples Retailing – 0.2% | |
| | 1,185 | | | Casey’s General Stores, Inc. | | | 132,720 | |
| | 3,629 | | | United Natural Foods, Inc.* | | | 129,446 | |
| | | | | | | | |
| | | | | | | 262,166 | |
| | |
| | Food Products – 0.2% | |
| | 4,193 | | | Calavo Growers, Inc. | | | 239,714 | |
| | 1,584 | | | John B. Sanfilippo & Son, Inc. | | | 87,642 | |
| | | | | | | | |
| | | | | | | 327,356 | |
| | |
| | Gas Utilities – 0.1% | |
| | 1,356 | | | ONE Gas, Inc. | | | 79,285 | |
| | |
| | Health Care Equipment & Supplies – 5.3% | |
| | 1,762 | | | ABIOMED, Inc.* | | | 171,161 | |
| | 17,445 | | | Cantel Medical Corp. | | | 1,168,641 | |
| | 11,812 | | | Cynosure, Inc. Class A* | | | 578,079 | |
| | 2,734 | | | Globus Medical, Inc. Class A* | | | 68,459 | |
| | 4,854 | | | Haemonetics Corp.* | | | 157,415 | |
| | 5,310 | | | ICU Medical, Inc.* | | | 527,495 | |
| | 10,432 | | | Inogen, Inc.* | | | 509,707 | |
| | 7,132 | | | Insulet Corp.* | | | 237,496 | |
| | 8,632 | | | Invacare Corp. | | | 97,024 | |
| | 7,541 | | | LivaNova PLC* | | | 397,637 | |
| | 18,851 | | | Masimo Corp.* | | | 817,191 | |
| | 21,163 | | | Natus Medical, Inc.* | | | 674,465 | |
| | 16,100 | | | NuVasive, Inc.* | | | 852,334 | |
| | 10,776 | | | NxStage Medical, Inc.* | | | 173,709 | |
| | 3,127 | | | STERIS PLC | | | 220,985 | |
| | 16,784 | | | West Pharmaceutical Services, Inc. | | | 1,195,021 | |
| | | | | | | | |
| | | | | | | 7,846,819 | |
| | |
| | Health Care Providers & Services – 2.4% | |
| | 7,416 | | | Amedisys, Inc.* | | | 381,850 | |
| | 652 | | | Chemed Corp. | | | 84,617 | |
| | 1,199 | | | CorVel Corp.* | | | 54,195 | |
| | 9,048 | | | HealthSouth Corp. | | | 375,130 | |
| | 13,419 | | | Molina Healthcare, Inc.* | | | 694,567 | |
| | 12,416 | | | Owens & Minor, Inc. | | | 451,818 | |
| | 2,966 | | | Triple-S Management Corp. Class B* | | | 77,235 | |
| | 16,167 | | | WellCare Health Plans, Inc.* | | | 1,454,868 | |
| | | | | | | | |
| | | | | | | 3,574,280 | |
| | |
| | Health Care Technology – 2.0% | |
| | 13,333 | | | Computer Programs & Systems, Inc.(a) | | | 684,383 | |
| | 36,872 | | | HMS Holdings Corp.* | | | 622,768 | |
| | 13,749 | | | Medidata Solutions, Inc.* | | | 599,869 | |
| | 30,612 | | | Omnicell, Inc.* | | | 975,298 | |
| | | | | | | | |
| | | | | | | 2,882,318 | |
| | |
| | Hotels, Restaurants & Leisure – 6.3% | |
| | 18,656 | | | BJ’s Restaurants, Inc.* | | | 832,058 | |
| | 19,905 | | | Bloomin’ Brands, Inc. | | | 372,223 | |
| | |
| | |
| 50 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL CAP GROWTH INSIGHTS FUND
| | | | | | | | |
| Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Hotels, Restaurants & Leisure – (continued) | |
| | 15,673 | | | Bob Evans Farms, Inc. | | $ | 713,748 | |
| | 41,865 | | | Boyd Gaming Corp.* | | | 780,364 | |
| | 4,913 | | | Churchill Downs, Inc. | | | 659,226 | |
| | 25,352 | | | Denny’s Corp.* | | | 250,731 | |
| | 35,479 | | | Isle of Capri Casinos, Inc.* | | | 528,637 | |
| | 8,991 | | | Jack in the Box, Inc. | | | 607,342 | |
| | 12,826 | | | La Quinta Holdings, Inc.* | | | 163,788 | |
| | 18,208 | | | Papa John’s International, Inc. | | | 1,030,391 | |
| | 31,846 | | | Pinnacle Entertainment, Inc.* | | | 351,580 | |
| | 13,274 | | | Ruth’s Hospitality Group, Inc. | | | 210,791 | |
| | 12,115 | | | Scientific Games Corp. Class A*(a) | | | 120,181 | |
| | 30,986 | | | Sonic Corp. | | | 1,064,989 | |
| | 12,425 | | | Vail Resorts, Inc. | | | 1,610,777 | |
| | | | | | | | |
| | | | | | | 9,296,826 | |
| | |
| | Household Durables – 0.8% | |
| | 5,615 | | | Cavco Industries, Inc.* | | | 492,379 | |
| | 9,941 | | | Ethan Allen Interiors, Inc. | | | 338,392 | |
| | 13,947 | | | La-Z-Boy, Inc. | | | 360,809 | |
| | | | | | | | |
| | | | | | | 1,191,580 | |
| | |
| | Independent Power Producers & Energy Traders – 0.2% | |
| | 3,830 | | | Ormat Technologies, Inc. | | | 166,222 | |
| | 14,192 | | | Talen Energy Corp.* | | | 165,479 | |
| | | | | | | | |
| | | | | | | 331,701 | |
| | |
| | Insurance – 1.0% | |
| | 46,096 | | | American Equity Investment Life Holding Co. | | | 645,344 | |
| | 4,022 | | | Argo Group International Holdings Ltd. | | | 221,090 | |
| | 4,138 | | | Heritage Insurance Holdings, Inc. | | | 54,994 | |
| | 43,310 | | | Maiden Holdings Ltd. | | | 529,681 | |
| | | | | | | | |
| | | | | | | 1,451,109 | |
| | |
| | Internet & Catalog Retail – 1.1% | |
| | 15,529 | | | HSN, Inc. | | | 823,503 | |
| | 2,207 | | | Liberty TripAdvisor Holdings, Inc. Class A* | | | 48,686 | |
| | 21,927 | | | Nutrisystem, Inc. | | | 482,833 | |
| | 6,462 | | | Shutterfly, Inc.* | | | 297,123 | |
| | | | | | | | |
| | | | | | | 1,652,145 | |
| | |
| | Internet Software & Services – 4.1% | |
| | 8,553 | | | comScore, Inc.* | | | 261,893 | |
| | 17,116 | | | Cornerstone OnDemand, Inc.* | | | 587,935 | |
| | 6,411 | | | Cvent, Inc.* | | | 226,629 | |
| | 6,231 | | | Demandware, Inc.* | | | 287,125 | |
| | 150,287 | | | EarthLink Holdings Corp. | | | 873,167 | |
| | 9,140 | | | Gogo, Inc.*(a) | | | 96,793 | |
| | 16,065 | | | Intralinks Holdings, Inc.* | | | 143,139 | |
| | 4,501 | | | j2 Global, Inc. | | | 285,904 | |
| | 16,732 | | | LogMeIn, Inc.* | | | 998,900 | |
| | 39,923 | | | NIC, Inc. | | | 707,036 | |
| | 7,261 | | | RetailMeNot, Inc.* | | | 61,210 | |
| | 3,629 | | | SPS Commerce, Inc.* | | | 184,825 | |
| | |
| | | | | | | | |
| Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Internet Software & Services – (continued) | |
| | 976 | | | Stamps.com, Inc.* | | $ | 80,383 | |
| | 44,474 | | | Web.com Group, Inc.* | | | 889,035 | |
| | 13,722 | | | Wix.com Ltd.* | | | 339,208 | |
| | | | | | | | |
| | | | | | | 6,023,182 | |
| | |
| | IT Services – 2.4% | |
| | 30,968 | | | Blackhawk Network Holdings, Inc.* | | | 995,002 | |
| | 18,104 | | | Cardtronics, Inc.* | | | 713,660 | |
| | 66,231 | | | EVERTEC, Inc. | | | 892,131 | |
| | 12,624 | | | ExlService Holdings, Inc.* | | | 610,875 | |
| | 1 | | | Global Payments, Inc. | | | 65 | |
| | 28,658 | | | Travelport Worldwide Ltd. | | | 399,779 | |
| | | | | | | | |
| | | | | | | 3,611,512 | |
| | |
| | Leisure Equipment & Products*(a) – 0.3% | |
| | 17,919 | | | Smith & Wesson Holding Corp. | | | 391,172 | |
| | |
| | Life Sciences Tools & Services* – 0.0% | |
| | 1,085 | | | Cambrex Corp. | | | 52,340 | |
| | |
| | Machinery – 2.7% | |
| | 1,466 | | | Albany International Corp. Class A | | | 59,065 | |
| | 10,261 | | | Altra Industrial Motion Corp. | | | 294,491 | |
| | 9,939 | | | CLARCOR, Inc. | | | 584,115 | |
| | 6,902 | | | Federal Signal Corp. | | | 94,489 | |
| | 8,976 | | | Hyster-Yale Materials Handling, Inc. | | | 549,780 | |
| | 9,722 | | | Standex International Corp. | | | 745,580 | |
| | 6,469 | | | Tennant Co. | | | 345,509 | |
| | 67,834 | | | Wabash National Corp.* | | | 966,635 | |
| | 6,954 | | | Woodward, Inc. | | | 376,976 | |
| | | | | | | | |
| | | | | | | 4,016,640 | |
| | |
| | Media(a) – 0.1% | |
| | 2,520 | | | MDC Partners, Inc. | | | 51,005 | |
| | 2,351 | | | Nexstar Broadcasting Group, Inc. Class A | | | 120,677 | |
| | | | | | | | |
| | | | | | | 171,682 | |
| | |
| | Metals & Mining – 1.2% | |
| | 13,098 | | | Carpenter Technology Corp. | | | 463,800 | |
| | 73,877 | | | Ferroglobe PLC | | | 752,807 | |
| | 3,229 | | | Schnitzer Steel Industries, Inc. Class A | | | 66,582 | |
| | 13,468 | | | Worthington Industries, Inc. | | | 508,417 | |
| | | | | | | | |
| | | | | | | 1,791,606 | |
| | |
| | Multiline Retail – 0.2% | |
| | 4,915 | | | Big Lots, Inc. | | | 225,402 | |
| | |
| | Oil, Gas & Consumable Fuels – 1.1% | |
| | 10,546 | | | Alon USA Energy, Inc. | | | 110,733 | |
| | 2,975 | | | Carrizo Oil & Gas, Inc.* | | | 105,226 | |
| | 16,614 | | | Gener8 Maritime, Inc.* | | | 120,119 | |
| | 10,095 | | | Matador Resources Co.*(a) | | | 217,547 | |
| | 9,511 | | | Oasis Petroleum, Inc.* | | | 92,162 | |
| | 3,918 | | | Par Pacific Holdings, Inc.* | | | 74,873 | |
| | 10,140 | | | Parsley Energy, Inc. Class A* | | | 237,479 | |
| | 827 | | | PDC Energy, Inc.* | | | 51,927 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 51 |
GOLDMAN SACHS SMALL CAP GROWTH INSIGHTS FUND
Schedule of Investments (continued)
April 30, 2016 (Unaudited)
| | | | | | | | |
| Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Oil, Gas & Consumable Fuels – (continued) | |
| | 3,496 | | | REX American Resources Corp.* | | $ | 190,077 | |
| | 13,754 | | | Western Refining, Inc.(b) | | | 368,057 | |
| | | | | | | | |
| | | | | | | 1,568,200 | |
| | |
| | Paper & Forest Products – 0.2% | |
| | 2,501 | | | Neenah Paper, Inc. | | | 162,790 | |
| | 1,495 | | | Schweitzer-Mauduit International, Inc. | | | 51,413 | |
| | | | | | | | |
| | | | | | | 214,203 | |
| | |
| | Pharmaceuticals – 3.0% | |
| | 22,246 | | | Amphastar Pharmaceuticals, Inc.* | | | 273,626 | |
| | 29,803 | | | Impax Laboratories, Inc.* | | | 993,930 | |
| | 5,435 | | | Nektar Therapeutics* | | | 85,221 | |
| | 7,748 | | | Pacira Pharmaceuticals, Inc.* | | | 419,244 | |
| | 23,760 | | | Phibro Animal Health Corp. Class A | | | 492,782 | |
| | 22,465 | | | Prestige Brands Holdings, Inc.* | | | 1,275,563 | |
| | 25,418 | | | Sagent Pharmaceuticals, Inc.* | | | 295,866 | |
| | 23,077 | | | SciClone Pharmaceuticals, Inc.* | | | 304,616 | |
| | 32,650 | | | Sucampo Pharmaceuticals, Inc. Class A* | | | 351,967 | |
| | | | | | | | |
| | | | | | | 4,492,815 | |
| | |
| | Professional Services – 1.0% | |
| | 1,413 | | | CEB, Inc. | | | 87,168 | |
| | 2,914 | | | Heidrick & Struggles International, Inc. | | | 57,493 | |
| | 2,523 | | | Huron Consulting Group, Inc.* | | | 140,304 | |
| | 15,396 | | | Insperity, Inc. | | | 812,447 | |
| | 35,615 | | | RPX Corp.* | | | 394,614 | |
| | | | | | | | |
| | | | | | | 1,492,026 | |
| | |
| | Real Estate Investment Trusts – 3.5% | |
| | 62,513 | | | Anworth Mortgage Asset Corp. | | | 295,061 | |
| | 16,739 | | | CoreSite Realty Corp. | | | 1,254,253 | |
| | 43,049 | | | CubeSmart | | | 1,274,681 | |
| | 14,809 | | | CyrusOne, Inc. | | | 653,521 | |
| | 7,986 | | | DuPont Fabros Technology, Inc. | | | 318,003 | |
| | 27,069 | | | Gaming and Leisure Properties, Inc. | | | 887,596 | |
| | 5,596 | | | PS Business Parks, Inc. | | | 535,873 | |
| | | | | | | | |
| | | | | | | 5,218,988 | |
| | |
| | Road & Rail – 0.2% | |
| | 13,284 | | | ArcBest Corp. | | | 253,591 | |
| | 2,991 | | | Saia, Inc.* | | | 86,500 | |
| | | | | | | | |
| | | | | | | 340,091 | |
| | |
| | Semiconductors & Semiconductor Equipment – 4.6% | |
| | 27,195 | | | Advanced Energy Industries, Inc.* | | | 879,758 | |
| | 1,817 | | | Ambarella, Inc.*(a) | | | 74,679 | |
| | 11,525 | | | Cabot Microelectronics Corp. | | | 482,782 | |
| | 7,515 | | | Cavium, Inc.* | | | 371,016 | |
| | 15,412 | | | Cirrus Logic, Inc.* | | | 556,373 | |
| | 20,288 | | | Entegris, Inc.* | | | 269,628 | |
| | 22,799 | | | Inphi Corp.* | | | 676,446 | |
| | 30,162 | | | Integrated Device Technology, Inc.* | | | 581,523 | |
| | 19,476 | | | MaxLinear, Inc. Class A* | | | 326,223 | |
| | |
| | | | | | | | |
| Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Semiconductors & Semiconductor Equipment – (continued) | |
| | 69,952 | | | Photronics, Inc.* | | $ | 740,092 | |
| | 14,894 | | | Power Integrations, Inc. | | | 718,636 | |
| | 10,338 | | | Semtech Corp.* | | | 223,714 | |
| | 4,378 | | | Silicon Laboratories, Inc.* | | | 204,890 | |
| | 8,379 | | | Synaptics, Inc.* | | | 599,518 | |
| | 4,582 | | | Tessera Technologies, Inc. | | | 131,595 | |
| | | | | | | | |
| | | | | | | 6,836,873 | |
| | |
| | Software – 8.2% | |
| | 29,373 | | | Aspen Technology, Inc.* | | | 1,117,055 | |
| | 17,445 | | | Blackbaud, Inc. | | | 1,077,578 | |
| | 16,656 | | | CommVault Systems, Inc.* | | | 729,033 | |
| | 26,637 | | | EPIQ Systems, Inc. | | | 393,429 | |
| | 1,212 | | | Fair Isaac Corp. | | | 129,333 | |
| | 17,834 | | | Fleetmatics Group PLC* | | | 646,483 | |
| | 14,799 | | | Gigamon, Inc.* | | | 482,299 | |
| | 6,642 | | | Imperva, Inc.* | | | 308,720 | |
| | 34,731 | | | Infoblox, Inc.* | | | 581,050 | |
| | 26,683 | | | Manhattan Associates, Inc.* | | | 1,615,389 | |
| | 17,891 | | | Mentor Graphics Corp. | | | 357,104 | |
| | 5,894 | | | MicroStrategy, Inc. Class A* | | | 1,056,912 | |
| | 22,233 | | | Pegasystems, Inc. | | | 586,729 | |
| | 3,309 | | | QAD, Inc. Class A | | | 64,889 | |
| | 22,842 | | | Qlik Technologies, Inc.* | | | 703,305 | |
| | 21,461 | | | Qualys, Inc.* | | | 540,388 | |
| | 23,472 | | | RealPage, Inc.* | | | 516,149 | |
| | 19,250 | | | RingCentral, Inc. Class A* | | | 367,290 | |
| | 24,232 | | | Synchronoss Technologies, Inc.* | | | 752,888 | |
| | 906 | | | Tyler Technologies, Inc.* | | | 132,647 | |
| | | | | | | | |
| | | | | | | 12,158,670 | |
| | |
| | Specialty Retail – 3.6% | |
| | 61,795 | | | American Eagle Outfitters, Inc.(a) | | | 884,287 | |
| | 16,523 | | | Asbury Automotive Group, Inc.* | | | 1,001,624 | |
| | 9,500 | | | Burlington Stores, Inc.* | | | 541,215 | |
| | 10,218 | | | Caleres, Inc. | | | 257,596 | |
| | 17,926 | | | Express, Inc.* | | | 325,895 | |
| | 7,974 | | | Group 1 Automotive, Inc. | | | 525,008 | |
| | 14,364 | | | Outerwall, Inc.(a) | | | 593,377 | |
| | 38,727 | | | Pier 1 Imports, Inc. | | | 266,829 | |
| | 21,304 | | | The Cato Corp. Class A | | | 779,513 | |
| | 4,649 | | | Zumiez, Inc.* | | | 78,010 | |
| | | | | | | | |
| | | | | | | 5,253,354 | |
| | |
| | Textiles, Apparel & Luxury Goods – 1.3% | |
| | 763 | | | Columbia Sportswear Co. | | | 44,689 | |
| | 14,340 | | | Crocs, Inc.* | | | 119,739 | |
| | 4,123 | | | Deckers Outdoor Corp.* | | | 238,351 | |
| | 13,678 | | | G-III Apparel Group Ltd.* | | | 618,929 | |
| | 866 | | | Oxford Industries, Inc. | | | 57,520 | |
| | 45,443 | | | Wolverine World Wide, Inc. | | | 861,145 | |
| | | | | | | | |
| | | | | | | 1,940,373 | |
| | |
| | Thrifts & Mortgage Finance*(a) – 0.4% | |
| | 28,816 | | | BofI Holding, Inc. | | | 586,982 | |
| | |
| | |
| 52 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL CAP GROWTH INSIGHTS FUND
| | | | | | | | |
| Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Trading Companies & Distributors – 1.3% | |
| | 19,796 | | | Applied Industrial Technologies, Inc. | | $ | 907,250 | |
| | 8,352 | | | Beacon Roofing Supply, Inc.* | | | 356,881 | |
| | 29,634 | | | H&E Equipment Services, Inc. | | | 599,496 | |
| | 6,212 | | | MRC Global, Inc.* | | | 86,844 | |
| | | | | | | | |
| | | | | | | 1,950,471 | |
| | |
| | TOTAL COMMON STOCKS | | | | |
| | (Cost $144,343,471) | | $ | 144,060,753 | |
| | |
| | | | | | | | | | | | |
Principal
Amount | | Interest
Rate | | | Maturity
Date | | | Value | |
| Short-term Investment(c) – 3.0% | |
| Repurchase Agreements – 3.0% | | | | | |
Joint Repurchase Agreement Account II | |
| $4,500,000 | | | 0.290 | % | | | 05/02/16 | | | $ | 4,500,000 | |
| (Cost $4,500,000) | |
| |
TOTAL INVESTMENTS BEFORE SECURITIES
LENDING REINVESTMENT VEHICLE | |
| (Cost $148,843,471) | | | $ | 148,560,753 | |
| |
| | | | | | | | |
| Shares | | Rate | | | Value | |
| Securities Lending Reinvestment Vehicle(d)(e) – 5.8% | |
Goldman Sachs Financial Square Money Market Fund – FST Institutional Shares | |
| 8,640,910 | | | 0.430 | % | | $ | 8,640,910 | |
| (Cost $8,640,910) | |
| |
| TOTAL INVESTMENTS – 106.1% | |
| (Cost $157,484,381) | | | $ | 157,201,663 | |
| |
LIABILITIES IN EXCESS OF OTHER ASSETS – (6.1)% | | | | (9,096,661 | ) |
| |
| NET ASSETS – 100.0% | | | $ | 148,105,002 | |
| |
| | |
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | | Non-income producing security. |
(a) | | All or a portion of security is on loan. |
(b) | | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. |
(c) | | Joint repurchase agreement was entered into on April 29, 2016. Additional information appears on page 63. |
(d) | | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on April 30, 2016. |
(e) | | Represents an affiliated issuer. |
|
| ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At April 30, 2016, the Fund had the following futures contracts:
| | | | | | | | | | | | |
| Type | | Number of
Contracts
Long (Short) | | Expiration
Date | | Current
Value | | | Unrealized
Gain (Loss) | |
Russell 2000 Mini Index | | 21 | | June 2016 | | $ | 2,367,960 | | | $ | 59,512 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 53 |
GOLDMAN SACHS SMALL CAP VALUE INSIGHTS FUND
Schedule of Investments
April 30, 2016 (Unaudited)
| | | | | | | | |
| Shares | | | Description | | Value | |
| | Common Stocks – 97.5% | |
| | Aerospace & Defense – 1.4% | | | | |
| | 35,436 | | | DigitalGlobe, Inc.* | | $ | 785,262 | |
| | 8,277 | | | Ducommun, Inc.* | | | 131,687 | |
| | 9,216 | | | Esterline Technologies Corp.* | | | 632,770 | |
| | 3,324 | | | National Presto Industries, Inc.(a) | | | 289,820 | |
| | | | | | | | |
| | | | | | | 1,839,539 | |
| | |
| | Air Freight & Logistics* – 0.8% | | | | |
| | 18,160 | | | Atlas Air Worldwide Holdings, Inc. | | | 725,310 | |
| | 8,925 | | | Hub Group, Inc. Class A | | | 343,791 | |
| | | | | | | | |
| | | | | | | 1,069,101 | |
| | |
| | Auto Components – 1.6% | | | | |
| | 19,059 | | | Cooper Tire & Rubber Co. | | | 658,298 | |
| | 6,717 | | | Cooper-Standard Holding, Inc.* | | | 517,948 | |
| | 10,890 | | | Dana Holding Corp. | | | 140,808 | |
| | 32,950 | | | Modine Manufacturing Co.* | | | 356,189 | |
| | 1,738 | | | Standard Motor Products, Inc. | | | 61,716 | |
| | 4,357 | | | Superior Industries International, Inc. | | | 113,805 | |
| | 10,835 | | | Tower International, Inc. | | | 248,663 | |
| | | | | | | | |
| | | | | | | 2,097,427 | |
| | |
| | Biotechnology – 2.1% | | | | |
| | 8,032 | | | Acorda Therapeutics, Inc.* | | | 207,627 | |
| | 57,669 | | | Array BioPharma, Inc.* | | | 183,964 | |
| | 20,073 | | | Cepheid, Inc.* | | | 572,884 | |
| | 15,218 | | | Emergent Biosolutions, Inc.* | | | 586,197 | |
| | 199,739 | | | PDL BioPharma, Inc. | | | 753,016 | |
| | 17,311 | | | Repligen Corp.* | | | 461,165 | |
| | | | | | | | |
| | | | | | | 2,764,853 | |
| | |
| | Building Products – 1.0% | | | | |
| | 2,442 | | | Gibraltar Industries, Inc.* | | | 64,591 | |
| | 8,212 | | | Simpson Manufacturing Co., Inc. | | | 308,771 | |
| | 12,056 | | | Universal Forest Products, Inc. | | | 924,093 | |
| | | | | | | | |
| | | | | | | 1,297,455 | |
| | |
| | Capital Markets – 0.8% | | | | |
| | 19,795 | | | Investment Technology Group, Inc. | | | 386,398 | |
| | 15,964 | | | Piper Jaffray Cos.* | | | 665,859 | |
| | | | | | | | |
| | | | | | | 1,052,257 | |
| | |
| | Chemicals – 2.2% | | | | |
| | 17,496 | | | Chemtura Corp.* | | | 487,264 | |
| | 30,291 | | | FutureFuel Corp. | | | 340,471 | |
| | 18,693 | | | Innophos Holdings, Inc. | | | 690,893 | |
| | 17,255 | | | Kraton Performance Polymers, Inc.* | | | 391,861 | |
| | 5,451 | | | Minerals Technologies, Inc. | | | 326,515 | |
| | 11,191 | | | Stepan Co. | | | 685,896 | |
| | | | | | | | |
| | | | | | | 2,922,900 | |
| | |
| | Commercial Banks – 14.8% | | | | |
| | 13,745 | | | 1st Source Corp. | | | 473,378 | |
| | 3,402 | | | Banco Latinoamericano de Comercio Exterior SA Class E | | | 87,976 | |
| | 81,638 | | | Brookline Bancorp, Inc. | | | 929,041 | |
| | 34,947 | | | Central Pacific Financial Corp. | | | 815,663 | |
| | |
| Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Commercial Banks – (continued) | | | | |
| | 30,316 | | | Columbia Banking System, Inc. | | $ | 894,019 | |
| | 64,732 | | | CVB Financial Corp. | | | 1,112,096 | |
| | 24,375 | | | FCB Financial Holdings, Inc. Class A* | | | 851,906 | |
| | 4,077 | | | First Citizens BancShares, Inc. Class A | | | 1,039,635 | |
| | 40,412 | | | First Financial Bancorp | | | 788,034 | |
| | 14,622 | | | First Interstate BancSystem, Inc. | | | 396,256 | |
| | 36,675 | | | First Merchants Corp. | | | 940,714 | |
| | 50,203 | | | First Midwest Bancorp, Inc. | | | 927,751 | |
| | 14,262 | | | Flushing Financial Corp. | | | 284,527 | |
| | 9,256 | | | Great Southern Bancorp, Inc. | | | 350,432 | |
| | 26,851 | | | Hanmi Financial Corp. | | | 620,795 | |
| | 2,703 | | | Heartland Financial USA, Inc. | | | 90,578 | |
| | 7,231 | | | Home BancShares, Inc. | | | 310,861 | |
| | 18,971 | | | IBERIABANK Corp. | | | 1,119,099 | |
| | 29,446 | | | International Bancshares Corp. | | | 771,191 | |
| | 66,300 | | | Investors Bancorp, Inc. | | | 765,765 | |
| | 21,999 | | | LegacyTexas Financial Group, Inc. | | | 542,495 | |
| | 57,321 | | | OFG Bancorp | | | 506,144 | |
| | 29,881 | | | PrivateBancorp, Inc. | | | 1,243,348 | |
| | 23,458 | | | Prosperity Bancshares, Inc. | | | 1,237,879 | |
| | 15,330 | | | Renasant Corp. | | | 526,432 | |
| | 8,384 | | | Towne Bank(a) | | | 176,064 | |
| | 3,912 | | | TriCo Bancshares | | | 105,311 | |
| | 25,319 | | | Trustmark Corp. | | | 620,569 | |
| | 25,602 | | | Western Alliance Bancorp* | | | 936,521 | |
| | | | | | | | |
| | | | | | | 19,464,480 | |
| | |
| | Commercial Services & Supplies – 2.4% | | | | |
| | 30,975 | | | Brady Corp. Class A | | | 820,528 | |
| | 22,430 | | | Essendant, Inc. | | | 690,620 | |
| | 47,710 | | | Kimball International, Inc. Class B | | | 555,344 | |
| | 55,693 | | | Quad Graphics, Inc. | | | 698,947 | |
| | 14,298 | | | Tetra Tech, Inc. | | | 420,361 | |
| | | | | | | | |
| | | | | | | 3,185,800 | |
| | |
| | Communications Equipment – 1.8% | | | | |
| | 19,659 | | | Calix, Inc.* | | | 136,237 | |
| | 4,846 | | | Comtech Telecommunications Corp. | | | 117,273 | |
| | 18,484 | | | Finisar Corp.* | | | 304,247 | |
| | 24,372 | | | Ixia* | | | 246,645 | |
| | 20,330 | | | NETGEAR, Inc.* | | | 861,992 | |
| | 47,521 | | | Polycom, Inc.* | | | 567,876 | |
| | 13,470 | | | ShoreTel, Inc.* | | | 82,436 | |
| | | | | | | | |
| | | | | | | 2,316,706 | |
| | |
| | Construction & Engineering – 2.7% | | | | |
| | 43,876 | | | Aegion Corp.* | | | 931,487 | |
| | 18,587 | | | Comfort Systems USA, Inc. | | | 548,131 | |
| | 25,913 | | | EMCOR Group, Inc. | | | 1,256,262 | |
| | 19,110 | | | Granite Construction, Inc. | | | 852,115 | |
| | | | | | | | |
| | | | | | | 3,587,995 | |
| | |
| | Consumer Finance – 0.9% | | | | |
| | 1,361 | | | Cash America International, Inc. | | | 50,302 | |
| | 21,854 | | | Enova International, Inc.* | | | 192,534 | |
| | 68,482 | | | EZCORP, Inc. Class A* | | | 338,986 | |
| | |
| | |
| 54 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL CAP VALUE INSIGHTS FUND
| | | | | | | | |
| Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Consumer Finance – (continued) | | | | |
| | 13,280 | | | Nelnet, Inc. Class A | | $ | 556,565 | |
| | | | | | | | |
| | | | | | | 1,138,387 | |
| | |
| | Distributors – 0.2% | | | | |
| | 3,446 | | | Core-Mark Holding Co., Inc. | | | 281,400 | |
| | |
| | Diversified Consumer Services – 1.5% | | | | |
| | 7,757 | | | Apollo Education Group, Inc.* | | | 60,505 | |
| | 29,421 | | | Bridgepoint Education, Inc.* | | | 280,676 | |
| | 20,509 | | | DeVry Education Group, Inc.(a) | | | 355,831 | |
| | 37,415 | | | K12, Inc.* | | | 459,831 | |
| | 57,427 | | | Regis Corp.* | | | 785,027 | |
| | | | | | | | |
| | | | | | | 1,941,870 | |
| | |
| | Diversified Telecommunication Services* – 0.6% | | | | |
| | 43,832 | | | Cincinnati Bell, Inc. | | | 167,438 | |
| | 122,461 | | | Vonage Holdings Corp. | | | 571,893 | |
| | | | | | | | |
| | | | | | | 739,331 | |
| | |
| | Electric Utilities – 1.6% | | | | |
| | 19,307 | | | ALLETE, Inc. | | | 1,084,861 | |
| | 26,546 | | | Portland General Electric Co. | | | 1,054,407 | |
| | | | | | | | |
| | | | | | | 2,139,268 | |
| | |
| | Electrical Equipment – 1.5% | | | | |
| | 14,627 | | | EnerSys | | | 853,778 | |
| | 49,309 | | | General Cable Corp. | | | 771,193 | |
| | 26,942 | | | LSI Industries, Inc. | | | 340,816 | |
| | | | | | | | |
| | | | | | | 1,965,787 | |
| | |
| | Electronic Equipment, Instruments & Components – 3.3% | |
| | 40,294 | | | Benchmark Electronics, Inc.* | | | 782,509 | |
| | 28,055 | | | II-VI, Inc.* | | | 585,508 | |
| | 32,289 | | | Insight Enterprises, Inc.* | | | 797,861 | |
| | 2,231 | | | Itron, Inc.* | | | 91,739 | |
| | 28,883 | | | Kimball Electronics, Inc.* | | | 315,980 | |
| | 11,905 | | | Plexus Corp.* | | | 497,153 | |
| | 5,406 | | | Rofin-Sinar Technologies, Inc.* | | | 174,019 | |
| | 3,736 | | | SYNNEX Corp. | | | 308,482 | |
| | 7,574 | | | Tech Data Corp.* | | | 520,258 | |
| | 34,357 | | | TTM Technologies, Inc.* | | | 224,008 | |
| | | | | | | | |
| | | | | | | 4,297,517 | |
| | |
| | Energy Equipment & Services – 1.0% | | | | |
| | 7,705 | | | Archrock, Inc. | | | 75,894 | |
| | 6,898 | | | Atwood Oceanics, Inc.(a) | | | 66,635 | |
| | 86,087 | | | McDermott International, Inc.*(a) | | | 390,835 | |
| | 16,699 | | | Oil States International, Inc.* | | | 578,453 | |
| | 63,563 | | | Pioneer Energy Services Corp.* | | | 197,681 | |
| | | | | | | | |
| | | | | | | 1,309,498 | |
| | |
| | Food & Staples Retailing – 0.7% | | | | |
| | 11,294 | | | Ingles Markets, Inc. Class A | | | 407,375 | |
| | 19,676 | | | SpartanNash Co. | | | 545,025 | |
| | | | | | | | |
| | | | | | | 952,400 | |
| | |
| Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Food Products – 0.9% | | | | |
| | 20,697 | | | Fresh Del Monte Produce, Inc. | | $ | 895,352 | |
| | 1,401 | | | John B. Sanfilippo & Son, Inc. | | | 77,517 | |
| | 2,167 | | | Lancaster Colony Corp. | | | 252,456 | |
| | | | | | | | |
| | | | | | | 1,225,325 | |
| | |
| | Gas Utilities – 1.8% | | | | |
| | 2,864 | | | Northwest Natural Gas Co. | | | 147,610 | |
| | 19,371 | | | ONE Gas, Inc. | | | 1,132,622 | |
| | 1,161 | | | Piedmont Natural Gas Co., Inc. | | | 69,428 | |
| | 8,949 | | | Southwest Gas Corp. | | | 580,880 | |
| | 5,393 | | | WGL Holdings, Inc. | | | 366,131 | |
| | | | | | | | |
| | | | | | | 2,296,671 | |
| | |
| | Health Care Equipment & Supplies* – 0.3% | | | | |
| | 1,943 | | | Cynosure, Inc. Class A | | | 95,090 | |
| | 1,805 | | | Haemonetics Corp. | | | 58,536 | |
| | 800 | | | ICU Medical, Inc. | | | 79,472 | |
| | 7,795 | | | Merit Medical Systems, Inc. | | | 157,849 | |
| | 2,632 | | | SurModics, Inc. | | | 52,956 | |
| | | | | | | | |
| | | | | | | 443,903 | |
| | |
| | Health Care Providers & Services – 2.0% | | | | |
| | 8,415 | | | Magellan Health, Inc.* | | | 592,921 | |
| | 26,829 | | | Owens & Minor, Inc. | | | 976,307 | |
| | 18,579 | | | Triple-S Management Corp. Class B* | | | 483,797 | |
| | 6,698 | | | WellCare Health Plans, Inc.* | | | 602,753 | |
| | | | | | | | |
| | | | | | | 2,655,778 | |
| | |
| | Hotels, Restaurants & Leisure – 2.1% | | | | |
| | 17,532 | | | Bob Evans Farms, Inc. | | | 798,407 | |
| | 1,896 | | | International Speedway Corp. Class A | | | 63,497 | |
| | 15,811 | | | Isle of Capri Casinos, Inc.* | | | 235,584 | |
| | 12,210 | | | Papa John’s International, Inc. | | | 690,964 | |
| | 26,373 | | | Sonic Corp. | | | 906,440 | |
| | | | | | | | |
| | | | | | | 2,694,892 | |
| | |
| | Household Durables – 1.3% | | | | |
| | 4,279 | | | Cavco Industries, Inc.* | | | 375,225 | |
| | 6,605 | | | CSS Industries, Inc. | | | 184,676 | |
| | 25,974 | | | Ethan Allen Interiors, Inc. | | | 884,155 | |
| | 11,500 | | | La-Z-Boy, Inc. | | | 297,505 | |
| | | | | | | | |
| | | | | | | 1,741,561 | |
| | |
| | Household Products* – 0.2% | | | | |
| | 19,472 | | | Central Garden & Pet Co. Class A | | | 317,199 | |
| | |
| | Independent Power Producers & Energy Traders – 1.1% | | | | |
| | 15,253 | | | Ormat Technologies, Inc. | | | 661,980 | |
| | 68,795 | | | Talen Energy Corp.* | | | 802,150 | |
| | | | | | | | |
| | | | | | | 1,464,130 | |
| | |
| | Insurance – 3.6% | | | | |
| | 60,646 | | | American Equity Investment Life Holding Co. | | | 849,044 | |
| | 18,013 | | | Argo Group International Holdings Ltd. | | | 990,175 | |
| | 2,720 | | | FBL Financial Group, Inc. Class A | | | 164,478 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 55 |
GOLDMAN SACHS SMALL CAP VALUE INSIGHTS FUND
Schedule of Investments (continued)
April 30, 2016 (Unaudited)
| | | | | | | | |
| Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Insurance – (continued) | | | | |
| | 24,818 | | | Heritage Insurance Holdings, Inc. | | $ | 329,831 | |
| | 57,144 | | | Maiden Holdings Ltd. | | | 698,871 | |
| | 3,876 | | | Primerica, Inc. | | | 192,095 | |
| | 17,443 | | | Selective Insurance Group, Inc. | | | 605,446 | |
| | 17,149 | | | Stewart Information Services Corp. | | | 597,128 | |
| | 7,868 | | | United Fire Group, Inc. | | | 352,644 | |
| | | | | | | | |
| | | | | | | 4,779,712 | |
| | |
| | Internet & Catalog Retail* – 0.5% | | | | |
| | 7,740 | | | FTD Cos., Inc. | | | 215,249 | |
| | 8,464 | | | Shutterfly, Inc. | | | 389,175 | |
| | | | | | | | |
| | | | | | | 604,424 | |
| | |
| | Internet Software & Services – 0.6% | | | | |
| | 23,209 | | | Bankrate, Inc.* | | | 212,130 | |
| | 37,306 | | | Blucora, Inc.* | | | 298,821 | |
| | 25,877 | | | Marchex, Inc. Class B | | | 109,977 | |
| | 22,699 | | | Monster Worldwide, Inc.* | | | 72,637 | |
| | 5,417 | | | Web.com Group, Inc.* | | | 108,286 | |
| | | | | | | | |
| | | | | | | 801,851 | |
| | |
| | IT Services – 0.8% | | | | |
| | 1,522 | | | CACI International, Inc. Class A* | | | 146,340 | |
| | 5,337 | | | EVERTEC, Inc. | | | 71,889 | |
| | 20,357 | | | ManTech International Corp. Class A | | | 688,067 | |
| | 2,084 | | | Sykes Enterprises, Inc.* | | | 60,749 | |
| | 3,195 | | | Travelport Worldwide Ltd. | | | 44,570 | |
| | | | | | | | |
| | | | | | | 1,011,615 | |
| | |
| | Leisure Equipment & Products – 0.2% | | | | |
| | 24,736 | | | Callaway Golf Co. | | | 231,034 | |
| | |
| | Machinery – 2.8% | | | | |
| | 3,023 | | | Altra Industrial Motion Corp. | | | 86,760 | |
| | 3,559 | | | Astec Industries, Inc. | | | 172,256 | |
| | 10,571 | | | Barnes Group, Inc. | | | 343,452 | |
| | 1,682 | | | CLARCOR, Inc. | | | 98,851 | |
| | 50,303 | | | Federal Signal Corp. | | | 688,648 | |
| | 8,284 | | | Hyster-Yale Materials Handling, Inc. | | | 507,395 | |
| | 7,378 | | | Kadant, Inc. | | | 349,348 | |
| | 13,414 | | | Miller Industries, Inc. | | | 285,182 | |
| | 5,245 | | | Standex International Corp. | | | 402,239 | |
| | 6,987 | | | Tennant Co. | | | 373,176 | |
| | 20,862 | | | Wabash National Corp.* | | | 297,283 | |
| | 1,856 | | | Woodward, Inc. | | | 100,614 | |
| | | | | | | | |
| | | | | | | 3,705,204 | |
| | |
| | Metals & Mining – 3.3% | | | | |
| | 30,662 | | | Carpenter Technology Corp.(a) | | | 1,085,741 | |
| | 62,942 | | | Commercial Metals Co. | | | 1,127,921 | |
| | 18,448 | | | Ferroglobe PLC | | | 187,985 | |
| | 22,678 | | | Materion Corp. | | | 657,435 | |
| | 34,209 | | | Schnitzer Steel Industries, Inc. Class A | | | 705,390 | |
| | 16,463 | | | Worthington Industries, Inc. | | | 621,478 | |
| | | | | | | | |
| | | | | | | 4,385,950 | |
| | |
| Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Multi-Utilities – 0.8% | | | | |
| | 17,899 | | | NorthWestern Corp. | | $ | 1,017,379 | |
| | |
| | Oil, Gas & Consumable Fuels – 3.5% | | | | |
| | 43,724 | | | Alon USA Energy, Inc.(b) | | | 459,102 | |
| | 8,945 | | | Callon Petroleum Co.* | | | 94,012 | |
| | 14,275 | | | Carrizo Oil & Gas, Inc.* | | | 504,907 | |
| | 17,296 | | | Contango Oil & Gas Co.* | | | 217,584 | |
| | 97,440 | | | DHT Holdings, Inc. | | | 559,306 | |
| | 18,805 | | | Gener8 Maritime, Inc.* | | | 135,960 | |
| | 4,199 | | | Matador Resources Co.* | | | 90,488 | |
| | 53,409 | | | Oasis Petroleum, Inc.* | | | 517,533 | |
| | 9,394 | | | Par Pacific Holdings, Inc.* | | | 179,519 | |
| | 10,803 | | | Parsley Energy, Inc. Class A* | | | 253,006 | |
| | 14,968 | | | PDC Energy, Inc.* | | | 939,841 | |
| | 8,302 | | | REX American Resources Corp.* | | | 451,380 | |
| | 29,801 | | | Scorpio Tankers, Inc. | | | 186,554 | |
| | | | | | | | |
| | | | | | | 4,589,192 | |
| | |
| | Paper & Forest Products – 0.1% | | | | |
| | 3,853 | | | Schweitzer-Mauduit International, Inc. | | | 132,505 | |
| | |
| | Pharmaceuticals* – 0.2% | | | | |
| | 5,558 | | | Prestige Brands Holdings, Inc. | | | 315,583 | |
| | |
| | Professional Services – 0.5% | | | | |
| | 14,377 | | | CDI Corp. | | | 102,795 | |
| | 8,101 | | | Heidrick & Struggles International, Inc. | | | 159,833 | |
| | 1,908 | | | Huron Consulting Group, Inc.* | | | 106,104 | |
| | 22,711 | | | RPX Corp.* | | | 251,638 | |
| | | | | | | | |
| | | | | | | 620,370 | |
| | |
| | Real Estate Investment Trusts – 15.0% | | | | |
| | 55,555 | | | American Capital Mortgage Investment Corp. | | | 823,881 | |
| | 158,457 | | | Anworth Mortgage Asset Corp. | | | 747,917 | |
| | 24,986 | | | ARMOUR Residential REIT, Inc.(a) | | | 531,702 | |
| | 4,467 | | | Chatham Lodging Trust | | | 95,192 | |
| | 11,345 | | | CoreSite Realty Corp. | | | 850,081 | |
| | 94,339 | | | Cousins Properties, Inc. | | | 976,409 | |
| | 29,828 | | | CubeSmart | | | 883,207 | |
| | 9,194 | | | CyrusOne, Inc. | | | 405,731 | |
| | 34,988 | | | DCT Industrial Trust, Inc. | | | 1,412,465 | |
| | 26,993 | | | DuPont Fabros Technology, Inc. | | | 1,074,861 | |
| | 39,859 | | | FelCor Lodging Trust, Inc. | | | 285,390 | |
| | 50,162 | | | First Industrial Realty Trust, Inc. | | | 1,150,716 | |
| | 36,416 | | | Hudson Pacific Properties, Inc. | | | 1,065,168 | |
| | 70,622 | | | Invesco Mortgage Capital, Inc. | | | 907,493 | |
| | 48,111 | | | Mack-Cali Realty Corp. | | | 1,229,717 | |
| | 110,217 | | | New York Mortgage Trust, Inc.(a) | | | 573,128 | |
| | 44,087 | | | Pennsylvania Real Estate Investment Trust | | | 1,011,356 | |
| | 11,001 | | | PS Business Parks, Inc. | | | 1,053,456 | |
| | 1,039 | | | QTS Realty Trust, Inc. Class A | | | 50,308 | |
| | 28,985 | | | Rouse Properties, Inc. | | | 535,353 | |
| | 6,185 | | | Sovran Self Storage, Inc. | | | 656,971 | |
| | 26,311 | | | STAG Industrial, Inc. | | | 525,168 | |
| | 36,269 | | | Summit Hotel Properties, Inc. | | | 413,467 | |
| | |
| | |
| 56 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL CAP VALUE INSIGHTS FUND
| | | | | | | | |
| Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Real Estate Investment Trusts – (continued) | | | | |
| | 9,785 | | | Sun Communities, Inc. | | $ | 664,108 | |
| | 80,548 | | | Sunstone Hotel Investors, Inc. | | | 1,031,820 | |
| | 5,788 | | | The Geo Group, Inc. | | | 185,390 | |
| | 50,688 | | | Western Asset Mortgage Capital Corp.(a) | | | 505,359 | |
| | 8,131 | | | Xenia Hotels & Resorts, Inc. | | | 125,055 | |
| | | | | | | | |
| | | | | | | 19,770,869 | |
| | |
| | Real Estate Management & Development – 1.4% | �� | | | |
| | 27,175 | | | Alexander & Baldwin, Inc. | | | 1,039,172 | |
| | 3,053 | | | Kennedy-Wilson Holdings, Inc. | | | 65,975 | |
| | 19,621 | | | RE/MAX Holdings, Inc. Class A | | | 722,053 | |
| | | | | | | | |
| | | | | | | 1,827,200 | |
| | |
| | Road & Rail – 0.1% | | | | |
| | 5,741 | | | ArcBest Corp. | | | 109,596 | |
| | |
| | Semiconductors & Semiconductor Equipment – 2.6% | | | | |
| | 26,571 | | | Advanced Energy Industries, Inc.* | | | 859,572 | |
| | 9,773 | | | Cabot Microelectronics Corp. | | | 409,391 | |
| | 9,116 | | | Entegris, Inc.* | | | 121,152 | |
| | 25,913 | | | MKS Instruments, Inc. | | | 929,240 | |
| | 75,151 | | | Photronics, Inc.* | | | 795,098 | |
| | 4,651 | | | Power Integrations, Inc. | | | 224,411 | |
| | 2,607 | | | Semtech Corp.* | | | 56,415 | |
| | | | | | | | |
| | | | | | | 3,395,279 | |
| | |
| | Software – 1.2% | | | | |
| | 47,529 | | | Mentor Graphics Corp. | | | 948,679 | |
| | 931 | | | MicroStrategy, Inc. Class A* | | | 166,947 | |
| | 7,709 | | | Progress Software Corp.* | | | 196,734 | |
| | 10,255 | | | QAD, Inc. Class A | | | 201,100 | |
| | 4,690 | | | Rovi Corp.* | | | 82,638 | |
| | | | | | | | |
| | | | | | | 1,596,098 | |
| | |
| | Specialty Retail – 2.2% | | | | |
| | 17,328 | | | Abercrombie & Fitch Co. Class A | | | 463,178 | |
| | 23,901 | | | American Eagle Outfitters, Inc.(a) | | | 342,023 | |
| | 708 | | | Asbury Automotive Group, Inc.* | | | 42,919 | |
| | 5,752 | | | Caleres, Inc. | | | 145,008 | |
| | 7,068 | | | Group 1 Automotive, Inc. | | | 465,357 | |
| | 34,672 | | | Rent-A-Center, Inc. | | | 509,678 | |
| | 15,312 | | | Stage Stores, Inc. | | | 112,696 | |
| | 21,035 | | | The Cato Corp. Class A | | | 769,671 | |
| | | | | | | | |
| | | | | | | 2,850,530 | |
| | |
| | Textiles, Apparel & Luxury Goods – 0.3% | | | | |
| | 8,948 | | | Crocs, Inc.* | | | 74,716 | |
| | 3,797 | | | Deckers Outdoor Corp.* | | | 219,504 | |
| | 3,898 | | | Movado Group, Inc. | | | 109,963 | |
| | | | | | | | |
| | | | | | | 404,183 | |
| | |
| | Thrifts & Mortgage Finance – 3.7% | | | | |
| | 46,677 | | | Dime Community Bancshares, Inc. | | | 845,321 | |
| | 7,045 | | | Flagstar Bancorp, Inc.* | | | 166,755 | |
| | 48,327 | | | Northfield Bancorp, Inc. | | | 766,466 | |
| | 53,668 | | | Oritani Financial Corp. | | | 930,066 | |
| | 27,059 | | | Radian Group, Inc. | | | 346,085 | |
| | 8,498 | | | TrustCo Bank Corp. NY | | | 54,472 | |
| | 40,639 | | | Washington Federal, Inc. | | | 987,121 | |
| | |
| Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Thrifts & Mortgage Finance – (continued) | | | | |
| | 22,171 | | | WSFS Financial Corp. | | $ | 756,918 | |
| | | | | | | | |
| | | | | | | 4,853,204 | |
| | |
| | Trading Companies & Distributors – 1.3% | | | | |
| | 19,465 | | | Applied Industrial Technologies, Inc. | | | 892,081 | |
| | 5,753 | | | Beacon Roofing Supply, Inc.* | | | 245,826 | |
| | 37,420 | | | MRC Global, Inc.* | | | 523,131 | |
| | | | | | | | |
| | | | | | | 1,661,038 | |
| | |
| | Wireless Telecommunication Services – 0.2% | | | | |
| | 16,569 | | | Spok Holdings, Inc. | | | 281,507 | |
| | |
| | TOTAL COMMON STOCKS | |
| | (Cost $122,000,554) | | $ | 128,147,753 | |
| | |
| | | | | | | | | | | | | | |
Principal
Amount | | | Interest
Rate | | | Maturity
Date | | | Value | |
| | | | | | | | | | | | | | |
| | Short-term Investment(c) – 2.6% | |
| | Repurchase Agreements – 2.6% | |
| Joint Repurchase Agreement Account II | |
| $ | 3,400,000 | | | | 0.290 | % | | | 05/02/16 | | | $ | 3,400,000 | |
| | (Cost $3,400,000) | |
| | |
| TOTAL INVESTMENTS BEFORE SECURITIES
LENDING REINVESTMENT VEHICLE |
|
| | (Cost $125,400,554) | | | $ | 131,547,753 | |
| | |
| | | | | | | | |
| Shares | | | Rate | | Value | |
| | | | | | | | |
| | Securities Lending Reinvestment Vehicle(d)(e) – 2.3% | |
| Goldman Sachs Financial Square Money Market Fund – FST
Institutional Shares |
|
| | 2,972,375 | | | 0.430% | | $ | 2,972,375 | |
| | (Cost $2,972,375) | |
| | |
| | TOTAL INVESTMENTS – 102.4% | |
| | (Cost $128,372,929) | | $ | 134,520,128 | |
| | |
| LIABILITIES IN EXCESS OF
OTHER ASSETS – (2.4)% | | | (3,092,152 | ) |
| | |
| | NET ASSETS – 100.0% | | $ | 131,427,976 | |
| | |
| | |
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | | Non-income producing security. |
(a) | | All or a portion of security is on loan. |
(b) | | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. |
(c) | | Joint repurchase agreement was entered into on April 29, 2016. Additional information appears on page 63. |
(d) | | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on April 30, 2016. |
(e) | | Represents an affiliated issuer. |
| | |
|
Investment Abbreviations: |
PLC | | —Public Limited Company |
REIT | | —Real Estate Investment Trust |
|
| | |
| The accompanying notes are an integral part of these financial statements. | | 57 |
GOLDMAN SACHS SMALL CAP VALUE INSIGHTS FUND
Schedule of Investments (continued)
April 30, 2016 (Unaudited)
|
| ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At April 30, 2016, the Fund had the following futures contracts:
| | | | | | | | | | | | |
| Type | | Number of
Contracts
Long (Short) | | Expiration
Date | | Current
Value | | | Unrealized
Gain (Loss) | |
Russell 2000 Mini Index | | 21 | | June 2016 | | $ | 2,367,960 | | | $ | 146,851 | |
| | |
| 58 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. EQUITY INSIGHTS FUND
Schedule of Investments
April 30, 2016 (Unaudited)
| | | | | | | | |
| Shares | | | Description | | Value | |
| | Common Stocks – 97.4% | |
| | Aerospace & Defense – 0.8% | | | | |
| | 16,936 | | | General Dynamics Corp. | | $ | 2,379,847 | |
| | 7,466 | | | L-3 Communications Holdings, Inc. | | | 982,003 | |
| | 16,615 | | | Spirit AeroSystems Holdings, Inc. Class A* | | | 783,397 | |
| | | | | | | | |
| | | | | | | 4,145,247 | |
| | |
| | Airlines – 0.1% | | | | |
| | 12,190 | | | Delta Air Lines, Inc. | | | 507,957 | |
| | |
| | Auto Components – 0.3% | | | | |
| | 11,097 | | | Lear Corp. | | | 1,277,597 | |
| | 2,589 | | | Visteon Corp. | | | 206,266 | |
| | | | | | | | |
| | | | | | | 1,483,863 | |
| | |
| | Beverages – 2.9% | | | | |
| | 62,355 | | | Coca-Cola Enterprises, Inc. | | | 3,272,390 | |
| | 20,055 | | | Dr. Pepper Snapple Group, Inc. | | | 1,823,200 | |
| | 85,335 | | | PepsiCo., Inc. | | | 8,786,092 | |
| | | | | | | | |
| | | | | | | 13,881,682 | |
| | |
| | Biotechnology – 4.2% | | | | |
| | 42,658 | | | AbbVie, Inc. | | | 2,602,138 | |
| | 50,045 | | | Amgen, Inc. | | | 7,922,123 | |
| | 27,996 | | | Baxalta, Inc. | | | 1,174,432 | |
| | 39,819 | | | Celgene Corp.* | | | 4,117,683 | |
| | 16,655 | | | Gilead Sciences, Inc. | | | 1,469,138 | |
| | 8,305 | | | Incyte Corp.* | | | 600,202 | |
| | 6,484 | | | United Therapeutics Corp.* | | | 682,117 | |
| | 19,481 | | | Vertex Pharmaceuticals, Inc.* | | | 1,643,028 | |
| | | | | | | | |
| | | | | | | 20,210,861 | |
| | |
| | Capital Markets – 1.9% | | | | |
| | 34,091 | | | Ameriprise Financial, Inc. | | | 3,269,327 | |
| | 53,144 | | | E*TRADE Financial Corp.* | | | 1,338,166 | |
| | 36,001 | | | SEI Investments Co. | | | 1,730,928 | |
| | 71,279 | | | The Bank of New York Mellon Corp. | | | 2,868,267 | |
| | | | | | | | |
| | | | | | | 9,206,688 | |
| | |
| | Chemicals – 3.5% | | | | |
| | 16,212 | | | Air Products & Chemicals, Inc. | | | 2,365,169 | |
| | 19,108 | | | Axalta Coating Systems Ltd.* | | | 544,005 | |
| | 6,611 | | | Celanese Corp. Series A | | | 467,398 | |
| | 33,192 | | | PPG Industries, Inc. | | | 3,664,065 | |
| | 48,530 | | | Praxair, Inc. | | | 5,700,334 | |
| | 13,107 | | | The Dow Chemical Co. | | | 689,559 | |
| | 9,747 | | | The Sherwin-Williams Co. | | | 2,800,410 | |
| | 15,965 | | | Westlake Chemical Corp. | | | 801,283 | |
| | | | | | | | |
| | | | | | | 17,032,223 | |
| | |
| | Commercial Banks – 3.4% | | | | |
| | 251,502 | | | Bank of America Corp. | | | 3,661,869 | |
| | 133,556 | | | Fifth Third Bancorp | | | 2,445,410 | |
| | 35,232 | | | JPMorgan Chase & Co. | | | 2,226,663 | |
| | 180,541 | | | KeyCorp | | | 2,218,849 | |
| | 115,587 | | | SunTrust Banks, Inc. | | | 4,824,601 | |
| | 27,816 | | | Wells Fargo & Co. | | | 1,390,244 | |
| | | | | | | | |
| | | | | | | 16,767,636 | |
| | |
| Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Commercial Services & Supplies – 0.1% | | | | |
| | 19,148 | | | Tyco International PLC | | $ | 737,581 | |
| | |
| | Communications Equipment – 0.3% | | | | |
| | 53,894 | | | Brocade Communications Systems, Inc. | | | 517,921 | |
| | 34,512 | | | Juniper Networks, Inc. | | | 807,581 | |
| | | | | | | | |
| | | | | | | 1,325,502 | |
| | |
| | Computers & Peripherals – 4.2% | | | | |
| | 136,470 | | | Apple, Inc. | | | 12,792,698 | |
| | 240,100 | | | EMC Corp. | | | 6,269,011 | |
| | 27,643 | | | Hewlett Packard Enterprise Co. | | | 460,532 | |
| | 41,777 | | | NetApp, Inc. | | | 987,608 | |
| | | | | | | | |
| | | | | | | 20,509,849 | |
| | |
| | Construction & Engineering* – 0.2% | | | | |
| | 36,032 | | | Quanta Services, Inc. | | | 854,679 | |
| | |
| | Construction Materials – 0.9% | | | | |
| | 39,070 | | | Vulcan Materials Co. | | | 4,205,104 | |
| | |
| | Consumer Finance – 0.8% | | | | |
| | 10,350 | | | Ally Financial, Inc.* | | | 184,334 | |
| | 9,586 | | | American Express Co. | | | 627,212 | |
| | 101,018 | | | Synchrony Financial* | | | 3,088,120 | |
| | | | | | | | |
| | | | | | | 3,899,666 | |
| | |
| | Containers & Packaging – 0.0% | | | | |
| | 15,904 | | | Graphic Packaging Holding Co. | | | 211,205 | |
| | |
| | Diversified Financial Services – 1.6% | | | | |
| | 28,778 | | | Berkshire Hathaway, Inc. Class B* | | | 4,186,623 | |
| | 15,869 | | | Intercontinental Exchange, Inc. | | | 3,809,036 | |
| | | | | | | | |
| | | | | | | 7,995,659 | |
| | |
| | Diversified Telecommunication Services – 2.3% | | | | |
| | 42,940 | | | AT&T, Inc. | | | 1,666,931 | |
| | 185,562 | | | Verizon Communications, Inc. | | | 9,452,528 | |
| | | | | | | | |
| | | | | | | 11,119,459 | |
| | |
| | Electric Utilities – 0.8% | | | | |
| | 75,543 | | | FirstEnergy Corp. | | | 2,461,946 | |
| | 48,177 | | | Great Plains Energy, Inc. | | | 1,504,568 | |
| | | | | | | | |
| | | | | | | 3,966,514 | |
| | |
| | Electrical Equipment – 0.3% | | | | |
| | 14,824 | | | AMETEK, Inc. | | | 712,886 | |
| | 14,707 | | | Eaton Corp. PLC | | | 930,512 | |
| | | | | | | | |
| | | | | | | 1,643,398 | |
| | |
| | Electronic Equipment, Instruments & Components* – 0.5% | |
| | 190,937 | | | Flextronics International Ltd. | | | 2,319,885 | |
| | |
| | Energy Equipment & Services* – 0.4% | | | | |
| | 59,028 | | | FMC Technologies, Inc. | | | 1,799,764 | |
| | |
| | Food & Staples Retailing – 2.3% | | | | |
| | 73,795 | | | Sysco Corp. | | | 3,399,736 | |
| | 74,777 | | | The Kroger Co. | | | 2,646,358 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 59 |
GOLDMAN SACHS U.S. EQUITY INSIGHTS FUND
Schedule of Investments (continued)
April 30, 2016 (Unaudited)
| | | | | | | | |
| Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Food & Staples Retailing – (continued) | | | | |
| | 63,007 | | | Walgreens Boots Alliance, Inc. | | $ | 4,995,195 | |
| | | | | | | | |
| | | | | | | 11,041,289 | |
| | |
| | Food Products – 2.8% | | | | |
| | 4,518 | | | Bunge Ltd. | | | 282,375 | |
| | 117,163 | | | ConAgra Foods, Inc. | | | 5,220,783 | |
| | 69,177 | | | Kellogg Co. | | | 5,313,486 | |
| | 3,639 | | | Pinnacle Foods, Inc. | | | 154,985 | |
| | 4,141 | | | The J.M. Smucker Co. | | | 525,824 | |
| | 30,783 | | | Tyson Foods, Inc. Class A | | | 2,026,137 | |
| | | | | | | | |
| | | | | | | 13,523,590 | |
| | |
| | Health Care Equipment & Supplies – 2.1% | | | | |
| | 16,075 | | | Baxter International, Inc. | | | 710,837 | |
| | 25,532 | | | C.R. Bard, Inc. | | | 5,417,124 | |
| | 120,905 | | | Hologic, Inc.* | | | 4,061,199 | |
| | | | | | | | |
| | | | | | | 10,189,160 | |
| | |
| | Health Care Providers & Services – 2.7% | | | | |
| | 13,398 | | | Aetna, Inc. | | | 1,504,194 | |
| | 3,746 | | | Anthem, Inc. | | | 527,324 | |
| | 42,723 | | | Cigna Corp. | | | 5,918,844 | |
| | 28,373 | | | Express Scripts Holding Co.* | | | 2,091,941 | |
| | 18,696 | | | McKesson Corp. | | | 3,137,563 | |
| | | | | | | | |
| | | | | | | 13,179,866 | |
| | |
| | Hotels, Restaurants & Leisure – 1.3% | | | | |
| | 48,447 | | | Carnival Corp. | | | 2,376,325 | |
| | 20,903 | | | McDonald’s Corp. | | | 2,644,021 | |
| | 18,468 | | | Yum! Brands, Inc. | | | 1,469,314 | |
| | | | | | | | |
| | | | | | | 6,489,660 | |
| | |
| | Household Durables – 0.9% | | | | |
| | 15,523 | | | Mohawk Industries, Inc.* | | | 2,990,196 | |
| | 9,215 | | | Whirlpool Corp. | | | 1,604,700 | |
| | | | | | | | |
| | | | | | | 4,594,896 | |
| | |
| | Household Products – 1.4% | | | | |
| | 67,418 | | | Colgate-Palmolive Co.(a) | | | 4,781,285 | |
| | 24,367 | | | The Procter & Gamble Co. | | | 1,952,284 | |
| | | | | | | | |
| | | | | | | 6,733,569 | |
| | |
| | Independent Power Producers & Energy Traders – 0.8% | | | | |
| | 185,264 | | | AES Corp. | | | 2,067,546 | |
| | 101,797 | | | Calpine Corp.* | | | 1,606,357 | |
| | | | | | | | |
| | | | | | | 3,673,903 | |
| | |
| | Industrial Conglomerates – 0.6% | | | | |
| | 96,357 | | | General Electric Co. | | | 2,962,978 | |
| | |
| | Insurance – 4.2% | | | | |
| | 102,970 | | | Lincoln National Corp. | | | 4,474,047 | |
| | 13,706 | | | Principal Financial Group, Inc. | | | 584,972 | |
| | 50,841 | | | Reinsurance Group of America, Inc. | | | 4,841,080 | |
| | 21,660 | | | The Allstate Corp. | | | 1,408,983 | |
| | 47,109 | | | The Travelers Cos., Inc. | | | 5,177,279 | |
| | |
| Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Insurance – (continued) | | | | |
| | 2,976 | | | W.R. Berkley Corp. | | | 166,656 | |
| | 109,826 | | | XL Group PLC | | | 3,594,605 | |
| | | | | | | | |
| | | | | | | 20,247,622 | |
| | |
| | Internet & Catalog Retail – 2.0% | | | | |
| | 10,426 | | | Amazon.com, Inc.* | | | 6,876,886 | |
| | 1,991 | | | Expedia, Inc. | | | 230,498 | |
| | 9,836 | | | Netflix, Inc.* | | | 885,535 | |
| | 1,220 | | | The Priceline Group, Inc.* | | | 1,639,265 | |
| | | | | | | | |
| | | | | | | 9,632,184 | |
| | |
| | Internet Software & Services* – 5.3% | | | | |
| | 8,019 | | | Alphabet, Inc. Class A | | | 5,676,490 | |
| | 8,146 | | | Alphabet, Inc. Class C | | | 5,645,259 | |
| | 224,301 | | | eBay, Inc. | | | 5,479,673 | |
| | 61,786 | | | Facebook, Inc. Class A | | | 7,264,798 | |
| | 39,909 | | | Rackspace Hosting, Inc. | | | 912,719 | |
| | 21,561 | | | Yahoo!, Inc. | | | 789,133 | |
| | | | | | | | |
| | | | | | | 25,768,072 | |
| | |
| | IT Services – 1.5% | | | | |
| | 14,082 | | | Alliance Data Systems Corp.* | | | 2,863,011 | |
| | 12,516 | | | Amdocs Ltd. | | | 707,655 | |
| | 17,604 | | | Cognizant Technology Solutions Corp. Class A* | | | 1,027,545 | |
| | 11,812 | | | MasterCard, Inc. Class A | | | 1,145,646 | |
| | 26,835 | | | Vantiv, Inc. Class A* | | | 1,463,581 | |
| | | | | | | | |
| | | | | | | 7,207,438 | |
| | |
| | Life Sciences Tools & Services – 1.0% | | | | |
| | 34,048 | | | Thermo Fisher Scientific, Inc. | | | 4,911,424 | |
| | |
| | Machinery – 2.1% | | | | |
| | 139,774 | | | Allison Transmission Holdings, Inc. | | | 4,026,889 | |
| | 54,606 | | | Illinois Tool Works, Inc. | | | 5,707,419 | |
| | 3,088 | | | Stanley Black & Decker, Inc. | | | 345,609 | |
| | | | | | | | |
| | | | | | | 10,079,917 | |
| | |
| | Media – 2.2% | | | | |
| | 24,865 | | | Cablevision Systems Corp. Class A | | | 830,242 | |
| | 16,148 | | | Comcast Corp. Class A | | | 981,153 | |
| | 69,249 | | | Liberty Global PLC Series C* | | | 2,534,513 | |
| | 26,642 | | | The Interpublic Group of Cos., Inc. | | | 611,168 | |
| | 19,035 | | | Time Warner Cable, Inc. | | | 4,037,514 | |
| | 14,373 | | | Time Warner, Inc. | | | 1,079,987 | |
| | 19,966 | | | Twenty-First Century Fox, Inc. Class A | | | 604,171 | |
| | | | | | | | |
| | | | | | | 10,678,748 | |
| | |
| | Metals & Mining – 1.7% | | | | |
| | 27,984 | | | Nucor Corp. | | | 1,393,044 | |
| | 39,758 | | | Reliance Steel & Aluminum Co. | | | 2,940,899 | |
| | 152,431 | | | Steel Dynamics, Inc. | | | 3,842,785 | |
| | | | | | | | |
| | | | | | | 8,176,728 | |
| | |
| | Multi-Utilities – 0.7% | | | | |
| | 30,899 | | | Sempra Energy | | | 3,193,412 | |
| | |
| | |
| 60 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. EQUITY INSIGHTS FUND
| | | | | | | | |
| Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Multiline Retail – 1.0% | | | | |
| | 20,603 | | | Dollar General Corp. | | $ | 1,687,592 | |
| | 38,833 | | | Target Corp. | | | 3,087,223 | |
| | | | | | | | |
| | | | | | | 4,774,815 | |
| | |
| | Oil, Gas & Consumable Fuels – 6.2% | | | | |
| | 2,622 | | | Chevron Corp. | | | 267,916 | |
| | 59,244 | | | ConocoPhillips | | | 2,831,271 | |
| | 10,396 | | | Energen Corp. | | | 441,726 | |
| | 40,094 | | | EOG Resources, Inc. | | | 3,312,566 | |
| | 54,149 | | | Exxon Mobil Corp. | | | 4,786,772 | |
| | 34,738 | | | Kinder Morgan, Inc. | | | 616,947 | |
| | 107,964 | | | Newfield Exploration Co.* | | | 3,913,695 | |
| | 17,203 | | | Noble Energy, Inc. | | | 621,200 | |
| | 81,378 | | | Occidental Petroleum Corp. | | | 6,237,624 | |
| | 34,164 | | | Pioneer Natural Resources Co. | | | 5,674,640 | |
| | 26,394 | | | World Fuel Services Corp.(a) | | | 1,233,392 | |
| | | | | | | | |
| | | | | | | 29,937,749 | |
| | |
| | Personal Products – 0.1% | | | | |
| | 7,523 | | | The Estee Lauder Cos., Inc. Class A | | | 721,230 | |
| | |
| | Pharmaceuticals – 6.2% | | | | |
| | 3,896 | | | Eli Lilly & Co. | | | 294,265 | |
| | 117,992 | | | Johnson & Johnson | | | 13,224,543 | |
| | 161,939 | | | Merck & Co., Inc. | | | 8,880,735 | |
| | 23,016 | | | Mylan NV* | | | 959,997 | |
| | 207,248 | | | Pfizer, Inc. | | | 6,779,082 | |
| | | | | | | | |
| | | | | | | 30,138,622 | |
| | |
| | Real Estate Investment Trusts – 0.9% | | | | |
| | 19,333 | | | Apartment Investment & Management Co. Class A | | | 774,480 | |
| | 6,323 | | | Equity Commonwealth* | | | 176,475 | |
| | 35,970 | | | Equity LifeStyle Properties, Inc. | | | 2,463,585 | |
| | 4,181 | | | Post Properties, Inc. | | | 239,822 | |
| | 10,106 | | | ProLogis, Inc. | | | 458,914 | |
| | 11,242 | | | Starwood Property Trust, Inc. | | | 217,645 | |
| | | | | | | | |
| | | | | | | 4,330,921 | |
| | |
| | Road & Rail – 1.6% | | | | |
| | 58,577 | | | CSX Corp. | | | 1,597,395 | |
| | 33,732 | | | Norfolk Southern Corp. | | | 3,039,590 | |
| | 35,504 | | | Union Pacific Corp. | | | 3,097,014 | |
| | | | | | | | |
| | | | | | | 7,733,999 | |
| | |
| | Semiconductors & Semiconductor Equipment – 3.8% | | | | |
| | 100,055 | | | Applied Materials, Inc. | | | 2,048,126 | |
| | 46,042 | | | Intel Corp. | | | 1,394,152 | |
| | 70,674 | | | KLA-Tencor Corp. | | | 4,942,939 | |
| | 16,790 | | | Lam Research Corp. | | | 1,282,756 | |
| | 101,290 | | | Maxim Integrated Products, Inc. | | | 3,618,079 | |
| | 15,646 | | | QUALCOMM, Inc. | | | 790,436 | |
| | 42,045 | | | Teradyne, Inc. | | | 795,071 | |
| | 60,307 | | | Texas Instruments, Inc. | | | 3,439,911 | |
| | | | | | | | |
| | | | | | | 18,311,470 | |
| | |
| Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Software – 7.2% | | | | |
| | 54,018 | | | Adobe Systems, Inc.* | | $ | 5,089,576 | |
| | 6,007 | | | ANSYS, Inc.* | | | 545,255 | |
| | 84,889 | | | Cadence Design Systems, Inc.* | | | 1,968,576 | |
| | 27,928 | | | CDK Global, Inc. | | | 1,328,535 | |
| | 63,314 | | | Citrix Systems, Inc.* | | | 5,181,618 | |
| | 167,722 | | | Microsoft Corp. | | | 8,364,296 | |
| | 83,529 | | | Nuance Communications, Inc.* | | | 1,435,028 | |
| | 204,424 | | | Oracle Corp. | | | 8,148,341 | |
| | 18,002 | | | PTC, Inc.* | | | 656,353 | |
| | 107,160 | | | Symantec Corp. | | | 1,783,678 | |
| | 10,983 | | | Synopsys, Inc.* | | | 521,912 | |
| | | | | | | | |
| | | | | | | 35,023,168 | |
| | |
| | Specialty Retail – 3.8% | | | | |
| | 2,804 | | | AutoZone, Inc.* | | | 2,145,705 | |
| | 2,319 | | | L Brands, Inc. | | | 181,555 | |
| | 88,915 | | | Lowe’s Cos., Inc. | | | 6,759,318 | |
| | 23,223 | | | Sally Beauty Holdings, Inc.* | | | 729,202 | |
| | 63,645 | | | The Home Depot, Inc. | | | 8,521,429 | |
| | | | | | | | |
| | | | | | | 18,337,209 | |
| | |
| | Textiles, Apparel & Luxury Goods – 0.3% | | | | |
| | 21,541 | | | NIKE, Inc. Class B | | | 1,269,626 | |
| | |
| | Trading Companies & Distributors – 1.2% | | | | |
| | 34,799 | | | HD Supply Holdings, Inc.* | | | 1,192,910 | |
| | 3,307 | | | United Rentals, Inc.* | | | 221,337 | |
| | 34,214 | | | Watsco, Inc. | | | 4,600,757 | |
| | | | | | | | |
| | | | | | | 6,015,004 | |
| | |
| | TOTAL COMMON STOCKS | |
| | (Cost $447,307,470) | | $ | 472,702,691 | |
| | |
| | | | | | | | | | | | | | |
Principal
Amount | | | Interest
Rate | | | Maturity
Date | | | Value | |
| | Short-term Investment(b) – 2.7% | |
| | Repurchase Agreements – 2.7% | | | | | |
| Joint Repurchase Agreement Account II | | | | | |
| $ | 12,900,000 | | | | 0.290 | % | | | 05/02/16 | | | $ | 12,900,000 | |
| | (Cost $12,900,000) | | | | | | | | | |
| | |
| | TOTAL INVESTMENTS – 100.1% | |
| | (Cost $460,207,470) | | | | | | | $ | 485,602,691 | |
| | |
| LIABILITIES IN EXCESS OF
OTHER ASSETS – (0.1)% |
| | | (571,222 | ) |
| | |
| | NET ASSETS – 100.0% | | | | | | | $ | 485,031,469 | |
| | |
| | |
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | | Non-income producing security. |
(a) | | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. |
(b) | | Joint repurchase agreement was entered into on April 29, 2016. Additional information appears on page 63. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 61 |
GOLDMAN SACHS U.S. EQUITY INSIGHTS FUND
Schedule of Investments (continued)
April 30, 2016 (Unaudited)
|
| ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At April 30, 2016, the Fund had the following futures contracts:
| | | | | | | | | | | | |
| Type | | Number of
Contracts
Long (Short) | | Expiration
Date | | Current
Value | | | Unrealized
Gain (Loss) | |
S&P 500 E-Mini Index | | 83 | | June 2016 | | $ | 8,545,265 | | | $ | 245,118 | |
| | |
| 62 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Schedule of Investments
April 30, 2016 (Unaudited)
|
| ADDITIONAL INVESTMENT INFORMATION |
JOINT REPURCHASE AGREEMENT ACCOUNT II — At April 30, 2016, the Funds had undivided interests in the Joint Repurchase Agreement Account II, with a maturity date of May 2, 2016, as follows:
| | | | | | | | | | | | |
| Fund | | Principal
Amount | | | Maturity
Value | | | Collateral
Allocation
Value | |
Large Cap Growth Insights | | $ | 8,300,000 | | | $ | 8,300,134 | | | $ | 8,474,288 | |
Large Cap Value Insights | | | 25,200,000 | | | | 25,200,406 | | | | 25,729,163 | |
Small Cap Equity Insights | | | 13,100,000 | | | | 13,100,211 | | | | 13,375,081 | |
Small Cap Growth Insights | | | 4,500,000 | | | | 4,500,073 | | | | 4,594,493 | |
Small Cap Value Insights | | | 3,400,000 | | | | 3,400,055 | | | | 3,471,395 | |
U.S. Equity Insights | | | 12,900,000 | | | | 12,900,208 | | | | 13,170,881 | |
REPURCHASE AGREEMENTS — At April 30, 2016, the Principal Amount of the Funds’ interest in the Joint Repurchase Agreement Account II was as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Interest
Rate | | | Large Cap
Growth Insights | | | Large Cap
Value Insights | | | Small Cap
Equity Insights | | | Small Cap
Growth Insights | | | Small Cap
Value Insights | | | U.S. Equity Insights | |
BNP Paribas Securities Co. | | | 0.30 | % | | | 1,378,064 | | | | 4,184,002 | | | | 2,175,017 | | | | 747,143 | | | | 564,508 | | | | 2,141,811 | |
Citigroup Global Markets, Inc. | | | 0.30 | | | | 1,742,846 | | | | 5,291,532 | | | | 2,750,757 | | | | 944,916 | | | | 713,937 | | | | 2,708,761 | |
Merrill Lynch & Co., Inc. | | | 0.30 | | | | 1,166,491 | | | | 3,541,636 | | | | 1,841,088 | | | | 632,436 | | | | 477,840 | | | | 1,812,979 | |
Merrill Lynch & Co., Inc. | | | 0.28 | | | | 4,012,599 | | | | 12,182,830 | | | | 6,333,138 | | | | 2,175,505 | | | | 1,643,715 | | | | 6,236,449 | |
| TOTAL | | | | 8,300,000 | | | | 25,200,000 | | | | 13,100,000 | | | | 4,500,000 | | | | 3,400,000 | | | | 12,900,000 | |
At April 30, 2016, the Joint Repurchase Agreement Account II was fully collateralized by:
| | | | | | | | |
| Issuer | | Interest Rates | | | Maturity Dates | |
Federal Farm Credit Banks | | | 3.330 | % | | | 02/01/33 | |
Federal Home Loan Banks | | | 3.375 to 5.500 | | | | 09/01/28 to 07/15/36 | |
Federal Home Loan Mortgage Corp. | | | 4.000 to 7.500 | | | | 09/01/17 to 11/01/45 | |
Federal National Mortgage Association | | | 2.500 to 6.500 | | | | 03/01/19 to 08/01/45 | |
Government National Mortgage Association | | | 3.500 to 10.000 | | | | 02/15/18 to 04/20/46 | |
United States Treasury Floating Rate Note | | | 0.518 | | | | 10/31/17 | |
United States Treasury Inflation Protected Securities | | | 0.125 | | | | 07/15/22 | |
U.S. Treasury Notes | | | 1.625 to 2.500 | | | | 06/30/20 to 08/15/23 | |
United States Treasury Stripped Securities | | | 0.000 | | | | 11/15/31 to 02/15/44 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 63 |
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Statements of Assets and Liabilities
April 30, 2016 (Unaudited)
| | | | | | |
| | | | | Large Cap Growth
Insights Fund | |
| | Assets: | | | | |
| | Investments, at value (cost $761,492,825, $382,039,125, $185,342,947, $148,843,471, $125,400,554 and $460,207,470)(a) | | $ | 772,477,059 | |
| | Investments in securities lending reinvestment vehicle — affiliated issuer, at value which equals cost | | | 5,814,625 | |
| | Cash | | | 75,169 | |
| | Receivables: | | | | |
| | Investments sold | | | 49,751,518 | |
| | Fund shares sold | | | 1,183,536 | |
| | Dividends and interest | | | 464,267 | |
| | Reimbursement from investment adviser | | | 37,512 | |
| | Securities lending income | | | 122 | |
| | Other assets | | | 1,674 | |
| | Total assets | | | 829,805,482 | |
| | | | | | |
| | Liabilities: | | | | |
| | Variation margin on certain derivative contracts | | | 83,767 | |
| | Payables: | | | | |
| | Investments purchased | | | 38,417,412 | |
| | Payable upon return of securities loaned | | | 5,814,625 | |
| | Fund shares redeemed | | | 724,075 | |
| | Management fees | | | 345,837 | |
| | Distribution and Service fees and Transfer Agency fees | | | 158,494 | |
| | Accrued expenses | | | 100,334 | |
| | Total liabilities | | | 45,644,544 | |
| | | | | | |
| | Net Assets: | | | | |
| | Paid-in capital | | | 1,022,234,049 | |
| | Undistributed net investment income | | | 3,048,184 | |
| | Accumulated net realized loss | | | (252,607,731 | ) |
| | Net unrealized gain (loss) | | | 11,486,436 | |
| | | NET ASSETS | | $ | 784,160,938 | |
| | | Net Assets: | | | | |
| | | Class A | | $ | 217,437,172 | |
| | | Class C | | | 50,617,263 | |
| | | Institutional | | | 460,407,697 | |
| | | Service | | | 5,575,492 | |
| | | Class IR | | | 33,063,358 | |
| | | Class R | | | 16,314,687 | |
| | | Class R6 | | | 745,269 | |
| | | Total Net Assets | | $ | 784,160,938 | |
| | | Shares Outstanding $0.001 par value (unlimited number of shares authorized): | | | | |
| | | Class A | | | 9,618,343 | |
| | | Class C | | | 2,462,418 | |
| | | Institutional | | | 19,758,799 | |
| | | Service | | | 249,552 | |
| | | Class IR | | | 1,480,115 | |
| | | Class R | | | 736,739 | |
| | | Class R6 | | | 31,987 | |
| | | Net asset value, offering and redemption price per share:(b) | | | | |
| | | Class A | | | $22.61 | |
| | | Class C | | | 20.56 | |
| | | Institutional | | | 23.30 | |
| | | Service | | | 22.34 | |
| | | Class IR | | | 22.34 | |
| | | Class R | | | 22.14 | |
| | | Class R6 | | | 23.30 | |
| | (a) | | Includes loaned securities having a market value of $5,687,410, $2,204,148, $7,824,793, $8,413,661 and $2,870,770 for the Large Cap Growth Insights, Large Cap Value Insights, Small Cap Equity Insights, Small Cap Growth Insights and Small Cap Value Insights Funds, respectively. |
| | (b) | | Maximum public offering price per share for Class A Shares of the Large Cap Growth Insights, Large Cap Value Insights, Small Cap Equity Insights, Small Cap Growth Insights, Small Cap Value Insights and U.S. Equity Insights Funds is $23.93, $17.66, $19.76, $28.61, $38.47 and $41.50, respectively. At redemption, Class B and Class C Shares may be subject to a contingent deferred sales charge assessed on the amount equal to the lesser of the current NAV or the original purchase price of the shares. |
| | |
| 64 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Large Cap Value
Insights Fund | | | | | Small Cap Equity
Insights Fund | | | | | Small Cap Growth
Insights Fund | | | | | Small Cap Value
Insights Fund | | | | | U.S. Equity
Insights Fund | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 385,923,308 | | | | | $ | 183,101,780 | | | | | $ | 148,560,753 | | | | | $ | 131,547,753 | | | | | $ | 485,602,691 | |
| | | 2,253,450 | | | | | | 8,035,251 | | | | | | 8,640,910 | | | | | | 2,972,375 | | | | | | — | |
| | | 40,500 | | | | | | 42,152 | | | | | | 95,121 | | | | | | 77,671 | | | | | | 8,285 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 18,780,668 | | | | | | 2,629,608 | | | | | | 1,990,288 | | | | | | 1,922,560 | | | | | | 24,376,534 | |
| | | 342,045 | | | | | | 82,702 | | | | | | 140,402 | | | | | | 48,964 | | | | | | 287,403 | |
| | | 373,996 | | | | | | 370,813 | | | | | | 381,795 | | | | | | 40,706 | | | | | | 434,141 | |
| | | 26,844 | | | | | | 27,590 | | | | | | 27,694 | | | | | | 28,623 | | | | | | 30,651 | |
| | | — | | | | | | 8,318 | | | | | | 15,562 | | | | | | 1,479 | | | | | | — | |
| | | 3,642 | | | | | | 591 | | | | | | 923 | | | | | | 517 | | | | | | 1,567 | |
| | | 407,744,453 | | | | | | 194,298,805 | | | | | | 159,853,448 | | | | | | 136,640,648 | | | | | | 510,741,272 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 32,579 | | | | | | 32,602 | | | | | | 25,393 | | | | | | 25,574 | | | | | | 55,176 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 34,593,796 | | | | | | 11,394,923 | | | | | | 2,754,368 | | | | | | 1,787,241 | | | | | | 24,270,768 | |
| | | 2,253,450 | | | | | | 8,035,251 | | | | | | 8,640,910 | | | | | | 2,972,375 | | | | | | — | |
| | | 688,968 | | | | | | 118,596 | | | | | | 109,049 | | | | | | 180,094 | | | | | | 695,271 | |
| | | 150,460 | | | | | | 112,509 | | | | | | 98,767 | | | | | | 85,758 | | | | | | 207,398 | |
| | | 46,062 | | | | | | 33,138 | | | | | | 31,534 | | | | | | 50,975 | | | | | | 149,990 | |
| | | 85,632 | | | | | | 123,997 | | | | | | 88,425 | | | | | | 110,655 | | | | | | 331,200 | |
| | | 37,850,947 | | | | | | 19,851,016 | | | | | | 11,748,446 | | | | | | 5,212,672 | | | | | | 25,709,803 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 681,756,336 | | | | | | 253,150,641 | | | | | | 153,419,270 | | | | | | 127,587,897 | | | | | | 464,348,525 | |
| | | 434,301 | | | | | | 675,812 | | | | | | 367,185 | | | | | | 170,237 | | | | | | 1,674,081 | |
| | | (316,376,615 | ) | | | | | (77,186,510 | ) | | | | | (5,458,247 | ) | | | | | (2,624,208 | ) | | | | | (6,631,476 | ) |
| | | 4,079,484 | | | | | | (2,192,154 | ) | | | | | (223,206 | ) | | | | | 6,294,050 | | | | | | 25,640,339 | |
| | | $ | 369,893,506 | | | | | $ | 174,447,789 | | | | | $ | 148,105,002 | | | | | $ | 131,427,976 | | | | | $ | 485,031,469 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | $ | 59,761,662 | | | | | $ | 31,270,943 | | | | | $ | 52,206,143 | | | | | $ | 89,570,889 | | | | | $ | 258,725,234 | |
| | | | 14,218,239 | | | | | | 12,672,553 | | | | | | 7,408,127 | | | | | | 15,377,140 | | | | | | 34,327,653 | |
| | | | 280,787,496 | | | | | | 119,595,062 | | | | | | 75,321,573 | | | | | | 19,389,093 | | | | | | 153,236,546 | |
| | | | 6,830,088 | | | | | | 688,010 | | | | | | — | | | | | | — | | | | | | 4,240,475 | |
| | | | 6,956,509 | | | | | | 865,644 | | | | | | 5,534,872 | | | | | | 1,911,195 | | | | | | 5,916,996 | |
| | | | 1,329,696 | | | | | | 9,328,921 | | | | | | 3,529,079 | | | | | | 5,169,703 | | | | | | 28,574,839 | |
| | | | 9,816 | | | | | | 26,656 | | | | | | 4,105,208 | | | | | | 9,956 | | | | | | 9,726 | |
| | | $ | 369,893,506 | | | | | $ | 174,447,789 | | | | | $ | 148,105,002 | | | | | $ | 131,427,976 | | | | | $ | 485,031,469 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | 3,580,130 | | | | | | 1,674,940 | | | | | | 1,930,572 | | | | | | 2,464,399 | | | | | | 6,596,283 | |
| | | | 859,127 | | | | | | 773,267 | | | | | | 341,575 | | | | | | 554,546 | | | | | | 957,979 | |
| | | | 16,832,238 | | | | | | 6,184,124 | | | | | | 2,413,873 | | | | | | 420,884 | | | | | | 3,806,266 | |
| | | | 407,563 | | | | | | 37,368 | | | | | | — | | | | | | — | | | | | | 108,485 | |
| | | | 417,797 | | | | | | 46,690 | | | | | | 200,709 | | | | | | 52,757 | | | | | | 152,425 | |
| | | | 80,059 | | | | | | 508,398 | | | | | | 134,354 | | | | | | 144,054 | | | | | | 739,234 | |
| | | | 589 | | | | | | 1,378 | | | | | | 131,525 | | | | | | 216 | | | | | | 242 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $16.69 | | | | | | $18.67 | | | | | | $27.04 | | | | | | $36.35 | | | | | | $39.22 | |
| | | | 16.55 | | | | | | 16.39 | | | | | | 21.69 | | | | | | 27.73 | | | | | | 35.83 | |
| | | | 16.68 | | | | | | 19.34 | | | | | | 31.20 | | | | | | 46.07 | | | | | | 40.26 | |
| | | | 16.76 | | | | | | 18.41 | | | | | | — | | | | | | — | | | | | | 39.09 | |
| | | | 16.65 | | | | | | 18.54 | | | | | | 27.58 | | | | | | 36.23 | | | | | | 38.82 | |
| | | | 16.61 | | | | | | 18.35 | | | | | | 26.27 | | | | | | 35.89 | | | | | | 38.65 | |
| | | | 16.68 | | | | | | 19.34 | | | | | | 31.21 | | | | | | 46.06 | | | | | | 40.25 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 65 |
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Statements of Operations
For the Six Months Ended April 30, 2016 (Unaudited)
| | | | | | |
| | | | | Large Cap Growth
Insights Fund | |
| | Investment income: | | | | |
| | Dividends | | $ | 6,105,680 | |
| | Interest | | | 30,736 | |
| | Securities lending income — affiliated issuer | | | 162 | |
| | Total investment income | | | 6,136,578 | |
| | | | | | |
| | Expenses: | | | | |
| | Management fees | | | 2,654,565 | |
| | Distribution and Service fees(a) | | | 530,983 | |
| | Transfer Agency fees(a) | | | 387,758 | |
| | Registration fees | | | 74,260 | |
| | Custody, accounting and administrative services | | | 56,117 | |
| | Professional fees | | | 55,521 | |
| | Printing and mailing costs | | | 36,193 | |
| | Trustee fees | | | 12,336 | |
| | Service Share fees — Service Plan | | | 4,527 | |
| | Service Share fees — Shareholder Administration Plan | | | 4,527 | |
| | Other | | | 9,538 | |
| | Total expenses | | | 3,826,325 | |
| | Less — expense reductions | | | (758,542 | ) |
| | Net expenses | | | 3,067,783 | |
| | NET INVESTMENT INCOME | | | 3,068,795 | |
| | | | | | |
| | Realized and unrealized gain (loss): | | | | |
| | Net realized gain (loss) from: | | | | |
| | Investments | | | 5,880,138 | |
| | Futures contracts | | | (263,501 | ) |
| | Net change in unrealized gain (loss) on: | | | | |
| | Investments | | | (24,345,161 | ) |
| | Futures contracts | | | (96,853 | ) |
| | Net realized and unrealized gain (loss) | | | (18,825,377 | ) |
| | NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | $ | (15,756,582 | ) |
| | (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 | | | Class IR | | | Class R | | | Class R6 | |
Large Cap Growth Insights | | $ | 252,598 | | | $ | 245,738 | | | $ | 32,647 | | | $ | 191,975 | | | $ | 46,690 | | | $ | 102,766 | | | $ | 724 | | | $ | 33,185 | | | $ | 12,406 | | | $ | 12 | |
Large Cap Value Insights | | | 74,277 | | | | 70,603 | | | | 3,184 | | | | 56,451 | | | | 13,414 | | | | 52,790 | | | | 1,322 | | | | 5,456 | | | | 1,210 | | | | 1 | |
Small Cap Equity Insights | | | 38,844 | | | | 65,178 | | | | 22,325 | | | | 29,521 | | | | 12,384 | | | | 18,936 | | | | 160 | | | | 937 | | | | 8,483 | | | | 1 | |
Small Cap Growth Insights | | | 57,317 | | | | 38,883 | | | | 6,578 | | | | 43,561 | | | | 7,388 | | | | 13,764 | | | | — | | | | 4,642 | | | | 2,499 | | | | 71 | |
Small Cap Value Insights | | | 108,354 | | | | 75,723 | | | | 12,026 | | | | 82,349 | | | | 14,387 | | | | 3,735 | | | | — | | | | 1,664 | | | | 4,570 | | | | 1 | |
U.S. Equity Insights | | | 319,552 | | | | 173,300 | | | | 67,726 | | | | 242,860 | | | | 32,927 | | | | 25,777 | | | | 726 | | | | 4,946 | | | | 25,736 | | | | 1 | |
| | |
| 66 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Large Cap Value
Insights Fund | | | | | Small Cap Equity
Insights Fund | | | | | Small Cap Growth
Insights Fund | | | | | Small Cap Value
Insights Fund | | | | | U.S. Equity
Insights Fund | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 4,294,743 | | | | | $ | 1,553,647 | | | | | $ | 993,886 | | | | | $ | 1,435,675 | | | | | $ | 4,536,252 | |
| | | 11,859 | | | | | | 6,446 | | | | | | 6,202 | | | | | | 3,838 | | | | | | 19,089 | |
| | | 1,536 | | | | | | 32,370 | | | | | | 72,931 | | | | | | 10,544 | | | | | | 691 | |
| | | 4,308,138 | | | | | | 1,592,463 | | | | | | 1,073,019 | | | | | | 1,450,057 | | | | | | 4,556,032 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 1,053,378 | | | | | | 635,447 | | | | | | 555,367 | | | | | | 540,062 | | | | | | 1,479,162 | |
| | | 148,064 | | | | | | 126,347 | | | | | | 102,778 | | | | | | 196,103 | | | | | | 560,578 | |
| | | 130,644 | | | | | | 70,422 | | | | | | 71,925 | | | | | | 106,706 | | | | | | 332,973 | |
| | | 24,716 | | | | | | 39,880 | | | | | | 46,355 | | | | | | 40,153 | | | | | | 37,334 | |
| | | 43,936 | | | | | | 40,379 | | | | | | 37,002 | | | | | | 37,137 | | | | | | 44,666 | |
| | | 57,399 | | | | | | 52,485 | | | | | | 50,900 | | | | | | 50,900 | | | | | | 43,054 | |
| | | 23,436 | | | | | | 18,435 | | | | | | 18,992 | | | | | | 29,761 | | | | | | 48,170 | |
| | | 12,081 | | | | | | 11,633 | | | | | | 11,526 | | | | | | 11,588 | | | | | | 12,103 | |
| | | 8,262 | | | | | | 998 | | | | | | — | | | | | | — | | | | | | 4,537 | |
| | | 8,262 | | | | | | 998 | | | | | | — | | | | | | — | | | | | | 4,537 | |
| | | 8,305 | | | | | | 7,411 | | | | | | 6,096 | | | | | | 6,700 | | | | | | 9,116 | |
| | | 1,518,483 | | | | | | 1,004,435 | | | | | | 900,941 | | | | | | 1,019,110 | | | | | | 2,576,230 | |
| | | (303,303 | ) | | | | | (195,518 | ) | | | | | (194,392 | ) | | | | | (201,382 | ) | | | | | (481,173 | ) |
| | | 1,215,180 | | | | | | 808,917 | | | | | | 706,549 | | | | | | 817,728 | | | | | | 2,095,057 | |
| | | 3,092,958 | | | | | | 783,546 | | | | | | 366,470 | | | | | | 632,329 | | | | | | 2,460,975 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (14,204,072 | ) | | | | | (2,562,193 | ) | | | | | (4,975,246 | ) | | | | | (2,429,229 | ) | | | | | (4,404,920 | ) |
| | | 377,536 | | | | | | 426,230 | | | | | | 1,087 | | | | | | (104,525 | ) | | | | | 48,963 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 5,208,133 | | | | | | (362,386 | ) | | | | | (981,183 | ) | | | | | 2,626,395 | | | | | | (4,916,902 | ) |
| | | (2,256 | ) | | | | | 33,074 | | | | | | (28,039 | ) | | | | | 138,450 | | | | | | (178,192 | ) |
| | | (8,620,659 | ) | | | | | (2,465,275 | ) | | | | | (5,983,381 | ) | | | | | 231,091 | | | | | | (9,451,051 | ) |
| | $ | (5,527,701 | ) | | | | $ | (1,681,729 | ) | | | | $ | (5,616,911 | ) | | | | $ | 863,420 | | | | | $ | (6,990,076 | ) |
| | |
| The accompanying notes are an integral part of these financial statements. | | 67 |
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Statements of Changes in Net Assets
| | | | | | | | | | |
| | | | | Large Cap Growth Insights Fund | |
| | | | | For the
Six Months Ended
April 30, 2016
(Unaudited) | | | For the Fiscal
Year Ended
October 31, 2015 | |
| | From operations: | |
| | Net investment income | | $ | 3,068,795 | | | $ | 6,101,448 | |
| | Net realized gain (loss) | | | 5,616,637 | | | | 30,915,791 | |
| | Net change in unrealized gain (loss) | | | (24,442,014 | ) | | | 8,494,396 | |
| | Net increase (decrease) in net assets resulting from operations | | | (15,756,582 | ) | | | 45,511,635 | |
| | | | | | | | | | |
| | Distributions to shareholders: | | | | | | | | |
| | From net investment income | | | | | | | | |
| | Class A Shares | | | (1,188,498 | ) | | | (704,224 | ) |
| | Class C Shares | | | (92,936 | ) | | | (52,165 | ) |
| | Institutional Shares | | | (4,313,410 | ) | | | (2,655,012 | ) |
| | Service Shares | | | (25,083 | ) | | | (4,970 | ) |
| | Class IR Shares | | | (299,441 | ) | | | (245,804 | ) |
| | Class R Shares | | | (79,335 | ) | | | (9,043 | ) |
| | Class R6 Shares(a) | | | (88 | ) | | | — | |
| | Total distributions to shareholders | | | (5,998,791 | ) | | | (3,671,218 | ) |
| | | | | | | | | | |
| | From share transactions: | | | | | | | | |
| | Proceeds from sales of shares | | | 223,408,779 | | | | 612,742,539 | |
| | Reinvestment of distributions | | | 5,424,452 | | | | 3,567,272 | |
| | Cost of shares redeemed | | | (216,297,514 | ) | | | (271,948,342 | ) |
| | Net increase (decrease) in net assets resulting from share transactions | | | 12,535,717 | | | | 344,361,469 | |
| | TOTAL INCREASE (DECREASE) | | | (9,219,656 | ) | | | 386,201,886 | |
| | | | | | | | | | |
| | Net assets: | | | | | | | | |
| | Beginning of period | | | 793,380,594 | | | | 407,178,708 | |
| | End of period | | $ | 784,160,938 | | | $ | 793,380,594 | |
| | Undistributed net investment income | | $ | 3,048,184 | | | $ | 5,978,180 | |
| | (a) | | Commenced operations on July 31, 2015. |
| | |
| 68 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
| | | | | | | | | | | | | | | | | | | | | | |
| | | Large Cap Value Insights Fund | | | | | Small Cap Equity Insights Fund | |
| | | For the
Six Months Ended
April 30, 2016
(Unaudited) | | | | | For the Fiscal
Year Ended
October 31, 2015 | | | | | For the
Six Months Ended
April 30, 2016
(Unaudited) | | | | | For the Fiscal
Year Ended
October 31, 2015 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | $ | 3,092,958 | | | | | $ | 7,849,572 | | | | | $ | 783,546 | | | | | $ | 545,667 | |
| | | (13,826,536 | ) | | | | | 28,538,590 | | | | | | (2,135,963 | ) | | | | | 21,650,757 | |
| | | 5,205,877 | | | | | | (25,324,467 | ) | | | | | (329,312 | ) | | | | | (14,512,014 | ) |
| | | (5,527,701 | ) | | | | | 11,063,695 | | | | | | (1,681,729 | ) | | | | | 7,684,410 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | (425,614 | ) | | | | | (916,581 | ) | | | | | (49,354 | ) | | | | | — | |
| | | (48,386 | ) | | | | | (110,236 | ) | | | | | — | | | | | | — | |
| | | (2,346,094 | ) | | | | | (6,499,235 | ) | | | | | (488,722 | ) | | | | | (426,236 | ) |
| | | (43,680 | ) | | | | | (91,882 | ) | | | | | — | | | | | | — | |
| | | (49,530 | ) | | | | | (107,537 | ) | | | | | (5,495 | ) | | | | | (629 | ) |
| | | (7,807 | ) | | | | | (12,248 | ) | | | | | (2,485 | ) | | | | | — | |
| | | (85 | ) | | | | | (46 | ) | | | | | (59 | ) | | | | | — | |
| | | — | | | | | | — | | | | | | — | | | | | | — | |
| | | (2,921,196 | ) | | | | | (7,737,765 | ) | | | | | (546,115 | ) | | | | | (426,865 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | 67,058,690 | | | | | | 111,021,958 | | | | | | 72,114,643 | | | | | | 43,084,859 | |
| | | 2,852,280 | | | | | | 7,574,820 | | | | | | 538,997 | | | | | | 412,488 | |
| | | (79,756,099 | ) | | | | | (214,777,809 | ) | | | | | (36,953,423 | ) | | | | | (95,160,861 | ) |
| | | (9,845,129 | ) | | | | | (96,181,031 | ) | | | | | 35,700,217 | | | | | | (51,663,514 | ) |
| | | (18,294,026 | ) | | | | | (92,855,101 | ) | | | | | 33,472,373 | | | | | | (44,405,969 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | 388,187,532 | | | | | | 481,042,633 | | | | | | 140,975,416 | | | | | | 185,381,385 | |
| | $ | 369,893,506 | | | | | $ | 388,187,532 | | | | | $ | 174,447,789 | | | | | $ | 140,975,416 | |
| | $ | 434,301 | | | | | $ | 262,539 | | | | | $ | 675,812 | | | | | $ | 438,381 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 69 |
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Statements of Changes in Net Assets (continued)
| | | | | | | | | | |
| | | | | Small Cap Growth Insights Fund | |
| | | | | For the
Six Months Ended
April 30, 2016
(Unaudited) | | | For the Fiscal
Year Ended
October 31, 2015 | |
| | From operations: | |
| | Net investment income (loss) | | $ | 366,470 | | | $ | (200,477 | ) |
| | Net realized gain (loss) | | | (4,974,159 | ) | | | 10,935,297 | |
| | Net change in unrealized gain (loss) | | | (1,009,222 | ) | | | (8,428,187 | ) |
| | Net increase (decrease) in net assets resulting from operations | | | (5,616,911 | ) | | | 2,306,633 | |
| | | | | | | | | | |
| | Distributions to shareholders: | | | | | | | | |
| | From net investment income | | | | | | | | |
| | Class A Shares | | | — | | | | — | |
| | Class C Shares | | | — | | | | — | |
| | Institutional Shares | | | — | | | | — | |
| | Service Shares | | | — | | | | — | |
| | Class IR Shares | | | — | | | | — | |
| | Class R Shares | | | — | | | | — | |
| | Class R6 Shares(a) | | | — | | | | — | |
| | From net realized gains | | | | | | | | |
| | Class A Shares | | | (3,786,153 | ) | | | (1,954,522 | ) |
| | Class C Shares | | | (870,412 | ) | | | (477,017 | ) |
| | Institutional Shares | | | (5,329,256 | ) | | | (1,549,403 | ) |
| | Service Shares | | | — | | | | — | |
| | Class IR Shares | | | (408,028 | ) | | | (73,879 | ) |
| | Class R Shares | | | (208,003 | ) | | | (64,282 | ) |
| | Class R6 Shares(a) | | | (728 | ) | | | — | |
| | Total distributions to shareholders | | | (10,602,580 | ) | | | (4,119,103 | ) |
| | | | | | | | | | |
| | From share transactions: | | | | | | | | |
| | Proceeds from sales of shares | | | 53,977,740 | | | | 72,721,872 | |
| | Reinvestment of distributions | | | 9,066,848 | | | | 4,024,778 | |
| | Cost of shares redeemed | | | (21,346,444 | ) | | | (26,153,981 | ) |
| | Net increase (decrease) in net assets resulting from share transactions | | | 41,698,144 | | | | 50,592,669 | |
| | TOTAL INCREASE (DECREASE) | | | 25,478,653 | | | | 48,780,199 | |
| | | | | | | | | | |
| | Net assets: | | | | | | | | |
| | Beginning of period | | | 122,626,349 | | | | 73,846,150 | |
| | End of period | | $ | 148,105,002 | | | $ | 122,626,349 | |
| | Undistributed net investment income | | $ | 367,185 | | | $ | 715 | |
| | (a) | | Commenced operations on July 31, 2015. |
| | |
| 70 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
| | | | | | | | | | | | | | | | | | | | | | |
| | | Small Cap Value Insights Fund | | | | | U.S. Equity Insights Fund | |
| | | For the
Six Months Ended
April 30, 2016
(Unaudited) | | | | | For the Fiscal
Year Ended
October 31, 2015 | | | | | For the
Six Months Ended
April 30, 2016
(Unaudited) | | | | | For the Fiscal
Year Ended
October 31, 2015 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | $ | 632,329 | | | | | $ | 989,755 | | | | | $ | 2,460,975 | | | | | $ | 5,147,271 | |
| | | (2,533,754 | ) | | | | | 7,372,054 | | | | | | (4,355,957 | ) | | | | | 14,964,030 | |
| | | 2,764,845 | | | | | | (7,809,543 | ) | | | | | (5,095,094 | ) | | | | | (2,280,819 | ) |
| | | 863,420 | | | | | | 552,266 | | | | | | (6,990,076 | ) | | | | | 17,830,482 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | (737,825 | ) | | | | | (362,473 | ) | | | | | (2,582,334 | ) | | | | | (2,013,475 | ) |
| | | (57,118 | ) | | | | | — | | | | | | (113,480 | ) | | | | | (35,665 | ) |
| | | (197,818 | ) | | | | | (94,110 | ) | | | | | (1,769,015 | ) | | | | | (1,488,787 | ) |
| | | — | | | | | | — | | | | | | (37,629 | ) | | | | | (7,403 | ) |
| | | (18,949 | ) | | | | | (10,792 | ) | | | | | (66,496 | ) | | | | | (10,626 | ) |
| | | (44,265 | ) | | | | | (666 | ) | | | | | (262,202 | ) | | | | | (6,367 | ) |
| | | (97 | ) | | | | | — | | | | | | (134 | ) | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | (4,933,022 | ) | | | | | (1,537,176 | ) | | | | | (7,754,822 | ) | | | | | — | |
| | | (1,118,515 | ) | | | | | (364,017 | ) | | | | | (1,167,573 | ) | | | | | — | |
| | | (884,302 | ) | | | | | (192,609 | ) | | | | | (3,424,724 | ) | | | | | — | |
| | | — | | | | | | — | | | | | | (96,766 | ) | | | | | — | |
| | | (95,047 | ) | | | | | (26,978 | ) | | | | | (144,544 | ) | | | | | — | |
| | | (268,921 | ) | | | | | (15,861 | ) | | | | | (832,819 | ) | | | | | — | |
| | | (419 | ) | | | | | — | | | | | | (275 | ) | | | | | — | |
| | | (8,356,298 | ) | | | | | (2,604,682 | ) | | | | | (18,252,813 | ) | | | | | (3,562,323 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | 7,040,874 | | | | | | 20,239,128 | | | | | | 66,955,600 | | | | | | 157,816,504 | |
| | | 8,059,965 | | | | | | 2,536,171 | | | | | | 17,393,557 | | | | | | 3,432,073 | |
| | | (13,558,541 | ) | | | | | (24,313,088 | ) | | | | | (42,141,173 | ) | | | | | (132,760,111 | ) |
| | | 1,542,298 | | | | | | (1,537,789 | ) | | | | | 42,207,984 | | | | | | 28,488,466 | |
| | | (5,950,580 | ) | | | | | (3,590,205 | ) | | | | | 16,965,095 | | | | | | 42,756,625 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | 137,378,556 | | | | | | 140,968,761 | | | | | | 468,066,374 | | | | | | 425,309,749 | |
| | $ | 131,427,976 | | | | | $ | 137,378,556 | | | | | $ | 485,031,469 | | | | | $ | 468,066,374 | |
| | $ | 170,237 | | | | | $ | 593,980 | | | | | $ | 1,674,081 | | | | | $ | 4,044,396 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 71 |
GOLDMAN SACHS LARGE CAP GROWTH INSIGHTS FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | From
investment operations | | | | |
| | | Year - Share Class | | Net asset
value,
beginning
of period | | | Net
investment
income (loss)(a) | | | Net realized
and unrealized
gain (loss) | | | Total from
investment
operations | | | Distributions
to shareholders
from net
investment
income | |
| | FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED) | |
| | 2016 - A | | $ | 23.13 | | | $ | 0.06 | | | $ | (0.45 | ) | | $ | (0.39 | ) | | $ | (0.13 | ) |
| | 2016 - C | | | 21.02 | | | | (0.02 | ) | | | (0.40 | ) | | | (0.42 | ) | | | (0.04 | ) |
| | 2016 - Institutional | | | 23.86 | | | | 0.11 | | | | (0.47 | ) | | | (0.36 | ) | | | (0.20 | ) |
| | 2016 - Service | | | 22.89 | | | | 0.04 | | | | (0.44 | ) | | | (0.40 | ) | | | (0.15 | ) |
| | 2016 - IR | | | 22.88 | | | | 0.09 | | | | (0.45 | ) | | | (0.36 | ) | | | (0.18 | ) |
| | 2016 - R | | | 22.71 | | | | 0.03 | | | | (0.45 | ) | | | (0.42 | ) | | | (0.15 | ) |
| | 2016 - R6 | | | 23.86 | | | | 0.06 | | | | (0.41 | ) | | | (0.35 | ) | | | (0.21 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | FOR THE YEAR ENDED OCTOBER 31, | |
| | 2015 - A | | | 21.57 | | | | 0.16 | | | | 1.55 | | | | 1.71 | | | | (0.15 | ) |
| | 2015 - C | | | 19.67 | | | | (0.01 | ) | | | 1.41 | | | | 1.40 | | | | (0.05 | ) |
| | 2015 - Institutional | | | 22.22 | | | | 0.26 | | | | 1.60 | | | | 1.86 | | | | (0.22 | ) |
| | 2015 - Service | | | 21.41 | | | | 0.13 | | | | 1.55 | | | | 1.68 | | | | (0.20 | ) |
| | 2015 - IR | | | 21.36 | | | | 0.22 | | | | 1.52 | | | | 1.74 | | | | (0.22 | ) |
| | 2015 - R | | | 21.25 | | | | 0.09 | | | | 1.55 | | | | 1.64 | | | | (0.18 | ) |
| | 2015 - R6 (Commenced July 31, 2015) | | | 23.90 | | | | 0.06 | | | | (0.10 | ) | | | (0.04 | ) | | | — | |
| | 2014 - A | | | 18.05 | | | | 0.12 | | | | 3.54 | | | | 3.66 | | | | (0.14 | ) |
| | 2014 - C | | | 16.51 | | | | (0.02 | ) | | | 3.23 | | | | 3.21 | | | | (0.05 | ) |
| | 2014 - Institutional | | | 18.59 | | | | 0.21 | | | | 3.62 | | | | 3.83 | | | | (0.20 | ) |
| | 2014 - Service | | | 17.81 | | | | 0.18 | | | | 3.42 | | | | 3.60 | | | | — | |
| | 2014 - IR | | | 17.88 | | | | 0.14 | | | | 3.52 | | | | 3.66 | | | | (0.18 | ) |
| | 2014 - R | | | 17.85 | | | | 0.07 | | | | 3.48 | | | | 3.55 | | | | (0.15 | ) |
| | 2013 - A | | | 14.05 | | | | 0.21 | (e) | | | 3.95 | | | | 4.16 | | | | (0.16 | ) |
| | 2013 - C | | | 12.88 | | | | 0.06 | (e) | | | 3.65 | | | | 3.71 | | | | (0.08 | ) |
| | 2013 - Institutional | | | 14.48 | | | | 0.27 | (e) | | | 4.07 | | | | 4.34 | | | | (0.23 | ) |
| | 2013 - Service | | | 13.88 | | | | 0.16 | (e) | | | 3.93 | | | | 4.09 | | | | (0.16 | ) |
| | 2013 - IR | | | 13.95 | | | | 0.22 | (e) | | | 3.93 | | | | 4.15 | | | | (0.22 | ) |
| | 2013 - R | | | 13.97 | | | | 0.11 | (e) | | | 3.97 | | | | 4.08 | | | | (0.20 | ) |
| | 2012 - A | | | 12.60 | | | | 0.12 | (f) | | | 1.47 | | | | 1.59 | | | | (0.14 | ) |
| | 2012 - C | | | 11.57 | | | | 0.01 | (f) | | | 1.35 | | | | 1.36 | | | | (0.05 | ) |
| | 2012 - Institutional | | | 12.98 | | | | 0.17 | (f) | | | 1.52 | | | | 1.69 | | | | (0.19 | ) |
| | 2012 - Service | | | 12.47 | | | | 0.10 | (f) | | | 1.47 | | | | 1.57 | | | | (0.16 | ) |
| | 2012 - IR | | | 12.53 | | | | 0.13 | (f) | | | 1.48 | | | | 1.61 | | | | (0.19 | ) |
| | 2012 - R | | | 12.46 | | | | 0.06 | (f) | | | 1.50 | | | | 1.56 | | | | (0.05 | ) |
| | 2011 - A | | | 11.54 | | | | 0.10 | (g) | | | 1.09 | | | | 1.19 | | | | (0.13 | ) |
| | 2011 - C | | | 10.62 | | | | 0.01 | (g) | | | 1.01 | | | | 1.02 | | | | (0.07 | ) |
| | 2011 - Institutional | | | 11.88 | | | | 0.16 | (g) | | | 1.12 | | | | 1.28 | | | | (0.18 | ) |
| | 2011 - Service | | | 11.43 | | | | 0.06 | (g) | | | 1.10 | | | | 1.16 | | | | (0.12 | ) |
| | 2011 - IR | | | 11.48 | | | | 0.13 | (g) | | | 1.08 | | | | 1.21 | | | | (0.16 | ) |
| | 2011 - R | | | 11.42 | | | | 0.08 | (g) | | | 1.06 | | | | 1.14 | | | | (0.10 | ) |
| | (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. |
| | (e) | | Reflects income recognized from special dividends which amounted to $0.05 per share and 0.31% of average net assets. |
| | (f) | | Reflects income recognized from special dividends which amounted to $0.03 per share and 0.22% of average net assets. |
| | (g) | | Reflects income recognized from special dividends which amounted to $0.02 per share and 0.16% of average net assets. |
| | |
| 72 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS LARGE CAP GROWTH INSIGHTS FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Net asset
value, end
of period | | | | | Total
return(b) | | | | | Net assets,
end of
period
(in 000s) | | | | | Ratio of
net expenses
to average
net assets | | | | | Ratio of
total expenses
to average
net assets | | | | | Ratio of
net investment
income (loss)
to average
net assets | | | | | Portfolio
turnover
rate(c) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 22.61 | | | | | | (1.67 | )% | | | | $ | 217,437 | | | | | | 0.96 | %(d) | | | | | 1.15 | %(d) | | | | | 0.53 | %(d) | | | | | 125 | % |
| | | 20.56 | | | | | | (2.01 | ) | | | | | 50,617 | | | | | | 1.71 | (d) | | | | | 1.90 | (d) | | | | | (0.21 | )(d) | | | | | 125 | |
| | | 23.30 | | | | | | (1.49 | ) | | | | | 460,408 | | | | | | 0.56 | (d) | | | | | 0.75 | (d) | | | | | 0.94 | (d) | | | | | 125 | |
| | | 22.34 | | | | | | (1.73 | ) | | | | | 5,575 | | | | | | 1.06 | (d) | | | | | 1.25 | (d) | | | | | 0.40 | (d) | | | | | 125 | |
| | | 22.34 | | | | | | (1.56 | ) | | | | | 33,063 | | | | | | 0.71 | (d) | | | | | 0.90 | (d) | | | | | 0.80 | (d) | | | | | 125 | |
| | | 22.14 | | | | | | (1.84 | ) | | | | | 16,315 | | | | | | 1.21 | (d) | | | | | 1.40 | (d) | | | | | 0.27 | (d) | | | | | 125 | |
| | | 23.30 | | | | | | (1.46 | ) | | | | | 745 | | | | | | 0.54 | (d) | | | | | 0.73 | (d) | | | | | 0.49 | (d) | | | | | 125 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 23.13 | | | | | | 7.96 | | | | | | 200,634 | | | | | | 0.96 | | | | | | 1.16 | | | | | | 0.72 | | | | | | 222 | |
| | | 21.02 | | | | | | 7.12 | | | | | | 49,658 | | | | | | 1.71 | | | | | | 1.91 | | | | | | (0.05 | ) | | | | | 222 | |
| | | 23.86 | | | | | | 8.41 | | | | | | 493,322 | | | | | | 0.56 | | | | | | 0.76 | | | | | | 1.13 | | | | | | 222 | |
| | | 22.89 | | | | | | 7.88 | | | | | | 3,096 | | | | | | 1.06 | | | | | | 1.26 | | | | | | 0.60 | | | | | | 222 | |
| | | 22.88 | | | | | | 8.21 | | | | | | 36,001 | | | | | | 0.71 | | | | | | 0.91 | | | | | | 0.97 | | | | | | 222 | |
| | | 22.71 | | | | | | 7.73 | | | | | | 10,660 | | | | | | 1.21 | | | | | | 1.41 | | | | | | 0.39 | | | | | | 222 | |
| | | 23.86 | | | | | | (0.17 | ) | | | | | 10 | | | | | | 0.54 | (d) | | | | | 0.74 | (d) | | | | | 1.00 | (d) | | | | | 222 | |
| | | 21.57 | | | | | | 20.41 | | | | | | 94,053 | | | | | | 0.96 | | | | | | 1.20 | | | | | | 0.63 | | | | | | 234 | |
| | | 19.67 | | | | | | 19.51 | | | | | | 19,448 | | | | | | 1.71 | | | | | | 1.95 | | | | | | (0.12 | ) | | | | | 234 | |
| | | 22.22 | | | | | | 20.88 | | | | | | 269,611 | | | | | | 0.56 | | | | | | 0.80 | | | | | | 1.05 | | | | | | 234 | |
| | | 21.41 | | | | | | 20.21 | | | | | | 408 | | | | | | 1.06 | | | | | | 1.30 | | | | | | 0.96 | | | | | | 234 | |
| | | 21.36 | | | | | | 20.69 | | | | | | 20,793 | | | | | | 0.71 | | | | | | 0.97 | | | | | | 0.68 | | | | | | 234 | |
| | | 21.25 | | | | | | 20.10 | | | | | | 535 | | | | | | 1.21 | | | | | | 1.45 | | | | | | 0.37 | | | | | | 234 | |
| | | 18.05 | | | | | | 29.90 | | | | | | 74,524 | | | | | | 0.95 | | | | | | 1.20 | | | | | | 1.34 | (e) | | | | | 232 | |
| | | 16.51 | | | | | | 28.96 | | | | | | 14,133 | | | | | | 1.70 | | | | | | 1.95 | | | | | | 0.42 | (e) | | | | | 232 | |
| | | 18.59 | | | | | | 30.40 | | | | | | 289,326 | | | | | | 0.55 | | | | | | 0.80 | | | | | | 1.65 | (e) | | | | | 232 | |
| | | 17.81 | | | | | | 29.77 | | | | | | 1,155 | | | | | | 1.05 | | | | | | 1.30 | | | | | | 1.05 | (e) | | | | | 232 | |
| | | 17.88 | | | | | | 30.26 | | | | | | 784 | | | | | | 0.70 | | | | | | 0.95 | | | | | | 1.40 | (e) | | | | | 232 | |
| | | 17.85 | | | | | | 29.53 | | | | | | 359 | | | | | | 1.20 | | | | | | 1.46 | | | | | | 0.70 | (e) | | | | | 232 | |
| | | 14.05 | | | | | | 12.69 | | | | | | 118,956 | | | | | | 0.95 | | | | | | 1.16 | | | | | | 0.83 | (f) | | | | | 146 | |
| | | 12.88 | | | | | | 11.81 | | | | | | 12,555 | | | | | | 1.70 | | | | | | 1.91 | | | | | | 0.08 | (f) | | | | | 146 | |
| | | 14.48 | | | | | | 13.81 | | | | | | 311,286 | | | | | | 0.55 | | | | | | 0.76 | | | | | | 1.23 | (f) | | | | | 146 | |
| | | 13.88 | | | | | | 12.67 | | | | | | 963 | | | | | | 1.05 | | | | | | 1.26 | | | | | | 0.73 | (f) | | | | | 146 | |
| | | 13.95 | | | | | | 12.96 | | | | | | 667 | | | | | | 0.70 | | | | | | 0.90 | | | | | | 0.95 | (f) | | | | | 146 | |
| | | 13.97 | | | | | | 12.50 | | | | | | 127 | | | | | | 1.20 | | | | | | 1.39 | | | | | | 0.39 | (f) | | | | | 146 | |
| | | 12.60 | | | | | | 10.38 | | | | | | 150,750 | | | | | | 0.95 | | | | | | 1.16 | | | | | | 0.84 | (g) | | | | | 76 | |
| | | 11.57 | | | | | | 9.63 | | | | | | 12,999 | | | | | | 1.70 | | | | | | 1.91 | | | | | | 0.10 | (g) | | | | | 76 | |
| | | 12.98 | | | | | | 10.83 | | | | | | 392,373 | | | | | | 0.55 | | | | | | 0.76 | | | | | | 1.22 | (g) | | | | | 76 | |
| | | 12.47 | | | | | | 10.23 | | | | | | 1,004 | | | | | | 1.05 | | | | | | 1.26 | | | | | | 0.49 | (g) | | | | | 76 | |
| | | 12.53 | | | | | | 10.66 | | | | | | 45 | | | | | | 0.70 | | | | | | 0.91 | | | | | | 1.07 | (g) | | | | | 76 | |
| | | 12.46 | | | | | | 10.06 | | | | | | 26 | | | | | | 1.20 | | | | | | 1.41 | | | | | | 0.63 | (g) | | | | | 76 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 73 |
GOLDMAN SACHS LARGE CAP VALUE INSIGHTS FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | From
investment operations | | | | |
| | | Year - Share Class | | Net asset
value,
beginning
of period | | | Net
investment
income(a) | | | Net realized
and unrealized
gain (loss) | | | Total from
investment
operations | | | Distributions
to Shareholders
from net
investment
income | |
| | FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED) | |
| | 2016 - A | | $ | 16.92 | | | $ | 0.12 | | | $ | (0.24 | ) | | $ | (0.12 | ) | | $ | (0.11 | ) |
| | 2016 - C | | | 16.78 | | | | 0.06 | | | | (0.23 | ) | | | (0.17 | ) | | | (0.06 | ) |
| | 2016 - Institutional | | | 16.91 | | | | 0.15 | | | | (0.24 | ) | | | (0.09 | ) | | | (0.14 | ) |
| | 2016 - Service | | | 16.99 | | | | 0.11 | | | | (0.23 | ) | | | (0.12 | ) | | | (0.11 | ) |
| | 2016 - IR | | | 16.88 | | | | 0.14 | | | | (0.24 | ) | | | (0.10 | ) | | | (0.13 | ) |
| | 2016 - R | | | 16.84 | | | | 0.10 | | | | (0.23 | ) | | | (0.13 | ) | | | (0.10 | ) |
| | 2016 - R6 | | | 16.90 | | | | 0.15 | | | | (0.22 | ) | | | (0.07 | ) | | | (0.15 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | FOR THE YEAR ENDED OCTOBER 31, | |
| | 2015 - A | | | 16.86 | | | | 0.24 | | | | 0.06 | | | | 0.30 | | | | (0.24 | ) |
| | 2015 - C | | | 16.71 | | | | 0.11 | | | | 0.07 | | | | 0.18 | | | | (0.11 | ) |
| | 2015 - Institutional | | | 16.85 | | | | 0.31 | | | | 0.06 | | | | 0.37 | | | | (0.31 | ) |
| | 2015 - Service | | | 16.92 | | | | 0.22 | | | | 0.07 | | | | 0.29 | | | | (0.22 | ) |
| | 2015 - IR | | | 16.81 | | | | 0.27 | | | | 0.08 | | | | 0.35 | | | | (0.28 | ) |
| | 2015 - R | | | 16.81 | | | | 0.18 | | | | 0.08 | | | | 0.26 | | | | (0.23 | ) |
| | 2015 - R6 (Commenced July 31, 2015) | | | 17.23 | | | | 0.07 | | | | (0.32 | ) | | | (0.25 | ) | | | (0.08 | ) |
| | 2014 - A | | | 14.75 | | | | 0.16 | | | | 2.10 | | | | 2.26 | | | | (0.15 | ) |
| | 2014 - C | | | 14.63 | | | | 0.04 | | | | 2.08 | | | | 2.12 | | | | (0.04 | ) |
| | 2014 - Institutional | | | 14.74 | | | | 0.22 | | | | 2.11 | | | | 2.33 | | | | (0.22 | ) |
| | 2014 - Service | | | 14.81 | | | | 0.14 | | | | 2.11 | | | | 2.25 | | | | (0.14 | ) |
| | 2014 - IR | | | 14.72 | | | | 0.21 | | | | 2.08 | | | | 2.29 | | | | (0.20 | ) |
| | 2014 - R | | | 14.71 | | | | 0.08 | | | | 2.13 | | | | 2.21 | | | | (0.11 | ) |
| | 2013 - A | | | 11.49 | | | | 0.25 | (e) | | | 3.22 | | | | 3.47 | | | | (0.21 | ) |
| | 2013 - C | | | 11.40 | | | | 0.12 | (e) | | | 3.23 | | | | 3.35 | | | | (0.12 | ) |
| | 2013 - Institutional | | | 11.48 | | | | 0.28 | (e) | | | 3.25 | | | | 3.53 | | | | (0.27 | ) |
| | 2013 - Service | | | 11.54 | | | | 0.21 | (e) | | | 3.26 | | | | 3.47 | | | | (0.20 | ) |
| | 2013 - IR | | | 11.47 | | | | 0.23 | (e) | | | 3.27 | | | | 3.50 | | | | (0.25 | ) |
| | 2013 - R | | | 11.46 | | | | 0.16 | (e) | | | 3.28 | | | | 3.44 | | | | (0.19 | ) |
| | 2012 - A | | | 10.19 | | | | 0.17 | | | | 1.29 | (f) | | | 1.46 | | | | (0.16 | ) |
| | 2012 - C | | | 10.11 | | | | 0.09 | | | | 1.29 | (f) | | | 1.38 | | | | (0.09 | ) |
| | 2012 - Institutional | | | 10.18 | | | | 0.21 | | | | 1.30 | (f) | | | 1.51 | | | | (0.21 | ) |
| | 2012 - Service | | | 10.23 | | | | 0.17 | | | | 1.29 | (f) | | | 1.46 | | | | (0.15 | ) |
| | 2012 - IR | | | 10.17 | | | | 0.19 | | | | 1.30 | (f) | | | 1.49 | | | | (0.19 | ) |
| | 2012 - R | | | 10.17 | | | | 0.13 | | | | 1.30 | (f) | | | 1.43 | | | | (0.14 | ) |
| | 2011 - A | | | 9.47 | | | | 0.13 | | | | 0.74 | | | | 0.87 | | | | (0.15 | ) |
| | 2011 - C | | | 9.40 | | | | 0.06 | | | | 0.72 | | | | 0.78 | | | | (0.07 | ) |
| | 2011 - Institutional | | | 9.46 | | | | 0.17 | | | | 0.74 | | | | 0.91 | | | | (0.19 | ) |
| | 2011 - Service | | | 9.51 | | | | 0.12 | | | | 0.74 | | | | 0.86 | | | | (0.14 | ) |
| | 2011 - IR | | | 9.45 | | | | 0.15 | | | | 0.74 | | | | 0.89 | | | | (0.17 | ) |
| | 2011 - R | | | 9.45 | | | | 0.12 | | | | 0.72 | | | | 0.84 | | | | (0.12 | ) |
| | (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. |
| | (e) | | Reflects income recognized from a special dividend which amounted to $0.04 per share and 0.32% of average net assets. |
| | (f) | | Reflects payment from affiliate relating to certain investment transactions which amounted to $0.01 per share. Excluding such payment, the total return would have been 14.34%, 13.51%, 13.55%, 14.81%, 14.28%, 14.67% and 13.98%, respectively. |
| | |
| 74 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS LARGE CAP VALUE INSIGHTS 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 16.69 | | | | | | (0.67 | )% | | | | $ | 59,762 | | | | | | 0.96 | %(d) | | | | | 1.14 | %(d) | | | | | 1.49 | %(d) | | | | | 118 | % |
| | | 16.55 | | | | | | (1.03 | ) | | | | | 14,218 | | | | | | 1.71 | (d) | | | | | 1.89 | (d) | | | | | 0.75 | (d) | | | | | 118 | |
| | | 16.68 | | | | | | (0.49 | ) | | | | | 280,787 | | | | | | 0.56 | (d) | | | | | 0.74 | (d) | | | | | 1.89 | (d) | | | | | 118 | |
| | | 16.76 | | | | | | (0.72 | ) | | | | | 6,830 | | | | | | 1.06 | (d) | | | | | 1.23 | (d) | | | | | 1.40 | (d) | | | | | 118 | |
| | | 16.65 | | | | | | (0.55 | ) | | | | | 6,957 | | | | | | 0.71 | (d) | | | | | 0.89 | (d) | | | | | 1.76 | (d) | | | | | 118 | |
| | | 16.61 | | | | | | (0.78 | ) | | | | | 1,330 | | | | | | 1.21 | (d) | | | | | 1.39 | (d) | | | | | 1.24 | (d) | | | | | 118 | |
| | | 16.68 | | | | | | (0.42 | ) | | | | | 10 | | | | | | 0.55 | (d) | | | | | 0.73 | (d) | | | | | 1.91 | (d) | | | | | 118 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 16.92 | | | | | | 1.82 | | | | | | 62,150 | | | | | | 0.96 | | | | | | 1.12 | | | | | | 1.39 | | | | | | 221 | |
| | | 16.78 | | | | | | 1.11 | | | | | | 15,658 | | | | | | 1.71 | | | | | | 1.87 | | | | | | 0.64 | | | | | | 221 | |
| | | 16.91 | | | | | | 2.24 | | | | | | 296,403 | | | | | | 0.56 | | | | | | 0.72 | | | | | | 1.81 | | | | | | 221 | |
| | | 16.99 | | | | | | 1.77 | | | | | | 7,271 | | | | | | 1.06 | | | | | | 1.22 | | | | | | 1.29 | | | | | | 221 | |
| | | 16.88 | | | | | | 2.14 | | | | | | 5,425 | | | | | | 0.71 | | | | | | 0.87 | | | | | | 1.60 | | | | | | 221 | |
| | | 16.84 | | | | | | 1.56 | | | | | | 1,270 | | | | | | 1.21 | | | | | | 1.37 | | | | | | 1.07 | | | | | | 221 | |
| | | 16.90 | | | | | | (1.41 | ) | | | | | 10 | | | | | | 0.58 | (d) | | | | | 0.74 | (d) | | | | | 1.62 | (d) | | | | | 221 | |
| | | 16.86 | | | | | | 15.42 | | | | | | 62,704 | | | | | | 0.96 | | | | | | 1.14 | | | | | | 1.00 | | | | | | 222 | |
| | | 16.71 | | | | | | 14.50 | | | | | | 16,567 | | | | | | 1.71 | | | | | | 1.89 | | | | | | 0.25 | | | | | | 222 | |
| | | 16.85 | | | | | | 15.89 | | | | | | 389,534 | | | | | | 0.56 | | | | | | 0.74 | | | | | | 1.39 | | | | | | 222 | |
| | | 16.92 | | | | | | 15.24 | | | | | | 6,062 | | | | | | 1.06 | | | | | | 1.24 | | | | | | 0.91 | | | | | | 222 | |
| | | 16.81 | | | | | | 15.62 | | | | | | 5,238 | | | | | | 0.71 | | | | | | 0.88 | | | | | | 1.27 | | | | | | 222 | |
| | | 16.81 | | | | | | 15.13 | | | | | | 332 | | | | | | 1.21 | | | | | | 1.39 | | | | | | 0.49 | | | | | | 222 | |
| | | 14.75 | | | | | | 30.54 | | | | | | 52,993 | | | | | | 0.95 | | | | | | 1.14 | | | | | | 1.95 | (e) | | | | | 221 | |
| | | 14.63 | | | | | | 29.61 | | | | | | 13,723 | | | | | | 1.70 | | | | | | 1.90 | | | | | | 0.91 | (e) | | | | | 221 | |
| | | 14.74 | | | | | | 31.13 | | | | | | 245,662 | | | | | | 0.55 | | | | | | 0.75 | | | | | | 2.21 | (e) | | | | | 221 | |
| | | 14.81 | | | | | | 30.40 | | | | | | 5,061 | | | | | | 1.05 | | | | | | 1.25 | | | | | | 1.64 | (e) | | | | | 221 | |
| | | 14.72 | | | | | | 30.88 | | | | | | 293 | | | | | | 0.71 | | | | | | 0.91 | | | | | | 1.72 | (e) | | | | | 221 | |
| | | 14.71 | | | | | | 30.25 | | | | | | 79 | | | | | | 1.20 | | | | | | 1.40 | | | | | | 1.23 | (e) | | | | | 221 | |
| | | 11.49 | | | | | | 14.44 | (f) | | | | | 107,535 | | | | | | 0.95 | | | | | | 1.11 | | | | | | 1.53 | | | | | | 135 | |
| | | 11.40 | | | | | | 13.65 | (f) | | | | | 11,018 | | | | | | 1.70 | | | | | | 1.86 | | | | | | 0.77 | | | | | | 135 | |
| | | 11.48 | | | | | | 14.91 | (f) | | | | | 337,650 | | | | | | 0.55 | | | | | | 0.71 | | | | | | 1.91 | | | | | | 135 | |
| | | 11.54 | | | | | | 14.38 | (f) | | | | | 5,117 | | | | | | 1.05 | | | | | | 1.21 | | | | | | 1.48 | | | | | | 135 | |
| | | 11.47 | | | | | | 14.77 | (f) | | | | | 128 | | | | | | 0.70 | | | | | | 0.86 | | | | | | 1.74 | | | | | | 135 | |
| | | 11.46 | | | | | | 14.08 | (f) | | | | | 33 | | | | | | 1.20 | | | | | | 1.36 | | | | | | 1.18 | | | | | | 135 | |
| | | 10.19 | | | | | | 9.15 | | | | | | 133,611 | | | | | | 0.95 | | | | | | 1.13 | | | | | | 1.31 | | | | | | 56 | |
| | | 10.11 | | | | | | 8.30 | | | | | | 11,928 | | | | | | 1.70 | | | | | | 1.88 | | | | | | 0.55 | | | | | | 56 | |
| | | 10.18 | | | | | | 9.61 | | | | | | 365,385 | | | | | | 0.55 | | | | | | 0.73 | | | | | | 1.69 | | | | | | 56 | |
| | | 10.23 | | | | | | 9.02 | | | | | | 7,699 | | | | | | 1.05 | | | | | | 1.23 | | | | | | 1.19 | | | | | | 56 | |
| | | 10.17 | | | | | | 9.48 | | | | | | 67 | | | | | | 0.70 | | | | | | 0.88 | | | | | | 1.48 | | | | | | 56 | |
| | | 10.17 | | | | | | 8.96 | | | | | | 10 | | | | | | 1.20 | | | | | | 1.38 | | | | | | 1.13 | | | | | | 56 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 75 |
GOLDMAN SACHS SMALL CAP EQUITY INSIGHTS FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | From
investment operations | | | | |
| | | Year - Share Class | | Net asset
value,
beginning
of period | | | Net
investment
income (loss)(a) | | | Net realized
and unrealized
gain (loss) | | | Total from
investment
operations | | | Distributions
to shareholders
from net
investment
income | |
| | FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED) | |
| | 2016 - A | | $ | 19.10 | | | $ | 0.07 | | | $ | (0.47 | ) | | $ | (0.40 | ) | | $ | (0.03 | ) |
| | 2016 - C | | | 16.81 | | | | — | | | | (0.42 | ) | | | (0.42 | ) | | | — | |
| | 2016 - Institutional | | | 19.84 | | | | 0.12 | | | | (0.51 | ) | | | (0.39 | ) | | | (0.11 | ) |
| | 2016 - Service | | | 18.82 | | | | 0.06 | | | | (0.47 | ) | | | (0.41 | ) | | | — | |
| | 2016 - IR | | | 19.02 | | | | 0.09 | | | | (0.48 | ) | | | (0.39 | ) | | | (0.09 | ) |
| | 2016 - R | | | 18.78 | | | | 0.05 | | | | (0.48 | ) | | | (0.43 | ) | | | — | (e) |
| | 2016 - R6 | | | 19.84 | | | | 0.15 | | | | (0.53 | ) | | | (0.38 | ) | | | (0.12 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | FOR THE YEAR ENDED OCTOBER 31, | |
| | 2015 - A | | | 18.25 | | | | 0.03 | | | | 0.82 | | | | 0.85 | | | | — | |
| | 2015 - C | | | 16.18 | | | | (0.10 | ) | | | 0.73 | | | | 0.63 | | | | — | |
| | 2015 - Institutional | | | 18.94 | | | | 0.11 | | | | 0.86 | | | | 0.97 | | | | (0.07 | ) |
| | 2015 - Service | | | 18.00 | | | | 0.02 | | | | 0.80 | | | | 0.82 | | | | — | |
| | 2015 - IR | | | 18.14 | | | | 0.06 | | | | 0.84 | | | | 0.90 | | | | (0.02 | ) |
| | 2015 - R | | | 17.98 | | | | (0.02 | ) | | | 0.82 | | | | 0.80 | | | | — | |
| | 2015 - R6 (Commenced July 31, 2015) | | | 20.22 | | | | 0.02 | | | | (0.40 | ) | | | (0.38 | ) | | | — | |
| | 2014 - A | | | 16.86 | | | | 0.01 | | | | 1.52 | | | | 1.53 | | | | (0.14 | ) |
| | 2014 - C | | | 15.01 | | | | (0.11 | ) | | | 1.36 | | | | 1.25 | | | | (0.08 | ) |
| | 2014 - Institutional | | | 17.48 | | | | 0.09 | | | | 1.57 | | | | 1.66 | | | | (0.20 | ) |
| | 2014 - Service | | | 16.64 | | | | (0.01 | ) | | | 1.50 | | | | 1.49 | | | | (0.13 | ) |
| | 2014 - IR | | | 16.70 | | | | 0.08 | | | | 1.48 | | | | 1.56 | | | | (0.12 | ) |
| | 2014 - R | | | 16.67 | | | | (0.03 | ) | | | 1.49 | | | | 1.46 | | | | (0.15 | ) |
| | 2013 - A | | | 12.93 | | | | 0.20 | (f) | | | 3.75 | | | | 3.95 | | | | (0.02 | ) |
| | 2013 - C | | | 11.57 | | | | 0.06 | (f) | | | 3.38 | | | | 3.44 | | | | — | |
| | 2013 - Institutional | | | 13.42 | | | | 0.25 | (f) | | | 3.91 | | | | 4.16 | | | | (0.10 | ) |
| | 2013 - Service | | | 12.78 | | | | 0.17 | (f) | | | 3.72 | | | | 3.89 | | | | (0.03 | ) |
| | 2013 - IR | | | 12.83 | | | | 0.23 | (f) | | | 3.72 | | | | 3.95 | | | | (0.08 | ) |
| | 2013 - R | | | 12.81 | | | | 0.03 | (f) | | | 3.86 | | | | 3.89 | | | | (0.03 | ) |
| | 2012 - A | | | 12.06 | | | | 0.01 | (g) | | | 0.96 | (h) | | | 0.97 | | | | (0.10 | ) |
| | 2012 - C | | | 10.81 | | | | (0.07 | )(g) | | | 0.86 | (h) | | | 0.79 | | | | (0.03 | ) |
| | 2012 - Institutional | | | 12.53 | | | | 0.07 | (g) | | | 0.98 | (h) | | | 1.05 | | | | (0.16 | ) |
| | 2012 - Service | | | 11.94 | | | | 0.01 | (g) | | | 0.94 | (h) | | | 0.95 | | | | (0.11 | ) |
| | 2012 - IR | | | 12.00 | | | | 0.05 | (g) | | | 0.94 | (h) | | | 0.99 | | | | (0.16 | ) |
| | 2012 - R | | | 11.97 | | | | (0.01 | )(g) | | | 0.94 | (h) | | | 0.93 | | | | (0.09 | ) |
| | 2011 - A | | | 10.92 | | | | 0.06 | (i) | | | 1.15 | | | | 1.21 | | | | (0.07 | ) |
| | 2011 - C | | | 9.82 | | | | (0.04 | )(i) | | | 1.04 | | | | 1.00 | | | | (0.01 | ) |
| | 2011 - Institutional | | | 11.34 | | | | 0.11 | (i) | | | 1.19 | | | | 1.30 | | | | (0.11 | ) |
| | 2011 - Service | | | 10.82 | | | | 0.04 | (i) | | | 1.13 | | | | 1.17 | | | | (0.05 | ) |
| | 2011 - IR | | | 10.87 | | | | 0.08 | (i) | | | 1.15 | | | | 1.23 | | | | (0.10 | ) |
| | 2011 - R | | | 10.86 | | | | 0.02 | (i) | | | 1.15 | | | | 1.17 | | | | (0.06 | ) |
| | (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. |
| | (e) | | Amount is less than $0.005 per share. |
| | (f) | | Reflects income recognized from special dividends which amounted to $0.13 per share and 0.85% of average net assets. |
| | (g) | | Reflects income recognized from special dividends which amounted to $0.02 per share and 0.17% of average net assets. |
| | (h) | | Reflects payment from affiliate relating to certain investment transactions which amounted to $0.04 per share. Excluding such payment, the total return would have been 7.71%, 6.95%, 6.89%, 8.17%, 7.63%, 8.02%, and 7.44%, respectively. |
| | (i) | | Reflects income recognized from special dividends which amounted to $0.07 per share and 0.55% of average net assets. |
| | |
| 76 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL CAP EQUITY INSIGHTS FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Net asset
value, end
of period | | | | | Total
return(b) | | | | | Net assets,
end of
period
(in 000s) | | | | | Ratio of
net expenses
to average
net assets | | | | | Ratio of
total expenses
to average
net assets | | | | | Ratio of
net investment
income (loss)
to average
net assets | | | | | Portfolio
turnover
rate(c) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 18.67 | | | | | | (2.11 | )% | | | | $ | 31,271 | | | | | | 1.26 | %(d) | | | | | 1.52 | %(d) | | | | | 0.82 | %(d) | | | | | 68 | % |
| | | 16.39 | | | | | | (2.50 | ) | | | | | 12,673 | | | | | | 2.01 | (d) | | | | | 2.27 | (d) | | | | | 0.05 | (d) | | | | | 68 | |
| | | 19.34 | | | | | | (1.95 | ) | | | | | 119,595 | | | | | | 0.85 | (d) | | | | | 1.12 | (d) | | | | | 1.31 | (d) | | | | | 68 | |
| | | 18.41 | | | | | | (2.18 | ) | | | | | 688 | | | | | | 1.36 | (d) | | | | | 1.62 | (d) | | | | | 0.65 | (d) | | | | | 68 | |
| | | 18.54 | | | | | | (2.02 | ) | | | | | 866 | | | | | | 1.01 | (d) | | | | | 1.27 | (d) | | | | | 1.02 | (d) | | | | | 68 | |
| | | 18.35 | | | | | | (2.26 | ) | | | | | 9,329 | | | | | | 1.51 | (d) | | | | | 1.77 | (d) | | | | | 0.58 | (d) | | | | | 68 | |
| | | 19.34 | | | | | | (1.91 | ) | | | | | 27 | | | | | | 0.84 | (d) | | | | | 1.09 | (d) | | | | | 1.59 | (d) | | | | | 68 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 19.10 | | | | | | 4.66 | | | | | | 34,680 | | | | | | 1.26 | | | | | | 1.47 | | | | | | 0.15 | | | | | | 127 | |
| | | 16.81 | | | | | | 3.89 | | | | | | 14,153 | | | | | | 2.01 | | | | | | 2.22 | | | | | | (0.60 | ) | | | | | 127 | |
| | | 19.84 | | | | | | 5.13 | | | | | | 81,067 | | | | | | 0.86 | | | | | | 1.07 | | | | | | 0.57 | | | | | | 127 | |
| | | 18.82 | | | | | | 4.56 | | | | | | 959 | | | | | | 1.36 | | | | | | 1.58 | | | | | | 0.12 | | | | | | 127 | |
| | | 19.02 | | | | | | 4.99 | | | | | | 1,119 | | | | | | 1.01 | | | | | | 1.23 | | | | | | 0.32 | | | | | | 127 | |
| | | 18.78 | | | | | | 4.45 | | | | | | 8,986 | | | | | | 1.51 | | | | | | 1.72 | | | | | | (0.11 | ) | | | | | 127 | |
| | | 19.84 | | | | | | (1.88 | ) | | | | | 10 | | | | | | 0.86 | (d) | | | | | 1.06 | (d) | | | | | 0.38 | (d) | | | | | 127 | |
| | | 18.25 | | | | | | 9.16 | | | | | | 40,458 | | | | | | 1.27 | | | | | | 1.51 | | | | | | 0.07 | | | | | | 130 | |
| | | 16.18 | | | | | | 8.33 | | | | | | 15,348 | | | | | | 2.02 | | | | | | 2.26 | | | | | | (0.68 | ) | | | | | 130 | |
| | | 18.94 | | | | | | 9.58 | | | | | | 119,013 | | | | | | 0.87 | | | | | | 1.11 | | | | | | 0.47 | | | | | | 130 | |
| | | 18.00 | | | | | | 9.02 | | | | | | 1,769 | | | | | | 1.37 | | | | | | 1.60 | | | | | | (0.04 | ) | | | | | 130 | |
| | | 18.14 | | | | | | 9.39 | | | | | | 448 | | | | | | 1.02 | | | | | | 1.24 | | | | | | 0.47 | | | | | | 130 | |
| | | 17.98 | | | | | | 8.83 | | | | | | 8,126 | | | | | | 1.52 | | | | | | 1.76 | | | | | | (0.18 | ) | | | | | 130 | |
| | | 16.86 | | | | | | 30.64 | | | | | | 42,607 | | | | | | 1.26 | | | | | | 1.46 | | | | | | 1.39 | (f) | | | | | 151 | |
| | | 15.01 | | | | | | 29.73 | | | | | | 16,202 | | | | | | 2.01 | | | | | | 2.21 | | | | | | 0.45 | (f) | | | | | 151 | |
| | | 17.48 | | | | | | 31.18 | | | | | | 134,276 | | | | | | 0.86 | | | | | | 1.06 | | | | | | 1.61 | (f) | | | | | 151 | |
| | | 16.64 | | | | | | 30.55 | | | | | | 2,514 | | | | | | 1.36 | | | | | | 1.56 | | | | | | 1.13 | (f) | | | | | 151 | |
| | | 16.70 | | | | | | 30.94 | | | | | | 1,767 | | | | | | 1.01 | | | | | | 1.21 | | | | | | 1.62 | (f) | | | | | 151 | |
| | | 16.67 | | | | | | 30.39 | | | | | | 7,450 | | | | | | 1.51 | | | | | | 1.73 | | | | | | 0.18 | (f) | | | | | 151 | |
| | | 12.93 | | | | | | 8.04 | (h) | | | | | 49,863 | | | | | | 1.25 | | | | | | 1.46 | | | | | | 0.15 | (g) | | | | | 125 | |
| | | 11.57 | | | | | | 7.26 | (h) | | | | | 12,487 | | | | | | 2.00 | | | | | | 2.21 | | | | | | (0.57 | )(g) | | | | | 125 | |
| | | 13.42 | | | | | | 8.49 | (h) | | | | | 123,556 | | | | | | 0.85 | | | | | | 1.06 | | | | | | 0.55 | (g) | | | | | 125 | |
| | | 12.78 | | | | | | 7.97 | (h) | | | | | 2,133 | | | | | | 1.35 | | | | | | 1.56 | | | | | | 0.10 | (g) | | | | | 125 | |
| | | 12.83 | | | | | | 8.36 | (h) | | | | | 5,389 | | | | | | 1.00 | | | | | | 1.21 | | | | | | 0.43 | (g) | | | | | 125 | |
| | | 12.81 | | | | | | 7.78 | (h) | | | | | 357 | | | | | | 1.50 | | | | | | 1.71 | | | | | | (0.05 | )(g) | | | | | 125 | |
| | | 12.06 | | | | | | 11.05 | | | | | | 65,299 | | | | | | 1.25 | | | | | | 1.42 | | | | | | 0.45 | (i) | | | | | 34 | |
| | | 10.81 | | | | | | 10.14 | | | | | | 13,338 | | | | | | 2.00 | | | | | | 2.17 | | | | | | (0.32 | )(i) | | | | | 34 | |
| | | 12.53 | | | | | | 11.49 | | | | | | 86,058 | | | | | | 0.85 | | | | | | 1.02 | | | | | | 0.87 | (i) | | | | | 34 | |
| | | 11.94 | | | | | | 10.84 | | | | | | 1,548 | | | | | | 1.35 | | | | | | 1.52 | | | | | | 0.32 | (i) | | | | | 34 | |
| | | 12.00 | | | | | | 11.32 | | | | | | 4,959 | | | | | | 1.00 | | | | | | 1.17 | | | | | | 0.70 | (i) | | | | | 34 | |
| | | 11.97 | | | | | | 10.78 | | | | | | 207 | | | | | | 1.50 | | | | | | 1.67 | | | | | | 0.14 | (i) | | | | | 34 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 77 |
GOLDMAN SACHS SMALL CAP GROWTH INSIGHTS 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 (loss)(a) | | | Net realized
and unrealized
gain (loss) | | | Total from
investment
operations | | | From net
investment
income | | | From net
realized
gains | | | Total
distributions | |
| | FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED) | |
| | 2016 - A | | $ | 31.15 | | | $ | 0.05 | | | $ | (1.47 | ) | | $ | (1.42 | ) | | $ | — | | | $ | (2.69 | ) | | $ | (2.69 | ) |
| | 2016 - C | | | 25.61 | | | | (0.05 | ) | | | (1.18 | ) | | | (1.23 | ) | | | — | | | | (2.69 | ) | | | (2.69 | ) |
| | 2016 - Institutional | | | 35.46 | | | | 0.12 | | | | (1.69 | ) | | | (1.57 | ) | | | — | | | | (2.69 | ) | | | (2.69 | ) |
| | 2016 - IR | | | 31.68 | | | | 0.09 | | | | (1.50 | ) | | | (1.41 | ) | | | — | | | | (2.69 | ) | | | (2.69 | ) |
| | 2016 - R | | | 30.37 | | | | 0.03 | | | | (1.44 | ) | | | (1.41 | ) | | | — | | | | (2.69 | ) | | | (2.69 | ) |
| | 2016 - R6 | | | 35.46 | | | | 0.39 | | | | (1.95 | ) | | | (1.56 | ) | | | — | | | | (2.69 | ) | | | (2.69 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | FOR THE YEAR ENDED OCTOBER 31, | |
| | 2015 - A | | | 31.17 | | | | (0.10 | ) | | | 1.87 | | | | 1.77 | | | | — | | | | (1.79 | ) | | | (1.79 | ) |
| | 2015 - C | | | 26.12 | | | | (0.28 | ) | | | 1.56 | | | | 1.28 | | | | — | | | | (1.79 | ) | | | (1.79 | ) |
| | 2015 - Institutional | | | 35.10 | | | | 0.02 | | | | 2.13 | | | | 2.15 | | | | — | | | | (1.79 | ) | | | (1.79 | ) |
| | 2015 - IR | | | 31.59 | | | | (0.04 | ) | | | 1.92 | | | | 1.88 | | | | — | | | | (1.79 | ) | | | (1.79 | ) |
| | 2015 - R | | | 30.51 | | | | (0.18 | ) | | | 1.83 | | | | 1.65 | | | | — | | | | (1.79 | ) | | | (1.79 | ) |
| | 2015 - R6 (Commenced July 31, 2015) | | | 36.95 | | | | (0.01 | ) | | | (1.48 | ) | | | (1.49 | ) | | | — | | | | — | | | | — | |
| | 2014 - A | | | 31.10 | | | | (0.10 | ) | | | 2.67 | | | | 2.57 | | | | — | | | | (2.50 | ) | | | (2.50 | ) |
| | 2014 - C | | | 26.64 | | | | (0.27 | ) | | | 2.25 | | | | 1.98 | | | | — | | | | (2.50 | ) | | | (2.50 | ) |
| | 2014 - Institutional | | | 34.59 | | | | 0.01 | | | | 3.00 | | | | 3.01 | | | | — | | | | (2.50 | ) | | | (2.50 | ) |
| | 2014 - IR | | | 31.41 | | | | (0.04 | ) | | | 2.72 | | | | 2.68 | | | | — | | | | (2.50 | ) | | | (2.50 | ) |
| | 2014 - R | | | 30.56 | | | | (0.19 | ) | | | 2.64 | | | | 2.45 | | | | — | | | | (2.50 | ) | | | (2.50 | ) |
| | 2013 - A | | | 23.40 | | | | 0.18 | (e) | | | 7.70 | | | | 7.88 | | | | (0.18 | ) | | | — | | | | (0.18 | ) |
| | 2013 - C | | | 20.09 | | | | (0.03 | )(e) | | | 6.63 | | | | 6.60 | | | | (0.05 | ) | | | — | | | | (0.05 | ) |
| | 2013 - Institutional | | | 26.01 | | | | 0.29 | (e) | | | 8.57 | | | | 8.86 | | | | (0.28 | ) | | | — | | | | (0.28 | ) |
| | 2013 - IR | | | 23.64 | | | | 0.18 | (e) | | | 7.83 | | | | 8.01 | | | | (0.24 | ) | | | — | | | | (0.24 | ) |
| | 2013 - R | | | 23.08 | | | | — | (e)(f) | | | 7.68 | | | | 7.68 | | | | (0.20 | ) | | | — | | | | (0.20 | ) |
| | 2012 - A | | | 21.22 | | | | 0.04 | (g) | | | 2.14 | (h) | | | 2.18 | | | | — | | | | — | | | | — | |
| | 2012 - C | | | 18.35 | | | | (0.11 | )(g) | | | 1.85 | (h) | | | 1.74 | | | | — | | | | — | | | | — | |
| | 2012 - Institutional | | | 23.49 | | | | 0.15 | (g) | | | 2.37 | (h) | | | 2.52 | | | | — | | | | — | | | | — | |
| | 2012 - IR | | | 21.39 | | | | 0.03 | (g) | | | 2.22 | (h) | | | 2.25 | | | | — | | | | — | | | | — | |
| | 2012 - R | | | 20.98 | | | | (0.01 | )(g) | | | 2.11 | (h) | | | 2.10 | | | | — | | | | — | | | | — | |
| | 2011 - A | | | 18.49 | | | | (0.05 | )(i) | | | 2.78 | | | | 2.73 | | | | — | | | | — | | | | — | |
| | 2011 - C | | | 16.11 | | | | (0.18 | )(i) | | | 2.42 | | | | 2.24 | | | | — | | | | — | | | | — | |
| | 2011 - Institutional | | | 20.38 | | | | 0.03 | (i) | | | 3.08 | | | | 3.11 | | | | — | | | | — | | | | — | |
| | 2011 - IR | | | 18.58 | | | | (0.08 | )(i) | | | 2.89 | | | | 2.81 | | | | — | | | | — | | | | — | |
| | 2011 - R | | | 18.33 | | | | (0.11 | )(i) | | | 2.76 | | | | 2.65 | | | | — | | | | — | | | | — | |
| | (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. |
| | (e) | | Reflects income recognized from special dividends which amounted to $0.17 per share and 0.65% of average net assets. |
| | (f) | | Amount is less than $0.005 per share. |
| | (g) | | Reflects income recognized from special dividends which amounted to $0.11 per share and 0.51% of average net assets. |
| | (h) | | Reflects payment from affiliate relating to certain investment transactions which amounted to $0.11 per share. Excluding such payment, the total return would have been 9.73%, 8.82%, 8.86%, 10.23%, 9.98% and 9.46%, respectively. |
| | (i) | | Reflects income recognized from special dividends which amounted to $0.07 per share and 0.34% of average net assets. |
| | |
| 78 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL CAP GROWTH INSIGHTS FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Net asset
value, end
of period | | | | | Total
return(b) | | | | | Net assets,
end of
period
(in 000s) | | | | | Ratio of
net expenses
to average
net assets | | | | | Ratio of
total expenses
to average
net assets | | | | | Ratio of
net investment
income (loss)
to average
net assets | | | | | Portfolio
turnover
rate(c) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 27.04 | | | | | | (4.94 | )% | | | | $ | 52,206 | | | | | | 1.25 | %(d) | | | | | 1.55 | %(d) | | | | | 0.40 | %(d) | | | | | 60 | % |
| | | 21.69 | | | | | | (5.29 | ) | | | | | 7,408 | | | | | | 2.00 | (d) | | | | | 2.30 | (d) | | | | | (0.44 | )(d) | | | | | 60 | |
| | | 31.20 | | | | | | (4.75 | ) | | | | | 75,322 | | | | | | 0.85 | (d) | | | | | 1.15 | (d) | | | | | 0.77 | (d) | | | | | 60 | |
| | | 27.58 | | | | | | (4.81 | ) | | | | | 5,535 | | | | | | 1.00 | (d) | | | | | 1.30 | (d) | | | | | 0.64 | (d) | | | | | 60 | |
| | | 26.27 | | | | | | (5.04 | ) | | | | | 3,529 | | | | | | 1.50 | (d) | | | | | 1.80 | (d) | | | | | 0.24 | (d) | | | | | 60 | |
| | | 31.21 | | | | | | (4.72 | ) | | | | | 4,105 | | | | | | 0.83 | (d) | | | | | 1.10 | (d) | | | | | 2.53 | (d) | | | | | 60 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 31.15 | | | | | | 5.95 | | | | | | 43,647 | | | | | | 1.26 | | | | | | 1.60 | | | | | | (0.33 | ) | | | | | 145 | |
| | | 25.61 | | | | | | 5.18 | | | | | | 7,964 | | | | | | 2.01 | | | | | | 2.36 | | | | | | (1.06 | ) | | | | | 145 | |
| | | 35.46 | | | | | | 6.39 | | | | | | 64,023 | | | | | | 0.86 | | | | | | 1.20 | | | | | | 0.06 | | | | | | 145 | |
| | | 31.68 | | | | | | 6.24 | | | | | | 4,683 | | | | | | 1.01 | | | | | | 1.33 | | | | | | (0.12 | ) | | | | | 145 | |
| | | 30.37 | | | | | | 5.67 | | | | | | 2,299 | | | | | | 1.51 | | | | | | 1.85 | | | | | | (0.60 | ) | | | | | 145 | |
| | | 35.46 | | | | | | (4.03 | ) | | | | | 10 | | | | | | 0.85 | (d) | | | | | 1.16 | (d) | | | | | (0.07 | )(d) | | | | | 145 | |
| | | 31.17 | | | | | | 8.74 | | | | | | 32,390 | | | | | | 1.30 | | | | | | 1.86 | | | | | | (0.33 | ) | | | | | 162 | |
| | | 26.12 | | | | | | 7.96 | | | | | | 7,124 | | | | | | 2.05 | | | | | | 2.61 | | | | | | (1.08 | ) | | | | | 162 | |
| | | 35.10 | | | | | | 9.15 | | | | | | 30,166 | | | | | | 0.90 | | | | | | 1.47 | | | | | | 0.02 | | | | | | 162 | |
| | | 31.59 | | | | | | 9.02 | | | | | | 1,269 | | | | | | 1.05 | | | | | | 1.62 | | | | | | (0.12 | ) | | | | | 162 | |
| | | 30.51 | | | | | | 8.48 | | | | | | 847 | | | | | | 1.54 | | | | | | 2.09 | | | | | | (0.63 | ) | | | | | 162 | |
| | | 31.10 | | | | | | 33.98 | | | | | | 30,803 | | | | | | 1.30 | | | | | | 1.93 | | | | | | 0.67 | (e) | | | | | 163 | |
| | | 26.64 | | | | | | 32.92 | | | | | | 7,402 | | | | | | 2.05 | | | | | | 2.68 | | | | | | (0.12 | )(e) | | | | | 163 | |
| | | 34.59 | | | | | | 34.48 | | | | | | 14,171 | | | | | | 0.90 | | | | | | 1.53 | | | | | | 0.96 | (e) | | | | | 163 | |
| | | 31.41 | | | | | | 34.25 | | | | | | 639 | | | | | | 1.05 | | | | | | 1.71 | | | | | | 0.62 | (e) | | | | | 163 | |
| | | 30.56 | | | | | | 33.60 | | | | | | 209 | | | | | | 1.55 | | | | | | 2.18 | | | | | | (0.01 | )(e) | | | | | 163 | |
| | | 23.40 | | | | | | 10.24 | (h) | | | | | 25,662 | | | | | | 1.25 | | | | | | 1.96 | | | | | | 0.16 | (g) | | | | | 116 | |
| | | 20.09 | | | | | | 9.46 | (h) | | | | | 5,247 | | | | | | 2.00 | | | | | | 2.71 | | | | | | (0.59 | )(g) | | | | | 116 | |
| | | 26.01 | | | | | | 10.70 | (h) | | | | | 7,733 | | | | | | 0.85 | | | | | | 1.55 | | | | | | 0.57 | (g) | | | | | 116 | |
| | | 23.64 | | | | | | 10.49 | (h) | | | | | 176 | | | | | | 1.00 | | | | | | 1.70 | | | | | | 0.12 | (g) | | | | | 116 | |
| | | 23.08 | | | | | | 9.98 | (h) | | | | | 30 | | | | | | 1.50 | | | | | | 2.20 | | | | | | (0.08 | )(g) | | | | | 116 | |
| | | 21.22 | | | | | | 14.76 | | | | | | 24,979 | | | | | | 1.25 | | | | | | 1.96 | | | | | | (0.26 | )(i) | | | | | 52 | |
| | | 18.35 | | | | | | 13.90 | | | | | | 5,180 | | | | | | 2.00 | | | | | | 2.71 | | | | | | (1.00 | )(i) | | | | | 52 | |
| | | 23.49 | | | | | | 15.26 | | | | | | 6,959 | | | | | | 0.85 | | | | | | 1.56 | | | | | | 0.14 | (i) | | | | | 52 | |
| | | 21.39 | | | | | | 15.12 | | | | | | 38 | | | | | | 1.00 | | | | | | 1.71 | | | | | | (0.38 | )(i) | | | | | 52 | |
| | | 20.98 | | | | | | 14.46 | | | | | | 19 | | | | | | 1.50 | | | | | | 2.21 | | | | | | (0.51 | )(i) | | | | | 52 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 79 |
GOLDMAN SACHS SMALL CAP VALUE INSIGHTS 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 (loss)(a) | | | Net realized
and unrealized
gain (loss) | | | Total from
investment
operations | | | From net
investment
income | | | From net
realized
gains | | | Total
distributions | |
| | FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED) | |
| | 2016 - A | | $ | 38.37 | | | $ | 0.18 | | | $ | 0.14 | | | $ | 0.32 | | | $ | (0.29 | ) | | $ | (2.05 | ) | | $ | (2.34 | ) |
| | 2016 - C | | | 29.75 | | | | 0.04 | | | | 0.09 | | | | 0.13 | | | | (0.10 | ) | | | (2.05 | ) | | | (2.15 | ) |
| | 2016 - Institutional | | | 48.06 | | | | 0.32 | | | | 0.18 | | | | 0.50 | | | | (0.44 | ) | | | (2.05 | ) | | | (2.49 | ) |
| | 2016 - IR | | | 38.31 | | | | 0.22 | | | | 0.14 | | | | 0.36 | | | | (0.39 | ) | | | (2.05 | ) | | | (2.44 | ) |
| | 2016 - R | | | 37.99 | | | | 0.13 | | | | 0.14 | | | | 0.27 | | | | (0.32 | ) | | | (2.05 | ) | | | (2.37 | ) |
| | 2016 - R6 | | | 48.07 | | | | 0.32 | | | | 0.17 | | | | 0.49 | | | | (0.45 | ) | | | (2.05 | ) | | | (2.50 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | FOR THE YEAR ENDED OCTOBER 31, | |
| | 2015 - A | | | 38.89 | | | | 0.30 | | | | (0.09 | ) | | | 0.21 | | | | (0.14 | ) | | | (0.59 | ) | | | (0.73 | ) |
| | 2015 - C | | | 30.40 | | | | — | | | | (0.06 | ) | | | (0.06 | ) | | | — | | | | (0.59 | ) | | | (0.59 | ) |
| | 2015 - Institutional | | | 48.49 | | | | 0.55 | | | | (0.10 | ) | | | 0.45 | | | | (0.29 | ) | | | (0.59 | ) | | | (0.88 | ) |
| | 2015 - IR | | | 38.84 | | | | 0.39 | | | | (0.10 | ) | | | 0.29 | | | | (0.23 | ) | | | (0.59 | ) | | | (0.82 | ) |
| | 2015 - R | | | 38.50 | | | | 0.14 | | | | (0.04 | ) | | | 0.10 | | | | (0.02 | ) | | | (0.59 | ) | | | (0.61 | ) |
| | 2015 - R6 (Commenced July 31, 2015) | | | 48.87 | | | | 0.10 | | | | (0.90 | ) | | | (0.80 | ) | | | — | | | | — | | | | — | |
| | 2014 - A | | | 35.97 | | | | 0.15 | | | | 2.95 | | | | 3.10 | | | | (0.18 | ) | | | — | | | | (0.18 | ) |
| | 2014 - C | | | 28.20 | | | | (0.10 | ) | | | 2.31 | | | | 2.21 | | | | (0.01 | ) | | | — | | | | (0.01 | ) |
| | 2014 - Institutional | | | 44.76 | | | | 0.38 | | | | 3.67 | | | | 4.05 | | | | (0.32 | ) | | | — | | | | (0.32 | ) |
| | 2014 - IR | | | 35.92 | | | | 0.25 | | | | 2.94 | | | | 3.19 | | | | (0.27 | ) | | | — | | | | (0.27 | ) |
| | 2014 - R | | | 35.62 | �� | | | 0.07 | | | | 2.92 | | | | 2.99 | | | | (0.11 | ) | | | — | | | | (0.11 | ) |
| | 2013 - A | | | 28.75 | | | | 0.42 | (e) | | | 7.12 | | | | 7.54 | | | | (0.32 | ) | | | — | | | | (0.32 | ) |
| | 2013 - C | | | 22.62 | | | | 0.15 | (e) | | | 5.60 | | | | 5.75 | | | | (0.17 | ) | | | — | | | | (0.17 | ) |
| | 2013 - Institutional | | | 35.67 | | | | 0.69 | (e) | | | 8.84 | | | | 9.53 | | | | (0.44 | ) | | | — | | | | (0.44 | ) |
| | 2013 - IR | | | 28.75 | | | | 0.49 | (e) | | | 7.11 | | | | 7.60 | | | | (0.43 | ) | | | — | | | | (0.43 | ) |
| | 2013 - R | | | 28.54 | | | | 0.31 | (e) | | | 7.09 | | | | 7.40 | | | | (0.32 | ) | | | — | | | | (0.32 | ) |
| | 2012 - A | | | 26.36 | | | | 0.22 | (f) | | | 2.31 | (g) | | | 2.53 | | | | (0.14 | ) | | | — | | | | (0.14 | ) |
| | 2012 - C | | | 20.79 | | | | — | (f)(h) | | | 1.83 | (g) | | | 1.83 | | | | — | | | | — | | | | — | |
| | 2012 - Institutional | | | 32.66 | | | | 0.47 | (f) | | | 2.79 | (g) | | | 3.26 | | | | (0.25 | ) | | | — | | | | (0.25 | ) |
| | 2012 - IR | | | 26.40 | | | | 0.31 | (f) | | | 2.28 | (g) | | | 2.59 | | | | (0.24 | ) | | | — | | | | (0.24 | ) |
| | 2012 - R | | | 26.21 | | | | 0.15 | (f) | | | 2.30 | (g) | | | 2.45 | | | | (0.12 | ) | | | — | | | | (0.12 | ) |
| | 2011 - A | | | 24.10 | | | | 0.15 | (i) | | | 2.27 | | | | 2.42 | | | | (0.16 | ) | | | — | | | | (0.16 | ) |
| | 2011 - C | | | 19.06 | | | | (0.04 | )(i) | | | 1.80 | | | | 1.76 | | | | (0.03 | ) | | | — | | | | (0.03 | ) |
| | 2011 - Institutional | | | 29.80 | | | | 0.32 | (i) | | | 2.79 | | | | 3.11 | | | | (0.25 | ) | | | — | | | | (0.25 | ) |
| | 2011 - IR | | | 24.15 | | | | 0.24 | (i) | | | 2.24 | | | | 2.48 | | | | (0.23 | ) | | | — | | | | (0.23 | ) |
| | 2011 - R | | | 23.99 | | | | 0.07 | (i) | | | 2.26 | | | | 2.33 | | | | (0.11 | ) | | | — | | | | (0.11 | ) |
| | (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. |
| | (e) | | Reflects income recognized from special dividends which amounted to $0.20 per share and 0.65% of average net assets. |
| | (f) | | Reflects income recognized from special dividends which amounted to $0.09 per share and 0.33% of average net assets. |
| | (g) | | Reflects payment from affiliate relating to certain investment transactions which amounted to $0.07 per share. Excluding such payment, the total return would have been 9.34%, 8.35%, 8.44%, 9.81%, 9.55% and 9.09%, respectively. |
| | (h) | | Amount is less than $0.005 per share. |
| | (i) | | Reflects income recognized from special dividends which amounted to $0.07 per share and 0.27% of average net assets. |
| | |
| 80 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL CAP VALUE INSIGHTS FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Net asset
value, end
of period | | | | | Total
return(b) | | | | | Net assets,
end of
period
(in 000s) | | | | | Ratio of
net expenses
to average
net assets | | | | | Ratio of
total expenses
to average
net assets | | | | | Ratio of
net investment
income (loss)
to average
net assets | | | | | Portfolio
turnover
rate(c) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 36.35 | | | | | | 1.04 | % | | | | $ | 89,571 | | | | | | 1.25 | %(d) | | | | | 1.57 | %(d) | | | | | 1.03 | %(d) | | | | | 56 | % |
| | | 27.73 | | | | | | 0.64 | | | | | | 15,377 | | | | | | 2.00 | (d) | | | | | 2.32 | (d) | | | | | 0.28 | (d) | | | | | 56 | |
| | | 46.07 | | | | | | 1.23 | | | | | | 19,389 | | | | | | 0.85 | (d) | | | | | 1.17 | (d) | | | | | 1.44 | (d) | | | | | 56 | |
| | | 36.23 | | | | | | 1.17 | | | | | | 1,911 | | | | | | 1.00 | (d) | | | | | 1.32 | (d) | | | | | 1.27 | (d) | | | | | 56 | |
| | | 35.89 | | | | | | 0.91 | | | | | | 5,170 | | | | | | 1.50 | (d) | | | | | 1.82 | (d) | | | | | 0.78 | (d) | | | | | 56 | |
| | | 46.06 | | | | | | 1.21 | | | | | | 10 | | | | | | 0.84 | (d) | | | | | 1.16 | (d) | | | | | 1.44 | (d) | | | | | 56 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 38.37 | | | | | | 0.53 | | | | | | 93,151 | | | | | | 1.25 | | | | | | 1.52 | | | | | | 0.76 | | | | | | 133 | |
| | | 29.75 | | | | | | (0.21 | ) | | | | | 16,416 | | | | | | 2.00 | | | | | | 2.27 | | | | �� | | 0.01 | | | | | | 133 | |
| | | 48.06 | | | | | | 0.93 | | | | | | 21,036 | | | | | | 0.85 | | | | | | 1.12 | | | | | | 1.13 | | | | | | 133 | |
| | | 38.31 | | | | | | 0.76 | | | | | | 1,774 | | | | | | 1.00 | | | | | | 1.27 | | | | | | 1.00 | | | | | | 133 | |
| | | 37.99 | | | | | | 0.27 | | | | | | 4,992 | | | | | | 1.51 | | | | | | 1.77 | | | | | | 0.36 | | | | | | 133 | |
| | | 48.07 | | | | | | (1.64 | ) | | | | | 10 | | | | | | 0.83 | (d) | | | | | 1.09 | (d) | | | | | 0.83 | (d) | | | | | 133 | |
| | | 38.89 | | | | | | 8.66 | | | | | | 96,094 | | | | | | 1.27 | | | | | | 1.59 | | | | | | 0.41 | | | | | | 114 | |
| | | 30.40 | | | | | | 7.84 | | | | | | 18,994 | | | | | | 2.02 | | | | | | 2.34 | | | | | | (0.34 | ) | | | | | 114 | |
| | | 48.49 | | | | | | 9.12 | | | | | | 15,973 | | | | | | 0.87 | | | | | | 1.20 | | | | | | 0.81 | | | | | | 114 | |
| | | 38.84 | | | | | | 8.94 | | | | | | 1,788 | | | | | | 1.02 | | | | | | 1.35 | | | | | | 0.66 | | | | | | 114 | |
| | | 38.50 | | | | | | 8.40 | | | | | | 1,176 | | | | | | 1.52 | | | | | | 1.84 | | | | | | 0.18 | | | | | | 114 | |
| | | 35.97 | | | | | | 26.54 | | | | | | 99,381 | | | | | | 1.26 | | | | | | 1.54 | | | | | | 1.32 | (e) | | | | | 141 | |
| | | 28.20 | | | | | | 25.63 | | | | | | 19,416 | | | | | | 2.00 | | | | | | 2.29 | | | | | | 0.58 | (e) | | | | | 141 | |
| | | 44.76 | | | | | | 27.05 | | | | | | 12,204 | | | | | | 0.86 | | | | | | 1.13 | | | | | | 1.74 | (e) | | | | | 141 | |
| | | 35.92 | | | | | | 26.91 | | | | | | 1,310 | | | | | | 1.01 | | | | | | 1.29 | | | | | | 1.53 | (e) | | | | | 141 | |
| | | 35.62 | | | | | | 26.21 | | | | | | 1,154 | | | | | | 1.51 | | | | | | 1.79 | | | | | | 0.96 | (e) | | | | | 141 | |
| | | 28.75 | | | | | | 9.60 | (g) | | | | | 87,084 | | | | | | 1.25 | | | | | | 1.52 | | | | | | 0.79 | (f) | | | | | 85 | |
| | | 22.62 | | | | | | 8.78 | (g) | | | | | 17,808 | | | | | | 2.00 | | | | | | 2.27 | | | | | | 0.04 | (f) | | | | | 85 | |
| | | 35.67 | | | | | | 10.02 | (g) | | | | | 12,310 | | | | | | 0.85 | | | | | | 1.11 | | | | | | 1.30 | (f) | | | | | 85 | |
| | | 28.75 | | | | | | 9.82 | (g) | | | | | 455 | | | | | | 1.00 | | | | | | 1.26 | | | | | | 1.11 | (f) | | | | | 85 | |
| | | 28.54 | | | | | | 9.35 | (g) | | | | | 699 | | | | | | 1.50 | | | | | | 1.75 | | | | | | 0.52 | (f) | | | | | 85 | |
| | | 26.36 | | | | | | 10.03 | | | | | | 91,426 | | | | | | 1.25 | | | | | | 1.54 | | | | | | 0.58 | (i) | | | | | 33 | |
| | | 20.79 | | | | | | 9.21 | | | | | | 194,248 | | | | | | 2.00 | | | | | | 2.29 | | | | | | (0.17 | )(i) | | | | | 33 | |
| | | 32.66 | | | | | | 10.46 | | | | | | 3,479 | | | | | | 0.85 | | | | | | 1.14 | | | | | | 0.97 | (i) | | | | | 33 | |
| | | 26.40 | | | | | | 10.29 | | | | | | 223 | | | | | | 1.00 | | | | | | 1.29 | | | | | | 0.96 | (i) | | | | | 33 | |
| | | 26.21 | | | | | | 9.71 | | | | | | 214 | | | | | | 1.50 | | | | | | 1.79 | | | | | | 0.26 | (i) | | | | | 33 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 81 |
GOLDMAN SACHS U.S. EQUITY INSIGHTS FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | From
investment operations | | | Distributions
to shareholders | |
| | | Year - Share Class | | Net asset
value,
beginning
of period | | | Net
investment
income(a) | | | Net realized
and unrealized
gain (loss) | | | Total from
investment
operations | | | From net
investment
income | | | From net
realized
gains | | | Total
distributions | |
| | FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED) | |
| | 2016 - A | | $ | 41.46 | | | $ | 0.20 | | | $ | (0.87 | ) | | $ | (0.67 | ) | | $ | (0.38 | ) | | $ | (1.19 | ) | | $ | (1.57 | ) |
| | 2016 - C | | | 37.88 | | | | 0.05 | | | | (0.80 | ) | | | (0.75 | ) | | | (0.11 | ) | | | (1.19 | ) | | | (1.30 | ) |
| | 2016 - Institutional | | | 42.60 | | | | 0.28 | | | | (0.88 | ) | | | (0.60 | ) | | | (0.55 | ) | | | (1.19 | ) | | | (1.74 | ) |
| | 2016 - Service | | | 41.37 | | | | 0.18 | | | | (0.86 | ) | | | (0.68 | ) | | | (0.41 | ) | | | (1.19 | ) | | | (1.60 | ) |
| | 2016 - IR | | | 41.13 | | | | 0.24 | | | | (0.86 | ) | | | (0.62 | ) | | | (0.50 | ) | | | (1.19 | ) | | | (1.69 | ) |
| | 2016 - R | | | 40.91 | | | | 0.15 | | | | (0.86 | ) | | | (0.71 | ) | | | (0.36 | ) | | | (1.19 | ) | | | (1.55 | ) |
| | 2016 - R6 | | | 42.60 | | | | 0.29 | | | | (0.89 | ) | | | (0.60 | ) | | | (0.56 | ) | | | (1.19 | ) | | | (1.75 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | FOR THE YEAR ENDED OCTOBER 31, | |
| | 2015 - A | | | 40.20 | | | | 0.43 | | | | 1.12 | | | | 1.55 | | | | (0.29 | ) | | | — | | | | (0.29 | ) |
| | 2015 - C | | | 36.78 | | | | 0.11 | | | | 1.03 | | | | 1.14 | | | | (0.04 | ) | | | — | | | | (0.04 | ) |
| | 2015 - Institutional | | | 41.29 | | | | 0.60 | | | | 1.16 | | | | 1.76 | | | | (0.45 | ) | | | — | | | | (0.45 | ) |
| | 2015 - Service | | | 40.12 | | | | 0.36 | | | | 1.15 | | | | 1.51 | | | | (0.26 | ) | | | — | | | | (0.26 | ) |
| | 2015 - IR | | | 39.89 | | | | 0.51 | | | | 1.13 | | | | 1.64 | | | | (0.40 | ) | | | — | | | | (0.40 | ) |
| | 2015 - R | | | 39.80 | | | | 0.26 | | | | 1.18 | | | | 1.44 | | | | (0.33 | ) | | | — | | | | (0.33 | ) |
| | 2015 - R6 (Commenced July 31, 2015) | | | 43.19 | | | | 0.14 | | | | (0.73 | ) | | | (0.59 | ) | | | — | | | | — | | | | — | |
| | 2014 - A | | | 34.52 | | | | 0.33 | | | | 5.71 | | | | 6.04 | | | | (0.36 | ) | | | — | | | | (0.36 | ) |
| | 2014 - C | | | 31.63 | | | | 0.05 | | | | 5.24 | | | | 5.29 | | | | (0.14 | ) | | | — | | | | (0.14 | ) |
| | 2014 - Institutional | | | 35.44 | | | | 0.49 | | | | 5.86 | | | | 6.35 | | | | (0.50 | ) | | | — | | | | (0.50 | ) |
| | 2014 - Service | | | 34.44 | | | | 0.29 | | | | 5.71 | | | | 6.00 | | | | (0.32 | ) | | | — | | | | (0.32 | ) |
| | 2014 - IR | | | 34.26 | | | | 0.42 | | | | 5.67 | | | | 6.09 | | | | (0.46 | ) | | | — | | | | (0.46 | ) |
| | 2014 - R | | | 34.16 | | | | 0.23 | | | | 5.67 | | | | 5.90 | | | | (0.26 | ) | | | — | | | | (0.26 | ) |
| | 2013 - A | | | 26.80 | | | | 0.44 | | | | 7.68 | | | | 8.12 | | | | (0.40 | ) | | | — | | | | (0.40 | ) |
| | 2013 - C | | | 24.59 | | | | 0.19 | | | | 7.07 | | | | 7.26 | | | | (0.22 | ) | | | — | | | | (0.22 | ) |
| | 2013 - Institutional | | | 27.51 | | | | 0.53 | | | | 7.91 | | | | 8.44 | | | | (0.51 | ) | | | — | | | | (0.51 | ) |
| | 2013 - Service | | | 26.76 | | | | 0.41 | | | | 7.65 | | | | 8.06 | | | | (0.38 | ) | | | — | | | | (0.38 | ) |
| | 2013 - IR | | | 26.62 | | | | 0.45 | | | | 7.67 | | | | 8.12 | | | | (0.48 | ) | | | — | | | | (0.48 | ) |
| | 2013 - R | | | 26.58 | | | | 0.36 | | | | 7.61 | | | | 7.97 | | | | (0.39 | ) | | | — | | | | (0.39 | ) |
| | 2012 - A | | | 24.21 | | | | 0.33 | (e) | | | 2.70 | (f) | | | 3.03 | | | | (0.44 | ) | | | — | | | | (0.44 | ) |
| | 2012 - C | | | 22.25 | | | | 0.13 | (e) | | | 2.48 | (f) | | | 2.61 | | | | (0.27 | ) | | | — | | | | (0.27 | ) |
| | 2012 - Institutional | | | 24.82 | | | | 0.44 | (e) | | | 2.77 | (f) | | | 3.21 | | | | (0.52 | ) | | | — | | | | (0.52 | ) |
| | 2012 - Service | | | 24.14 | | | | 0.30 | (e) | | | 2.70 | (f) | | | 3.00 | | | | (0.38 | ) | | | — | | | | (0.38 | ) |
| | 2012 - IR | | | 24.08 | | | | 0.37 | (e) | | | 2.69 | (f) | | | 3.06 | | | | (0.52 | ) | | | — | | | | (0.52 | ) |
| | 2012 - R | | | 23.98 | | | | 0.22 | (e) | | | 2.73 | (f) | | | 2.95 | | | | (0.35 | ) | | | — | | | | (0.35 | ) |
| | 2011 - A | | | 22.32 | | | | 0.31 | (g) | | | 1.87 | | | | 2.18 | | | | (0.29 | ) | | | — | | | | (0.29 | ) |
| | 2011 - C | | | 20.54 | | | | 0.12 | (g) | | | 1.72 | | | | 1.84 | | | | (0.13 | ) | | | — | | | | (0.13 | ) |
| | 2011 - Institutional | | | 22.89 | | | | 0.44 | (g) | | | 1.87 | | | | 2.31 | | | | (0.38 | ) | | | — | | | | (0.38 | ) |
| | 2011 - Service | | | 22.25 | | | | 0.28 | (g) | | | 1.87 | | | | 2.15 | | | | (0.26 | ) | | | — | | | | (0.26 | ) |
| | 2011 - IR | | | 22.21 | | | | 0.36 | (g) | | | 1.86 | | | | 2.22 | | | | (0.35 | ) | | | — | | | | (0.35 | ) |
| | 2011 - R | | | 22.11 | | | | 0.24 | (g) | | | 1.85 | | | | 2.09 | | | | (0.22 | ) | | | — | | | | (0.22 | ) |
| | (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. |
| | (e) | | Reflects income recognized from non-recurring special dividends which amounted to $0.06 per share and 0.23% of average net assets. |
| | (f) | | Reflects payment from affiliate relating to certain investment transactions which amounted to $0.02 per share. Excluding such payment, the total return would have been 12.61%, 11.75%, 11.75%, 13.08%, 12.50%, 12.87%, and 12.33%, respectively. |
| | (g) | | Reflects income recognized from a non-recurring special dividend which amounted to $0.03 per share and 0.13% of average net assets. |
| | |
| 82 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. EQUITY INSIGHTS 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 39.22 | | | | | | (1.61 | )% | | | | $ | 258,725 | | | | | | 0.96 | %(d) | | | | | 1.18 | %(d) | | | | | 1.05 | %(d) | | | | | 103 | % |
| | | 35.83 | | | | | | (1.99 | ) | | | | | 34,328 | | | | | | 1.71 | (d) | | | | | 1.93 | (d) | | | | | 0.30 | (d) | | | | | 103 | |
| | | 40.26 | | | | | | (1.40 | ) | | | | | 153,237 | | | | | | 0.56 | (d) | | | | | 0.78 | (d) | | | | | 1.41 | (d) | | | | | 103 | |
| | | 39.09 | | | | | | (1.65 | ) | | | | | 4,240 | | | | | | 1.06 | (d) | | | | | 1.28 | (d) | | | | | 0.93 | (d) | | | | | 103 | |
| | | 38.82 | | | | | | (1.49 | ) | | | | | 5,917 | | | | | | 0.71 | (d) | | | | | 0.93 | (d) | | | | | 1.28 | (d) | | | | | 103 | |
| | | 38.65 | | | | | | (1.74 | ) | | | | | 28,575 | | | | | | 1.21 | (d) | | | | | 1.43 | (d) | | | | | 0.79 | (d) | | | | | 103 | |
| | | 40.25 | | | | | | (1.40 | ) | | | | | 10 | | | | | | 0.55 | (d) | | | | | 0.76 | (d) | | | | | 1.46 | (d) | | | | | 103 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 41.46 | | | | | | 3.86 | | | | | | 272,738 | | | | | | 0.96 | | | | | | 1.17 | | | | | | 1.04 | | | | | | 224 | |
| | | 37.88 | | | | | | 3.09 | | | | | | 37,811 | | | | | | 1.71 | | | | | | 1.92 | | | | | | 0.28 | | | | | | 224 | |
| | | 42.60 | | | | | | 4.27 | | | | | | 121,863 | | | | | | 0.56 | | | | | | 0.77 | | | | | | 1.42 | | | | | | 224 | |
| | | 41.37 | | | | | | 3.75 | | | | | | 3,344 | | | | | | 1.06 | | | | | | 1.27 | | | | | | 0.86 | | | | | | 224 | |
| | | 41.13 | | | | | | 4.12 | | | | | | 4,615 | | | | | | 0.71 | | | | | | 0.92 | | | | | | 1.24 | | | | | | 224 | |
| | | 40.91 | | | | | | 3.58 | | | | | | 27,685 | | | | | | 1.21 | | | | | | 1.42 | | | | | | 0.64 | | | | | | 224 | |
| | | 42.60 | | | | | | (1.37 | ) | | | | | 10 | | | | | | 0.55 | (d) | | | | | 0.74 | (d) | | | | | 1.37 | (d) | | | | | 224 | |
| | | 40.20 | | | | | | 17.67 | | | | | | 275,574 | | | | | | 0.97 | | | | | | 1.21 | | | | | | 0.88 | | | | | | 222 | |
| | | 36.78 | | | | | | 16.80 | | | | | | 36,503 | | | | | | 1.72 | | | | | | 1.96 | | | | | | 0.13 | | | | | | 222 | |
| | | 41.29 | | | | | | 18.14 | | | | | | 105,300 | | | | | | 0.57 | | | | | | 0.81 | | | | | | 1.27 | | | | | | 222 | |
| | | 40.12 | | | | | | 17.57 | | | | | | 1,132 | | | | | | 1.07 | | | | | | 1.31 | | | | | | 0.78 | | | | | | 222 | |
| | | 39.89 | | | | | | 17.98 | | | | | | 1,003 | | | | | | 0.72 | | | | | | 0.96 | | | | | | 1.13 | | | | | | 222 | |
| | | 39.80 | | | | | | 17.42 | | | | | | 457 | | | | | | 1.22 | | | | | | 1.46 | | | | | | 0.63 | | | | | | 222 | |
| | | 34.52 | | | | | | 30.75 | | | | | | 256,626 | | | | | | 0.95 | | | | | | 1.21 | | | | | | 1.46 | | | | | | 203 | |
| | | 31.63 | | | | | | 29.78 | | | | | | 34,143 | | | | | | 1.70 | | | | | | 1.96 | | | | | | 0.70 | | | | | | 203 | |
| | | 35.44 | | | | | | 31.27 | | | | | | 64,809 | | | | | | 0.56 | | | | | | 0.82 | | | | | | 1.70 | | | | | | 203 | |
| | | 34.44 | | | | | | 30.57 | | | | | | 1,020 | | | | | | 1.05 | | | | | | 1.31 | | | | | | 1.37 | | | | | | 203 | |
| | | 34.26 | | | | | | 31.06 | | | | | | 546 | | | | | | 0.71 | | | | | | 0.97 | | | | | | 1.48 | | | | | | 203 | |
| | | 34.16 | | | | | | 30.42 | | | | | | 343 | | | | | | 1.20 | | | | | | 1.46 | | | | | | 1.19 | | | | | | 203 | |
| | | 26.80 | | | | | | 12.69 | (f) | | | | | 239,796 | | | | | | 0.95 | | | | | | 1.20 | | | | | | 1.31 | (e) | | | | | 121 | |
| | | 24.59 | | | | | | 11.84 | (f) | | | | | 30,979 | | | | | | 1.70 | | | | | | 1.95 | | | | | | 0.55 | (e) | | | | | 121 | |
| | | 27.51 | | | | | | 13.16 | (f) | | | | | 33,613 | | | | | | 0.55 | | | | | | 0.80 | | | | | | 1.69 | (e) | | | | | 121 | |
| | | 26.76 | | | | | | 12.58 | (f) | | | | | 1,036 | | | | | | 1.05 | | | | | | 1.30 | | | | | | 1.18 | (e) | | | | | 121 | |
| | | 26.62 | | | | | | 12.96 | (f) | | | | | 198 | | | | | | 0.70 | | | | | | 0.95 | | | | | | 1.45 | (e) | | | | | 121 | |
| | | 26.58 | | | | | | 12.42 | (f) | | | | | 336 | | | | | | 1.20 | | | | | | 1.44 | | | | | | 0.85 | (e) | | | | | 121 | |
| | | 24.21 | | | | | | 9.83 | | | | | | 278,353 | | | | | | 0.95 | | | | | | 1.19 | | | | | | 1.28 | (g) | | | | | 46 | |
| | | 22.25 | | | | | | 9.00 | | | | | | 32,665 | | | | | | 1.70 | | | | | | 1.94 | | | | | | 0.52 | (g) | | | | | 46 | |
| | | 24.82 | | | | | | 10.20 | | | | | | 33,581 | | | | | | 0.55 | | | | | | 0.79 | | | | | | 1.76 | (g) | | | | | 46 | |
| | | 24.14 | | | | | | 9.74 | | | | | | 962 | | | | | | 1.05 | | | | | | 1.29 | | | | | | 1.19 | (g) | | | | | 46 | |
| | | 24.08 | | | | | | 10.09 | | | | | | 105 | | | | | | 0.70 | | | | | | 0.94 | | | | | | 1.57 | (g) | | | | | 46 | |
| | | 23.98 | | | | | | 9.53 | | | | | | 29 | | | | | | 1.20 | | | | | | 1.44 | | | | | | 1.03 | (g) | | | | | 46 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 83 |
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Notes to Financial Statements
April 30, 2016 (Unaudited)
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 |
Large Cap Growth Insights, Large Cap Value Insights, Small Cap Equity Insights and U.S. Equity Insights | | A, C, Institutional, Service, IR, R and R6 | | Diversified |
Small Cap Growth Insights and Small Cap Value Insights | | A, C, Institutional, IR, R and R6 | | Diversified |
Class A Shares are sold with a front-end sales charge of up to 5.50%. 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, 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.
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.
84
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
|
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
D. Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Funds are not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid according to the following schedule:
| | | | | | |
| Fund | | | | Income Distributions
Declared/Paid | | Capital Gains Distributions
Declared/Paid |
Large Cap Value Insights | | | | Quarterly | | Annually |
Large Cap Growth Insights, Small Cap Equity
Insights, Small Cap Growth Insights, Small Cap
Value Insights and U.S. Equity Insights | | | | Annually | | 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.
| | |
| 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.
85
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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.
Money Market Funds — Investments in the Goldman Sachs Financial Square Money Market Fund (“Underlying Fund”) are valued at the NAV of the FST Institutional Share class on the day of valuation. These investments are generally classified as Level 1 of the fair value hierarchy. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.
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. 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
86
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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.
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.
ii. 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.
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.
87
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 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 April 30, 2016:
| | | | | | | | | | | | |
|
| LARGE CAP GROWTH INSIGHTS | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| Assets | | | | | | | | | | | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
North America | | $ | 764,177,059 | | | $ | — | | | $ | — | |
Short-term Investments | | | — | | | | 8,300,000 | | | | — | |
Securities Lending Reinvestment Vehicle | | | 5,814,625 | | | | | | | | | |
| Total | | $ | 769,991,684 | | | $ | 8,300,000 | | | $ | — | |
| | | |
| Derivative Type | | | | | | | | | |
| Assets(b) | | | | | | | | | | | | |
Futures Contracts | | $ | 502,202 | | | $ | — | | | $ | — | |
|
| LARGE CAP VALUE INSIGHTS | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| Assets | | | | | | | | | | | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
Europe | | $ | 4,579,963 | | | $ | — | | | $ | — | |
North America | | | 356,143,345 | | | | — | | | | — | |
Short-term Investments | | | — | | | | 25,200,000 | | | | — | |
Securities Lending Reinvestment Vehicle | | | 2,253,450 | | | | — | | | | — | |
| Total | | $ | 362,976,758 | | | $ | 25,200,000 | | | $ | — | |
| | | |
| Derivative Type | | | | | | | | | |
| Assets(b) | | | | | | | | | | | | |
Futures Contracts | | $ | 195,301 | | | $ | — | | | $ | — | |
| | | |
| SMALL CAP EQUITY INSIGHTS | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| Assets | | | | | | | | | | | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
North America | | $ | 167,740,756 | | | $ | — | | | $ | — | |
Europe | | | 2,261,024 | | | | — | | | | — | |
Short-term Investments | | | — | | | | 13,100,000 | | | | — | |
Securities Lending Reinvestment Vehicle | | | 8,035,251 | | | | — | | | | — | |
| Total | | $ | 178,037,031 | | | $ | 13,100,000 | | | $ | — | |
| | | |
| Derivative Type | | | | | | | | | |
| Assets(b) | | | | | | | | | | | | |
Futures Contracts | | $ | 49,013 | | | $ | — | | | $ | — | |
88
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
| | | | | | | | | | | | |
| | | |
| SMALL CAP GROWTH INSIGHTS | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| Assets | | | | | | | | | | | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
Asia | | $ | 339,208 | | | $ | — | | | $ | — | |
Europe | | | 3,048,567 | | | | — | | | | — | |
North America | | | 140,627,716 | | | | — | | | | 45,262 | |
Short-term Investments | | | — | | | | 4,500,000 | | | | — | |
Securities Lending Reinvestment Vehicle | | | 8,640,910 | | | | — | | | | — | |
| Total | | $ | 152,656,401 | | | $ | 4,500,000 | | | $ | 45,262 | |
| | | |
| Derivative Type | | | | | | | | | |
| Assets(b) | | | | | | | | | | | | |
Futures Contracts | | $ | 59,512 | | | $ | — | | | $ | — | |
|
| SMALL CAP VALUE INSIGHTS | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| Assets | | | | | | | | | | | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
North America | | $ | 127,728,644 | | | $ | — | | | $ | — | |
Europe | | | 419,109 | | | | — | | | | — | |
Short-term Investments | | | — | | | | 3,400,000 | | | | — | |
Securities Lending Reinvestment Vehicle | | | 2,972,375 | | | | — | | | | — | |
| Total | | $ | 131,120,128 | | | $ | 3,400,000 | | | $ | — | |
| | | |
| Derivative Type | | | | | | | | | |
| Assets(b) | | | | | | | | | | | | |
Futures Contracts | | $ | 146,851 | | | $ | — | | | $ | — | |
| | | |
| U.S. EQUITY INSIGHTS | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| Assets | | | | | | | | | | | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
Europe | | $ | 6,129,118 | | | $ | — | | | $ | — | |
North America | | | 466,573,573 | | | | — | | | | — | |
Short-term Investments | | | — | | | | 12,900,000 | | | | — | |
| Total | | $ | 472,702,691 | | | $ | 12,900,000 | | | $ | — | |
| | | |
| Derivative Type | | | | | | | | | |
| Assets(b) | | | | | | | | | | | | |
Futures Contracts | | $ | 245,118 | | | $ | — | | | $ | — | |
89
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
| (a) | | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of NAV. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. |
| (b) | | Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Schedules of Investments.
|
| 4. INVESTMENTS IN DERIVATIVES |
The following tables set forth, by certain risk types, the gross value of derivative contracts as of April 30, 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.
| | | | | | | | | | | | |
| | | Risk | | | | Fund | | Statements of Assets and Liabilities | | Assets(a) | |
| | | Equity | | | | Large Cap Growth Insights | | Variation margin on certain derivative contracts | | | $502,202 | |
| | | Equity | | | | Large Cap Value Insights | | Variation margin on certain derivative contracts | | | 195,301 | |
| | | Equity | | | | Small Cap Equity Insights | | Variation margin on certain derivative contracts | | | 49,013 | |
| | | Equity | | | | Small Cap Growth Insights | | Variation margin on certain derivative contracts | | | 59,512 | |
| | | Equity | | | | Small Cap Value Insights | | Variation margin on certain derivative contracts | | | 146,851 | |
| | | Equity | | | | U.S. Equity Insights | | Variation margin on certain derivative contracts | | | 245,118 | |
| (a) | | Includes unrealized gain (loss) on futures contracts 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. |
The following tables set forth, by certain risk types, the Funds’ gains (losses) related to these derivatives and their indicative volumes for the six months ended April 30, 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:
| | | | | | | | | | | | | | |
| Risk | | Fund | | Net
Realized
Gain (Loss) | | | Net Change in
Unrealized
Gain (Loss) | | | Average
Number of
Contracts(a) | |
| Equity | | Large Cap Growth Insights | | $ | (263,501 | ) | | $ | (96,853 | ) | | | 127 | |
| Equity | | Large Cap Value Insights | | | 377,536 | | | | (2,256 | ) | | | 48 | |
| Equity | | Small Cap Equity Insights | | | 426,230 | | | | 33,074 | | | | 50 | |
| Equity | | Small Cap Growth Insights | | | 1,087 | | | | (28,039 | ) | | | 20 | |
| Equity | | Small Cap Value Insights | | | (104,525 | ) | | | 138,450 | | | | 21 | |
| Equity | | U.S. Equity Insights | | | 48,963 | | | | (178,192 | ) | | | 93 | |
| (a) | | Average number of contracts is based on the average of month end balances for the period ended April 30, 2016. |
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
90
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
|
| 4. INVESTMENTS IN DERIVATIVES (continued) |
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.
|
| 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 six months ended April 30, 2016, contractual and effective net management fees with GSAM were at the following rates:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Contractual Management Rate | | | Effective Net
Management
Rate* | |
| Fund | | | | First
$1 billion | | | Next
$1 billion | | | Next
$3 billion | | | Next
$3 billion | | | Over
$8 billion | | | Effective
Rate | | |
Large Cap Growth Insights | | | | | 0.65 | % | | | 0.59 | % | | | 0.56 | % | | | 0.55 | % | | | 0.54 | % | | | 0.65 | % | | | 0.52 | % |
Large Cap Value Insights | | | | | 0.60 | | | | 0.54 | | | | 0.51 | | | | 0.50 | | | | 0.49 | | | | 0.60 | | | | 0.52 | |
Small Cap Equity Insights | | | | | 0.85 | | | | 0.85 | | | | 0.77 | | | | 0.73 | | | | 0.72 | | | | 0.85 | | | | 0.81 | |
Small Cap Growth Insights | | | | | 0.85 | | | | 0.85 | | | | 0.77 | | | | 0.73 | | | | 0.72 | | | | 0.85 | | | | 0.81 | |
Small Cap Value Insights | | | | | 0.85 | | | | 0.85 | | | | 0.77 | | | | 0.73 | | | | 0.72 | | | | 0.85 | | | | 0.81 | |
U.S. Equity Insights | | | | | 0.65 | | | | 0.59 | | | | 0.56 | | | | 0.55 | | | | 0.54 | | | | 0.65 | | | | 0.52 | |
| * | | GSAM has agreed to waive a portion of its management fee in order to achieve net management rates, as defined in the Funds’ most recent prospectus. These waivers will be effective through at least February 26, 2017, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. Prior to |
91
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
| | February 26, 2016, the effective net management rates for the Small Cap Equity Insights and Small Cap Value Insights Funds were 0.82% and 0.81% respectively. The Effective Net Management Rates above are calculated based on management rates before and after waivers had been adjusted, if applicable. |
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. |
C. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Funds pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front end sales charge and Class C Shares’ CDSC. During the six months ended April 30, 2016, Goldman Sachs advised that it retained the following amounts:
| | | | | | | | | | |
| | | | | Front End
Sales Charge | | | Contingent Deferred
Sales Charge | |
| Fund | | | | Class A | | | Class C | |
Large Cap Growth Insights | | | | $ | 13,561 | | | $ | — | |
Large Cap Value Insights | | | | | 4,071 | | | | 453 | |
Small Cap Equity Insights | | | | | 1,514 | | | | 397 | |
Small Cap Growth Insights | | | | | 1,291 | | | | — | |
Small Cap Value Insights | | | | | 883 | | | | — | |
U.S. Equity Insights | | | | | 5,022 | | | | 46 | |
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: 0.19% 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 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
92
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
net assets are 0.004%. These Other Expense limitations will remain in place through at least February 26, 2017, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Funds have entered into certain offset arrangements with the transfer agent, which may result in a reduction of the Funds’ expenses and are received irrespective of the application of the “Other Expense” limitations described above.
For the six months ended April 30, 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 | |
Large Cap Growth Insights | | | | $ | 530,913 | | | $ | 227,629 | | | $ | 758,542 | |
Large Cap Value Insights | | | | | 140,450 | | | | 162,853 | | | | 303,303 | |
Small Cap Equity Insights | | | | | 28,285 | | | | 167,233 | | | | 195,518 | |
Small Cap Growth Insights | | | | | 26,135 | | | | 168,257 | | | | 194,392 | |
Small Cap Value Insights | | | | | 27,686 | | | | 173,696 | | | | 201,382 | |
U.S. Equity Insights | | | | | 295,832 | | | | 185,341 | | | | 481,173 | |
G. Line of Credit Facility — As of April 30, 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”). This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the six months ended April 30, 2016, the Funds did not have any borrowings under the facility. The facility was renewed in the amount of $1,100,000,000 effective May 3, 2016.
H. Other Transactions with Affiliates — For the six months ended April 30, 2016, Goldman Sachs earned $460, $601, $626, $302, $100 and $457 in brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant, on behalf of the Large Cap Growth Insights, Large Cap Value Insights, Small Cap Equity Insights, Small Cap Growth Insights, Small Cap Value Insights and U.S. Equity Insights Funds, respectively.
As of April 30, 2016, the Goldman Sachs Group, Inc. was the beneficial owner of 5% or more of outstanding Class R Shares of the following Funds:
| | | | | | | | | | | | | | | | | | | | | | |
| Fund | | | | Goldman Sachs
Balanced Strategy
Portfolio | | | Goldman Sachs
Enhanced Dividend
Global Equity Portfolio | | | Goldman Sachs
Equity Growth
Strategy Portfolio | | | Goldman Sachs
Growth and Income
Strategy Portfolio | | | Goldman Sachs
Growth Strategy
Portfolio | |
Large Cap Growth Insights | | | | | — | % | | | — | % | | | 7 | % | | | 12 | % | | | 13 | % |
Large Cap Value Insights | | | | | 6 | | | | — | | | | 15 | | | | 21 | | | | 25 | |
Small Cap Equity Insights | | | | | — | | | | 23 | | | | 5 | | | | 7 | | | | 9 | |
93
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended April 30, 2016, were as follows:
| | | | | | | | | | |
| Fund | | | | Purchases | | | Sales and Maturities | |
Large Cap Growth Insights | | | | $ | 1,002,604,892 | | | $ | 989,048,771 | |
Large Cap Value Insights | | | | | 413,246,619 | | | | 421,675,477 | |
Small Cap Equity Insights | | | | | 137,320,205 | | | | 101,482,453 | |
Small Cap Growth Insights | | | | | 109,372,611 | | | | 77,248,086 | |
Small Cap Value Insights | | | | | 72,686,879 | | | | 78,633,867 | |
U.S. Equity Insights | | | | | 493,988,370 | | | | 461,986,101 | |
The following table sets forth the amounts of the Funds’ overnight and continuous agreements collateralized by Common Stocks which represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of April 30, 2016:
| | | | | | |
| Fund | | | | Total | |
Large Cap Growth Insights | | | | $ | 5,814,625 | |
Large Cap Value Insights | | | | $ | 2,253,450 | |
Small Cap Equity Insights | | | | $ | 8,035,251 | |
Small Cap Growth Insights | | | | $ | 8,640,910 | |
Small Cap Value Insights | | | | $ | 2,972,375 | |
Pursuant to exemptive relief granted by the SEC and the terms and conditions contained therein, the Funds may lend their securities through a securities lending agent, Goldman Sachs Agency Lending (“GSAL”), a wholly-owned subsidiary of Goldman Sachs, to certain qualified borrowers including Goldman Sachs and affiliates. In accordance with the Funds’ securities lending procedures, the Funds receive cash collateral at least equal to the market value of the securities on loan. The market value of the loaned securities is determined at the close of business of the Funds, at their last sale price or official closing price on the principal exchange or system on which they are traded, and any additional required collateral is delivered to the Funds on the next business day. As with other extensions of credit, the Funds may experience delay in the recovery of their securities or incur a loss should the borrower of the securities breach its agreement with the Funds or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan. Dividend income received from securities on loan may not be subject to withholding taxes and therefore withholding taxes paid may differ from the amounts listed in the Statements of Operations. Loans of securities are terminable at any time and as such 1) the remaining contractual maturities of the outstanding securities lending transactions are considered to be overnight and continuous and 2) the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
The Funds invest the cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Money Market Fund (“Money Market Fund”), an affiliated series of the Trust. The Money Market Fund is registered under the Act as an open end investment company, is subject to Rule 2a-7 under the Act, and is managed by GSAM, for which GSAM may receive an investment advisory fee of up to 0.205% on an annualized basis of the average daily net assets of the Money Market Fund.
94
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
|
| 7. SECURITIES LENDING (continued) |
In the event of a default by a borrower with respect to any loan, GSAL will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If, despite such efforts by GSAL to exercise these remedies, the Funds sustain losses as a result of a borrower’s default, GSAL indemnifies the Funds by purchasing replacement securities at GSAL’s expense, or paying the Funds an amount equal to the market value of the replacement securities, subject to an exclusion for any shortfalls resulting from a loss of value in the cash collateral pool due to reinvestment risk and a requirement that the Funds agree to assign rights to the collateral to GSAL for purpose of using the collateral to cover purchase of replacement securities as more fully described in the Securities Lending Agency Agreement. The Funds’ loaned securities were all subject to enforceable Securities Lending Agreements and the value of the collateral is at least equal to the value of the cash received. The value of loaned securities and cash collateral at period end are disclosed in the Funds’ Statement of Assets and Liabilities.
Both the Funds and GSAL received compensation relating to the lending of the Funds’ securities. The amounts earned by the Funds for the six months ended April 30, 2016, are reported under Investment Income on the Statements of Operations.
The table below details securities lending activity with affiliates of Goldman Sachs:
| | | | | | | | | | | | | | |
| | | | | For the Period Ended April 30, 2016 | | | Amounts Payable to
Goldman Sachs
Upon Return of
Securities Loaned as of
April 30, 2016 | |
| Fund | | | | Earnings of GSAL
Relating to
Securities
Loaned | | | Amounts Received
by the Funds from Lending to
Goldman Sachs | | |
Large Cap Growth Insights | | | | $ | 18 | | | $ | — | | | $ | — | |
Large Cap Value Insights | | | | | 175 | | | | 1,388 | | | | — | |
Small Cap Equity Insights | | | | | 3,638 | | | | 5,480 | | | | 1,425,075 | |
Small Cap Growth Insights | | | | | 8,182 | | | | 7,692 | | | | 2,242,242 | |
Small Cap Value Insights | | | | | 1,185 | | | | 2,284 | | | | 791,600 | |
U.S. Equity Insights | | | | | 78 | | | | 431 | | | | — | |
The following table provides information about the Funds’ investment in the Money Market Fund For the six months ended April 30, 2016:
| | | | | | | | | | | | | | | | | | | | | | |
| Fund | | | | Number of
Shares Held
Beginning
of Year | | | Shares
Bought | | | Shares Sold | | | Number of
Shares Held
End of Year | | | Value at End of Year | |
Large Cap Growth Insights | | | | | — | | | | 6,016,725 | | | | (202,100 | ) | | | 5,814,625 | | | $ | 5,814,625 | |
Large Cap Value Insights | | | | | 1,543,540 | | | | 3,241,605 | | | | (2,531,695 | ) | | | 2,253,450 | | | | 2,253,450 | |
Small Cap Equity Insights | | | | | 3,040,011 | | | | 32,947,988 | | | | (27,952,748 | ) | | | 8,035,251 | | | | 8,035,251 | |
Small Cap Growth Insights | | | | | 3,384,225 | | | | 27,213,016 | | | | (21,956,331 | ) | | | 8,640,910 | | | | 8,640,910 | |
Small Cap Value Insights | | | | | 3,158,375 | | | | 14,724,775 | | | | (14,910,775 | ) | | | 2,972,375 | | | | 2,972,375 | |
U.S. Equity Insights | | | | | 729,425 | | | | 1,140,350 | | | | (1,869,775 | ) | | | — | | | | — | |
95
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
As of the Funds’ most recent fiscal year end, October 31, 2015, the Funds’ capital loss carryforwards and certain timing differences on a tax basis were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Large Cap
Growth
Insights | | | Large Cap
Value
Insights | | | Small Cap
Equity
Insights | | | Small Cap
Growth
Insights | | | Small Cap
Value
Insights | | | U.S.
Equity
Insights | |
Capital loss carryforwards: | | | | | | | | | | | | | | | | | | | | | | | | |
Expiring 2017 | | | (257,361,720 | ) | | | (302,004,878 | ) | | | (74,933,486 | ) | | | — | | | | — | | | | — | |
Total capital loss carryforwards | | $ | (257,361,720 | ) | | $ | (302,004,878 | ) | | $ | (74,933,486 | ) | | $ | — | | | $ | — | | | $ | — | |
As of April 30, 2016, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Large Cap
Growth
Insights | | | Large Cap
Value
Insights | | | Small Cap
Equity
Insights | | | Small Cap
Growth
Insights | | | Small Cap
Value
Insights | | | U.S.
Equity
Insights | |
Tax Cost | | $ | 767,571,044 | | | $ | 384,640,220 | | | $ | 193,477,334 | | | $ | 157,879,852 | | | $ | 128,444,486 | | | $ | 462,063,248 | |
Gross unrealized gain | | | 40,510,847 | | | | 14,696,648 | | | | 13,893,652 | | | | 11,478,956 | | | | 14,826,630 | | | | 32,942,043 | |
Gross unrealized loss | | | (29,790,207 | ) | | | (11,160,110 | ) | | | (16,233,955 | ) | | | (12,157,145 | ) | | | (8,750,988 | ) | | | (9,402,600 | ) |
Net unrealized security gain (loss) | | $ | 10,720,640 | | | $ | 3,536,538 | | | $ | (2,340,303 | ) | | $ | (678,189 | ) | | $ | 6,075,642 | | | $ | 23,539,443 | |
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 underlying fund investments.
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 net operating losses, redemptions utilized as distributions, and differences in the tax treatment of partnerships and underlying fund investments.
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 also can result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.
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 a 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.
96
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
|
| 9. OTHER RISKS (continued) |
Liquidity Risk — A Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk 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.
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.
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.
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.
97
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 12. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | Large Cap Growth Insights Fund | |
| | | | |
| | | For the Six Months Ended
April 30, 2016 (Unaudited) | | | For the Fiscal Year Ended
October 31, 2015 | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 2,185,396 | | | $ | 48,924,282 | | | | 6,980,525 | | | $ | 158,182,514 | |
Reinvestment of distributions | | | 44,935 | | | | 1,011,487 | | | | 29,769 | | | | 663,856 | |
Shares converted from Class B(a) | | | — | | | | — | | | | 84,680 | | | | 1,853,649 | |
Shares redeemed | | | (1,287,046 | ) | | | (28,293,549 | ) | | | (2,780,922 | ) | | | (61,357,303 | ) |
| | | | 943,285 | | | | 21,642,220 | | | | 4,314,052 | | | | 99,342,716 | |
| Class B Shares(a) | | | | | | | | | | | | | | | | |
Shares sold | | | — | | | | — | | | | 1,430 | | | | 28,727 | |
Shares converted to Class A | | | — | | | | — | | | | (92,267 | ) | | | (1,853,649 | ) |
Shares redeemed | | | — | | | | — | | | | (26,872 | ) | | | (539,733 | ) |
| | | | — | | | | — | | | | (117,709 | ) | | | (2,364,655 | ) |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 440,716 | | | | 9,027,835 | | | | 1,668,170 | | | | 34,397,515 | |
Reinvestment of distributions | | | 3,411 | | | | 70,030 | | | | 2,142 | | | | 43,723 | |
Shares redeemed | | | (343,588 | ) | | | (6,850,048 | ) | | | (297,232 | ) | | | (6,075,919 | ) |
| | | | 100,539 | | | | 2,247,817 | | | | 1,373,080 | | | | 28,365,319 | |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 6,318,559 | | | | 145,650,620 | | | | 16,236,775 | | | | 370,091,930 | |
Reinvestment of distributions | | | 172,457 | | | | 3,995,824 | | | | 113,490 | | | | 2,601,195 | |
Shares redeemed | | | (7,406,779 | ) | | | (168,179,639 | ) | | | (7,807,696 | ) | | | (179,500,970 | ) |
| | | | (915,763 | ) | | | (18,533,195 | ) | | | 8,542,569 | | | | 193,192,155 | |
| Service Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 150,832 | | | | 3,432,845 | | | | 129,202 | | | | 2,926,882 | |
Reinvestment of distributions | | | 1,126 | | | | 25,064 | | | | 224 | | | | 4,945 | |
Shares redeemed | | | (37,672 | ) | | | (785,432 | ) | | | (13,229 | ) | | | (296,508 | ) |
| | | | 114,286 | | | | 2,672,477 | | | | 116,197 | | | | 2,635,319 | |
| Class IR Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 370,774 | | | | 8,060,561 | | | | 1,604,319 | | | | 35,541,423 | |
Reinvestment of distributions | | | 13,466 | | | | 299,351 | | | | 11,163 | | | | 245,693 | |
Shares redeemed | | | (477,767 | ) | | | (10,308,031 | ) | | | (1,015,414 | ) | | | (22,474,490 | ) |
| | | | (93,527 | ) | | | (1,948,119 | ) | | | 600,068 | | | | 13,312,626 | |
| Class R Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 353,187 | | | | 7,578,117 | | | | 521,668 | | | | 11,563,543 | |
Reinvestment of distributions | | | 1,024 | | | | 22,608 | | | | 358 | | | | 7,860 | |
Shares redeemed | | | (86,950 | ) | | | (1,880,015 | ) | | | (77,735 | ) | | | (1,703,414 | ) |
| | | | 267,261 | | | | 5,720,710 | | | | 444,291 | | | | 9,867,989 | |
| Class R6 Shares(b) | | | | | | | | | | | | | | | | |
Shares sold | | | 31,600 | | | | 734,519 | | | | 418 | | | | 10,005 | |
Reinvestment of distributions | | | 4 | | | | 88 | | | | — | | | | — | |
Shares redeemed | | | (35 | ) | | | (800 | ) | | | — | | | | (5 | ) |
| | | | 31,569 | | | | 733,807 | | | | 418 | | | | 10,000 | |
NET INCREASE | | | 447,650 | | | $ | 12,535,717 | | | | 15,272,966 | | | $ | 344,361,469 | |
| (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. |
98
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
|
| 12. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | Large Cap Value Insights Fund | |
| | | | |
| | | For the Six Months Ended
April 30, 2016
(Unaudited) | | | For the Fiscal Year Ended
October 31, 2015 | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 636,432 | | | $ | 10,347,117 | | | | 902,296 | | | $ | 15,392,196 | |
Reinvestment of distributions | | | 23,298 | | | | 381,743 | | | | 49,079 | | | | 819,032 | |
Shares converted from Class B(a) | | | — | | | | — | | | | 6,658 | | | | 113,458 | |
Shares redeemed | | | (752,255 | ) | | | (11,898,953 | ) | | | (1,005,320 | ) | | | (17,091,804 | ) |
| | | | (92,525 | ) | | | (1,170,093 | ) | | | (47,287 | ) | | | (767,118 | ) |
| Class B Shares(a) | | | | | | | | | | | | | | | | |
Shares converted to Class A | | | — | | | | — | | | | (6,694 | ) | | | (113,458 | ) |
Shares redeemed | | | — | | | | — | | | | (29,394 | ) | | | (498,274 | ) |
| | | | — | | | | — | | | | (36,088 | ) | | | (611,732 | ) |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 124,345 | | | | 2,004,126 | | | | 235,997 | | | | 3,989,634 | |
Reinvestment of distributions | | | 2,818 | | | | 45,822 | | | | 6,337 | | | | 104,927 | |
Shares redeemed | | | (201,141 | ) | | | (3,201,950 | ) | | | (300,441 | ) | | | (5,066,530 | ) |
| | | | (73,978 | ) | | | (1,152,002 | ) | | | (58,107 | ) | | | (971,969 | ) |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 3,098,884 | | | | 51,096,993 | | | | 4,901,399 | | | | 82,201,640 | |
Reinvestment of distributions | | | 142,169 | | | | 2,327,308 | | | | 385,344 | | | | 6,445,256 | |
Shares redeemed | | | (3,937,560 | ) | | | (62,178,319 | ) | | | (10,882,262 | ) | | | (184,786,985 | ) |
| | | | (696,507 | ) | | | (8,754,018 | ) | | | (5,595,519 | ) | | | (96,140,089 | ) |
| Service Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 54,974 | | | | 881,586 | | | | 183,049 | | | | 3,146,866 | |
Reinvestment of distributions | | | 2,651 | | | | 43,618 | | | | 5,491 | | | | 91,694 | |
Shares redeemed | | | (78,038 | ) | | | (1,281,366 | ) | | | (118,827 | ) | | | (2,023,233 | ) |
| | | | (20,413 | ) | | | (356,162 | ) | | | 69,713 | | | | 1,215,327 | |
| Class IR Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 162,079 | | | | 2,559,155 | | | | 313,549 | | | | 5,305,827 | |
Reinvestment of distributions | | | 3,031 | | | | 49,530 | | | | 6,425 | | | | 107,537 | |
Shares redeemed | | | (68,692 | ) | | | (1,106,000 | ) | | | (310,210 | ) | | | (5,271,427 | ) |
| | | | 96,418 | | | | 1,502,685 | | | | 9,764 | | | | 141,937 | |
| Class R Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 10,242 | | | | 169,713 | | | | 57,648 | | | | 975,790 | |
Reinvestment of distributions | | | 256 | | | | 4,174 | | | | 387 | | | | 6,328 | |
Shares redeemed | | | (5,868 | ) | | | (89,511 | ) | | | (2,338 | ) | | | (39,551 | ) |
| | | | 4,630 | | | | 84,376 | | | | 55,697 | | | | 942,567 | |
| Class R6 Shares(b) | | | | | | | | | | | | | | | | |
Shares sold | | | — | | | | — | | | | 580 | | | | 10,005 | |
Reinvestment of distributions | | | 6 | | | | 85 | | | | 3 | | | | 46 | |
Shares redeemed | | | — | | | | — | | | | — | | | | (5 | ) |
| | | | 6 | | | | 85 | | | | 583 | | | | 10,046 | |
NET DECREASE | | | (782,369 | ) | | $ | (9,845,129 | ) | | | (5,601,244 | ) | | $ | (96,181,031 | ) |
| (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. |
99
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 12. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | Small Cap Equity Insights Fund | |
| | | | |
| | | For the Six Months Ended
April 30, 2016
(Unaudited) | | | For the Fiscal Year Ended
October 31, 2015 | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 192,798 | | | $ | 3,491,321 | | | | 466,697 | | | $ | 8,958,486 | |
Reinvestment of distributions | | | 2,490 | | | | 46,002 | | | | — | | | | — | |
Shares converted from Class B(a) | | | — | | | | — | | | | 1,362 | | | | 25,015 | |
Shares redeemed | | | (335,767 | ) | | | (5,940,218 | ) | | | (869,634 | ) | | | (16,742,214 | ) |
| | | | (140,479 | ) | | | (2,402,895 | ) | | | (401,575 | ) | | | (7,758,713 | ) |
| Class B Shares(a) | | | | | | | | | | | | | | | | |
Shares converted to Class A | | | — | | | | — | | | | (1,528 | ) | | | (25,015 | ) |
Shares redeemed | | | — | | | | — | | | | (11,958 | ) | | | (195,796 | ) |
| | | | — | | | | — | | | | (13,486 | ) | | | (220,811 | ) |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 93,921 | | | | 1,517,396 | | | | 135,642 | | | | 2,304,561 | |
Shares redeemed | | | (162,758 | ) | | | (2,571,911 | ) | | | (242,355 | ) | | | (4,088,653 | ) |
| | | | (68,837 | ) | | | (1,054,515 | ) | | | (106,713 | ) | | | (1,784,092 | ) |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 3,437,266 | | | | 64,114,808 | | | | 1,320,351 | | | | 26,154,847 | |
Reinvestment of distributions | | | 25,392 | | | | 484,997 | | | | 21,563 | | | | 411,859 | |
Shares redeemed | | | (1,365,273 | ) | | | (25,621,818 | ) | | | (3,538,107 | ) | | | (68,844,250 | ) |
| | | | 2,097,385 | | | | 38,977,987 | | | | (2,196,193 | ) | | | (42,277,544 | ) |
| Service Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 6,070 | | | | 105,188 | | | | 57,853 | | | | 1,105,413 | |
Shares redeemed | | | (19,682 | ) | | | (334,561 | ) | | | (105,174 | ) | | | (1,938,964 | ) |
| | | | (13,612 | ) | | | (229,373 | ) | | | (47,321 | ) | | | (833,551 | ) |
| Class IR Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 1,147 | | | | 21,176 | | | | 48,785 | | | | 949,246 | |
Reinvestment of distributions | | | 300 | | | | 5,495 | | | | 34 | | | | 629 | |
Shares redeemed | | | (13,602 | ) | | | (243,941 | ) | | | (14,659 | ) | | | (275,001 | ) |
| | | | (12,155 | ) | | | (217,270 | ) | | | 34,160 | | | | 674,874 | |
| Class R Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 158,867 | | | | 2,847,919 | | | | 189,009 | | | | 3,602,301 | |
Reinvestment of distributions | | | 134 | | | | 2,444 | | | | — | | | | — | |
Shares redeemed | | | (129,195 | ) | | | (2,240,797 | ) | | | (162,322 | ) | | | (3,075,978 | ) |
| | | | 29,806 | | | | 609,566 | | | | 26,687 | | | | 526,323 | |
| Class R6 Shares(b) | | | | | | | | | | | | | | | | |
Shares sold | | | 890 | | | | 16,835 | | | | 496 | | | | 10,005 | |
Reinvestment of distributions | | | 3 | | | | 59 | | | | — | | | | — | |
Shares redeemed | | | (10 | ) | | | (177 | ) | | | (1 | ) | | | (5 | ) |
| | | | 883 | | | | 16,717 | | | | 495 | | | | 10,000 | |
NET INCREASE (DECREASE) | | | 1,892,991 | | | $ | 35,700,217 | | | | (2,703,946 | ) | | $ | (51,663,514 | ) |
| (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.
100
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
|
| 12. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | Small Cap Growth Insights Fund | |
| | | | |
| | | For the Six Months Ended
April 30, 2016
(Unaudited) | | | For the Fiscal Year Ended
October 31, 2015 | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 590,116 | | | $ | 15,315,410 | | | | 545,679 | | | $ | 17,350,391 | |
Reinvestment of distributions | | | 132,878 | | | | 3,757,782 | | | | 64,770 | | | | 1,925,847 | |
Shares converted from Class B(a) | | | — | | | | — | | | | 58,348 | | | | 1,833,293 | |
Shares redeemed | | | (193,626 | ) | | | (5,210,628 | ) | | | (306,789 | ) | | | (9,648,220 | ) |
| | | | 529,368 | | | | 13,862,564 | | | | 362,008 | | | | 11,461,311 | |
| Class B Shares(a) | | | | | | | | | | | | | | | | |
Shares converted to Class A | | | — | | | | — | | | | (70,295 | ) | | | (1,833,293 | ) |
Shares redeemed | | | — | | | | — | | | | (8,938 | ) | | | (233,385 | ) |
| | | | — | | | | — | | | | (79,233 | ) | | | (2,066,678 | ) |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 79,634 | | | | 1,796,707 | | | | 74,499 | | | | 1,948,046 | |
Reinvestment of distributions | | | 35,861 | | | | 815,833 | | | | 18,097 | | | | 445,240 | |
Shares redeemed | | | (84,953 | ) | | | (1,814,209 | ) | | | (54,287 | ) | | | (1,413,619 | ) |
| | | | 30,542 | | | | 798,331 | | | | 38,309 | | | | 979,667 | |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 900,478 | | | | 28,854,547 | | | | 1,138,272 | | | | 41,373,091 | |
Reinvestment of distributions | | | 120,842 | | | | 3,937,033 | | | | 45,703 | | | | 1,541,332 | |
Shares redeemed | | | (412,840 | ) | | | (12,693,432 | ) | | | (237,885 | ) | | | (8,362,847 | ) |
| | | | 608,480 | | | | 20,098,148 | | | | 946,090 | | | | 34,551,576 | |
| Class IR Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 86,110 | | | | 2,285,276 | | | | 315,493 | | | | 10,368,520 | |
Reinvestment of distributions | | | 14,163 | | | | 408,028 | | | | 2,448 | | | | 73,879 | |
Shares redeemed | | | (47,404 | ) | | | (1,317,603 | ) | | | (210,284 | ) | | | (6,241,716 | ) |
| | | | 52,869 | | | | 1,375,701 | | | | 107,657 | | | | 4,200,683 | |
| Class R Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 64,122 | | | | 1,618,195 | | | | 54,765 | | | | 1,671,819 | |
Reinvestment of distributions | | | 5,362 | | | | 147,444 | | | | 1,324 | | | | 38,480 | |
Shares redeemed | | | (10,827 | ) | | | (274,169 | ) | | | (8,145 | ) | | | (254,189 | ) |
| | | | 58,657 | | | | 1,491,470 | | | | 47,944 | | | | 1,456,110 | |
| Class R6 Shares(b) | | | | | | | | | | | | | | | | |
Shares sold | | | 132,390 | | | | 4,107,605 | | | | 271 | | | | 10,005 | |
Reinvestment of distributions | | | 22 | | | | 728 | | | | — | | | | — | |
Shares redeemed | | | (1,158 | ) | | | (36,403 | ) | | | — | | | | (5 | ) |
| | | | 131,254 | | | | 4,071,930 | | | | 271 | | | | 10,000 | |
NET INCREASE | | | 1,411,170 | | | $ | 41,698,144 | | | | 1,423,046 | | | $ | 50,592,669 | |
| (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. |
101
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 12. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | Small Cap Value Insights Fund | |
| | | | |
| | | For the Six Months Ended
April 30, 2016
(Unaudited) | | | For the Fiscal Year Ended
October 31, 2015 | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 59,255 | | | $ | 2,055,749 | | | | 134,243 | | | $ | 5,261,353 | |
Reinvestment of distributions | | | 157,232 | | | | 5,565,515 | | | | 48,801 | | | | 1,870,547 | |
Shares converted from Class B(a) | | | — | | | | — | | | | 154,047 | | | | 6,012,436 | |
Shares redeemed | | | (179,774 | ) | | | (6,226,257 | ) | | | (380,194 | ) | | | (14,892,445 | ) |
| | | | 36,713 | | | | 1,395,007 | | | | (43,103 | ) | | | (1,748,109 | ) |
| Class B Shares(a) | | | | | | | | | | | | | | | | |
Shares converted to Class A | | | — | | | | — | | | | (223,262 | ) | | | (6,012,436 | ) |
Shares redeemed | | | — | | | | — | | | | (35,384 | ) | | | (953,437 | ) |
| | | | — | | | | — | | | | (258,646 | ) | | | (6,965,873 | ) |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 20,630 | | | | 568,615 | | | | 19,470 | | | | 593,064 | |
Reinvestment of distributions | | | 40,482 | | | | 1,093,112 | | | | 11,198 | | | | 335,036 | |
Shares redeemed | | | (58,402 | ) | | | (1,576,952 | ) | | | (103,611 | ) | | | (3,148,417 | ) |
| | | | 2,710 | | | | 84,775 | | | | (72,943 | ) | | | (2,220,317 | ) |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 68,913 | | | | 3,011,481 | | | | 166,189 | | | | 8,136,287 | |
Reinvestment of distributions | | | 22,329 | | | | 1,000,594 | | | | 5,823 | | | | 278,565 | |
Shares redeemed | | | (108,048 | ) | | | (4,599,480 | ) | | | (63,746 | ) | | | (3,074,349 | ) |
| | | | (16,806 | ) | | | (587,405 | ) | | | 108,266 | | | | 5,340,503 | |
| Class IR Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 8,798 | | | | 292,210 | | | | 23,922 | | | | 941,810 | |
Reinvestment of distributions | | | 3,185 | | | | 112,448 | | | | 989 | | | | 37,771 | |
Shares redeemed | | | (5,523 | ) | | | (186,708 | ) | | | (24,651 | ) | | | (957,187 | ) |
| | | | 6,460 | | | | 217,950 | | | | 260 | | | | 22,394 | |
| Class R Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 32,599 | | | | 1,112,819 | | | | 133,943 | | | | 5,296,609 | |
Reinvestment of distributions | | | 8,221 | | | | 287,780 | | | | 375 | | | | 14,252 | |
Shares redeemed | | | (28,157 | ) | | | (969,144 | ) | | | (33,476 | ) | | | (1,287,248 | ) |
| | | | 12,663 | | | | 431,455 | | | | 100,842 | | | | 4,023,613 | |
| Class R6 Shares(b) | | | | | | | | | | | | | | | | |
Shares sold | | | — | | | | — | | | | 205 | | | | 10,005 | |
Reinvestment of distributions | | | 11 | | | | 516 | | | | — | | | | — | |
Shares redeemed | | | — | | | | — | | | | — | | | | (5 | ) |
| | | | 11 | | | | 516 | | | | 205 | | | | 10,000 | |
NET INCREASE (DECREASE) | | | 41,751 | | | $ | 1,542,298 | | | | (165,119 | ) | | $ | (1,537,789 | ) |
| (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. |
102
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
|
| 12. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | U.S. Equity Insights Fund | |
| | | | |
| | | For the Six Months Ended
April 30, 2016
(Unaudited) | | | For the Fiscal Year Ended
October 31, 2015 | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 220,563 | | | $ | 8,386,374 | | | | 489,069 | | | $ | 20,148,539 | |
Reinvestment of distributions | | | 247,520 | | | | 9,779,889 | | | | 45,885 | | | | 1,901,942 | |
Shares converted from Class B(a) | | | — | | | | — | | | | 75,598 | | | | 3,085,169 | |
Shares redeemed | | | (449,832 | ) | | | (17,391,783 | ) | | | (887,276 | ) | | | (36,595,041 | ) |
| | | | 18,251 | | | | 774,480 | | | | (276,724 | ) | | | (11,459,391 | ) |
| Class B Shares(a) | | | | | | | | | | | | | | | | |
Shares converted to Class A | | | — | | | | — | | | | (80,912 | ) | | | (3,085,169 | ) |
Shares redeemed | | | — | | | | — | | | | (61,227 | ) | | | (2,334,656 | ) |
| | | | — | | | | — | | | | (142,139 | ) | | | (5,419,825 | ) |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 57,168 | | | | 2,035,805 | | | | 183,157 | | | | 6,931,701 | |
Reinvestment of distributions | | | 31,570 | | | | 1,140,209 | | | | 834 | | | | 31,814 | |
Shares redeemed | | | (129,045 | ) | | | (4,552,173 | ) | | | (178,172 | ) | | | (6,731,425 | ) |
| | | | (40,307 | ) | | | (1,376,159 | ) | | | 5,819 | | | | 232,090 | |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 1,177,709 | | | | 46,577,162 | | | | 2,051,350 | | | | 84,969,389 | |
Reinvestment of distributions | | | 126,138 | | | | 5,110,347 | | | | 34,827 | | | | 1,478,041 | |
Shares redeemed | | | (357,990 | ) | | | (14,052,243 | ) | | | (1,775,794 | ) | | | (74,669,520 | ) |
| | | | 945,857 | | | | 37,635,266 | | | | 310,383 | | | | 11,777,910 | |
| Service Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 29,837 | | | | 1,142,994 | | | | 68,476 | | | | 2,788,613 | |
Reinvestment of distributions | | | 2,888 | | | | 113,703 | | | | 85 | | | | 3,524 | |
Shares redeemed | | | (5,071 | ) | | | (194,929 | ) | | | (15,949 | ) | | | (650,758 | ) |
| | | | 27,654 | | | | 1,061,768 | | | | 52,612 | | | | 2,141,379 | |
| Class IR Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 51,828 | | | | 1,986,972 | | | | 217,171 | | | | 8,858,924 | |
Reinvestment of distributions | | | 5,398 | | | | 211,040 | | | | 259 | | | | 10,626 | |
Shares redeemed | | | (17,026 | ) | | | (643,905 | ) | | | (130,350 | ) | | | (5,389,955 | ) |
| | | | 40,200 | | | | 1,554,107 | | | | 87,080 | | | | 3,479,595 | |
| Class R Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 178,803 | | | | 6,826,293 | | | | 821,845 | | | | 34,109,333 | |
Reinvestment of distributions | | | 26,635 | | | | 1,037,960 | | | | 149 | | | | 6,126 | |
Shares redeemed | | | (142,939 | ) | | | (5,306,140 | ) | | | (156,732 | ) | | | (6,388,751 | ) |
| | | | 62,499 | | | | 2,558,113 | | | | 665,262 | | | | 27,726,708 | |
| Class R6 Shares(b) | | | | | | | | | | | | | | | | |
Shares sold | | | — | | | | — | | | | 232 | | | | 10,005 | |
Reinvestment of distributions | | | 10 | | | | 409 | | | | — | | | | — | |
Shares redeemed | | | — | | | | — | | | | — | | | | (5 | ) |
| | | | 10 | | | | 409 | | | | 232 | | | | 10,000 | |
NET INCREASE | | | 1,054,164 | | | $ | 42,207,984 | | | | 702,525 | | | $ | 28,488,466 | |
| (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. |
103
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Fund Expenses — Six Month Period Ended April 30, 2016 (Unaudited)
As a shareholder of Class A, Class C, Institutional, Service, 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, 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 November 1, 2015 through April 30, 2016, which represents a period of 182 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.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Large Cap Growth Insights Fund | | | Large Cap Value Insights Fund | | | Small Cap Equity Insights Fund | | | Small Cap Growth Insights Fund | | | Small Cap Value Insights Fund | | | U.S. Equity Insights Fund | |
| Share Class | | Beginning
Account
Value
11/1/15 | | | Ending
Account
Value
4/30/16 | | | Expenses
Paid for the
6 months ended
4/30/16* | | | Beginning
Account
Value
11/1/15 | | | Ending
Account
Value
4/30/16 | | | Expenses
Paid for the
6 months ended
4/30/16* | | | Beginning
Account
Value
11/1/15 | | | Ending
Account
Value
4/30/16 | | | Expenses
Paid for the
6 months ended
4/30/16* | | | Beginning
Account
Value
11/1/15 | | | Ending
Account
Value
4/30/16 | | | Expenses
Paid for the
6 months ended
4/30/16* | | | Beginning
Account
Value
11/1/15 | | | Ending
Account
Value
4/30/16 | | | Expenses
Paid for the
6 months ended
4/30/16* | | | Beginning
Account
Value
11/1/15 | | | Ending
Account
Value
4/30/16 | | | Expenses
Paid for the
6 months ended
4/30/16* | |
| Class A | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 983.30 | | | $ | 4.73 | | | $ | 1,000.00 | | | $ | 993.30 | | | $ | 4.76 | | | $ | 1,000.00 | | | $ | 978.90 | | | $ | 6.20 | | | $ | 1,000.00 | | | $ | 950.60 | | | $ | 6.06 | | | $ | 1,000.00 | | | $ | 1,010.40 | | | $ | 6.25 | | | $ | 1,000.00 | | | $ | 983.90 | | | $ | 4.74 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,020.09 | + | | | 4.82 | | | | 1,000.00 | | | | 1,020.09 | + | | | 4.82 | | | | 1,000.00 | | | | 1,018.60 | + | | | 6.32 | | | | 1,000.00 | | | | 1,018.65 | + | | | 6.27 | | | | 1,000.00 | | | | 1,018.65 | + | | | 6.27 | | | | 1,000.00 | | | | 1,020.09 | + | | | 4.82 | |
| Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 979.90 | | | | 8.42 | | | | 1,000.00 | | | | 989.70 | | | | 8.46 | | | | 1,000.00 | | | | 1,000.00 | | | | 10.00 | | | | 1,000.00 | | | | 947.10 | | | | 9.68 | | | | 1,000.00 | | | | 1,006.40 | | | | 9.98 | | | | 1,000.00 | | | | 980.10 | | | | 8.42 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,016.36 | + | | | 8.57 | | | | 1,000.00 | | | | 1,016.36 | + | | | 8.57 | | | | 1,000.00 | | | | 1,014.87 | + | | | 10.07 | | | | 1,000.00 | | | | 1,014.92 | + | | | 10.02 | | | | 1,000.00 | | | | 1,014.92 | + | | | 10.02 | | | | 1,000.00 | | | | 1,016.36 | + | | | 8.57 | |
| Institutional | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 985.10 | | | | 2.76 | | | | 1,000.00 | | | | 995.10 | | | | 2.78 | | | | 1,000.00 | | | | 980.50 | | | | 4.19 | | | | 1,000.00 | | | | 952.50 | | | | 4.13 | | | | 1,000.00 | | | | 1,012.30 | | | | 4.25 | | | | 1,000.00 | | | | 986.00 | | | | 2.77 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,022.08 | + | | | 2.82 | | | | 1,000.00 | | | | 1,022.08 | + | | | 2.82 | | | | 1,000.00 | | | | 1,020.64 | + | | | 4.27 | | | | 1,000.00 | | | | 1,020.64 | + | | | 4.27 | | | | 1,000.00 | | | | 1,020.64 | + | | | 4.27 | | | | 1,000.00 | | | | 1,022.08 | + | | | 2.82 | |
| Service | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 982.70 | | | | 5.23 | | | | 1,000.00 | | | | 992.80 | | | | 5.25 | | | | 1,000.00 | | | | 978.20 | | | | 6.69 | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | 1,000.00 | | | | 983.50 | | | | 5.23 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,019.59 | + | | | 5.32 | | | | 1,000.00 | | | | 1,019.59 | + | | | 5.32 | | | | 1,000.00 | | | | 1,018.10 | + | | | 6.82 | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | 1,000.00 | | | | 1,019.59 | + | | | 5.32 | |
| Class IR | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 984.40 | | | | 3.50 | | | | 1,000.00 | | | | 994.50 | | | | 3.52 | | | | 1,000.00 | | | | 979.80 | | | | 4.97 | | | | 1,000.00 | | | | 951.90 | | | | 4.85 | | | | 1,000.00 | | | | 1,011.70 | | | | 5.00 | | | | 1,000.00 | | | | 985.10 | | | | 3.50 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,021.33 | + | | | 3.57 | | | | 1,000.00 | | | | 1,021.33 | + | | | 3.57 | | | | 1,000.00 | | | | 1,019.84 | + | | | 5.07 | | | | 1,000.00 | | | | 1,019.89 | + | | | 5.02 | | | | 1,000.00 | | | | 1,019.89 | + | | | 5.02 | | | | 1,000.00 | | | | 1,021.33 | + | | | 3.57 | |
| Class R | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 981.60 | | | | 5.96 | | | | 1,000.00 | | | | 992.20 | | | | 5.99 | | | | 1,000.00 | | | | 977.40 | | | | 7.42 | | | | 1,000.00 | | | | 949.60 | | | | 7.27 | | | | 1,000.00 | | | | 1,009.10 | | | | 7.49 | | | | 1,000.00 | | | | 982.60 | | | | 5.96 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,018.85 | + | | | 6.07 | | | | 1,000.00 | | | | 1,018.85 | + | | | 6.07 | | | | 1,000.00 | | | | 1,017.35 | + | | | 7.57 | | | | 1,000.00 | | | | 1,017.40 | + | | | 7.52 | | | | 1,000.00 | | | | 1,017.40 | + | | | 7.52 | | | | 1,000.00 | | | | 1,018.85 | + | | | 6.07 | |
| Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 985.40 | | | | 2.67 | | | | 1,000.00 | | | | 995.80 | | | | 2.73 | | | | 1,000.00 | | | | 980.90 | | | | 4.14 | | | | 1,000.00 | | | | 952.80 | | | | 4.03 | | | | 1,000.00 | | | | 1,012.10 | | | | 4.20 | | | | 1,000.00 | | | | 986.00 | | | | 2.72 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,022.18 | + | | | 2.72 | | | | 1,000.00 | | | | 1,022.13 | + | | | 2.77 | | | | 1,000.00 | | | | 1,020.69 | + | | | 4.22 | | | | 1,000.00 | | | | 1,020.74 | + | | | 4.17 | | | | 1,000.00 | | | | 1,020.69 | + | | | 4.22 | | | | 1,000.00 | | | | 1,022.13 | + | | | 2.77 | |
| * | | 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 April 30, 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 | | | Class IR | | | Class R | | | Class R6 | |
Large Cap Growth Insights | | | 0.96 | % | | | 1.71 | % | | | 0.56 | % | | | 1.06 | % | | | 0.71 | % | | | 1.21 | % | | | 0.54 | % |
Large Cap Value Insights | | | 0.96 | | | | 1.71 | | | | 0.56 | | | | 1.06 | | | | 0.71 | | | | 1.21 | | | | 0.55 | |
Small Cap Equity Insights | | | 1.26 | | | | 2.01 | | | | 0.85 | | | | 1.36 | | | | 1.01 | | | | 1.51 | | | | 0.84 | |
Small Cap Growth Insights | | | 1.25 | | | | 2.00 | | | | 0.85 | | | | N/A | | | | 1.00 | | | | 1.50 | | | | 0.83 | |
Small Cap Value Insights | | | 1.25 | | | | 2.00 | | | | 0.85 | | | | N/A | | | | 1.00 | | | | 1.50 | | | | 0.84 | |
U.S. Equity Insights | | | 0.96 | | | | 1.71 | | | | 0.56 | | | | 1.06 | | | | 0.71 | | | | 1.21 | | | | 0.55 | |
| + | | 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. |
104
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 FundsSM
| 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 FundsSM
| n | | Investor Money Market Fund |
| n | | Investor Tax-Exempt Money Market Fund3 |
Fixed Income
Short Duration and Government
| n | | High Quality Floating Rate Fund |
| n | | Limited Maturity Obligations Fund |
| n | | Short Duration Government Fund |
| n | | Short Duration Income Fund |
| n | | Inflation Protected Securities Fund |
Multi-Sector
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 | | 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 | | Small/Mid Cap Value 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 |
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 | | Emerging Markets Equity Fund6 |
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 | | 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 Overlay Fund8 |
| 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 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. |
| 8 | | Effective on June 1, 2016, the Goldman Sachs Tactical Tilt Implementation Fund was renamed the Goldman Sachs Tactical Tilt Overlay Fund. |
Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman, Sachs & Co.
*This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds.
| | |
TRUSTEES Ashok N. Bakhru, Chairman Kathryn A. Cassidy 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, Principal Financial Officer, Senior Vice President and Treasurer Caroline L. Kraus, Secretary |
| |
GOLDMAN, SACHS & CO. Distributor and Transfer Agent | | GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser |
Visit our website 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-Qs. The Funds’ Form N-Qs 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’ Form N-Qs 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 be obtained by calling 1-800-SEC-0330. Form N-Qs 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).
Fund holdings and allocations shown are as of April 30, 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.
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.
The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus or summary prospectus, if applicable. Investors should consider a Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about a Fund and may be obtained from your authorized dealer or from Goldman, Sachs & Co. by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550).
© 2016 Goldman Sachs. All rights reserved. 50657-TMPL-06/2016 DOMINSSAR-16 / 45K
Goldman Sachs Funds
| | | | |
| | |
| Semi-Annual Report | | | | April 30, 2016 |
| | |
| | | | Fundamental Emerging Markets Equity Funds |
| | | | Asia Equity |
| | | | Emerging Markets Equity |
| | | | N-11 Equity |
Goldman Sachs Fundamental
Emerging Markets Equity Funds
| n | | EMERGING MARKETS EQUITY |
| | | | |
TABLE OF CONTENTS | | | | |
| |
Investment Process | | | 1 | |
| |
Market Review | | | 2 | |
| |
Portfolio Management Discussions and Performance Summaries | | | 4 | |
| |
Schedules of Investments | | | 22 | |
| |
Financial Statements | | | 32 | |
| |
Financial Highlights | | | 36 | |
| |
Notes to Financial Statements | | | 42 | |
| |
Other Information | | | 56 | |
| | | | |
| | | |
| NOT FDIC-INSURED | | May Lose Value | | No Bank Guarantee |
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
What Differentiates Goldman Sachs’ Fundamental Emerging Markets Equity Investment Process?
Goldman Sachs’ Fundamental Emerging Markets Equity investment process is based on the belief that strong, consistent results are best achieved through expert stock selection, performed by our dedicated Emerging Markets Team that works together on a global scale. Our deep, diverse and experienced team of research analysts and portfolio managers combines local insights with global, industry-specific expertise to identify its best investment ideas.
| n | | The Emerging Markets Equity research team, based in the United States, United Kingdom, Japan, China, Korea, Singapore, Brazil, India and Australia, focuses on long- term business and management quality |
| n | | Proprietary, bottom-up research is the key driver of our investment process |
| n | | Analysts collaborate regularly to leverage regional and industry-specific research and insights |
| n | | Members of each local investment team are aligned by sector and are responsible for finding ideas with the best risk-adjusted upside in their respective areas of coverage |
| n | | The decision-making process includes active participation in frequent and regular research meetings |
| n | | The Emerging Markets Equity team benefits from the country and currency expertise of our Global Emerging Markets Debt and Currency teams |
| n | | Security selections are aligned with levels of investment conviction and risk-adjusted upside |
| n | | Continual risk monitoring identifies various risks at the stock and portfolio level and assesses whether they are intended and justified |
| n | | Dedicated portfolio construction team assists in ongoing monitoring and adjustment of the Funds |
Emerging markets equity portfolios that strive to offer:
| | n | | Access to markets across emerging markets | |
| | n | | Disciplined approach to stock selection | |
| | n | | Optimal risk/return profiles | |
1
MARKET REVIEW
Goldman Sachs Fundamental Emerging
Markets Equity Funds
Market Review
Emerging markets equities were roughly flat during the six-month period ended April 30, 2016 (the “Reporting Period”). The MSCI® Emerging Markets Index (Net, USD, Unhedged) (the “MSCI® EM Index”) posted a return of -0.13%.* While absolute returns were disappointing, emerging markets equities outpaced developed markets equities, as measured by the MSCI® Europe, Australasia, Far East (EAFE) Index. In our opinion, weakness in emerging market equities for most of the Reporting Period reflected concerns about slowing economic growth, particularly in China, and the impact of weak commodity prices, particularly oil prices.
There was broad emerging market “risk off” sentiment in November 2015, as the Reporting Period began, likely due to a combination of Federal Reserve (“Fed”) interest rate hike concerns and disappointing macroeconomic data and negative news flow from China. When the Fed finally hiked U.S. interest rates by 25 basis points in December 2015, we believe the fairly dovish language in its statement, which emphasized “gradual” future adjustments to policy, helped to somewhat assuage market sentiment. (A basis point is 1/100th of a percentage point. Dovish language tends to suggest lower interest rates.)
Emerging market equities suffered a rout at the beginning of 2016, in our opinion, triggered by investor concerns of an intensifying economic slowdown in China, exacerbated by an oil price plunge. Market sentiment improved in February 2016, and emerging market equities stabilized as global central banks set a more accommodative tone. For example, the Bank of Japan (“BOJ”) introduced negative interest rates in late January 2016 and the People’s Bank of China eased, while the Fed released dovish remarks in February 2016. In March 2016, further central bank dovishness, along with receding global economic concerns and a commodity price rebound, helped to drive a strong recovery in emerging markets equities. Notably, the European Central Bank implemented heavy easing, cutting its deposit rate to -40 basis points and raising its monthly quantitative easing purchases. The BOJ left its monetary policy unchanged in March 2016, but its rhetoric about negative interest rates heightened expectations for further easing to come.
Market sentiment appeared to remain sanguine in April 2016, as oil prices rose and China economic growth concerns abated with modestly improving economic data. The Fed left rates unchanged but expressed less concern about market volatility and global economic growth, opening up the possibility of a June 2016 rate hike. However, global sentiment moderated near the end of April 2016, as the Bank of Japan disappointed markets by not implementing additional monetary stimulus.
Materials and energy were the best performing sectors in the MSCI® EM Index during the Reporting Period, followed at some distance by utilities and consumer staples, the only other two sectors in the MSCI® EM Index to post a positive absolute return during the Reporting Period. Health care and industrials were the weakest sectors in the MSCI® EM Index during the Reporting Period, followed by consumer discretionary and financials.
From a country perspective, Hungary, Brazil and Peru were by a wide margin the best performing individual country constituents of the MSCI® EM Index for the Reporting Period. Indonesia, Turkey, Russia and Malaysia also notably outpaced the MSCI® EM Index
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| * | | All index returns are expressed in U.S. dollar terms. |
MARKET REVIEW
during the Reporting Period. Conversely, Greece was by far the weakest individual country constituent of the MSCI® EM Index during the Reporting Period, followed at some distance by China, Poland and Qatar, which also significantly lagged the MSCI® EM Index during the Reporting Period.
Looking Ahead
At the end of the Reporting Period, we believed global equities could still generate positive mid-single digit returns for calendar year 2016, despite a volatile start. Our expectation was that returns would be predominantly driven by earnings growth rather than multiple expansion. (A multiple measures some aspect of a company’s financial well-being, determined by dividing one metric by another metric. Multiple expansion is growth of that multiple.) In our view, positive returns in a low (and potentially negative) interest rate environment make equities attractive, particularly relative to other asset classes.
Many emerging markets rallied in the first quarter of 2016 on rising oil prices and the expectation that China may re-boot investment to spur lagging economic growth. In our view, the rally underscores why we continue to invest in companies across the emerging markets, regardless of our view on an individual country’s economic outlook. We believe fundamentals in many countries are not improving in the way they are in some developed markets. We believe Brazil, Russia and South Africa, for example, face further challenges as persistently low oil and other commodity prices appear to be beginning to affect consumption. We believe India has the best macroeconomic outlook among the MSCI® EM Index constituents.
We remain cautious on state-owned enterprises across most of the emerging markets, as they have objectives, in our view, other than maximizing shareholder returns. Having significantly less exposure to some of these large weightings in the MSCI® EM Index allows us extra capital to invest in what we consider to be more innovative parts of the market.
We find many interesting opportunities related to the evolving emerging market consumer, especially with regard to e-commerce. One of the key questions we continue to consider is how local and global competitors might share the emerging market retail marketplace, both on the ground and online. We believe a growing e-commerce ecosystem is likely to spawn development in financial technology and other Internet-related development.
We further believe other emerging market consumer markets are continuing to change in ways that may create new winners and losers in the retail market. In China, for instance, customer traffic has shifted away from hyper-markets to e-commerce within the last decade. (A hyper-market is a retail store that combines a department store and a grocery supermarket. Often a very large establishment, hyper-markets may offer a large variety of products such as appliances, clothing and groceries.) Many companies we speak with have also noted an increasing focus on value for money from Chinese consumers, some of which may be attributed to being able to easily compare prices on the Internet. Tourism, which is booming in China, is also increasingly moving online. At the end of the Reporting Period, we favored companies exposed to the growth of e-commerce as well as other areas of consumer growth, such as travel, tourism, wellness and leisure activities.
As always, we maintain our focus on seeking high-quality equity investments trading at compelling valuations and intend to stay true to our long-term discipline as we seek to navigate potentially volatile markets ahead.
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PORTFOLIO RESULTS
Goldman Sachs Asia Equity Fund
Investment Objective
The Fund seeks long-term capital appreciation.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Fundamental Asia ex Japan Equity Portfolio Management Team discusses the Goldman Sachs Asia Equity Fund’s (the “Fund”) performance and positioning for the six-month period ended April 30, 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 cumulative total returns, without sales charges, of -4.19%, -4.57%, -4.00% and -4.05%, respectively. These returns compare to the -3.00% cumulative total return of the Fund’s benchmark, the MSCI® All Country Asia ex-Japan Index (Net, USD, Unhedged) (the “Index”), during the same time period. |
| Q | | What key factors were responsible for the Fund’s performance during the Reporting Period? |
| A | | The Fund underperformed the Index on a relative basis during the Reporting Period, primarily attributable to individual stock selection. From a country perspective, allocation positioning in South Korea, Taiwan and Singapore detracted from the Fund’s relative results most during the Reporting Period. Stock selection in China and having overweighted allocations to India and Indonesia, each of which outpaced the Index during the Reporting Period, contributed most positively. |
| Q | | Which stocks detracted significantly from the Fund’s performance during the Reporting Period? |
| A | | Detracting most from the Fund’s results relative to the Index were positions in Hotel Shilla, Shinsegae and Fubon Financial. |
| | | Hotel Shilla operates hotels in South Korea’s capital, Seoul, as well as in popular tourist destination, Jeju Island. It is also one of the nation’s top two duty-free shop operators. Near-term concerns on increasing competition due to regulatory changes weighed on its share price during the Reporting Period. At the end of the Reporting Period, we remained positive on Hotel Shilla owing to the strong demand environment driven by Chinese tourists. |
| | | Shinsegae, a new purchase for the Fund during the Reporting Period, is a South Korea-based department store franchise that retails food, clothing, household goods, electronics and other items through several branch stores. Its stock underperformed the Index during the Reporting Period due to shopping disruptions following the summer of 2015 MERS outbreak and due to concerns about competition from new outlet malls and e-commerce. Its share price had felt downward pressures, as investors were likely wary of the segment given large space expansions and flip-flopping from the government on duty-free license periods. |
| | | Fubon Financial is a Taiwan-based provider of banking, insurance, securities and asset management services. It detracted from performance during the Reporting Period, as its share price moved in tandem with Asian peers in general, who have, in our opinion, been struggling amidst rising non-performing loans from the small-to-medium enterprise business segment and declining loan yields due mainly to a low interest rate environment. (A non-performing loan is the sum of borrowed money upon which the debtor has not made his or her schedule payments for at least 90 days. A non-performing loan is either in default or close to being in default.) |
| Q | | What were some of the Fund’s best-performing individual stocks? |
| A | | The Fund benefited most relative to the Index from holdings in Airports of Thailand, Viatron Technologies and Nongshim. |
| | | Airports of Thailand owns and operates several airports in Thailand, including the Bangkok, Chiang Mai and Phuket airports. Its stock outperformed the Index during the Reporting Period on robust air travel demand and strong |
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PORTFOLIO RESULTS
| | growth momentum in passenger volumes. At the end of the Reporting Period, we maintained our conviction in the stock, as we expect strong air traffic growth to sustain, underpinned by the company’s monopoly position as the gateway to Thailand, a buoyant tourism industry and aggressive capacity additions by low-cost carriers in the region. Given its significant operating leverage and delivery of better than expected cost controls, we expect its margins to expand further going forward. |
| | | Viatron Technologies is a South Korea-based equipment supplier to the display industry in the information technology sector. Asian display panel makers have been expanding their capacity aggressively, and Viatron Technologies particularly benefited from the capital expenditure cycle in China. |
| | | Nongshim is the largest producer in South Korea of processed foods, such as instant noodles. Its stock outperformed the Index during the Reporting Period based largely on the success of its product premiumization plan. (Premiumization is the creation of a bridge between the desirability of the luxury world and the function and necessity of the mass market.) Additional catalysts supporting its stock price included further penetration of its premium segment, average selling price hikes and decent cost savings from lower packing costs as a result of the lower oil price. |
| Q | | Which equity market sectors most significantly affected Fund performance during the Reporting Period? |
| A | | The sectors that detracted most from the Fund’s relative results during the Reporting Period were consumer discretionary, health care and materials, each driven primarily by weak stock selection. At an individual stock level, the Fund’s positions in Hotel Shilla, mentioned earlier, China Biologic Products, a Chinese biopharmaceutical company, and Gujarat Fluorochemicals, an Indian chemicals manufacturer, disappointed most in each sector respectively. |
| | | The sectors that contributed most positively to the Fund’s performance relative to the Index were consumer staples, industrials and information technology, where stock selection in each boosted relative results. At an individual stock level, the Fund’s positions in Nongshim, Airports of Thailand and Viatron Technologies, each mentioned earlier, were the strongest positive contributors in each sector respectively. |
| Q | | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | | During the Reporting Period the Fund gained exposure to select stocks through equity-linked notes and participatory notes. The use of these derivatives did not have a material impact on Fund results during the Reporting Period. |
| Q | | Did the Fund make any significant purchases or sales during the Reporting Period? |
| A | | In addition to the purchase already mentioned, we initiated a Fund position in Kumho Petrochemical, a South Korean manufacturer of petrochemical and synthetic resin products, including synthetic rubber. We believe that rubber prices have found a bottom and a turnaround may be imminent, as a supply glut of synthetic rubber is widely expected to continue easing over the next several years given no major capacity additions and given a tight supply of butadiene, the raw material of synthetic rubber. |
| | | Within the information technology sector in India, we established a Fund position in Infosys, India’s third largest information technology services provider. We believe in the company management’s growth guidance in the medium term, driven by in-line performance in the past four quarters coupled with what we see as strong deal wins and a healthy deals pipeline. |
| | | Conversely, we exited the Fund’s position in Sino Biopharmaceutical in the Chinese health care sector. Sino Biopharmaceutical is an out-of-Index holding that is primarily engaged in the research and development, manufacturing and sales of a series of generic chemical drugs and is a market leader in drugs for hepatitis and cardio- cerebral diseases. Sino Biopharmaceutical experienced a slowdown in sales during the fourth quarter of 2015 to reduce inventory in the distribution channel. As such, we believe this has heightened the risk of price-cutting pressures in the upcoming 2016 drug offerings. As a result, we sold the Fund’s position in the company. |
| | | Within the telecommunication services sector in China, we eliminated the Fund’s position in China Mobile, a company that operates as an investment holding company and, through its subsidiaries, offers mobile services using the global system for mobile communications (“GSM”) standard. China’s government is planning to issue new operation licenses to the China Broadcasting Network Company, |
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PORTFOLIO RESULTS
| | which has triggered concerns regarding competition. Further, China Mobile showed slow growth of its fourth generation subscribers during the first quarter of 2016, increasing concerns about potential market share loss. The company did outperform the Index due to its defensive nature. However, given our view that we might see future share price pressures should China Mobile start to lose market share, we decided to sell the Fund’s position in the company. |
| Q | | Were there any notable changes in the Fund’s weightings during the Reporting Period? |
| A | | Most sector weights are usually established within a relatively narrow range from the Index, as our team prefers to make decisions at the individual stock level, where we believe we can generate more added value. That said, during the Reporting Period, the Fund’s exposure to consumer discretionary, materials, information technology and energy increased, and its allocations to consumer staples, health care, utilities, industrials, telecommunication services and financials decreased. |
| | | Similarly, allocations to countries are directly the result of various stock selection decisions. During the Reporting Period, the Fund’s allocations to India, Indonesia, South Vietnam, South Korea, Taiwan and Singapore increased, and its exposure to China, Thailand, the Philippines, Hong Kong and Malaysia decreased. |
| Q | | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
| A | | Hee Sun Oh, Vice President of our Asia ex-Japan research team, departed in January 2016. |
| Q | | How was the Fund positioned relative to the Index at the end of the Reporting Period? |
| A | | At the end of the Reporting Period, the Fund had overweighted exposure to China, India and Indonesia compared to the Index and held an out-of-Index allocation to South Vietnam. On the same date, the Fund had underweighted exposure relative to the Index to Hong Kong, Singapore, Taiwan and Malaysia and had rather neutral exposure relative to the Index in South Korea, Thailand and the Philippines. |
| | | From a sector allocation perspective, the Fund had overweighted positions relative to the Index in the consumer discretionary, consumer staples and materials sectors at the end of the Reporting Period. On the same date, the Fund had underweighted positions compared to the Index in the financials, telecommunication services and energy sectors and was relatively neutrally weighted compared to the Index in health care, industrials and information technology. The Fund had no exposure to the utilities sector at the end of the Reporting Period. |
| | As always, we remained focused on individual stock selection, with sector and country positioning being a secondary, closely-monitored effect. |
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FUND BASICS
Asia Equity Fund
as of April 30, 2016
| | | | | | | | | | |
| | PERFORMANCE REVIEW | |
| | | November 1, 2015–April 30, 2016 | | Fund Total Return
(based on NAV)1 | | | MSCI® AC (All Country)
Asia ex-Japan Index2 | |
| | Class A | | | -4.19 | % | | | -3.00 | % |
| | Class C | | | -4.57 | | | | -3.00 | |
| | Institutional | | | -4.00 | | | | -3.00 | |
| | | Class IR | | | -4.05 | | | | -3.00 | |
| | 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 MSCI® All Country (AC) Asia ex-Japan Index (Net, USD, Hedged) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of Asia, excluding Japan. The MSCI AC Asia ex-Japan Index consists of the following 10 developed and emerging market country indices: China, Hong Kong, India, Indonesia, Korea, Malaysia, Philippines, Singapore, Taiwan, and Thailand. This index is net of dividends re-invested after deduction of withholding taxes, using a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties. This series approximates the minimum possible dividend reinvestment. The dividend is reinvested after deduction of withholding tax, applying the rate to nonresident individuals who do not benefit from double taxation treaties. MSCI Barra uses withholding tax rates applicable to Luxembourg holding companies, as Luxembourg applies the highest rates. It is not possible to invest directly in an index. |
| | | | | | | | | | | | | | | | | | | | | | |
| | STANDARDIZED TOTAL RETURNS3 | |
| | | For the period ended 3/31/16 | | One Year | | | Five Years | | | Ten Years | | | Since Inception | | | Inception Date | |
| | Class A | | | -11.55 | % | | | -0.96 | % | | | 2.74 | % | | | 2.04 | % | | | 7/08/94 | |
| | Class C | | | -8.07 | | | | -0.57 | | | | 2.54 | | | | 1.24 | | | | 8/15/97 | |
| | Institutional | | | -6.04 | | | | 0.58 | | | | 3.74 | | | | 2.09 | | | | 2/02/96 | |
| | | Class IR | | | -6.19 | | | | N/A | | | | N/A | | | | 0.15 | | | | 2/28/14 | |
| | 3 | | The Standardized Total Returns are average annual total returns 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 5.5% 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 returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
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FUND BASICS
| | | | | | | | | | |
| | EXPENSE RATIOS4 | |
| | | | | Net Expense Ratio (Current) | | | Gross Expense Ratio (Before Waivers) | |
| | Class A | | | 1.55 | % | | | 1.99 | % |
| | Class C | | | 2.30 | | | | 2.76 | |
| | Institutional | | | 1.15 | | | | 1.61 | |
| | | Class IR | | | 1.30 | | | | 1.75 | |
| | 4 | | 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 February 26, 2017, 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 HOLDINGS AS OF 4/30/165 |
| | | Holding | | % of
Net Assets | | | Line of Business | | Country |
| | Tencent Holdings Ltd. | | | 5.0 | % | | Software & Services | | China |
| | AIA Group Ltd. | | | 4.6 | | | Insurance | | Hong Kong |
| | Kweichow Moutai Co. Ltd. | | | 3.7 | | | Food, Beverage & Tobacco | | China |
| | LG Chem Ltd. | | | 3.3 | | | Materials | | South Korea |
| | Taiwan Semiconductor Manufacturing Co. Ltd. | | | 3.3 | | | Semiconductors &
Semiconductor Equipment | | Taiwan |
| | Kumho Petrochemical Co. Ltd. | | | 3.2 | | | Materials | | South Korea |
| | Galaxy Entertainment Group Ltd. | | | 2.8 | | | Consumer Services | | Hong Kong |
| | Hong Kong Exchanges and Clearing Ltd. | | | 2.8 | | | Diversified Financials | | Hong Kong |
| | China Petroleum & Chemical Corp. Class H | | | 2.5 | | | Energy | | China |
| | | Airports of Thailand PCL | | | 2.4 | | | Transportation | | Thailand |
| | 5 | | The top 10 holdings may not be representative of the Fund’s future investments. |
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FUND BASICS
|
| FUND VS. BENCHMARK SECTOR ALLOCATIONS6 |
| As of April 30, 2016 |
| | 6 | | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. 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. |
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PORTFOLIO RESULTS
Goldman Sachs Emerging Markets Equity Fund
Investment Objective
The Fund seeks long-term capital appreciation.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Fundamental Emerging Markets Equity Portfolio Management Team discusses the Goldman Sachs Emerging Markets Equity Fund’s (the “Fund”) performance and positioning for the six-month period ended April 30, 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 R6 Shares generated cumulative total returns, without sales charges, of 0.14%, -0.23%, 0.35%, 0.14%, 0.27% and 0.43%, respectively. These returns compare to the -0.13% cumulative total return of the Fund’s benchmark, the MSCI® Emerging Markets Index (Net, USD, Unhedged) (the “Index”), during the same period. |
| Q | | What key factors were responsible for the Fund’s performance during the Reporting Period? |
| A | | While the Fund’s absolute returns were disappointing, the Fund outperformed the Index on a relative basis during the Reporting Period. Effective stock selection in China and Thailand and having an overweighted allocation to Peru benefited the Fund’s performance most. Such positive contributors were only partially offset by the detracting effect of weak stock selection in South Korea and Russia and of having an overweighted allocation to India, which underperformed the Index during the Reporting Period. |
| Q | | What were some of the Fund’s best-performing individual stocks? |
| A | | The strongest contributors to the Fund’s performance during the Reporting Period were Viatron Technologies, BM&FBovespa and Credicorp. |
| | | Viatron Technologies is a South Korea-based equipment supplier to the display industry in the information technology sector. Asian display panel makers have been expanding their capacity aggressively, and Viatron Technologies particularly benefited from the capital expenditure cycle in China. |
| | | BM&FBovespa performed well after the Brazilian stock exchange made a bidding offer for securities clearinghouse Cetip. At the end of the Reporting Period, we believed the potential merger could enhance significantly the value of BM&FBovespa due to increased barriers to entry. We continued to hold the stock given what we viewed as the potential of the deal with Cetip and its high free cash flow yield. |
| | | Credicorp, a Peru-based bank, was a strong performer as it reported better than expected results, including improving margins and healthy loan growth. At the end of the Reporting Period, we continued to like the company for its strong competitive position in the industry and what we view as positive balance sheet trends. |
| Q | | Which stocks detracted significantly from the Fund’s performance during the Reporting Period? |
| A | | Detracting most from the Fund’s results relative to the Index were positions in Naver, Hotel Shilla and China Traditional. |
| | | Naver is a South Korea-based Internet service provider that operates a search portal, a social network and online gaming platforms. Its stock underperformed the Index during the Reporting Period, as the company reported disappointing top-line growth, driven by decelerating growth from its mobile gaming division. Although the company has made some progress on its cost savings program announced last year, it fell short of investor expectations. |
| | | Hotel Shilla operates hotels in South Korea’s capital, Seoul, as well as in popular tourist destination, Jeju Island. It is also one of the nation’s top two duty-free shop operators. Near-term concerns on increasing competition due to regulatory changes weighed on its share price during the Reporting Period. At the end of the Reporting Period, we remained positive on Hotel Shilla owing to the strong demand environment driven by Chinese tourists. |
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PORTFOLIO RESULTS
| | | China Traditional Medicine (“CTM”) is an integrated pharmaceutical company mainly engaged in the research and development, manufacture and distribution of traditional Chinese medicines (“TCMs”). Through organic growth and acquisitions, CTM has a product portfolio of more than 500 TCM drugs under well-known brands. Its stock underperformed the Index during the Reporting Period, as its sales were impacted by a broad industry slowdown. |
| Q | | Which equity market sectors most significantly affected Fund performance during the Reporting Period? |
| A | | Relative to the Index, strong stock selection within the financials, industrials and consumer staples sectors contributed most positively to the Fund’s performance. In financials, the Fund’s holding in BM&FBovespa, mentioned earlier, was the strongest contributor. In industrials, the Fund’s position in InterGlobe Aviation, the operator of India’s largest domestic carrier by market capitalization, was an outstanding performer. Notably, the Fund’s holding in Nongshim, South Korea’s largest processed food manufacturer, boosted Fund results within the consumer staples sector. |
| | | Conversely, weak stock selection in consumer discretionary and health care and having no allocation to energy, which outperformed the Index during the Reporting Period, detracted most from the Fund’s relative results. In consumer discretionary, the Fund’s position in Hotel Shilla, mentioned earlier, was the largest detractor from relative returns. In health care, the Fund’s position in CTM, also already mentioned, was the biggest disappointment. In energy, the Fund’s underweighted position in Lukoil Holding, a Russian oil company, detracted most from returns. |
| Q | | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | | During the Reporting Period, the Fund used equity-linked notes and participatory notes to gain exposure to select stocks. The use of these derivatives did not have a material impact on the Fund’s performance during the Reporting Period. |
| Q | | Did the Fund make any significant purchases or sales during the Reporting Period? |
| A | | Within the financials sector in China, we initiated a Fund position in AIA Group. It is the largest independent publicly- listed pan-Asian life insurance group. We are constructive about AIA Group’s ability to tap life insurance demand growth in Asia, which is still under-penetrated. In our view, AIA Group has a strong brand franchise within Asia. Further, we believe the insurance company has demonstrated superior execution capabilities with its double-digit growth in new business value. We expect its China exposure to grow strongly, as the insurer has successfully captured high margin regular premium business. We believe its diversified regional life insurance exposure and high quality execution track record by its management were contributing factors to the stock’s strong performance since our purchase during the Reporting Period. |
| | Within the information technology sector in India, we established a Fund position in Infosys, India’s third largest information technology services provider. We believe in the company management’s growth guidance in the medium term, driven by in-line performance in the past four quarters coupled with what we see as strong deal wins and a healthy deals pipeline. |
| | Conversely, we exited the Fund’s position in Sino Biopharmaceutical in the Chinese health care sector. Sino Biopharmaceutical is an out-of-Index holding that is primarily engaged in the research and development, manufacturing and sales of a series of generic chemical drugs and is a market leader in drugs for hepatitis and cardio-cerebral diseases. Sino Biopharmaceutical experienced a slowdown in sales during the fourth quarter of 2015 to reduce inventory in the distribution channel. As such, we believe this has heightened the risk of price-cutting pressures in the upcoming 2016 drug offerings. As a result, we sold the Fund’s position in the company. |
| | Within the financials sector, we eliminated the Fund’s position in Cetip during the Reporting Period. Cetip is engaged in the provision of financial management services and is Brazil’s biggest securities clearinghouse. Its stock price had traded sideways during the Reporting Period, following a bidding offer for the company in February 2016 by BM&FBovespa. |
| Q | | Were there any notable changes in the Fund’s weightings during the Reporting Period? |
| A | | Most sector weights are usually established within a narrow range from the Index, as our team prefers to make decisions at the individual stock level, where we believe we can generate more added value. That said, during the Reporting Period, the Fund’s exposure relative to the Index to information technology and financials increased, and its |
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PORTFOLIO RESULTS
| | allocations relative to the Index to consumer discretionary, consumer staples and health care decreased. |
| | | Similarly, allocations to countries are directly the result of various stock selection decisions. As such, the Fund’s exposure relative to the Index in India, China and Peru increased, and its allocations relative to the Index to South Africa, Indonesia and South Korea decreased. |
| Q | | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
| A | | There were no changes to the Fund’s portfolio management team during the Reporting Period. However, Niraj Mansingka and Sumit Mangal joined the India equity research team. |
| Q | | How was the Fund positioned relative to the Index at the end of the Reporting Period? |
| A | | At the end of the Reporting Period, the Fund had overweighted exposures to India, Peru, Turkey and China and underweighted exposures to South Africa, South Korea, Taiwan, Malaysia and Russia relative to the Index. On the same date, the Fund was relatively neutrally weighted to the Index in the remaining components of the Index and had exposure to several equity markets that are not components of the Index, including Singapore, Vietnam, Georgia and Kenya. The Fund had no exposure to the Philippines, Qatar and the Czech Republic at the end of the Reporting Period. |
| | | From a sector allocation perspective, the Fund had overweighted positions relative to the Index in financials, consumer discretionary, health care, consumer staples and information technology at the end of the Reporting Period. The Fund had underweighted positions compared to the Index in the telecommunication services, materials and industrials sectors at the end of the Reporting Period. The Fund had no allocation to the utilities sector at the end of the Reporting Period. |
| | | As always, we remained focused on individual stock selection, with sector and country positioning being a secondary, closely-monitored effect. |
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FUND BASICS
Emerging Markets Equity Fund
as of April 30, 2016
| | | | | | | | | | |
| | PERFORMANCE REVIEW | |
| | | November 1, 2015–April 30, 2016 | | Fund Total Return
(based on NAV)1 | | | MSCI® Emerging
Markets Index2 | |
| | Class A | | | 0.14 | % | | | -0.13 | % |
| | Class C | | | -0.23 | | | | -0.13 | |
| | Institutional | | | 0.35 | | | | -0.13 | |
| | Service | | | 0.14 | | | | -0.13 | |
| | Class IR | | | 0.27 | | | | -0.13 | |
| | | Class R6 | | | 0.43 | | | | -0.13 | |
| | 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 MSCI® Emerging Markets Index (Net, USD, Unhedged) is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. As of January 1, 2016 the MSCI® Emerging Markets Index consists of the following 21 emerging market country indexes: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand and Turkey. It is not possible to invest directly in an index. |
| | | | | | | | | | | | | | | | | | | | | | |
| | STANDARDIZED TOTAL RETURNS3 | |
| | | For the period ended 3/31/16 | | One Year | | | Five Years | | | Ten Years | | | Since Inception | | | Inception Date | |
| | Class A | | | -12.31 | % | | | -3.89 | % | | | 1.10 | % | | | 5.24 | % | | | 12/15/97 | |
| | Class C | | | -8.83 | | | | -3.52 | | | | 0.91 | | | | 4.89 | | | | 12/15/97 | |
| | Institutional | | | -6.93 | | | | -2.41 | | | | 2.08 | | | | 6.10 | | | | 12/15/97 | |
| | Service | | | -7.39 | | | | -2.90 | | | | 1.57 | | | | 5.46 | | | | 12/15/97 | |
| | Class IR | | | -7.04 | | | | -2.57 | | | | N/A | | | | 1.10 | | | | 8/31/10 | |
| | | Class R6 | | | N/A | | | | N/A | | | | N/A | | | | -5.09 | | | | 7/31/15 | |
| | 3 | | The Standardized Total Returns are average annual or cumulative total returns for periods less than 1 year 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 5.5% 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 and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
13
FUND BASICS
| | | | | | | | | | |
| | EXPENSE RATIOS4 | |
| | | | | Net Expense Ratio (Current) | | | Gross Expense Ratio (Before Waivers) | |
| | Class A | | | 1.65 | % | | | 1.92 | % |
| | Class C | | | 2.40 | | | | 2.67 | |
| | Institutional | | | 1.25 | | | | 1.52 | |
| | Service | | | 1.75 | | | | 2.02 | |
| | Class IR | | | 1.40 | | | | 1.67 | |
| | | Class R6 | | | 1.23 | | | | 1.50 | |
| | 4 | | 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 February 26, 2017, 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 HOLDINGS AS OF 4/30/165 |
| | | Holding | | % of
Net Assets | | | Line of Business | | Country |
| | Tencent Holdings Ltd. | | | 5.0 | % | | Software & Services | | China |
| | Taiwan Semiconductor Manufacturing Co. Ltd. | | | 3.7 | | | Semiconductors &
Semiconductor Equipment | | Taiwan |
| | Hong Kong Exchanges and Clearing Ltd. | | | 3.1 | | | Diversified Financials | | Hong Kong |
| | AIA Group Ltd. | | | 2.7 | | | Insurance | | Hong Kong |
| | iShares MSCI South Korea Capped Fund | | | 2.6 | | | Exchange Traded Fund | | United States |
| | Kweichow Moutai Co. Ltd. | | | 2.6 | | | Food, Beverage & Tobacco | | China |
| | PChome Online, Inc. | | | 2.4 | | | Software & Services | | Taiwan |
| | PT Bank Central Asia Tbk | | | 2.1 | | | Banks | | Indonesia |
| | Infosys Ltd. | | | 2.1 | | | Software & Services | | India |
| | | Moscow Exchange MICEX-RTS PJSC | | | 2.0 | | | Diversified Financials | | Russia |
| | 5 | | The top 10 holdings may not be representative of the Fund’s future investments. |
14
FUND BASICS
|
| FUND VS. BENCHMARK SECTOR ALLOCATIONS6 |
| As of April 30, 2016 |
| | 6 | | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. Underlying sector allocations of exchange traded funds held by the Fund are not reflected in the graph above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. 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. |
15
PORTFOLIO RESULTS
Goldman Sachs N-11 Equity Fund
Investment Objective
The Fund seeks long-term capital appreciation.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Fundamental Emerging Markets Equity Portfolio Management Team discusses the Goldman Sachs N-11 Equity Fund’s (the “Fund”) performance and positioning for the six-month period ended April 30, 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 cumulative total returns, without sales charges, of -1.44%, -1.78%, -1.28% and -1.30%, respectively. These returns compare to the 1.43% cumulative total return of the Fund’s benchmark, the MSCI® GDP Weighted Next 11 ex-Iran Index (Net, USD, Unhedged) (the “Index”), during the same period. |
| 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. The Fund’s stock selection in Mexico, South Korea and Egypt detracted most from performance. Such detractors were only partially offset by the positive contributions of effective stock selection in Vietnam and Turkey and of having an underweighted allocation to Nigeria, which lagged the Index during the Reporting Period. |
| Q | | Which stocks detracted significantly from the Fund’s performance during the Reporting Period? |
| A | | Detracting most from the Fund’s results relative to the Index were positions in Cemex, Hotel Shilla and Integrated Diagnostics Holdings. |
| | | Cemex is a Mexican multinational building materials company. Its stock detracted from relative performance driven by the Fund’s underweighted position. Cemex yielded stronger margins than the market anticipated during the Reporting Period on the back of its management’s “value before volume” and cost-cutting strategies. The company also benefited from an ongoing economic recovery in many of its markets and a clearer path to deleveraging. |
| | | Hotel Shilla operates hotels in South Korea’s capital Seoul as well as in popular tourist destination Jeju Island. It is also one of the nation’s top two duty-free shop operators. Near-term concerns on increasing competition due to regulatory changes weighed on its share price during the Reporting Period. At the end of the Reporting Period, we remained positive on Hotel Shilla owing to the strong demand environment driven by Chinese tourists. |
| | | Integrated Diagnostics Holdings provides various medical diagnostics services to patients and other laboratories in Egypt, Jordan and Sudan. Its stock performed poorly during the Reporting Period likely due to a change in revenue mix in favor of lower margin contracts coupled with higher competition. |
| Q | | What were some of the Fund’s best-performing individual stocks? |
| A | | The strongest contributors to the Fund’s performance during the Reporting Period were Sampoerna, Ulker Biskuvi and Akbank. |
| | | Sampoerna is the largest Indonesian tobacco company. Its stock performed well, as the company benefited from its leading position in the cigarettes industry, robust pricing power, strong free cash flow to the firm and sound corporate governance as consumption recovered during the Reporting Period. In addition, its low free float, drove its stock price higher. (The free float of a company is the portion of its shares that can be publicly traded.) We sold the Fund’s position in Sampoerna, taking profits, as the stock was buoyed by price hikes and rising disposable incomes in its domestic market. |
| | | Ulker Biskuvi is one of the leading Turkey-based producers and exporters of biscuits, chocolates and related products. Its stock performed well during the Reporting Period owing to |
16
PORTFOLIO RESULTS
| | positive earnings and a recent acquisition of an Egyptian entity, which investors widely saw as reaping potential synergies in terms of improved demand and higher penetration. |
| | | Turkey-based Akbank engages in providing commercial and private banking services. Its stock contributed to the Fund’s relative results on the back of its stronger than peers liquidity position, efficient cost base facilitated by digitization, and conservative approach toward a potential risk-driven year in terms of growth and asset quality. |
| Q | | Which equity market sectors most significantly affected Fund performance during the Reporting Period? |
| A | | Relative to the Index, weak stock selection within the health care, materials and consumer discretionary sectors detracted most from the Fund’s performance during the Reporting Period. At an individual stock level, the Fund’s position in Integrated Diagnostics Holdings, mentioned earlier, was the largest detractor from relative results within the consumer staples sector. In materials, the Fund’s underweight position in Cemex, also mentioned already, hurt most. In consumer discretionary, the Fund’s position in Hotel Shilla, already mentioned, dampened results most. |
| | | Conversely, strong stock selection within consumer staples and having underweighted allocations to information technology and industrials, which each lagged the Index during the Reporting Period, contributed most positively to the Fund’s performance. In consumer staples, the Fund’s holding in Sampoerna, mentioned earlier, was the strongest contributor to performance. In information technology, the Fund’s underweight holding in Samsung Electronics, the world’s largest smartphone manufacturer, was the greatest positive contributor to results. In industrials, the Fund’s position in Jasa Marga, which operates the Indonesian highway system, was the strongest individual performer. |
| Q | | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | | During the Reporting Period, the Fund gained exposure to select stocks through equity-linked notes and participatory notes. The use of these derivatives did not have a material impact on Fund results during the Reporting Period. |
| Q | | Did the Fund make any significant purchases or sales during the Reporting Period? |
| A | | Within the financials sector in South Korea, we initiated a Fund position in Dongbu Insurance. It engages in the business of providing non-life insurance services. We established the Fund position due to better than expected improvement in its loss ratio. (Loss ratio is the difference between the ratios of premiums paid to an insurance company and the claims settled by the company. Loss ratio is the total losses paid by an insurance company in the form of claims.) |
| | | We initiated a Fund position in Osstem Implant. It is a South Korea-based company that engages in the provision of dental implants. It operates through several business segments, including dental implants, dental equipment, dental information technology and an advanced dental implant research and education center. We established the Fund position as we believe the company should benefit from a recent regulation that aims to subsidize implant costs for those aged over 65 years. |
| | | In addition to those sales mentioned earlier, we exited the Fund’s position in Emlak Konut Gayrimenkul Yatirim Ortakligi. It is a real estate investment trust that engages in the development of residential and commercial projects. It is involved in commercial housing, educational units, social facilities, infrastructure and roads and landscaping. We sold the position due to weak delivery schedules and lower revenue generated than the market consensus. |
| Q | | Were there any notable changes in the Fund’s weightings during the Reporting Period? |
| A | | Most sector weights are usually established within a narrow range from the Index, as our team prefers to make decisions at the individual stock level, where we believe we can generate more added value. That said, during the Reporting Period, the Fund’s exposure relative to the Index to financials, information technology and health care increased, and its allocations relative to the Index to consumer staples, industrials and consumer discretionary decreased. |
| | | Similarly, allocations to countries are directly the result of various stock selection decisions. As such, the Fund’s allocation relative to the Index to Egypt, South Korea and Nigeria increased, and its exposure relative to the Index in Indonesia, Turkey and the Philippines decreased. |
17
PORTFOLIO RESULTS
| Q | | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
| A | | There were no changes to the Fund’s portfolio management team during the Reporting Period. |
| Q | | How was the Fund positioned relative to the Index at the end of the Reporting Period? |
| A | | At the end of the Reporting Period, the Fund was relatively neutrally weighted to the Index in all of the country components of the Index, with the exceptions of Egypt, where the Fund held an overweight relative to the Index, and Turkey, where the Fund held an underweight relative to the Index. |
| | | From a sector allocation perspective, the Fund had overweighted positions relative to the Index in financials, consumer staples and health care at the end of the Reporting Period. The Fund had underweighted positions compared to the Index in the industrials, materials, telecommunication services, energy, consumer discretionary, information technology and utilities sectors at the end the Reporting Period. |
| | | As always, we remained focused on individual stock selection, with sector and country positioning being a secondary, closely-monitored effect. |
18
FUND BASICS
N-11 Equity Fund
as of April 30, 2016
| | | | | | | | | | |
| | PERFORMANCE REVIEW | |
| | | November 1, 2015–April 30, 2016 | | Fund Total Return
(based on NAV)1 | | | MSCI® GDP Weighted Next 11
ex Iran Index2 | |
| | Class A | | | -1.44 | % | | | 1.43 | % |
| | Class C | | | -1.78 | | | | 1.43 | |
| | Institutional | | | -1.28 | | | | 1.43 | |
| | | Class IR | | | -1.30 | | | | 1.43 | |
| | 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 MSCI® Next 11 ex-Iran GDP Weighted Index (Net, Unhedged, USD) comprises the following 10 emerging and frontier market indices: Bangladesh, Egypt, Indonesia, Mexico, Nigeria, Pakistan, Philippines, South Korea, Turkey and Vietnam. The index is designed to reflect the performance of the N-11 ex Iran countries based on the size of each country’s economy rather than the size of its equity market, by using country weights based on a country’s gross domestic product (GDP). Each country is divided into large- and mid-cap segments and provides exhaustive coverage of these size segments by targeting a coverage range around 85% of free float-adjusted market capitalization in that market. It is not possible to invest directly in an index. |
| | | | | | | | | | | | | | | | | | |
| | STANDARDIZED TOTAL RETURNS3 | |
| | | For the period ended 3/31/16 | | One Year | | | Five Years | | | Since Inception | | | Inception Date | |
| | Class A | | | -17.80 | % | | | -4.39 | % | | | -3.02 | % | | | 2/28/11 | |
| | Class C | | | -14.52 | | | | -4.03 | | | | -2.68 | | | | 2/28/11 | |
| | Institutional | | | -12.66 | | | | -2.93 | | | | -1.56 | | | | 2/28/11 | |
| | | Class IR | | | -12.79 | | | | -3.05 | | | | -1.70 | | | | 2/28/11 | |
| | 3 | | The Standardized Total Returns are average annual total returns 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 5.5% 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 returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
19
FUND BASICS
| | | | | | | | | | |
| | EXPENSE RATIOS4 | |
| | | | | Net Expense Ratio (Current) | | | Gross Expense Ratio (Before Waivers) | |
| | Class A | | | 1.73 | % | | | 2.07 | % |
| | Class C | | | 2.48 | | | | 2.82 | |
| | Institutional | | | 1.33 | | | | 1.68 | |
| | | Class IR | | | 1.48 | | | | 1.82 | |
| | 4 | | 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 February 26, 2017, 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 HOLDINGS AS OF 4/30/165 |
| | | Holding | | % of
Net Assets | | | Line of Business | | Country |
| | Samsung Electronics Co. Ltd. | | | 4.7 | % | | Technology Hardware &
Equipment | | South Korea |
| | PT Bank Central Asia Tbk | | | 4.3 | | | Banks | | Indonesia |
| | Commercial International
Bank Egypt SAE | | | 4.2 | | | Banks | | Egypt |
| | BIM Birlesik Magazalar AS | | | 3.7 | | | Food & Staples Retailing | | Turkey |
| | Akbank TAS | | | 3.2 | | | Banks | | Turkey |
| | Wal-Mart de Mexico SAB de CV | | | 3.0 | | | Food & Staples Retailing | | Mexico |
| | PT Telekomunikasi Indonesia (Persero) Tbk | | | 2.9 | | | Telecommunication Services | | Indonesia |
| | Ulker Biskuvi Sanayi AS | | | 2.2 | | | Food, Beverage & Tobacco | | Turkey |
| | Alsea SAB de CV | | | 2.1 | | | Consumer Services | | Mexico |
| | | Samsung Fire & Marine
Insurance Co. Ltd. | | | 2.1 | | | Insurance | | South Korea |
| | 5 | | The top 10 holdings may not be representative of the Fund’s future investments. |
20
FUND BASICS
|
| FUND VS. BENCHMARK SECTOR ALLOCATIONS6 |
| As of April 30, 2016 |
| | 6 | | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. Underlying sector allocations of exchange traded funds held by the Fund are not reflected in the graph above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. 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. |
21
GOLDMAN SACHS ASIA EQUITY FUND
Schedule of Investments
April 30, 2016 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| | Common Stocks – 93.7% | |
| | China – 24.3% | |
| | 10,245 | | | Alibaba Group Holding Ltd. ADR (Software & Services)* | | $ | 788,250 | |
| | 466,800 | | | Anhui Conch Cement Co. Ltd. Class H (Materials) | | | 1,230,050 | |
| | 149,000 | | | ANTA Sports Products Ltd. (Consumer Durables & Apparel) | | | 379,537 | |
| | 175,000 | | | Bloomage Biotechnology Corp. Ltd. (Materials) | | | 343,212 | |
| | 5,434 | | | China Biologic Products, Inc. (Pharmaceuticals, Biotechnology & Life Sciences)* | | | 635,778 | |
| | 518,000 | | | China Communications Construction Co. Ltd. Class H (Capital Goods) | | | 621,774 | |
| | 206,000 | | | China Merchants Bank Co. Ltd. Class H (Banks) | | | 451,269 | |
| | 2,512,000 | | | China Petroleum & Chemical Corp. Class H (Energy) | | | 1,770,168 | |
| | 18,990 | | | Ctrip.com International Ltd. ADR (Retailing)* | | | 828,154 | |
| | 1,434,635 | | | Industrial & Commercial Bank of China Ltd. Class H (Banks) | | | 768,105 | |
| | 25,358 | | | JD.com, Inc. ADR (Retailing)* | | | 648,151 | |
| | 564,000 | | | Minth Group Ltd. (Automobiles & Components) | | | 1,476,002 | |
| | 18,463 | | | New Oriental Education & Technology Group, Inc. ADR (Consumer Services) | | | 723,011 | |
| | 351,220 | | | PICC Property & Casualty Co. Ltd. Class H (Insurance) | | | 638,896 | |
| | 349,000 | | | Ping An Insurance Group Co. of China Ltd. Class H (Insurance) | | | 1,637,886 | |
| | 138,000 | | | Shenzhou International Group Holdings Ltd. (Consumer Durables & Apparel) | | | 713,395 | |
| | 171,800 | | | Tencent Holdings Ltd. (Software & Services) | | | 3,495,841 | |
| | | | | | | | |
| | | | | | | 17,149,479 | |
| | |
| | Hong Kong – 13.8% | |
| | 545,036 | | | AIA Group Ltd. (Insurance) | | | 3,261,826 | |
| | 214,000 | | | Brilliance China Automotive Holdings Ltd. (Automobiles & Components) | | | 211,078 | |
| | 28,000 | | | Cheung Kong Property Holdings Ltd. (Real Estate) | | | 191,226 | |
| | 380,000 | | | China Overseas Land & Investment Ltd. (Real Estate) | | | 1,206,221 | |
| | 597,000 | | | Galaxy Entertainment Group Ltd. (Consumer Services) | | | 2,006,660 | |
| | 77,864 | | | Hong Kong Exchanges and Clearing Ltd. (Diversified Financials) | | | 1,962,738 | |
| | 154,200 | | | IMAX China Holding, Inc. (Media)*(a) | | | 861,613 | |
| | 1,960,000 | | | Peace Mark Holdings Ltd. (Consumer Durables & Apparel)* | | | — | |
| | | | | | | | |
| | | | | | | 9,701,362 | |
| | |
| | India – 11.9% | |
| | 10,294 | | | Alstom India Ltd. (Capital Goods) | | | 98,266 | |
| | 104,219 | | | Ashiana Housing Ltd. (Real Estate) | | | 252,177 | |
| | |
| | Common Stocks – (continued) | |
| | India – (continued) | |
| | 20,353 | | | Atul Auto Ltd. (Automobiles & Components) | | $ | 161,439 | |
| | 25,678 | | | Aurobindo Pharma Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 293,667 | |
| | 4,398 | | | Bajaj Finance Ltd. (Diversified Financials) | | | 452,165 | |
| | 2,690 | | | Bayer CropScience Ltd. (Materials) | | | 162,069 | |
| | 11,402 | | | Britannia Industries Ltd. (Food, Beverage & Tobacco) | | | 491,405 | |
| | 605 | | | Dr Lal PathLabs Ltd. (Health Care Equipment & Services)*(a) | | | 8,952 | |
| | 2,530 | | | Dynamatic Technologies Ltd. (Automobiles & Components)* | | | 81,664 | |
| | 7,892 | | | eClerx Services Ltd. (Software & Services) | | | 157,026 | |
| | 630 | | | Eicher Motors Ltd. (Capital Goods) | | | 189,887 | |
| | 2,917 | | | Gillette India Ltd. (Household & Personal Products) | | | 183,834 | |
| | 25,777 | | | Indo Count Industries Ltd. (Consumer Durables & Apparel) | | | 407,314 | |
| | 10,726 | | | Info Edge India Ltd. (Software & Services) | | | 121,388 | |
| | 82,439 | | | Infosys Ltd. (Software & Services) | | | 1,499,715 | |
| | 145,301 | | | Mahindra & Mahindra Financial Services Ltd. (Diversified Financials) | | | 656,082 | |
| | 6,692 | | | Maruti Suzuki India Ltd. (Automobiles & Components) | | | 381,969 | |
| | 9,381 | | | MPS Ltd. (Media) | | | 96,073 | |
| | 13,980 | | | Multi Commodity Exchange of India Ltd. (Diversified Financials) | | | 194,429 | |
| | 7,275 | | | Navin Fluorine International Ltd. (Materials) | | | 190,994 | |
| | 5,815 | | | Navkar Corp. Ltd. (Transportation)*(a) | | | 15,824 | |
| | 49,146 | | | Prestige Estates Projects Ltd. (Real Estate) | | | 124,718 | |
| | 1,908 | | | Procter & Gamble Hygiene & Health Care Ltd. (Household & Personal Products) | | | 181,635 | |
| | 12,159 | | | SRF Ltd. (Consumer Durables & Apparel) | | | 249,713 | |
| | 15,770 | | | Strides Shasun Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 256,496 | |
| | 31,938 | | | TeamLease Services Ltd. (Commercial & Professional Services)* | | | 450,589 | |
| | 12,409 | | | Thermax Ltd. (Capital Goods) | | | 144,262 | |
| | 43,423 | | | VRL Logistics Ltd. (Transportation) | | | 261,679 | |
| | 435,540 | | | Welspun India Ltd. (Consumer Durables & Apparel) | | | 654,934 | |
| | | | | | | | |
| | | | | | | 8,420,365 | |
| | |
| | Indonesia – 4.4% | | | | |
| | 862,500 | | | PT Indofood CBP Sukses Makmur Tbk (Food, Beverage & Tobacco) | | | 997,077 | |
| | 497,300 | | | PT Matahari Department Store Tbk (Retailing) | | | 713,060 | |
| | |
| | |
| 22 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ASIA EQUITY FUND
| | | | | | | | |
Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Indonesia – (continued) | | | | |
| | 4,469,000 | | | PT Telekomunikasi Indonesia (Persero) Tbk (Telecommunication Services)* | | $ | 1,199,001 | |
| | 807,700 | | | XL Axiata Tbk PT (Telecommunication Services)* | | | 215,238 | |
| | | | | | | | |
| | | | | | | 3,124,376 | |
| | |
| | Israel – 0.2% | |
| | 1,181 | | | Taro Pharmaceutical Industries Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)* | | | 165,033 | |
| | |
| | Malaysia – 2.2% | |
| | 495,700 | | | Bursa Malaysia Bhd (Diversified Financials) | | | 1,066,394 | |
| | 534,200 | | | IJM Corp. Bhd (Capital Goods) | | | 471,775 | |
| | | | | | | | |
| | | | | | | 1,538,169 | |
| | |
| | Philippines – 1.1% | |
| | 74,880 | | | Jollibee Foods Corp. (Consumer Services) | | | 366,315 | |
| | 251,820 | | | Robinsons Retail Holdings, Inc. (Food & Staples Retailing) | | | 412,787 | |
| | | | | | | | |
| | | | | | | 779,102 | |
| | |
| | Singapore – 2.1% | |
| | 127,430 | | | DBS Group Holdings Ltd. (Banks) | | | 1,441,370 | |
| | |
| | South Korea – 18.3% | |
| | 1,364 | | | Amorepacific Corp. (Household & Personal Products) | | | 486,456 | |
| | 4,115 | | | Cuckoo Electronics Co. Ltd. (Consumer Durables & Apparel) | | | 750,782 | |
| | 11,758 | | | Dongbu Insurance Co. Ltd. (Insurance) | | | 720,715 | |
| | 2,135 | | | Hanssem Co. Ltd. (Consumer Durables & Apparel) | | | 356,718 | |
| | 5,282 | | | Hotel Shilla Co. Ltd. (Retailing) | | | 338,585 | |
| | 9,490 | | | Korea Kolmar Co. Ltd. (Household & Personal Products) | | | 722,317 | |
| | 37,539 | | | Kumho Petrochemical Co. Ltd. (Materials) | | | 2,237,191 | |
| | 8,962 | | | LG Chem Ltd. (Materials) | | | 2,324,691 | |
| | 1,521 | | | NAVER Corp. (Software & Services) | | | 901,417 | |
| | 2,069 | | | NongShim Co. Ltd. (Food, Beverage & Tobacco) | | | 677,566 | |
| | 10,451 | | | Osstem Implant Co. Ltd. (Health Care Equipment & Services)* | | | 654,399 | |
| | 1,101 | | | Samsung Electronics Co. Ltd. (Technology Hardware & Equipment) | | | 1,199,905 | |
| | 2,668 | | | Samsung Fire & Marine Insurance Co. Ltd. (Insurance) | | | 687,766 | |
| | 13,301 | | | SK Hynix, Inc. (Semiconductors & Semiconductor Equipment) | | | 326,244 | |
| | 20,479 | | | Viatron Technologies, Inc. (Semiconductors & Semiconductor Equipment) | | | 514,066 | |
| | | | | | | | |
| | | | | | | 12,898,818 | |
| | |
| | Common Stocks – (continued) | |
| | Taiwan – 11.1% | |
| | 351,000 | | | Advanced Semiconductor Engineering, Inc. (Semiconductors & Semiconductor Equipment) | | $ | 337,745 | |
| | 29,000 | | | Catcher Technology Co. Ltd. (Technology Hardware & Equipment) | | | 202,966 | |
| | 149,000 | | | Chipbond Technology Corp. (Semiconductors & Semiconductor Equipment) | | | 197,703 | |
| | 37,000 | | | Chunghwa Precision Test Tech Co. Ltd. (Technology Hardware & Equipment) | | | 703,300 | |
| | 3,000 | | | Largan Precision Co. Ltd. (Technology Hardware & Equipment) | | | 209,412 | |
| | 67,506 | | | PChome Online, Inc. (Software & Services) | | | 713,504 | |
| | 124,530 | | | Poya International Co. Ltd. (Retailing) | | | 1,316,762 | |
| | 310,000 | | | Sercomm Corp. (Technology Hardware & Equipment) | | | 734,966 | |
| | 44,752 | | | Silergy Corp. (Semiconductors & Semiconductor Equipment) | | | 594,328 | |
| | 114,158 | | | Superalloy Industrial Co. Ltd. (Automobiles & Components) | | | 499,921 | |
| | 503,338 | | | Taiwan Semiconductor Manufacturing Co. Ltd. (Semiconductors & Semiconductor Equipment) | | | 2,312,521 | |
| | | | | | | | |
| | | | | | | 7,823,128 | |
| | |
| | Thailand – 2.4% | |
| | 148,600 | | | Airports of Thailand PCL (Transportation) | | | 1,665,907 | |
| | |
| | United States – 1.9% | |
| | 23,093 | | | Cognizant Technology Solutions Corp. Class A (Software & Services)* | | | 1,347,939 | |
| | |
| | TOTAL COMMON STOCKS | |
| | (Cost $69,451,716) | | $ | 66,055,048 | |
| | |
| | | | | | | | | | |
| Units | | Description | | Expiration
Month | | | Value | |
| Participation Notes* – 5.0% | |
| | | | | | | | | | |
| China – 3.7% | |
| 68,182 | | Kweichow Moutai
Co. Ltd. (Food,
Beverage &
Tobacco) | | | 12/24 | | | $ | 2,631,922 | |
| |
| India – 0.2% | |
| 2,678 | | Dr Lal PathLabs Ltd.
(Health Care
Equipment &
Services) | | | 01/17 | | | | 39,625 | |
| 760 | | Dr Lal PathLabs Ltd.
(Health Care
Equipment &
Services) | | | 12/17 | | | | 11,245 | |
| |
| | |
| The accompanying notes are an integral part of these financial statements. | | 23 |
GOLDMAN SACHS ASIA EQUITY FUND
Schedule of Investments (continued)
April 30, 2016 (Unaudited)
| | | | | | | | | | |
| Units | | Description | | Expiration
Month | | | Value | |
| Participation Notes* – (continued) | |
| | | | | | | | | | |
| India – (continued) | |
| 31,099 | | Navkar Corp. Ltd.
(Transportation) | | | 09/17 | | | $ | 84,627 | |
| 1,588 | | TeamLease Services
Ltd. (Commercial &
Professional
Services) | | | 01/17 | | | | 22,404 | |
| | | | | | | | | | |
| | | | | | | | | 157,901 | |
| |
| Vietnam – 1.1% | |
| 117,670 | | Vietnam Dairy
Products JSC (Food,
Beverage &
Tobacco) | | | 01/17 | | | | 732,643 | |
| |
| TOTAL PARTICIPATION NOTES | |
| (Cost $3,160,751) | | | $ | 3,522,466 | |
| |
| | | | | | | | | | |
| Warrants* – 0.0% | |
| India – 0.0% | |
| 2,011 | | Navkar Corp. Ltd.
(Transportation) | | | 05/17 | | | $ | 5,473 | |
| (Cost $5,893) | |
| |
| TOTAL INVESTMENTS – 98.7% | |
| (Cost $72,618,360) | | | $ | 69,582,987 | |
| |
OTHER ASSETS IN EXCESS OF LIABILITIES – 1.3% | | | | 950,693 | |
| |
| NET ASSETS – 100.0% | | | $ | 70,533,680 | |
| |
| | |
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | | Non-income producing security. |
(a) | | Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, 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 $886,389, which represents approximately 1.3% of net assets as of April 30, 2016. |
| | |
|
Investment Abbreviation: |
ADR | | —American Depositary Receipt |
|
| | |
| 24 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS EMERGING MARKETS EQUITY FUND
Schedule of Investments
April 30, 2016 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| | Common Stocks – 90.9% | |
| | Argentina – 0.6% | |
| | 21,198 | | | MercadoLibre, Inc. (Software & Services) | | $ | 2,647,418 | |
| | |
| | Austria – 1.1% | |
| | 43,681 | | | DO & CO AG (Consumer Services) | | | 4,951,676 | |
| | |
| | Brazil – 4.8% | |
| | 752,141 | | | BB Seguridade Participacoes SA (Insurance) | | | 6,560,800 | |
| | 1,141,655 | | | BM&FBovespa SA – Bolsa de Valores Mercadorias e Futuros (Diversified Financials) | | | 5,702,881 | |
| | 374,703 | | | Ez Tec Empreendimentos e Participacoes SA (Consumer Durables & Apparel) | | | 1,819,449 | |
| | 944,300 | | | FPC Par Corretora de Seguros SA (Insurance) | | | 3,171,233 | |
| | 771,709 | | | Odontoprev SA (Health Care Equipment & Services) | | | 2,347,045 | |
| | 153,700 | | | Sao Martinho SA (Food, Beverage & Tobacco) | | | 1,998,983 | |
| | | | | | | | |
| | | | | | | 21,600,391 | |
| | |
| | Chile – 0.4% | |
| | 26,124 | | | Banco de Chile ADR (Banks) | | | 1,720,527 | |
| | |
| | China – 11.3% | |
| | 64,806 | | | 58.com, Inc. ADR (Software & Services)* | | | 3,541,648 | |
| | 23,045 | | | Baidu, Inc. ADR (Software & Services)* | | | 4,477,643 | |
| | 98,475 | | | Ctrip.com International Ltd. ADR (Retailing)* | | | 4,294,495 | |
| | 103,700 | | | JD.com, Inc. ADR (Retailing)* | | | 2,650,572 | |
| | 116,835 | | | New Oriental Education & Technology Group, Inc. ADR (Consumer Services) | | | 4,575,259 | |
| | 1,599,500 | | | Ping An Insurance Group Co. of China Ltd. Class H (Insurance) | | | 7,506,747 | |
| | 1,094,900 | | | Tencent Holdings Ltd. (Software & Services) | | | 22,279,371 | |
| | 84,496 | | | Vipshop Holdings Ltd. ADR (Retailing)* | | | 1,152,525 | |
| | | | | | | | |
| | | | | | | 50,478,260 | |
| | |
| | Colombia – 0.6% | |
| | 85,329 | | | Banco de Bogota SA (Banks) | | | 1,886,488 | |
| | 100,000 | | | Grupo Aval Acciones y Valores SA ADR (Banks) | | | 809,000 | |
| | | | | | | | |
| | | | | | | 2,695,488 | |
| | |
| | Egypt – 0.5% | |
| | 604,515 | | | Commercial International Bank Egypt SAE (Registered) GDR (Banks) | | | 2,257,693 | |
| | |
| | Georgia – 0.7% | |
| | 32,622 | | | BGEO Group PLC (Banks) | | | 1,093,137 | |
| | |
| | Common Stocks – (continued) | |
| | Georgia – (continued) | |
| | 30,207 | | | TBC Bank JSC GDR (Banks) | | $ | 317,174 | |
| | 175,110 | | | TBC Bank JSC GDR (Banks)(a) | | | 1,838,655 | |
| | | | | | | | |
| | | | | | | 3,248,966 | |
| | |
| | Greece – 1.0% | |
| | 466,034 | | | Hellenic Exchanges – Athens Stock Exchange SA Holding (Diversified Financials) | | | 2,653,841 | |
| | 182,250 | | | Sarantis SA (Household & Personal Products) | | | 1,823,910 | |
| | | | | | | | |
| | | | | | | 4,477,751 | |
| | |
| | Hong Kong – 9.4% | |
| | 1,989,400 | | | AIA Group Ltd. (Insurance) | | | 11,905,775 | |
| | 1,868,000 | | | Galaxy Entertainment Group Ltd. (Consumer Services) | | | 6,278,795 | |
| | 540,980 | | | Hong Kong Exchanges and Clearing Ltd. (Diversified Financials) | | | 13,636,623 | |
| | 859,400 | | | IMAX China Holding, Inc. (Media)*(a) | | | 4,802,014 | |
| | 1,399,000 | | | Techtronic Industries Co. Ltd. (Consumer Durables & Apparel) | | | 5,244,389 | |
| | | | | | | | |
| | | | | | | 41,867,596 | |
| | |
| | India – 13.1% | |
| | 51,222 | | | Alstom India Ltd. (Capital Goods) | | | 488,961 | |
| | 982,857 | | | Ashiana Housing Ltd. (Real Estate) | | | 2,378,201 | |
| | 130,330 | | | Atul Auto Ltd. (Automobiles & Components) | | | 1,033,769 | |
| | 189,420 | | | Aurobindo Pharma Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 2,166,309 | |
| | 26,138 | | | Bajaj Finance Ltd. (Diversified Financials) | | | 2,687,285 | |
| | 20,410 | | | Bayer CropScience Ltd. (Materials) | | | 1,229,677 | |
| | 49,597 | | | Britannia Industries Ltd. (Food, Beverage & Tobacco) | | | 2,137,540 | |
| | 18,277 | | | Dynamatic Technologies Ltd. (Automobiles & Components)* | | | 589,950 | |
| | 74,068 | | | eClerx Services Ltd. (Software & Services) | | | 1,473,721 | |
| | 4,052 | | | Eicher Motors Ltd. (Capital Goods) | | | 1,221,308 | |
| | 42,878 | | | Gillette India Ltd. (Household & Personal Products) | | | 2,702,240 | |
| | 128,513 | | | Indo Count Industries Ltd. (Consumer Durables & Apparel) | | | 2,030,692 | |
| | 103,639 | | | Info Edge India Ltd. (Software & Services) | | | 1,172,899 | |
| | 502,634 | | | Infosys Ltd. (Software & Services) | | | 9,143,827 | |
| | 890,144 | | | Mahindra & Mahindra Financial Services Ltd. (Diversified Financials) | | | 4,019,294 | |
| | 38,976 | | | Maruti Suzuki India Ltd. (Automobiles & Components) | | | 2,224,690 | |
| | 106,621 | | | MPS Ltd. (Media) | | | 1,091,929 | |
| | 134,855 | | | Multi Commodity Exchange of India Ltd. (Diversified Financials) | | | 1,875,517 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 25 |
GOLDMAN SACHS EMERGING MARKETS EQUITY FUND
Schedule of Investments (continued)
April 30, 2016 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | India – (continued) | |
| | 36,020 | | | Navin Fluorine International Ltd. (Materials) | | $ | 945,650 | |
| | 15,259 | | | Navkar Corp. Ltd. (Transportation)*(a) | | | 41,523 | |
| | 684,355 | | | Prestige Estates Projects Ltd. (Real Estate) | | | 1,736,693 | |
| | 18,315 | | | Procter & Gamble Hygiene & Health Care Ltd. (Household & Personal Products) | | | 1,743,528 | |
| | 64,709 | | | SRF Ltd. (Consumer Durables & Apparel) | | | 1,328,946 | |
| | 126,439 | | | Strides Shasun Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 2,056,508 | |
| | 155,958 | | | TeamLease Services Ltd. (Commercial & Professional Services)* | | | 2,200,294 | |
| | 165,445 | | | Thermax Ltd. (Capital Goods) | | | 1,923,393 | |
| | 514,685 | | | VRL Logistics Ltd. (Transportation) | | | 3,101,628 | |
| | 2,558,199 | | | Welspun India Ltd. (Consumer Durables & Apparel) | | | 3,846,838 | |
| | | | | | | | |
| | | | | | | 58,592,810 | |
| | |
| | Indonesia – 3.3% | |
| | 9,519,700 | | | PT Bank Central Asia Tbk (Banks) | | | 9,394,990 | |
| | 1,751,400 | | | PT Indofood CBP Sukses Makmur Tbk (Food, Beverage & Tobacco) | | | 2,024,673 | |
| | 1,871,700 | | | PT Semen Indonesia (Persero) Tbk (Materials)* | | | 1,399,065 | |
| | 17,492,600 | | | PT Summarecon Agung Tbk (Real Estate) | | | 2,063,796 | |
| | | | | | | | |
| | | | | | | 14,882,524 | |
| | |
| | Israel – 0.4% | |
| | 11,325 | | | Taro Pharmaceutical Industries Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)* | | | 1,582,555 | |
| | |
| | Jersey – 0.9% | |
| | 471,281 | | | Integrated Diagnostics Holdings PLC (Health Care Equipment & Services)(a) | | | 2,191,457 | |
| | 937,090 | | | Petra Diamonds Ltd. (Materials) | | | 1,615,690 | |
| | | | | | | | |
| | | | | | | 3,807,147 | |
| | |
| | Kenya – 0.4% | |
| | 9,227,400 | | | Safaricom Ltd. (Telecommunication Services) | | | 1,561,039 | |
| | |
| | Malaysia – 1.8% | |
| | 3,212,200 | | | 7-Eleven Malaysia Holdings Bhd (Food & Staples Retailing) | | | 1,142,956 | |
| | 3,107,000 | | | Bursa Malaysia Bhd (Diversified Financials) | | | 6,684,055 | |
| | | | | | | | |
| | | | | | | 7,827,011 | |
| | |
| | Common Stocks – (continued) | |
| | Mexico – 4.2% | |
| | 1,006,585 | | | Alsea SAB de CV (Consumer Services) | | $ | 3,854,998 | |
| | 3,783,210 | | | Bolsa Mexicana de Valores SAB de CV (Diversified Financials) | | | 6,282,389 | |
| | 1,190,820 | | | Gentera SAB de CV (Diversified Financials) | | | 2,368,537 | |
| | 2,055,440 | | | Unifin Financiera SAPI de CV SOFOM ENR (Diversified Financials) | | | 6,059,520 | |
| | | | | | | | |
| | | | | | | 18,565,444 | |
| | |
| | Peru – 2.7% | |
| | 1,925,698 | | | BBVA Banco Continental SA (Banks) | | | 2,139,404 | |
| | 53,615 | | | Credicorp Ltd. (Banks) | | | 7,796,693 | |
| | 70,093 | | | Intercorp Financial Services, Inc. (Banks) | | | 1,997,651 | |
| | | | | | | | |
| | | | | | | 11,933,748 | |
| | |
| | Poland – 1.2% | |
| | 33,766 | | | Bank Pekao SA (Banks) | | | 1,373,170 | |
| | 382,116 | | | Warsaw Stock Exchange (Diversified Financials) | | | 3,774,001 | |
| | | | | | | | |
| | | | | | | 5,147,171 | |
| | |
| | Russia – 2.9% | |
| | 235,404 | | | Lenta Ltd. GDR (Food & Staples Retailing)* | | | 1,521,370 | |
| | 5,688,277 | | | Moscow Exchange MICEX-RTS PJSC (Diversified Financials) | | | 8,978,137 | |
| | 18,237 | | | PJSC Magnit (Food & Staples Retailing) | | | 2,536,285 | |
| | | | | | | | |
| | | | | | | 13,035,792 | |
| | |
| | Singapore – 1.7% | |
| | 1,339,500 | | | Singapore Exchange Ltd. (Diversified Financials) | | | 7,476,493 | |
| | |
| | South Africa – 2.1% | |
| | 4,580,932 | | | Alexander Forbes Group Holdings Ltd. (Diversified Financials) | | | 2,310,538 | |
| | 309,806 | | | JSE Ltd. (Diversified Financials) | | | 3,594,555 | |
| | 206,312 | | | Santam Ltd. (Insurance) | | | 3,403,545 | |
| | | | | | | | |
| | | | | | | 9,308,638 | |
| | |
| | South Korea – 8.8% | |
| | 5,733 | | | Amorepacific Corp. (Household & Personal Products) | | | 2,044,614 | |
| | 18,452 | | | Cuckoo Electronics Co. Ltd. (Consumer Durables & Apparel) | | | 3,366,567 | |
| | 67,248 | | | Dongbu Insurance Co. Ltd. (Insurance) | | | 4,122,015 | |
| | 21,400 | | | Hanssem Co. Ltd. (Consumer Durables & Apparel) | | | 3,575,534 | |
| | 12,309 | | | LG Chem Ltd. (Materials) | | | 3,192,884 | |
| | 9,309 | | | NAVER Corp. (Software & Services) | | | 5,516,954 | |
| | 7,845 | | | NongShim Co. Ltd. (Food, Beverage & Tobacco) | | | 2,569,118 | |
| | |
| | |
| 26 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS EMERGING MARKETS EQUITY FUND
| | | | | | | | |
Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | South Korea – (continued) | |
| | 82,539 | | | Osstem Implant Co. Ltd. (Health Care Equipment & Services)* | | $ | 5,168,251 | |
| | 95,814 | | | Samchuly Bicycle Co. Ltd. (Consumer Durables & Apparel) | | | 1,860,184 | |
| | 16,064 | | | Samsung Fire & Marine Insurance Co. Ltd. (Insurance) | | | 4,141,030 | |
| | 47,319 | | | SK Hynix, Inc. (Semiconductors & Semiconductor Equipment) | | | 1,160,632 | |
| | 102,188 | | | Viatron Technologies, Inc. (Semiconductors & Semiconductor Equipment) | | | 2,565,135 | |
| | | | | | | | |
| | | | | | | 39,282,918 | |
| | |
| | Taiwan – 9.7% | |
| | 1,007,000 | | | Chipbond Technology Corp. (Semiconductors & Semiconductor Equipment) | | | 1,336,157 | |
| | 99,000 | | | Chunghwa Precision Test Tech Co. Ltd. (Technology Hardware & Equipment) | | | 1,881,802 | |
| | 24,000 | | | Largan Precision Co. Ltd. (Technology Hardware & Equipment) | | | 1,675,298 | |
| | 276,150 | | | Merida Industry Co. Ltd. (Consumer Durables & Apparel) | | | 1,131,304 | |
| | 1,001,012 | | | PChome Online, Inc. (Software & Services) | | | 10,580,182 | |
| | 341,370 | | | Poya International Co. Ltd. (Retailing) | | | 3,609,596 | |
| | 203,000 | | | President Chain Store Corp. (Food & Staples Retailing) | | | 1,435,288 | |
| | 188,497 | | | Silergy Corp. (Semiconductors & Semiconductor Equipment) | | | 2,503,331 | |
| | 614,383 | | | Superalloy Industrial Co. Ltd. (Automobiles & Components) | | | 2,690,507 | |
| | 3,608,883 | | | Taiwan Semiconductor Manufacturing Co. Ltd. (Semiconductors & Semiconductor Equipment) | | | 16,580,543 | |
| | | | | | | | |
| | | | | | | 43,424,008 | |
| | |
| | Thailand – 1.5% | |
| | 494,900 | | | Airports of Thailand PCL (Transportation) | | | 5,548,165 | |
| | 243,900 | | | Kasikornbank PCL (Banks) | | | 1,163,700 | |
| | | | | | | | |
| | | | | | | 6,711,865 | |
| | |
| | Turkey – 2.0% | |
| | 171,371 | | | BIM Birlesik Magazalar AS (Food & Staples Retailing) | | | 3,771,290 | |
| | 241,117 | | | Cimsa Cimento Sanayi VE Ticaret AS (Materials) | | | 1,403,316 | |
| | 477,050 | | | Ulker Biskuvi Sanayi AS (Food, Beverage & Tobacco) | | | 3,798,399 | |
| | | | | | | | |
| | | | | | | 8,973,005 | |
| | |
| | United Arab Emirates – 0.7% | |
| | 212,780 | | | NMC Health PLC (Health Care Equipment & Services) | | | 3,255,159 | |
| | |
| | Common Stocks – (continued) | |
| | United States – 2.5% | |
| | 137,888 | | | Cognizant Technology Solutions Corp. Class A (Software & Services)* | | $ | 8,048,523 | |
| | 1,019,400 | | | Samsonite International SA (Consumer Durables & Apparel) | | | 3,278,444 | |
| | | | | | | | |
| | | | | | | 11,326,967 | |
| | |
| | Vietnam – 0.6% | |
| | 405,650 | | | Vietnam Dairy Products JSC (Food, Beverage & Tobacco) | | | 2,525,680 | |
| | |
| | TOTAL COMMON STOCKS | |
| | (Cost $391,066,383) | | $ | 405,165,740 | |
| | |
| | | | | | | | | | |
| Shares | | Description | | Rate | | | Value | |
| | | | | | | | | | |
| Preferred Stocks – 1.4% | |
| Brazil – 1.1% | |
| 677,170 | | Banco Bradesco SA
(Banks) | | | 0.190 | % | | $ | 5,099,572 | |
| |
| Colombia – 0.3% | |
| 2,832,071 | | Grupo Aval
Acciones y Valores
SA (Banks) | | | 4.900 | | | | 1,183,058 | |
| |
| TOTAL PREFERRED STOCKS | |
| (Cost $7,912,702) | | | $ | 6,282,630 | |
| |
| | | | | | | | |
| Shares | | | Description | | Value | �� |
| | | | | | | | |
| | Exchange Traded Funds – 3.1% | |
| | United States – 3.1% | |
| | 40,483 | | | iShares MSCI South Africa Fund | | $ | 2,250,855 | |
| | 221,414 | | | iShares MSCI South Korea Capped Fund | | | 11,566,667 | |
| | |
| | TOTAL EXCHANGE TRADED FUNDS | | | | |
| | (Cost $13,965,423) | | $ | 13,817,522 | |
| | |
| | | | | | | | | | |
| Units | | Description | | Expiration
Month | | | Value | |
| | | | | | | | | | |
| Participation Notes* – 4.1% | |
| China – 3.4% | |
| 472,462 | | Jiangsu Hengrui
Medicine Co. Ltd.
(Pharmaceuticals,
Biotechnology &
Life Sciences) | | | 03/17 | | | $ | 3,394,634 | |
| 299,180 | | Kweichow Moutai
Co. Ltd. (Food,
Beverage & Tobacco) | | | 12/24 | | | | 11,548,771 | |
| | | | | | | | | | |
| | | | | | | | | 14,943,405 | |
| |
| | |
| The accompanying notes are an integral part of these financial statements. | | 27 |
GOLDMAN SACHS EMERGING MARKETS EQUITY FUND
Schedule of Investments (continued)
April 30, 2016 (Unaudited)
| | | | | | | | | | |
| Units | | Description | | Expiration
Month | | | Value | |
| Participation Notes* – (continued) | |
| | | | | | | | | | |
| India – 0.2% | |
| 16,248 | | Dr Lal PathLabs
Ltd. (Health Care
Equipment &
Services) | | | 01/17 | | | $ | 240,411 | |
| 4,616 | | Dr Lal PathLabs
Ltd. (Health Care
Equipment &
Services) | | | 12/17 | | | | 68,300 | |
| 126,278 | | Navkar Corp. Ltd.
(Transportation) | | | 09/17 | | | | 343,630 | |
| 9,124 | | TeamLease Services
Ltd. (Commercial &
Professional
Services) | | | 01/17 | | | | 128,724 | |
| | | | | | | | | | |
| | | | | | | | | 781,065 | |
| |
| Vietnam – 0.5% | |
| 379,786 | | Vietnam Dairy
Products JSC (Food,
Beverage &
Tobacco) | | | 01/17 | | | $ | 2,364,645 | |
| |
| TOTAL PARTICIPATION NOTES | |
| (Cost $15,997,800) | | | $ | 18,089,115 | |
| |
| | | | | | | | | | |
| Warrants* – 0.0% | |
| India – 0.0% | |
| 91,078 | | Navkar Corp. Ltd.
(Transportation) | | | 05/17 | | | $ | 247,843 | |
| (Cost $266,913) | | | | | |
| |
| TOTAL INVESTMENTS – 99.5% | |
| (Cost $$429,209,221) | | | $ | 443,602,850 | |
| |
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.5% | | | | 2,224,666 | |
| |
| NET ASSETS – 100.0% | | | $ | 445,827,516 | |
| |
| | |
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | | Non-income producing security. |
(a) | | Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, 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 $8,873,649, which represents approximately 2.0% of net assets as of April 30, 2016. |
| | |
|
Investment Abbreviations: |
ADR | | —American Depositary Receipt |
GDR | | —Global Depositary Receipt |
|
| | |
| 28 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS N-11 EQUITY FUND
Schedule of Investments
April 30, 2016 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| | Common Stocks – 96.7% | |
| | Bangladesh – 2.4% | |
| | 1,329,500 | | | BRAC Bank Ltd. (Banks)* | | $ | 700,899 | |
| | 188,000 | | | GrameenPhone Ltd. (Telecommunication Services) | | | 591,046 | |
| | 214,367 | | | Olympic Industries Ltd. (Food, Beverage & Tobacco) | | | 830,663 | |
| | 186,944 | | | Square Pharmaceuticals Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 604,687 | |
| | 667,920 | | | Titas Gas Transmission & Distribution Co. Ltd. (Energy) | | | 379,234 | |
| | | | | | | | |
| | | | | | | 3,106,529 | |
| | |
| | Egypt – 4.6% | |
| | 1,040,857 | | | Commercial International Bank Egypt SAE (Banks) | | | 5,295,741 | |
| | 154,988 | | | Commercial International Bank Egypt SAE (Registered) GDR (Banks) | | | 578,837 | |
| | | | | | | | |
| | | | | | | 5,874,578 | |
| | |
| | Indonesia – 14.0% | |
| | 1,912,600 | | | PT Astra International Tbk (Automobiles & Components) | | | 970,558 | |
| | 5,478,500 | | | PT Bank Central Asia Tbk (Banks) | | | 5,406,731 | |
| | 954,300 | | | PT Bank Rakyat Indonesia (Persero) Tbk (Banks) | | | 745,772 | |
| | 710,000 | | | PT Indocement Tunggal Prakarsa Tbk (Materials) | | | 1,057,664 | |
| | 527,100 | | | PT Indofood CBP Sukses Makmur Tbk (Food, Beverage & Tobacco) | | | 609,344 | |
| | 2,593,800 | | | PT Indofood Sukses Makmur Tbk (Food, Beverage & Tobacco) | | | 1,394,154 | |
| | 8,367,900 | | | PT Kalbe Farma Tbk (Pharmaceuticals, Biotechnology & Life Sciences) | | | 870,081 | |
| | 1,036,900 | | | PT Matahari Department Store Tbk (Retailing) | | | 1,486,773 | |
| | 823,600 | | | PT Semen Indonesia (Persero) Tbk (Materials)* | | | 615,627 | |
| | 7,475,100 | | | PT Summarecon Agung Tbk (Real Estate) | | | 881,920 | |
| | 13,619,500 | | | PT Telekomunikasi Indonesia (Persero) Tbk (Telecommunication Services)* | | | 3,654,015 | |
| | | | | | | | |
| | | | | | | 17,692,639 | |
| | |
| | Jersey – 1.6% | |
| | 436,498 | | | Integrated Diagnostics Holdings PLC (Health Care Equipment & Services)(a) | | | 2,029,716 | |
| | |
| | Mexico – 20.7% | |
| | 790,300 | | | Alfa SAB de CV Class A (Capital Goods) | | | 1,485,546 | |
| | 705,927 | | | Alsea SAB de CV (Consumer Services) | | | 2,703,544 | |
| | |
| | Common Stocks – (continued) | |
| | Mexico – (continued) | |
| | 145,339 | | | America Movil SAB de CV Class L ADR (Telecommunication Services) | | $ | 2,058,000 | |
| | 105,100 | | | Arca Continental SAB de CV (Food, Beverage & Tobacco) | | | 725,483 | |
| | 221,100 | | | Banregio Grupo Financiero SAB de CV (Banks) | | | 1,324,956 | |
| | 853,100 | | | Bolsa Mexicana de Valores SAB de CV (Diversified Financials) | | | 1,416,656 | |
| | 91,000 | | | El Puerto de Liverpool SAB de CV (Retailing) | | | 1,034,422 | |
| | 835,672 | | | Fibra Uno Administracion SA de CV (REIT) | | | 1,989,528 | |
| | 26,245 | | | Fomento Economico Mexicano SAB de CV ADR (Food, Beverage & Tobacco) | | | 2,446,296 | |
| | 490,182 | | | Gentera SAB de CV (Diversified Financials) | | | 974,971 | |
| | 74,331 | | | Grupo Aeroportuario del Sureste SAB de CV Class B (Transportation)* | | | 1,141,493 | |
| | 259,900 | | | Grupo Financiero Banorte SAB de CV Class O (Banks) | | | 1,475,440 | |
| | 423,508 | | | Grupo Mexico SAB de CVSeries B (Materials) | | | 1,077,192 | |
| | 24,569 | | | Grupo Televisa SAB ADR (Media) | | | 718,152 | |
| | 664,085 | | | Unifin Financiera SAPI de CV SOFOM ENR (Diversified Financials) | | | 1,957,749 | |
| | 1,518,824 | | | Wal-Mart de Mexico SAB de CV (Food & Staples Retailing) | | | 3,756,308 | |
| | | | | | | | |
| | | | | | | 26,285,736 | |
| | |
| | Nigeria – 7.2% | |
| | 885,276 | | | Dangote Cement PLC (Materials) | | | 726,941 | |
| | 31,525,408 | | | FBN Holdings PLC (Banks) | | | 570,338 | |
| | 20,891,434 | | | Guaranty Trust Bank PLC (Banks) | | | 1,748,629 | |
| | 434,877 | | | Nestle Nigeria PLC (Food, Beverage & Tobacco) | | | 1,344,104 | |
| | 4,424,591 | | | Nigerian Breweries PLC (Food, Beverage & Tobacco) | | | 2,576,842 | |
| | 64,345,900 | | | United Bank for Africa PLC (Banks) | | | 1,103,156 | |
| | 16,729,608 | | | Zenith Bank PLC (Banks) | | | 1,063,352 | |
| | | | | | | | |
| | | | | | | 9,133,362 | |
| | |
| | Pakistan – 4.7% | |
| | 450,433 | | | Engro Corp. Ltd. (Materials) | | | 1,343,006 | |
| | 1,014,000 | | | Habib Bank Ltd. (Banks) | | | 1,825,042 | |
| | 525,700 | | | MCB Bank Ltd. (Banks) | | | 1,061,132 | |
| | 595,400 | | | Oil & Gas Development Co. Ltd. (Energy) | | | 743,723 | |
| | 636,200 | | | United Bank Ltd. (Banks) | | | 994,707 | |
| | | | | | | | |
| | | | | | | 5,967,610 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 29 |
GOLDMAN SACHS N-11 EQUITY FUND
Schedule of Investments (continued)
April 30, 2016 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Philippines – 3.9% | |
| | 74,930 | | | Ayala Corp. (Diversified Financials) | | $ | 1,230,636 | |
| | 2,492,400 | | | Ayala Land, Inc. (Real Estate) | | | 1,838,953 | |
| | 130,110 | | | Jollibee Foods Corp. (Consumer Services) | | | 636,502 | |
| | 352,108 | | | Metropolitan Bank & Trust Co. (Banks) | | | 609,726 | |
| | 399,120 | | | Robinsons Retail Holdings, Inc. (Food & Staples Retailing) | | | 654,243 | |
| | | | | | | | |
| | | | | | | 4,970,060 | |
| | |
| | South Korea – 20.5% | |
| | 3,159 | | | Amorepacific Corp. (Household & Personal Products) | | | 1,126,624 | |
| | 3,230 | | | Cuckoo Electronics Co. Ltd. (Consumer Durables & Apparel) | | | 589,313 | |
| | 31,153 | | | Dongbu Insurance Co. Ltd. (Insurance) | | | 1,909,545 | |
| | 50,182 | | | Hana Financial Group, Inc. (Banks) | | | 1,125,309 | |
| | 8,428 | | | Hanssem Co. Ltd. (Consumer Durables & Apparel) | | | 1,408,159 | |
| | 52,607 | | | KB Financial Group, Inc. (Banks) | | | 1,609,623 | |
| | 30,919 | | | KT Corp. (Telecommunication Services) | | | 828,230 | |
| | 6,716 | | | LG Chem Ltd. (Materials) | | | 1,742,092 | |
| | 1,674 | | | LG Household & Health Care Ltd. (Household & Personal Products) | | | 1,473,904 | |
| | 2,530 | | | NAVER Corp. (Software & Services) | | | 1,499,398 | |
| | 3,984 | | | NongShim Co. Ltd. (Food, Beverage & Tobacco) | | | 1,304,699 | |
| | 25,996 | | | Osstem Implant Co. Ltd. (Health Care Equipment & Services)* | | | 1,627,762 | |
| | 5,520 | | | Samsung Electronics Co. Ltd. (Technology Hardware & Equipment) | | | 6,015,871 | |
| | 10,447 | | | Samsung Fire & Marine Insurance Co. Ltd. (Insurance) | | | 2,693,061 | |
| | 42,578 | | | SK Hynix, Inc. (Semiconductors & Semiconductor Equipment) | | | 1,044,345 | |
| | | | | | | | |
| | | | | | | 25,997,935 | |
| | |
| | Turkey – 13.1% | |
| | 1,308,051 | | | Akbank TAS (Banks) | | | 4,019,155 | |
| | 192,129 | | | Aygaz AS (Utilities) | | | 791,613 | |
| | 215,446 | | | BIM Birlesik Magazalar AS (Food & Staples Retailing) | | | 4,741,230 | |
| | 73,540 | | | Cimsa Cimento Sanayi VE Ticaret AS (Materials) | | | 428,007 | |
| | 403,448 | | | Soda Sanayii AS (Materials) | | | 678,749 | |
| | 730,612 | | | Turkiye Garanti Bankasi AS (Banks) | | | 2,248,983 | |
| | 1,450,094 | | | Turkiye Sinai Kalkinma Bankasi AS (Banks) | | | 906,861 | |
| | 342,931 | | | Ulker Biskuvi Sanayi AS (Food, Beverage & Tobacco) | | | 2,730,508 | |
| | | | | | | | |
| | | | | | | 16,545,106 | |
| | |
| | Common Stocks – (continued) | |
| | Vietnam – (continued) | |
| | 577,436 | | | Bank for Foreign Trade of Vietnam JSC (Banks) | | $ | 1,190,451 | |
| | 476,430 | | | Masan Group Corp. (Food, Beverage & Tobacco)* | | | 1,494,077 | |
| | 63,556 | | | Saigon Thuong Tin Commercial JSB (Banks)* | | | 29,321 | |
| | 249,592 | | | Vietnam Dairy Products JSC (Food, Beverage & Tobacco) | | | 1,554,023 | |
| | 328,758 | | | Vingroup JSC (Real Estate)* | | | 773,937 | |
| | | | | | | | |
| | | | | | | 5,041,809 | |
| | |
| | TOTAL COMMON STOCKS | |
| | (Cost $115,359,920) | | $ | 122,645,080 | |
| | |
| | | | | | | | |
| | Exchange Traded Funds – 2.5% | |
| | United States – 2.5% | |
| | 27,232 | | | iShares MSCI Indonesia Fund | | $ | 628,787 | |
| | 47,973 | | | iShares MSCI South Korea Capped Fund | | | 2,506,109 | |
| | |
| | TOTAL EXCHANGE TRADED FUNDS | |
| | (Cost $3,123,661) | | $ | 3,134,896 | |
| | |
| | | | | | | | | | |
| Units | | Description | | Expiration
Month | | | Value | |
| Participation Note* – 0.2% | |
| Vietnam – 0.2% | |
| 33,367 | | Vietnam Dairy
Products JSC (Food,
Beverage & Tobacco) | | | 01/17 | | | $ | 207,752 | |
| (Cost $153,391) | | | | | |
| |
| TOTAL INVESTMENTS – 99.4% | | | | | |
| (Cost $118,636,972) | | | $ | 125,987,728 | |
| |
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.6% | | | | 763,455 | |
| |
| NET ASSETS – 100.0% | | | $ | 126,751,183 | |
| |
| | |
| 30 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS N-11 EQUITY FUND
| | |
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | | Non-income producing security. |
(a) | | Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, 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 $2,029,716, which represents approximately 1.6% of net assets as of April 30, 2016. |
| | |
|
Investment Abbreviations: |
ADR | | —American Depositary Receipt |
GDR | | —Global Depositary Receipt |
REIT | | —Real Estate Investment Trust |
|
| | |
| The accompanying notes are an integral part of these financial statements. | | 31 |
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Statements of Assets and Liabilities
April 30, 2016 (Unaudited)
| | | | | | | | | | | | | | |
| | | | | Asia
Equity Fund | | | Emerging Markets
Equity Fund | | | N-11
Equity Fund | |
| | Assets: | | | | | | | | | | | | |
| | Investments, at value (cost $72,618,360, $429,209,221 and $118,636,972) | | $ | 69,582,987 | | | $ | 443,602,850 | | | $ | 125,987,728 | |
| | Cash | | | 1,445,101 | | | | 2,109,122 | | | | 363,873 | |
| | Foreign currencies, at value (cost $297,715, $1,795,210 and $1,639,933) | | | 297,449 | | | | 1,795,183 | | | | 1,641,149 | |
| | Receivables: | | | | | | | | | | | | |
| | Investments sold | | | 446,069 | | | | 9,012,048 | | | | — | |
| | Reimbursement from investment adviser | | | 70,032 | | | | 174,954 | | | | — | |
| | Dividends | | | 28,938 | | | | 888,608 | | | | 811,511 | |
| | Foreign tax reclaims | | | 22,041 | | | | 16,451 | | | | 9,223 | |
| | Fund shares sold | | | 2,686 | | | | 8,974,840 | | | | 88,868 | |
| | Other assets | | | 7,484 | | | | — | | | | — | |
| | Total assets | | | 71,902,787 | | | | 466,574,056 | | | | 128,902,352 | |
| | | | | | | | | | | | | | |
| | Liabilities: | | | | | | | | | | | | |
| | Payables: | | | | | | | | | | | | |
| | Investments purchased | | | 1,021,488 | | | | 17,805,559 | | | | 981,723 | |
| | Foreign capital gains taxes | | | 175,119 | | | | 514,993 | | | | 138,893 | |
| | Management fees | | | 58,796 | | | | 367,218 | | | | 171,970 | |
| | Fund shares redeemed | | | 11,495 | | | | 1,703,987 | | | | 591,184 | |
| | Distribution and Service fees and Transfer Agency fees | | | 9,048 | | | | 68,917 | | | | 22,684 | |
| | Accrued expenses | | | 93,161 | | | | 285,866 | | | | 244,715 | |
| | Total liabilities | | | 1,369,107 | | | | 20,746,540 | | | | 2,151,169 | |
| | | | | | | | | | | | | | |
| | Net Assets: | | | | | | | | | | | | |
| | Paid-in capital | | | 83,151,422 | | | | 947,794,724 | | | | 185,304,204 | |
| | Undistributed (distributions in excess of) net investment income | | | (333,657 | ) | | | 650,723 | | | | 915,140 | |
| | Accumulated net realized loss | | | (9,071,715 | ) | | | (516,314,598 | ) | | | (66,697,718 | ) |
| | Net unrealized gain (loss) | | | (3,212,370 | ) | | | 13,696,667 | | | | 7,229,557 | |
| | | NET ASSETS | | $ | 70,533,680 | | | $ | 445,827,516 | | | $ | 126,751,183 | |
| | | Net Assets: | | | | | | | | | | | | |
| | | Class A | | $ | 14,900,777 | | | $ | 57,295,340 | | | $ | 32,400,781 | |
| | | Class C | | | 1,797,164 | | | | 30,212,123 | | | | 7,006,388 | |
| | | Institutional | | | 53,781,706 | | | | 339,101,088 | | | | 76,916,792 | |
| | | Service | | | — | | | | 15,679,895 | | | | — | |
| | | Class IR | | | 54,033 | | | | 2,413,520 | | | | 10,427,222 | |
| | | Class R6 | | | — | | | | 1,125,550 | | | | — | |
| | | Total Net Assets | | $ | 70,533,680 | | | $ | 445,827,516 | | | $ | 126,751,183 | |
| | | Shares outstanding $0.001 par value (unlimited shares authorized): | | | | | | | | | | | | |
| | | Class A | | | 767,025 | | | | 3,878,569 | | | | 3,557,392 | |
| | | Class C | | | 100,098 | | | | 2,275,505 | | | | 794,427 | |
| | | Institutional | | | 2,634,323 | | | | 21,479,853 | | | | 8,420,540 | |
| | | Service | | | — | | | | 1,096,112 | | | | — | |
| | | Class IR | | | 2,653 | | | | 153,703 | | | | 1,143,490 | |
| | | Class R6 | | | — | | | | 71,292 | | | | — | |
| | | Net asset value, offering and redemption price per share:(a) | | | | | | | | | | | | |
| | | Class A | | | $19.43 | | | | $14.77 | | | | $9.11 | |
| | | Class C | | | 17.95 | | | | 13.28 | | | | 8.82 | |
| | | Institutional | | | 20.42 | | | | 15.79 | | | | 9.13 | |
| | | Service | | | — | | | | 14.31 | | | | — | |
| | | Class IR | | | 20.36 | | | | 15.70 | | | | 9.12 | |
| | | Class R6 | | | — | | | | 15.79 | | | | — | |
| | (a) | | Maximum public offering price per share for Class A Shares of the Asia Equity, Emerging Markets Equity and N-11 Equity Funds is $20.56, $15.63 and $9.64, 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 NAV or the original purchase price of the shares. |
| | |
| 32 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Statements of Operations
For the Six Months Ended April 30, 2016 (Unaudited)
| | | | | | | | | | | | | | |
| | | | | Asia
Equity Fund | | | Emerging Markets
Equity Fund | | | N-11
Equity Fund | |
| | Investment income: | | | | | | | | | | | | |
| | Dividends (net of foreign taxes withheld of $33,639, $247,795 and $276,158) | | $ | 255,931 | | | $ | 3,687,179 | | | $ | 2,207,444 | |
| | | | | | | | | | | | | | |
| | Expenses: | | | | | | | | | | | | |
| | Management fees | | | 359,339 | | | | 2,586,739 | | | | 922,667 | |
| | Custody, accounting and administrative services | | | 146,492 | | | | 374,339 | | | | 293,903 | |
| | Professional fees | | | 59,738 | | | | 36,441 | | | | 95,534 | |
| | Registration fees | | | 38,133 | | | | 94,647 | | | | 54,974 | |
| | Distribution and Service fees(a) | | | 28,069 | | | | 228,925 | | | | 82,585 | |
| | Transfer Agency fees(a) | | | 27,139 | | | | 154,162 | | | | 69,854 | |
| | Printing and mailing costs | | | 15,736 | | | | 131,693 | | | | 15,164 | |
| | Trustee fees | | | 11,548 | | | | 12,036 | | | | 11,677 | |
| | Service share fees — Service Plan | | | — | | | | 18,858 | | | | — | |
| | Service share fees — Shareholder Administration Plan | | | — | | | | 18,858 | | | | — | |
| | Other | | | 12,346 | | | | 22,148 | | | | 8,183 | |
| | Total expenses | | | 698,540 | | | | 3,678,846 | | | | 1,554,541 | |
| | Less — expense reductions | | | (211,262 | ) | | | (644,240 | ) | | | (484,015 | ) |
| | Net expenses | | | 487,278 | | | | 3,034,606 | | | | 1,070,526 | |
| | NET INVESTMENT INCOME (LOSS) | | | (231,347 | ) | | | 652,573 | | | | 1,136,918 | |
| | | | | | | | | | | | | | |
| | Realized and unrealized gain (loss): | | | | | | | | | | | | |
| | Net realized gain (loss) from: | | | | | | | | | | | | |
| | Investments | | | (984,271 | ) | | | (14,670,335 | ) | | | (11,051,688 | ) |
| | Foreign currency transactions | | | (58,589 | ) | | | (140,450 | ) | | | 14,734 | |
| | Net change in unrealized gain (loss) on: | | | | | | | | | | | | |
| | Investments (including the effects of the net change in the foreign capital gains tax liability of $109,387, $387,195 and $272,766) | | | (1,957,966 | ) | | | 11,219,151 | | | | 3,781,949 | |
| | Foreign currency translation | | | 84,246 | | | | 260,102 | | | | 208,622 | |
| | Net realized and unrealized loss | | | (2,916,580 | ) | | | (3,331,532 | ) | | | (7,046,383 | ) |
| | NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | (3,147,927 | ) | | $ | (2,678,959 | ) | | $ | (5,909,465 | ) |
| | (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 A | | | Class C | | | Institutional | | | Service | | | Class IR | | | Class R6 | |
Asia Equity | | $ | 18,925 | | | $ | 9,144 | | | $ | 14,383 | | | $ | 1,737 | | | $ | 10,970 | | | $ | — | | | $ | 49 | | | $ | — | |
Emerging Markets Equity | | | 72,039 | | | | 156,886 | | | | 54,750 | | | | 29,808 | | | | 65,073 | | | | 3,017 | | | | 1,506 | | | | 8 | |
N-11 Equity | | | 46,468 | | | | 36,117 | | | | 35,316 | | | | 6,862 | | | | 17,333 | | | | — | | | | 10,343 | | | | — | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 33 |
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Statements of Changes in Net Assets
| | | | | | | | | | |
| | | | | Asia Equity Fund | |
| | | | | For the
Six Months Ended
April 30, 2016
(Unaudited) | | | For the Fiscal Year Ended
October 31, 2015 | |
| | From operations: | | | | | | | | |
| | Net investment income (loss) | | $ | (231,347 | ) | | $ | 89,404 | |
| | Net realized gain (loss) | | | (1,042,860 | ) | | | 3,089,222 | |
| | Net change in unrealized gain (loss) | | | (1,873,720 | ) | | | (2,442,214 | ) |
| | Net increase (decrease) in net assets resulting from operations | | | (3,147,927 | ) | | | 736,412 | |
| | | | | | | | | | |
| | Distributions to shareholders: | | | | | | | | |
| | From net investment income | | | | | | | | |
| | Class A Shares | | | — | | | | — | |
| | Class C Shares | | | — | | | | — | |
| | Institutional Shares | | | — | | | | (192,643 | ) |
| | Service Shares | | | — | | | | — | |
| | Class IR Shares | | | — | | | | (134 | ) |
| | Class R6 Shares | | | — | | | | — | |
| | Total distributions to shareholders | | | — | | | | (192,777 | ) |
| | | | | | | | | | |
| | From share transactions: | | | | | | | | |
| | Proceeds from sales of shares | | | 1,752,038 | | | | 8,571,414 | |
| | Proceeds received in connection with merger | | | — | | | | — | |
| | Reinvestment of distributions | | | — | | | | 191,574 | |
| | Cost of shares redeemed | | | (5,349,521 | ) | | | (11,155,431 | ) |
| | Net increase (decrease) in net assets resulting from share transactions | | | (3,597,483 | ) | | | (2,392,443 | ) |
| | TOTAL INCREASE (DECREASE) | | | (6,745,410 | ) | | | (1,848,808 | ) |
| | | | | | | | | | |
| | Net assets: | | | | | | | | |
| | Beginning of period | | | 77,279,090 | | | | 79,127,898 | |
| | End of period | | $ | 70,533,680 | | | $ | 77,279,090 | |
| | Undistributed (distributions in excess of) net investment income | | $ | (333,657 | ) | | $ | (102,310 | ) |
| | |
| 34 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
| | | | | | | | | | | | | | | | | | | | | | |
| | | Emerging Markets Equity Fund | | | | | N-11 Equity Fund | |
| | | For the
Six Months Ended
April 30, 2016
(Unaudited) | | | | | For the Fiscal Year Ended
October 31, 2015 | | | | | For the
Six Months Ended
April 30, 2016
(Unaudited) | | | | | For the Fiscal Year Ended
October 31, 2015 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | $ | 652,573 | | | | | $ | 1,393,435 | | | | | $ | 1,136,918 | | | | | $ | 2,148,057 | |
| | | (14,810,785 | ) | | | | | 2,172,377 | | | | | | (11,036,954 | ) | | | | | (40,015,173 | ) |
| | | 11,479,253 | | | | | | (31,224,649 | ) | | | | | 3,990,571 | | | | | | (31,329,806 | ) |
| | | (2,678,959 | ) | | | | | (27,658,837 | ) | | | | | (5,909,465 | ) | | | | | (69,196,922 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | — | | | | | | — | | | | | | (67,836 | ) | | | | | (5,746 | ) |
| | | — | | | | | | — | | | | | | — | | | | | | — | |
| | | (356,614 | ) | | | | | (949,860 | ) | | | | | (833,232 | ) | | | | | (1,254,995 | ) |
| | | — | | | | | | — | | | | | | — | | | | | | — | |
| | | (1,110 | ) | | | | | (472 | ) | | | | | (71,347 | ) | | | | | (73,277 | ) |
| | | (11 | ) | | | | | — | | | | | | — | | | | | | — | |
| | | (357,735 | ) | | | | | (950,332 | ) | | | | | (972,415 | ) | | | | | (1,334,018 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | 181,186,521 | | | | | | 185,526,680 | | | | | | 8,753,694 | | | | | | 59,598,379 | |
| | | — | | | | | | 103,215,861 | | | | | | — | | | | | | — | |
| | | 350,863 | | | | | | 866,901 | | | | | | 913,483 | | | | | | 1,139,428 | |
| | | (176,029,451 | ) | | | | | (178,691,818 | ) | | | | | (66,834,423 | ) | | | | | (248,502,383 | ) |
| | | 5,507,933 | | | | | | 110,917,624 | | | | | | (57,167,246 | ) | | | | | (187,764,576 | ) |
| | | 2,471,239 | | | | | | 82,308,455 | | | | | | (64,049,126 | ) | | | | | (258,295,516 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | 443,356,277 | | | | | | 361,047,822 | | | | | | 190,800,309 | | | | | | 449,095,825 | |
| | $ | 445,827,516 | | | | | $ | 443,356,277 | | | | | $ | 126,751,183 | | | | | $ | 190,800,309 | |
| | $ | 650,723 | | | | | $ | 355,885 | | | | | $ | 915,140 | | | | | $ | 750,637 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 35 |
GOLDMAN SACHS ASIA EQUITY FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Income (loss) from
investment operations | | | | |
| | | Year - Share Class | | Net asset
value,
beginning
of period | | | Net
investment
income (loss)(a) | | | Net realized
and unrealized
gain (loss) | | | Total from
investment
operations | | | Distributions to shareholders from net investment income | |
| | FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED) | | | | | |
| | 2016 - A | | $ | 20.28 | | | $ | (0.09 | ) | | $ | (0.76 | ) | | $ | (0.85 | ) | | $ | — | |
| | 2016 - C | | | 18.81 | | | | (0.15 | ) | | | (0.71 | ) | | | (0.86 | ) | | | — | |
| | 2016 - Institutional | | | 21.27 | | | | (0.05 | ) | | | (0.80 | ) | | | (0.85 | ) | | | — | |
| | 2016 - IR | | | 21.23 | | | | (0.07 | ) | | | (0.80 | ) | | | (0.87 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | | | |
| | FOR THE FISCAL YEARS ENDED OCTOBER 31, | | | | | |
| | 2015 - A | | | 20.04 | | | | (0.03 | ) | | | 0.27 | | | | 0.24 | | | | — | |
| | 2015 - C | | | 18.73 | | | | (0.18 | ) | | | 0.26 | | | | 0.08 | | | | — | |
| | 2015 - Institutional | | | 20.99 | | | | 0.05 | | | | 0.29 | | | | 0.34 | | | | (0.06 | ) |
| | 2015 - IR | | | 20.98 | | | | 0.01 | | | | 0.29 | | | | 0.30 | | | | (0.05 | ) |
| | 2014 - A | | | 19.21 | | | | — | (e)(f) | | | 0.91 | | | | 0.91 | | | | (0.08 | ) |
| | 2014 - C | | | 18.02 | | | | (0.13 | )(f) | | | 0.84 | | | | 0.71 | | | | — | |
| | 2014 - Institutional | | | 20.13 | | | | 0.12 | (f) | | | 0.90 | | | | 1.02 | | | | (0.16 | ) |
| | 2014 - IR (Commenced February 28, 2014) | | | 20.71 | | | | 0.06 | (f) | | | 0.21 | | | | 0.27 | | | | — | |
| | 2013 - A | | | 17.78 | | | | 0.04 | | | | 1.51 | | | | 1.55 | | | | (0.12 | ) |
| | 2013 - C | | | 16.77 | | | | (0.10 | ) | | | 1.43 | | | | 1.33 | | | | (0.08 | ) |
| | 2013 - Institutional | | | 18.71 | | | | 0.12 | | | | 1.58 | | | | 1.70 | | | | (0.28 | ) |
| | 2012 - A | | | 17.33 | | | | 0.11 | | | | 0.41 | | | | 0.52 | | | | (0.07 | ) |
| | 2012 - C | | | 16.39 | | | | (0.03 | ) | | | 0.41 | | | | 0.38 | | | | — | |
| | 2012 - Institutional | | | 18.24 | | | | 0.19 | | | | 0.43 | | | | 0.62 | | | | (0.15 | ) |
| | 2011 - A | | | 19.14 | | | | 0.12 | | | | (1.69 | ) | | | (1.57 | ) | | | (0.24 | ) |
| | 2011 - C | | | 18.12 | | | | (0.03 | ) | | | (1.59 | ) | | | (1.62 | ) | | | (0.11 | ) |
| | 2011 - Institutional | | | 20.12 | | | | 0.23 | | | | (1.80 | ) | | | (1.57 | ) | | | (0.31 | ) |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value 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. If such transactions were included, the Fund's portfolio turnover rate may be higher. |
| | (e) | | Amount is less than $0.005 per share. |
| | (f) | | Reflects income recognized from special dividends which amounted to $0.05 per share and 0.25% of average net assets. |
| | |
| 36 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ASIA EQUITY FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Net asset
value, end
of period | | | | | Total
return(b) | | | | | Net assets,
end of
period
(in 000s) | | | | | Ratio of
net expenses
to average
net assets | | | | | Ratio of
total expenses
to average
net assets | | | | | Ratio of
net investment
income (loss)
to average net assets | | | | | Portfolio
turnover
rate(c) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 19.43 | | | | | | (4.19 | )% | | | | $ | 14,901 | | | | | | 1.64 | %(d) | | | | | 2.23 | %(d) | | | | | (0.93 | )%(d) | | | | | 71 | % |
| | | 17.95 | | | | | | (4.57 | ) | | | | | 1,797 | | | | | | 2.40 | (d) | | | | | 2.98 | (d) | | | | | (1.68 | )(d) | | | | | 71 | |
| | | 20.42 | | | | | | (4.00 | ) | | | | | 53,782 | | | | | | 1.24 | (d) | | | | | 1.83 | (d) | | | | | (0.53 | )(d) | | | | | 71 | |
| | | 20.36 | | | | | | (4.05 | ) | | | | | 54 | | | | | | 1.39 | (d) | | | | | 1.99 | (d) | | | | | (0.69 | )(d) | | | | | 71 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 20.28 | | | | | | 1.20 | | | | | | 16,310 | | | | | | 1.69 | | | | | | 1.99 | | | | | | (0.16 | ) | | | | | 153 | |
| | | 18.81 | | | | | | 0.43 | | | | | | 1,951 | | | | | | 2.44 | | | | | | 2.76 | | | | | | (0.91 | ) | | | | | 153 | |
| | | 21.27 | | | | | | 1.60 | | | | | | 58,967 | | | | | | 1.29 | | | | | | 1.61 | | | | | | 0.21 | | | | | | 153 | |
| | | 21.23 | | | | | | 1.46 | | | | | | 52 | | | | | | 1.44 | | | | | | 1.75 | | | | | | 0.06 | | | | | | 153 | |
| | | 20.04 | | | | | | 4.75 | | | | | | 13,711 | | | | | | 1.73 | | | | | | 2.24 | | | | | | 0.02 | (f) | | | | | 169 | |
| | | 18.73 | | | | | | 4.00 | | | | | | 2,114 | | | | | | 2.48 | | | | | | 3.00 | | | | | | (0.71 | )(f) | | | | | 169 | |
| | | 20.99 | | | | | | 5.15 | | | | | | 62,951 | | | | | | 1.32 | | | | | | 1.87 | | | | | | 0.59 | (f) | | | | | 169 | |
| | | 20.98 | | | | | | 1.30 | | | | | | 51 | | | | | | 1.43 | (d) | | | | | 2.06 | (d) | | | | | 0.41 | (d)(f) | | | | | 169 | |
| | | 19.21 | | | | | | 8.72 | | | | | | 14,097 | | | | | | 1.72 | | | | | | 2.25 | | | | | | 0.21 | | | | | | 102 | |
| | | 18.02 | | | | | | 7.87 | | | | | | 2,331 | | | | | | 2.47 | | | | | | 2.99 | | | | | | (0.56 | ) | | | | | 102 | |
| | | 20.13 | | | | | | 9.16 | | | | | | 43,208 | | | | | | 1.32 | | | | | | 1.85 | | | | | | 0.62 | | | | | | 102 | |
| | | 17.78 | | | | | | 3.05 | | | | | | 15,136 | | | | | | 1.60 | | | | | | 2.24 | | | | | | 0.66 | | | | | | 83 | |
| | | 16.77 | | | | | | 2.31 | | | | | | 2,684 | | | | | | 2.35 | | | | | | 2.97 | | | | | | (0.18 | ) | | | | | 83 | |
| | | 18.71 | | | | | | 3.50 | | | | | | 44,345 | | | | | | 1.20 | | | | | | 1.79 | | | | | | 1.03 | | | | | | 83 | |
| | | 17.33 | | | | | | (8.33 | ) | | | | | 39,688 | | | | | | 1.60 | | | | | | 2.17 | | | | | | 0.61 | | | | | | 107 | |
| | | 16.39 | | | | | | (9.00 | ) | | | | | 3,219 | | | | | | 2.35 | | | | | | 2.92 | | | | | | (0.18 | ) | | | | | 107 | |
| | | 18.24 | | | | | | (7.94 | ) | | | | | 27,071 | | | | | | 1.20 | | | | | | 1.77 | | | | | | 1.15 | | | | | | 107 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 37 |
GOLDMAN SACHS EMERGING MARKETS EQUITY FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Income (loss) from
investment operations | | | | |
| | | Year - Share Class | | Net asset
value,
beginning
of period | | | Net
investment
income (loss)(a) | | | Net realized
and unrealized
gain (loss) | | | Total from
investment
operations | | | Distributions
to shareholders
from net
investment
income | |
| | FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED) | |
| | 2016 - A | | $ | 14.75 | | | $ | — | (d) | | $ | 0.02 | | | $ | 0.02 | | | $ | — | |
| | 2016 - C | | | 13.31 | | | | (0.05 | ) | | | 0.02 | | | | (0.03 | ) | | | — | |
| | 2016 - Institutional | | | 15.75 | | | | 0.04 | | | | 0.02 | | | | 0.06 | | | | (0.02 | ) |
| | 2016 - Service | | | 14.29 | | | | — | (d) | | | 0.02 | | | | 0.02 | | | | — | |
| | 2016 - IR | | | 15.67 | | | | 0.03 | | | | 0.01 | | | | 0.04 | | | | (0.01 | ) |
| | 2016 - R6 | | | 15.74 | | | | 0.14 | | | | (0.07 | ) | | | 0.07 | | | | (0.02 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | FOR THE FISCAL YEARS ENDED OCTOBER 31, | |
| | 2015 - A | | | 16.00 | | | | 0.03 | | | | (1.28 | ) | | | (1.25 | ) | | | — | |
| | 2015 - C | | | 14.55 | | | | (0.10 | ) | | | (1.14 | ) | | | (1.24 | ) | | | — | |
| | 2015 - Institutional | | | 17.08 | | | | 0.08 | | | | (1.36 | ) | | | (1.28 | ) | | | (0.05 | ) |
| | 2015 - Service | | | 15.52 | | | | — | (d) | | | (1.23 | ) | | | (1.23 | ) | | | — | |
| | 2015 - IR | | | 16.99 | | | | 0.01 | | | | (1.30 | ) | | | (1.29 | ) | | | (0.03 | ) |
| | 2015 - R6 (Commenced July 31 , 2015) | | | 16.72 | | | | 0.01 | | | | (0.99 | ) | | | (0.98 | ) | | | — | |
| | 2014 - A | | | 15.20 | | | | 0.03 | | | | 0.83 | | | | 0.86 | | | | (0.06 | ) |
| | 2014 - C | | | 13.87 | | | | (0.08 | ) | | | 0.76 | | | | 0.68 | | | | — | |
| | 2014 - Institutional | | | 16.22 | | | | 0.10 | | | | 0.88 | | | | 0.98 | | | | (0.12 | ) |
| | 2014 - Service | | | 14.74 | | | | 0.02 | | | | 0.80 | | | | 0.82 | | | | (0.04 | ) |
| | 2014 - IR | | | 16.14 | | | | 0.08 | | | | 0.87 | | | | 0.95 | | | | (0.10 | ) |
| | 2013 - A | | | 14.68 | | | | 0.05 | | | | 0.54 | | | | 0.59 | | | | (0.07 | ) |
| | 2013 - C | | | 13.42 | | | | (0.06 | ) | | | 0.51 | | | | 0.45 | | | | — | |
| | 2013 - Institutional | | | 15.65 | | | | 0.13 | | | | 0.58 | | | | 0.71 | | | | (0.14 | ) |
| | 2013 - Service | | | 14.24 | | | | 0.04 | | | | 0.53 | | | | 0.57 | | | | (0.07 | ) |
| | 2013 - IR | | | 15.58 | | | | 0.10 | | | | 0.58 | | | | 0.68 | | | | (0.12 | ) |
| | 2012 - A | | | 14.66 | | | | 0.06 | | | | (0.04 | ) | | | 0.02 | | | | — | |
| | 2012 - C | | | 13.51 | | | | (0.05 | ) | | | (0.04 | ) | | | (0.09 | ) | | | — | |
| | 2012 - Institutional | | | 15.63 | | | | 0.12 | | | | (0.05 | ) | | | 0.07 | | | | (0.05 | ) |
| | 2012 - Service | | | 14.24 | | | | 0.05 | | | | (0.05 | ) | | | — | (d) | | | — | |
| | 2012 - IR | | | 15.59 | | | | 0.12 | | | | (0.07 | ) | | | 0.05 | | | | (0.06 | ) |
| | 2011 - A | | | 16.38 | | | | 0.04 | | | | (1.73 | ) | | | (1.69 | ) | | | (0.03 | ) |
| | 2011 - C | | | 15.20 | | | | (0.07 | ) | | | (1.60 | ) | | | (1.67 | ) | | | (0.02 | ) |
| | 2011 - Institutional | | | 17.48 | | | | 0.11 | | | | (1.84 | ) | | | (1.73 | ) | | | (0.12 | ) |
| | 2011 - Service | | | 15.95 | | | | 0.02 | | | | (1.68 | ) | | | (1.66 | ) | | | (0.05 | ) |
| | 2011 - IR | | | 17.56 | | | | 0.02 | | | | (1.87 | ) | | | (1.85 | ) | | | (0.12 | ) |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value 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. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | (d) | | Amount is less than $0.005 per share. |
| | |
| 38 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS EMERGING MARKETS EQUITY FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Net asset
value, end
of period | | | | | Total
return(b) | | | | | Net assets,
end of
period
(in 000s) | | | | | Ratio of
net expenses
to average
net assets | | | | | Ratio of
total expenses
to average
net assets | | | | | Ratio of
net investment
income (loss)
to average net assets | | | | | Portfolio
turnover
rate(c) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 14.77 | | | | | | 0.14 | % | | | | $ | 57,295 | | | | | | 1.65 | %(e) | | | | | 1.95 | %(e) | | | | | 0.03 | %(e) | | | | | 56 | % |
| | | 13.28 | | | | | | (0.23 | ) | | | | | 30,212 | | | | | | 2.41 | (e) | | | | | 2.70 | (e) | | | | | (0.74 | )(e) | | | | | 56 | |
| | | 15.79 | | | | | | 0.35 | | | | | | 339,101 | | | | | | 1.25 | (e) | | | | | 1.55 | (e) | | | | | 0.47 | (e) | | | | | 56 | |
| | | 14.31 | | | | | | 0.14 | | | | | | 15,680 | | | | | | 1.75 | (e) | | | | | 2.05 | (e) | | | | | (0.06 | )(e) | | | | | 56 | |
| | | 15.70 | | | | | | 0.27 | | | | | | 2,414 | | | | | | 1.40 | (e) | | | | | 1.74 | (e) | | | | | 0.39 | (e) | | | | | 56 | |
| | | 15.79 | | | | | | 0.43 | | | | | | 1,126 | | | | | | 1.23 | (e) | | | | | 2.12 | (e) | | | | | 1.84 | (e) | | | | | 56 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 14.75 | | | | | | (7.81 | ) | | | | | 64,169 | | | | | | 1.67 | | | | | | 1.91 | | | | | | 0.17 | | | | | | 118 | |
| | | 13.31 | | | | | | (8.52 | ) | | | | | 35,927 | | | | | | 2.41 | | | | | | 2.67 | | | | | | (0.68 | ) | | | | | 118 | |
| | | 15.75 | | | | | | (7.49 | ) | | | | | 326,068 | | | | | | 1.28 | | | | | | 1.52 | | | | | | 0.48 | | | | | | 118 | |
| | | 14.29 | | | | | | (7.93 | ) | | | | | 15,759 | | | | | | 1.77 | | | | | | 2.02 | | | | | | 0.02 | | | | | | 118 | |
| | | 15.67 | | | | | | (7.62 | ) | | | | | 1,424 | | | | | | 1.42 | | | | | | 1.69 | | | | | | 0.04 | | | | | | 118 | |
| | | 15.74 | | | | | | (5.86 | ) | | | | | 9 | | | | | | 1.24 | (e) | | | | | 1.53 | (e) | | | | | 0.14 | (e) | | | | | 118 | |
| | | 16.00 | | | | | | 5.67 | | | | | | 28,157 | | | | | | 1.70 | | | | | | 1.93 | | | | | | 0.19 | | | | | | 114 | |
| | | 14.55 | | | | | | 4.90 | | | | | | 11,217 | | | | | | 2.46 | | | | | | 2.68 | | | | | | (0.55 | ) | | | | | 114 | |
| | | 17.08 | | | | | | 6.17 | | | | | | 303,676 | | | | | | 1.30 | | | | | | 1.53 | | | | | | 0.58 | | | | | | 114 | |
| | | 15.52 | | | | | | 5.55 | | | | | | 15,919 | | | | | | 1.81 | | | | | | 2.03 | | | | | | 0.11 | | | | | | 114 | |
| | | 16.99 | | | | | | 5.93 | | | | | | 313 | | | | | | 1.46 | | | | | | 1.68 | | | | | | 0.46 | | | | | | 114 | |
| | | 15.20 | | | | | | 4.04 | | | | | | 36,578 | | | | | | 1.73 | | | | | | 1.89 | | | | | | 0.32 | | | | | | 159 | |
| | | 13.87 | | | | | | 3.35 | | | | | | 11,869 | | | | | | 2.48 | | | | | | 2.64 | | | | | | (0.44 | ) | | | | | 159 | |
| | | 16.22 | | | | | | 4.49 | | | | | | 388,046 | | | | | | 1.33 | | | | | | 1.49 | | | | | | 0.80 | | | | | | 159 | |
| | | 14.74 | | | | | | 4.02 | | | | | | 14,584 | | | | | | 1.83 | | | | | | 1.99 | | | | | | 0.25 | | | | | | 159 | |
| | | 16.14 | | | | | | 4.37 | | | | | | 329 | | | | | | 1.48 | | | | | | 1.64 | | | | | | 0.62 | | | | | | 159 | |
| | | 14.68 | | | | | | 0.14 | | | | | | 38,889 | | | | | | 1.82 | | | | | | 1.94 | | | | | | 0.39 | | | | | | 119 | |
| | | 13.42 | | | | | | (0.66 | ) | | | | | 15,418 | | | | | | 2.57 | | | | | | 2.69 | | | | | | (0.35 | ) | | | | | 119 | |
| | | 15.65 | | | | | | 0.49 | | | | | | 310,167 | | | | | | 1.41 | | | | | | 1.54 | | | | | | 0.80 | | | | | | 119 | |
| | | 14.24 | | | | | | 0.00 | | | | | | 15,446 | | | | | | 1.91 | | | | | | 2.03 | | | | | | 0.36 | | | | | | 119 | |
| | | 15.58 | | | | | | 0.35 | | | | | | 240 | | | | | | 1.55 | | | | | | 1.68 | | | | | | 0.78 | | | | | | 119 | |
| | | 14.66 | | | | | | (10.33 | ) | | | | | 51,221 | | | | | | 1.90 | | | | | | 1.93 | | | | | | 0.24 | | | | | | 121 | |
| | | 13.51 | | | | | | (11.01 | ) | | | | | 18,896 | | | | | | 2.65 | | | | | | 2.68 | | | | | | (0.49 | ) | | | | | 121 | |
| | | 15.63 | | | | | | (9.98 | ) | | | | | 351,982 | | | | | | 1.50 | | | | | | 1.53 | | | | | | 0.61 | | | | | | 121 | |
| | | 14.24 | | | | | | (10.43 | ) | | | | | 14,432 | | | | | | 2.00 | | | | | | 2.03 | | | | | | 0.15 | | | | | | 121 | |
| | | 15.59 | | | | | | (10.21 | ) | | | | | 21 | | | | | | 1.65 | | | | | | 1.68 | | | | | | 0.16 | | | | | | 121 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 39 |
GOLDMAN SACHS N-11 EQUITY FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Income (loss) from
investment operations | | | | |
| | | Year - Share Class | | Net asset
value,
beginning
of period | | | Net
investment
income (loss)(a) | | | Net realized
and unrealized
gain (loss) | | | Total from
investment
operations | | | Distributions
to shareholders
from net
investment
income | |
| | FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED) | |
| | 2016 - A | | $ | 9.26 | | | $ | 0.06 | | | $ | (0.19 | ) | | $ | (0.13 | ) | | $ | (0.02 | ) |
| | 2016 - C | | | 8.98 | | | | 0.03 | | | | (0.19 | ) | | | (0.16 | ) | | | — | |
| | 2016 - Institutional | | | 9.33 | | | | 0.08 | | | | (0.20 | ) | | | (0.12 | ) | | | (0.08 | ) |
| | 2016 - IR | | | 9.30 | | | | 0.08 | | | | (0.20 | ) | | | (0.12 | ) | | | (0.06 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | FOR THE FISCAL YEARS ENDED OCTOBER 31, | |
| | 2015 - A | | | 11.25 | | | | 0.04 | | | | (2.03 | ) | | | (1.99 | ) | | | — | (e) |
| | 2015 - C | | | 10.99 | | | | (0.04 | ) | | | (1.97 | ) | | | (2.01 | ) | | | — | |
| | 2015 - Institutional | | | 11.34 | | | | 0.08 | | | | (2.04 | ) | | | (1.96 | ) | | | (0.05 | ) |
| | 2015 - IR | | | 11.30 | | | | 0.06 | | | | (2.03 | ) | | | (1.97 | ) | | | (0.03 | ) |
| | 2014 - A | | | 11.03 | | | | 0.02 | | | | 0.26 | | | | 0.28 | | | | (0.06 | ) |
| | 2014 - C | | | 10.81 | | | | (0.06 | ) | | | 0.25 | | | | 0.19 | | | | (0.01 | ) |
| | 2014 - Institutional | | | 11.12 | | | | 0.06 | | | | 0.26 | | | | 0.32 | | | | (0.10 | ) |
| | 2014 - IR | | | 11.08 | | | | 0.05 | | | | 0.25 | | | | 0.30 | | | | (0.08 | ) |
| | 2013 - A | | | 10.38 | | | | 0.01 | | | | 0.65 | | | | 0.66 | | | | (0.01 | ) |
| | 2013 - C | | | 10.25 | | | | (0.07 | ) | | | 0.63 | | | | 0.56 | | | | — | |
| | 2013 - Institutional | | | 10.45 | | | | 0.05 | | | | 0.65 | | | | 0.70 | | | | (0.03 | ) |
| | 2013 - IR | | | 10.42 | | | | 0.03 | | | | 0.65 | | | | 0.68 | | | | (0.02 | ) |
| | 2012 - A | | | 9.57 | | | | 0.01 | | | | 0.80 | | | | 0.81 | | | | — | |
| | 2012 - C | | | 9.52 | | | | (0.06 | ) | | | 0.79 | | | | 0.73 | | | | — | |
| | 2012 - Institutional | | | 9.60 | | | | 0.05 | | | | 0.80 | | | | 0.85 | | | | — | |
| | 2012 - IR | | | 9.59 | | | | 0.02 | | | | 0.81 | | | | 0.83 | | | | — | |
| | 2011 - A (Commenced February 28, 2011) | | | 10.00 | | | | (0.03 | ) | | | (0.40 | ) | | | (0.43 | ) | | | — | |
| | 2011 - C (Commenced February 28, 2011) | | | 10.00 | | | | (0.08 | ) | | | (0.40 | ) | | | (0.48 | ) | | | — | |
| | 2011 - Institutional (Commenced February 28, 2011) | | | 10.00 | | | | 0.02 | | | | (0.42 | ) | | | (0.40 | ) | | | — | |
| | 2011 - IR (Commenced February 28, 2011) | | | 10.00 | | | | (0.02 | ) | | | (0.39 | ) | | | (0.41 | ) | | | — | |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value 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. If such transactions were included, the Fund's portfolio turnover rate may be higher. |
| | (e) | | Amount is less than $0.005 per share. |
| | |
| 40 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS N-11 EQUITY FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Net asset
value, end
of period | | | | | Total
return(b) | | | | | Net assets,
end of
period
(in 000s) | | | | | Ratio of
net expenses
to average
net assets | | | | | Ratio of
total expenses
to average
net assets | | | | | Ratio of
net investment
income (loss)
to average net assets | | | | | Portfolio
turnover
rate(c) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 9.11 | | | | | | (1.44 | )% | | | | $ | 32,401 | | | | | | 1.74 | %(d) | | | | | 2.42 | %(d) | | | | | 1.34 | %(d) | | | | | 16 | % |
| | | 8.82 | | | | | | (1.78 | ) | | | | | 7,006 | | | | | | 2.49 | (d) | | | | | 3.16 | (d) | | | | | 0.73 | (d) | | | | | 16 | |
| | | 9.13 | | | | | | (1.28 | ) | | | | | 76,917 | | | | | | 1.34 | (d) | | | | | 2.02 | (d) | | | | | 1.77 | (d) | | | | | 16 | |
| | | 9.12 | | | | | | (1.30 | ) | | | | | 10,427 | | | | | | 1.49 | (d) | | | | | 2.16 | (d) | | | | | 1.73 | (d) | | | | | 16 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 9.26 | | | | | | (17.68 | ) | | | | | 54,045 | | | | | | 1.73 | | | | | | 2.07 | | | | | | 0.35 | | | | | | 48 | |
| | | 8.98 | | | | | | (18.29 | ) | | | | | 8,564 | | | | | | 2.48 | | | | | | 2.82 | | | | | | (0.41 | ) | | | | | 48 | |
| | | 9.33 | | | | | | (17.34 | ) | | | | | 115,099 | | | | | | 1.33 | | | | | | 1.68 | | | | | | 0.78 | | | | | | 48 | |
| | | 9.30 | | | | | | (17.45 | ) | | | | | 13,092 | | | | | | 1.48 | | | | | | 1.82 | | | | | | 0.59 | | | | | | 48 | |
| | | 11.25 | | | | | | 2.54 | | | | | | 96,440 | | | | | | 1.74 | | | | | | 2.08 | | | | | | 0.20 | | | | | | 41 | |
| | | 10.99 | | | | | | 1.76 | | | | | | 15,127 | | | | | | 2.49 | | | | | | 2.83 | | | | | | (0.54 | ) | | | | | 41 | |
| | | 11.34 | | | | | | 2.88 | | | | | | 310,186 | | | | | | 1.34 | | | | | | 1.68 | | | | | | 0.57 | | | | | | 41 | |
| | | 11.30 | | | | | | 2.76 | | | | | | 27,343 | | | | | | 1.49 | | | | | | 1.82 | | | | | | 0.44 | | | | | | 41 | |
| | | 11.03 | | | | | | 6.31 | | | | | | 114,658 | | | | | | 1.74 | | | | | | 2.12 | | | | | | 0.07 | | | | | | 53 | |
| | | 10.81 | | | | | | 5.46 | | | | | | 19,018 | | | | | | 2.49 | | | | | | 2.87 | | | | | | (0.66 | ) | | | | | 53 | |
| | | 11.12 | | | | | | 6.73 | | | | | | 308,502 | | | | | | 1.35 | | | | | | 1.72 | | | | | | 0.44 | | | | | | 53 | |
| | | 11.08 | | | | | | 6.48 | | | | | | 36,429 | | | | | | 1.49 | | | | | | 1.87 | | | | | | 0.26 | | | | | | 53 | |
| | | 10.38 | | | | | | 8.33 | | | | | | 35,417 | | | | | | 1.79 | | | | | | 2.35 | | | | | | 0.09 | | | | | | 90 | |
| | | 10.25 | | | | | | 7.53 | | | | | | 6,720 | | | | | | 2.54 | | | | | | 3.12 | | | | | | (0.57 | ) | | | | | 90 | |
| | | 10.45 | | | | | | 8.83 | | | | | | 111,826 | | | | | | 1.39 | | | | | | 1.94 | | | | | | 0.52 | | | | | | 90 | |
| | | 10.42 | | | | | | 8.73 | | | | | | 9,500 | | | | | | 1.54 | | | | | | 2.05 | | | | | | 0.22 | | | | | | 90 | |
| | | 9.57 | | | | | | (4.20 | ) | | | | | 18,335 | | | | | | 1.82 | (d) | | | | | 3.92 | (d) | | | | | (0.40 | )(d) | | | | | 73 | |
| | | 9.52 | | | | | | (4.70 | ) | | | | | 3,528 | | | | | | 2.57 | (d) | | | | | 4.67 | (d) | | | | | (1.29 | )(d) | | | | | 73 | |
| | | 9.60 | | | | | | (4.00 | ) | | | | | 42,740 | | | | | | 1.42 | (d) | | | | | 3.52 | (d) | | | | | 0.24 | (d) | | | | | 73 | |
| | | 9.59 | | | | | | (4.10 | ) | | | | | 1,448 | | | | | | 1.57 | (d) | | | | | 3.67 | (d) | | | | | (0.28 | )(d) | | | | | 73 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 41 |
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Notes to Financial Statements
April 30, 2016 (Unaudited)
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 |
Asia Equity | | A, C, Institutional and IR | | Diversified |
Emerging Markets Equity | | A, C, Institutional, Service, IR and R6 | | Diversified |
N-11 Equity | | A, C, Institutional and IR | | Non-diversified |
Class A Shares are sold with a front-end sales charge of up to 5.50%. 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, Class IR and Class R6 Shares are not subject to a sales charge.
Goldman Sachs Asset Management International (“GSAMI”), 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.
42
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
|
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
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 United States (“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.
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. Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Funds are not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid annually.
Net capital losses are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
Under the Regulated Investment Company Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.
43
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
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.
E. 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.
|
| 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 GSAMI’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.
44
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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 GSAMI 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, GSAMI 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 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 GSAMI 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.
Exchange-Traded Funds — Investments in exchange-traded funds (“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. 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 ETF’s accounting policies and investment holdings, please see the ETF’s shareholder report.
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 GSAMI 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. GSAMI, 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.
45
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
C. Fair Value Hierarchy — The following is a summary of the Funds’ investments classified in the fair value hierarchy as of April 30, 2016:
| | | | | | | | | | | | |
| | | |
| ASIA EQUITY | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| Assets | | | | | | | | | | | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
Asia | | $ | 3,788,377 | | | $ | 64,446,671 | | | $ | — | |
North America | | | 1,347,939 | | | | — | | | | — | |
| Total | | $ | 5,136,316 | | | $ | 64,446,671 | | | $ | — | |
| | | |
| EMERGING MARKETS EQUITY | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| Assets | | | | | | | | | | | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
Africa | | $ | — | | | $ | 13,127,370 | | | $ | — | |
Asia | | | 22,274,697 | | | | 295,977,937 | | | | — | |
Europe | | | — | | | | 21,632,711 | | | | — | |
North America | | | 40,431,489 | | | | 3,278,444 | | | | — | |
South America | | | 40,597,572 | | | | 6,282,630 | | | | — | |
| Total | | $ | 103,303,758 | | | $ | 340,299,092 | | | $ | — | |
| | | |
| N-11 EQUITY | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| Assets | | | | | | | | | | | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
Africa | | $ | — | | | $ | 15,007,940 | | | $ | — | |
Asia | | | — | | | | 79,529,440 | | | | — | |
Europe | | | — | | | | 2,029,716 | | | | — | |
North America | | | 29,420,632 | | | | — | | | | — | |
| Total | | $ | 29,420,632 | | | $ | 96,567,096 | | | $ | — | |
| (a) | | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of NAV. Security valuations are based on the principal 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 certain international equity securities, resulting in a Level 2 classification. |
For further information regarding security characteristics, see the Schedules of Investments.
46
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
|
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAMI 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, GSAMI 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 six months ended April 30, 2016, contractual and effective net management fees with GSAMI were at the following rates:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Contractual Management Rate | | | Effective Net
Management
Rate^ | |
| Fund | | | | First
$1 billion | | | Next
$1 billion | | | Next
$3 billion | | | Next
$3 billion | | | Over
$8 billion | | | Effective
Rate | | |
Asia Equity | | | | | 1.00 | % | | | 0.90 | % | | | 0.86 | % | | | 0.84 | % | | | 0.82 | % | | | 1.00 | % | | | 1.00 | % |
Emerging Markets Equity | | | | | 1.20 | | | | 1.20 | | | | 1.08 | | | | 1.03 | | | | 1.01 | | | | 1.20 | | | | 1.02 | * |
N-11 Equity | | | | | 1.30 | | | | 1.30 | | | | 1.24 | | | | 1.21 | | | | 1.19 | | | | 1.30 | | | | 1.13 | * |
| ^ | | Effective Net Management Rate includes the impact of management fee waivers of affiliated underlying funds, if any. |
| * | | GSAMI agreed to waive a portion of its management fee in order to achieve net management rates as defined in the Funds’ most recent prospectuses. These waivers will be effective through at least February 26, 2017, and prior to such date, GSAMI may not terminate the arrangements without the approval of the Trustees. |
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 | |
Distribution Plan | | | 0.25 | % | | | 0.75 | % |
Service Plan | | | — | | | | 0.25 | |
| * | | With respect to Class A 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. |
47
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
C. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Funds pursuant to a Distribution Agreement, may retain a portion of the Class A Shares front end sales charge and Class C Shares’ CDSC. During the six months ended April 30, 2016, Goldman Sachs advised that it retained the following amounts:
| | | | | | |
| | | | | Front End
Sales Charge | |
| Fund | | | | Class A | |
Asia Equity | | | | $ | 269 | |
Emerging Markets Equity | | | | | 1,963 | |
N-11 Equity | | | | | 1,195 | |
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: 0.19% of the average daily net assets of Class A, Class C, and Class IR Shares; 0.02% of the average daily net assets of Class R6 Shares; and 0.04% of the average daily net assets of Institutional and Service Shares.
F. Other Expense Agreements and Affiliated Transactions — GSAMI 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 GSAMI for prior fiscal year expense reimbursements, if any. The Other Expense limitations as an annual percentage rate of average daily net assets for the Asia Equity, Emerging Markets Equity and N-11 Equity Funds are 0.114%, 0.194% and 0.164%, respectively. Prior to February 26, 2016, the Other Expense limitation was 0.254% for the Asia Equity Fund. These Other Expense limitations will remain in place through at least February 26, 2017 and prior to such date GSAMI 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.
48
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
|
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the six months ended April 30, 2016, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
| | | | | | | | | | | | | | | | | | |
| Fund | | | | Management Fee Waiver | | | Other Expense Reimbursement | | | Custody Fee Credits | | | Total Expense Reductions | |
Asia Equity | | | | $ | — | | | $ | 210,453 | | | $ | 809 | | | $ | 211,262 | |
Emerging Markets Equity | | | | | 388,009 | | | | 253,542 | | | | 2,689 | | | | 644,240 | |
N-11 Equity | | | | | 120,656 | | | | 363,196 | | | | 163 | | | | 484,015 | |
G. Line of Credit Facility — As of April 30, 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 GSAMI or its affiliates (“Other Borrowers”). This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the six months ended April 30, 2016, the Funds did not have any borrowings under the facility. The facility was renewed in the amount of $1,100,000,000 effective May 3, 2016.
H. Other Transactions with Affiliates — As of April 30, 2016, the Goldman Sachs Satellite Strategies Portfolio was the beneficial owner of 5% or more of total outstanding shares of the Emerging Markets Equity Fund.
As of April 30, 2016, the Goldman Sachs Group, Inc. was the beneficial owner of approximately 44% of the Class IR Shares of the Asia Equity Fund.
|
| 5. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended April 30, 2016, were as follows:
| | | | | | | | | | |
| Fund | | | | Purchases | | | Sales and Maturities | |
Asia Equity | | | | $ | 50,461,880 | | | $ | 55,102,791 | |
Emerging Markets Equity | | | | | 247,201,994 | | | | 241,875,542 | |
N-11 Equity | | | | | 23,737,909 | | | | 78,514,034 | |
49
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
As of the Funds’ most recent fiscal year end, October 31, 2015, the Funds’ capital loss carryforwards and certain timing differences on a tax basis were as follows:
| | | | | | | | | | | | |
| | | Asia Equity | | | Emerging Markets Equity | | | N-11 Equity | |
Capital loss carryforwards:(1) | | | | | | | | | | | | |
Expiring 2016 | | $ | — | | | $ | (12,534,998 | ) | | $ | — | |
Expiring 2017 | | | (7,699,879 | ) | | | (445,745,035 | ) | | | — | |
Perpetual short-term | | | — | | | | (21,047,638 | ) | | | (30,591,946 | ) |
Perpetual long-term | | | — | | | | (20,030,158 | ) | | | (21,830,630 | ) |
Total capital loss carryforwards | | $ | (7,699,879 | ) | | $ | (499,357,829 | ) | | $ | (52,422,576 | ) |
Timing differences (Qualified Late Year Loss Deferral/Post October Loss Deferral) | | $ | (102,310 | ) | | $ | — | | | $ | — | |
| (1) | | With the exception of perpetual capital loss carryforwards, expiration occurs on October 31 of the year indicated. |
As of April 30, 2016, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
| | | | | | | | | | | | |
| | | Asia Equity | | | Emerging Markets Equity | | | N-11 Equity | |
Tax cost | | $ | 72,947,336 | | | $ | 431,355,204 | | | $ | 121,878,005 | |
Gross unrealized gain | | | 4,459,876 | | | | 41,011,038 | | | | 15,341,473 | |
Gross unrealized loss | | | (7,824,225 | ) | | | (28,763,392 | ) | | | (11,231,750 | ) |
Net unrealized security gain (loss) | | $ | (3,364,349 | ) | | $ | 12,247,646 | | | $ | 4,109,723 | |
The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales and differences in the tax treatment of passive foreign investment company investments.
GSAMI 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.
The Funds’ risks include, but are not limited to, the following:
Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of more or less foreign government regulation, less public information and less economic, political and social stability in the countries in which the Fund invests. Loss may also result from the imposition of exchange controls, confiscations and other government restrictions by the U.S. 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 a 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 a fund also invests in securities of issuers located in emerging markets, these risks may be more pronounced.
50
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
|
| 7. OTHER RISKS (continued) |
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.
Geographic Risk — Concentration of the investments of a Fund in issuers located in a particular country or region will subject the Fund, to a greater extent than if investments were less concentrated, to the risks of adverse securities markets, exchange rates and social, political, regulatory or economic events which may occur in a given country or region. The Asia Equity Fund invests primarily in equity investments in Asian issuers. The N-11 Equity Fund invests primarily in equity investments in the N-11 countries, and may invest up to 50% of its assets in any one N-11 country.
Investments in Other Investment Companies — As a shareholder of another investment company, including an ETF, a Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund. ETFs are subject to risks that do not apply to conventional mutual funds, including but not limited to the following: (i) the market price of the ETF’s shares may trade at a premium or a discount to their NAV; and (ii) an active trading market for an ETF’s shares may not develop or be maintained.
Large Shareholder Transactions Risk — 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 the 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 a Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact a Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in a Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect a Fund’s performance to the extent that a Fund is delayed in investing new cash and is required to maintain a larger cash position than it ordinarily would.
Liquidity Risk — A Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk 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.
51
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 7. OTHER RISKS (continued) |
Market and Credit Risks — In the normal course of business, a Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, a Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
Non-Diversification Risk — The N-11 Equity Fund is non-diversified, meaning that it is permitted to invest a larger percentage of its assets in fewer issuers than diversified mutual funds. Thus, the 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 the N-11 Equity Fund’s ability to invest a large percentage of its 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 Fund’s investments more than if its investments were not so concentrated.
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, GSAMI believes the risk of loss under these arrangements to be remote.
Given the monetary policy announcement made by the Central Bank of Nigeria on May 24, 2016 and concerns about a potential devaluation of the Nigerian currency, the N-11 Equity Fund (“Fund”) made a fair value determination on May 24, 2016 to adjust the Nigerian Naira (“NGN”) to the US Dollar (“USD”) spot foreign exchange rate. Through June 23, 2016, the fair value methodology has continued to be used to determine the USD value of NGN denominated investments and/or cash held by the Fund and has resulted in a reduction to the net asset value of the Fund of up to 3.5%.
Subsequent events other than the above item have been evaluated through the date the financial statements were issued. GSAMI has concluded that there is no impact requiring further adjustment or disclosure in the financial statements.
52
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
|
| 10. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | Asia Equity Fund | |
| | | | |
| | | For the Six Months Ended April 30, 2016 (Unaudited) | | | For the Fiscal Year Ended October 31, 2015 | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 4,409 | | | $ | 87,079 | | | | 235,104 | | | $ | 5,013,336 | |
Shares converted from Class B(a) | | | — | | | | — | | | | 3,947 | | | | 79,446 | |
Shares redeemed | | | (41,782 | ) | | | (807,013 | ) | | | (119,009 | ) | | | (2,450,235 | ) |
| | | | (37,373 | ) | | | (719,934 | ) | | | 120,042 | | | | 2,642,547 | |
| Class B Shares(a) | | | | | | | | | | | | | | | | |
Shares converted to Class A | | | — | | | | — | | | | (4,175 | ) | | | (79,446 | ) |
Shares redeemed | | | — | | | | — | | | | (11,670 | ) | | | (221,835 | ) |
| | | | — | | | | — | | | | (15,845 | ) | | | (301,281 | ) |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 1,870 | | | | 34,595 | | | | 14,511 | | | | 294,885 | |
Shares redeemed | | | (5,495 | ) | | | (97,686 | ) | | | (23,699 | ) | | | (445,511 | ) |
| | | | (3,625 | ) | | | (63,091 | ) | | | (9,188 | ) | | | (150,626 | ) |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 80,620 | | | | 1,624,825 | | | | 148,725 | | | | 3,263,191 | |
Reinvestment of distributions | | | — | | | | — | | | | 9,275 | | | | 191,440 | |
Shares redeemed | | | (219,176 | ) | | | (4,443,322 | ) | | | (383,547 | ) | | | (8,037,850 | ) |
| | | | (138,556 | ) | | | (2,818,497 | ) | | | (225,547 | ) | | | (4,583,219 | ) |
| Class IR Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 286 | | | | 5,539 | | | | — | | | | 2 | |
Reinvestment of distributions | | | — | | | | — | | | | 6 | | | | 134 | |
Shares redeemed | | | (77 | ) | | | (1,500 | ) | | | — | | | | — | |
| | | | 209 | | | | 4,039 | | | | 6 | | | | 136 | |
NET DECREASE | | | (179,345 | ) | | $ | (3,597,483 | ) | | | (130,532 | ) | | $ | (2,392,443 | ) |
| (a) | | Class B Shares were converted into Class A Shares at the close of business on November 14, 2014. |
53
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 10. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | Emerging Markets Equity Fund | |
| | | | |
| | | For the Six Months Ended April 30, 2016 (Unaudited) | | | For the Fiscal Year Ended October 31, 2015 | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 230,962 | | | $ | 3,291,621 | | | | 1,408,550 | | | $ | 22,392,294 | |
Shares issued in connection with merger | | | — | | | | — | | | | 2,662,878 | | | | 40,049,765 | |
Shares converted from Class B(a) | | | — | | | | — | | | | 22,303 | | | | 355,064 | |
Shares redeemed | | | (704,333 | ) | | | (10,016,100 | ) | | | (1,501,117 | ) | | | (22,992,112 | ) |
| | | | (473,371 | ) | | | (6,724,479 | ) | | | 2,592,614 | | | | 39,805,011 | |
| Class B Shares(a) | | | | | | | | | | | | | | | | |
Shares converted to Class A | | | — | | | | — | | | | (24,726 | ) | | | (355,064 | ) |
Shares redeemed | | | — | | | | — | | | | (97,564 | ) | | | (1,400,667 | ) |
| | | | — | | | | — | | | | (122,290 | ) | | | (1,755,731 | ) |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 63,705 | | | | 830,619 | | | | 102,126 | | | | 1,490,580 | |
Shares issued in connection with merger | | | — | | | | — | | | | 2,054,325 | | | | 27,877,096 | |
Shares redeemed | | | (488,999 | ) | | | (6,246,074 | ) | | | (226,822 | ) | | | (3,176,820 | ) |
| | | | (425,294 | ) | | | (5,415,455 | ) | | | 1,929,629 | | | | 26,190,856 | |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 11,283,996 | | | | 172,718,341 | | | | 9,734,085 | | | | 154,429,954 | |
Shares issued in connection with merger | | | — | | | | — | | | | 2,177,674 | | | | 34,951,589 | |
Reinvestment of distributions | | | 22,405 | | | | 349,742 | | | | 52,352 | | | | 866,429 | |
Shares redeemed | | | (10,540,103 | ) | | | (157,480,373 | ) | | | (9,033,668 | ) | | | (145,961,176 | ) |
| | | | 766,298 | | | | 15,587,710 | | | | 2,930,443 | | | | 44,286,796 | |
| Service Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 86,847 | | | | 1,199,788 | | | | 407,392 | | | | 6,240,052 | |
Shares redeemed | | | (93,860 | ) | | | (1,281,852 | ) | | | (329,709 | ) | | | (4,956,992 | ) |
| | | | (7,013 | ) | | | (82,064 | ) | | | 77,683 | | | | 1,283,060 | |
| Class IR Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 135,232 | | | | 2,029,111 | | | | 64,260 | | | | 963,795 | |
Shares issued in connection with merger | | | — | | | | — | | | | 21,115 | | | | 337,411 | |
Reinvestment of distributions | | | 71 | | | | 1,110 | | | | 29 | | | | 472 | |
Shares redeemed | | | (72,441 | ) | | | (1,005,052 | ) | | | (12,957 | ) | | | (204,046 | ) |
| | | | 62,862 | | | | 1,025,169 | | | | 72,447 | | | | 1,097,632 | |
| Class R6 Shares(b) | | | | | | | | | | | | | | | | |
Shares sold | | | 70,693 | | | | 1,117,041 | | | | 598 | | | | 10,005 | |
Reinvestment of distributions | | | 1 | | | | 11 | | | | — | | | | — | |
Shares redeemed | | | — | | | | — | | | | — | | | | (5 | ) |
| | | | 70,694 | | | | 1,117,052 | | | | 598 | | | | 10,000 | |
NET INCREASE (DECREASE) | | | (5,824 | ) | | $ | 5,507,933 | | | | 7,481,124 | | | $ | 110,917,624 | |
| (a) | | Class B Shares were converted into Class A Shares at the close of business on November 14, 2014. |
| (b) | | Class R6 Shares commenced operations on July 31, 2015. |
54
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
|
| 10. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | N-11 Equity Fund | |
| | | | |
| | | For the Six Months Ended April 30, 2016 (Unaudited) | | | For the Fiscal Year Ended October 31, 2015 | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 439,123 | | | $ | 3,825,464 | | | | 1,245,917 | | | $ | 12,523,320 | |
Reinvestment of distributions | | | 7,693 | | | | 67,624 | | | | 541 | | | | 5,728 | |
Shares redeemed | | | (2,725,495 | ) | | | (23,566,689 | ) | | | (3,985,792 | ) | | | (40,013,042 | ) |
| | | | (2,278,679 | ) | | | (19,673,601 | ) | | | (2,739,334 | ) | | | (27,483,994 | ) |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 10,210 | | | | 85,831 | | | | 42,651 | | | | 421,093 | |
Shares redeemed | | | (169,080 | ) | | | (1,433,492 | ) | | | (465,541 | ) | | | (4,541,897 | ) |
| | | | (158,870 | ) | | | (1,347,661 | ) | | | (422,890 | ) | | | (4,120,804 | ) |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 461,365 | | | | 4,144,756 | | | | 4,351,003 | | | | 43,841,194 | |
Reinvestment of distributions | | | 87,939 | | | | 774,739 | | | | 99,758 | | | | 1,060,423 | |
Shares redeemed | | | (4,460,026 | ) | | | (38,735,430 | ) | | | (19,466,511 | ) | | | (191,323,722 | ) |
| | | | (3,910,722 | ) | | | (33,815,935 | ) | | | (15,015,750 | ) | | | (146,422,105 | ) |
| Class IR Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 82,657 | | | | 697,643 | | | | 278,920 | | | | 2,812,772 | |
Reinvestment of distributions | | | 8,082 | | | | 71,120 | | | | 6,906 | | | | 73,277 | |
Shares redeemed | | | (354,480 | ) | | | (3,098,812 | ) | | | (1,297,666 | ) | | | (12,623,722 | ) |
| | | | (263,741 | ) | | | (2,330,049 | ) | | | (1,011,840 | ) | | | (9,737,673 | ) |
NET DECREASE | | | (6,612,012 | ) | | $ | (57,167,246 | ) | | | (19,189,814 | ) | | $ | (187,764,576 | ) |
55
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Fund Expenses — Six Month Period Ended April 30, 2016 (Unaudited)
As a shareholder of Class A, Class C, Institutional, Service, Class IR or 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) and contingent deferred sales charges on redemptions (with respect to and Class C Shares); and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (with respect to Class A and Class C 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, Class IR and 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 November 1, 2015 through April 30, 2016, which represents a period of 182 days of 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 ratio 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 fee 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.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Asia Equity Fund | | | Emerging Markets Equity Fund | | | N-11 Equity Fund | |
| Share Class | | Beginning
Account
Value
11/01/2015 | | | Ending
Account
Value
04/30/2016 | | | Expenses Paid for the
6 Months Ended
04/30/2016* | | | Beginning
Account
Value
11/01/2015 | | | Ending
Account
Value
04/30/2016 | | | Expenses Paid for the
6 Months Ended
04/30/2016* | | | Beginning
Account
Value
11/01/2015 | | | Ending
Account
Value
04/30/2016 | | | Expenses Paid for the
6 Months Ended
04/30/2016* | |
| Class A | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 958.10 | | | $ | 7.98 | | | $ | 1,000 | | | $ | 1,001.40 | | | $ | 8.21 | | | $ | 1,000 | | | $ | 985.60 | | | $ | 8.59 | |
Hypothetical 5% return | | | 1,000 | | | | 1,016.71 | + | | | 8.22 | | | | 1,000 | | | | 1,016.66 | + | | | 8.27 | | | | 1,000 | | | | 1,016.21 | + | | | 8.72 | |
| Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000 | | | | 954.30 | | | | 11.66 | | | | 1,000 | | | | 997.70 | | | | 11.97 | | | | 1,000 | | | | 982.20 | | | | 12.27 | |
Hypothetical 5% return | | | 1,000 | | | | 1,012.93 | + | | | 12.01 | | | | 1,000 | | | | 1,012.88 | + | | | 12.06 | | | | 1,000 | | | | 1,012.48 | + | | | 12.46 | |
| Institutional | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000 | | | | 960.00 | | | | 6.04 | | | | 1,000 | | | | 1,003.50 | | | | 6.23 | | | | 1,000 | | | | 987.20 | | | | 6.62 | |
Hypothetical 5% return | | | 1,000 | | | | 1,018.70 | + | | | 6.22 | | | | 1,000 | | | | 1,018.65 | + | | | 6.27 | | | | 1,000 | | | | 1,018.20 | + | | | 6.72 | |
| Service | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | N/A | | | | N/A | | | | N/A | | | | 1,000 | | | | 1,001.40 | | | | 8.71 | | | | N/A | | | | N/A | | | | N/A | |
Hypothetical 5% return | | | N/A | | | | N/A | | | | N/A | | | | 1,000 | | | | 1,016.16 | + | | | 8.77 | | | | N/A | | | | N/A | | | | N/A | |
| Class IR | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000 | | | | 959.50 | | | | 6.77 | | | | 1,000 | | | | 1,002.70 | | | | 6.97 | | | | 1,000 | | | | 987.00 | | | | 7.36 | |
Hypothetical 5% return | | | 1,000 | | | | 1,017.95 | + | | | 6.97 | | | | 1,000 | | | | 1,017.90 | + | | | 7.02 | | | | 1,000 | | | | 1,017.45 | + | | | 7.47 | |
| Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | N/A | | | | N/A | | | | N/A | | | | 1,000 | | | | 1,004.30 | | | | 6.13 | | | | N/A | | | | N/A | | | | N/A | |
Hypothetical 5% return | | | N/A | | | | N/A | | | | N/A | | | | 1,000 | | | | 1,018.75 | + | | | 6.17 | | | | N/A | | | | N/A | | | | N/A | |
| * | | Expenses 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 April 30, 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 | | | Class IR | | | Class R6 | |
Asia Equity | | | 1.64 | % | | | 2.40 | % | | | 1.24 | % | | | N/A | | | | 1.39 | % | | | N/A | |
Emerging Markets Equity | | | 1.65 | | | | 2.41 | | | | 1.25 | | | | 1.75 | % | | | 1.40 | | | | 1.23 | % |
N-11 Equity | | | 1.74 | | | | 2.49 | | | | 1.34 | | | | N/A | | | | 1.49 | | | | N/A | |
| + | | 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. |
56
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 FundsSM
| 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 FundsSM
| n | | Investor Money Market Fund |
| n | | Investor Tax-Exempt Money Market Fund3 |
Fixed Income
Short Duration and Government
| n | | High Quality Floating Rate Fund |
| n | | Limited Maturity Obligations Fund |
| n | | Short Duration Government Fund |
| n | | Short Duration Income Fund |
| n | | Fund Inflation Protected Securities Fund |
Multi-Sector
| n | | High Yield Municipal Fund |
| n | | Dynamic Municipal Income Fund |
| n | | Short Duration Tax-Free Fund |
| n | | Investment Grade Credit Fund |
| n | | High Yield Floating Rate Fund |
| n | | Emerging Markets Debt Fund |
| n | | Local Emerging Markets Debt Fund |
| n | | Dynamic Emerging Markets Debt Fund |
| n | | Fixed Income Alternatives |
| n | | Long Short Credit Strategies Fund |
| n | | Fixed Income Macro Strategies Fund |
Fundamental Equity
| n | | Small/Mid Cap Value 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 |
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 | | Emerging Markets Equity Fund6 |
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 | | 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 | | Tactical Tilt Overlay Fund8 |
| 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 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. |
| 8 | | Effective on June 1, 2016, the Goldman Sachs Tactical Tilt Implementation Fund was renamed the Goldman Sachs Tactical Tilt Overlay Fund. |
Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman, Sachs & Co.
*This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds.
| | |
TRUSTEES Ashok N. Bakhru, Chairman Kathryn A. Cassidy 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, Principal Financial Officer,
Senior Vice President and Treasurer Caroline L. Kraus, Secretary |
| |
GOLDMAN, SACHS & CO. Distributor and Transfer Agent | | GOLDMAN SACHS ASSET MANAGEMENT INTERNATIONAL Investment Adviser |
Visit our website 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 (the “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).
Holdings and allocations shown are as of April 30, 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. Economic and market forecasts presented herein reflect our judgment as of the date of this presentation 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.
The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus or summary prospectus, if applicable. Investors should consider a Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about a Fund and may be obtained from your authorized dealer or from Goldman, Sachs & Co. by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550).
© 2016 Goldman Sachs. All rights reserved. 50662-TMPL-06/2016 EMESAR-16/14K
Goldman Sachs Funds
| | | | |
| | |
| Semi-Annual Report | | | | April 30, 2016 |
| | |
| | | | Fundamental International Equity Funds |
| | | | Focused International Equity |
| | | | Strategic International Equity |
Goldman Sachs Fundamental International Equity Funds
| n | | FOCUSED INTERNATIONAL EQUITY |
| n | | STRATEGIC INTERNATIONAL EQUITY |
| | | | |
TABLE OF CONTENTS | | | | |
| |
Investment Process | | | 1 | |
| |
Market Review | | | 2 | |
| |
Portfolio Management Discussions and Performance Summaries | | | 4 | |
| |
Schedule of Investments | | | 17 | |
| |
Financial Statements | | | 21 | |
| |
Financial Highlights | | | 24 | |
| |
Notes to the Financial Statements | | | 28 | |
| |
Other Information | | | 40 | |
| | | | |
| | | |
| NOT FDIC-INSURED | | May Lose Value | | No Bank Guarantee |
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
What Differentiates Goldman Sachs’ Fundamental International Equity Investment Process?
Goldman Sachs’ Fundamental International Equity investment process is based on the belief that strong, consistent results are best achieved through expert stock selection, performed by research teams working together on a global scale. Our deep, diverse and experienced team of research analysts and portfolio managers combines local insights with global, industry-specific expertise to identify its high conviction investment ideas.
| n | | Fundamental research teams based in the United States, United Kingdom, Japan, China, Korea, Singapore, Brazil, and India and focusing on long-term business and management quality |
| n | | Analysts collaborate regularly to leverage regional and industry-specific research and insights |
| n | | Global perspective is informed by local market expertise |
| n | | A common valuation framework, focusing on long-term earnings power, ensures consistency when valuing and comparing a company to its peers globally |
| n | | Team of experienced Research Analysts is regionally aligned and has sector expertise |
| n | | Team leverages the research of the approximately 80+ regional investment professionals |
| n | | Decision-making process is informed by active participation in the global research process |
| n | | Security selections are aligned with level of investment conviction |
| n | | Risk monitoring considers whether investment and other risks to the Funds are intended and justified |
| n | | Dedicated portfolio construction team assists in ongoing monitoring and adjustment of the Funds |
International equity portfolios that strive to offer:
| | n | | Access to markets across the world | |
| | n | | Disciplined approach to stock selection | |
| | n | | Optimal risk/return profiles | |
1
MARKET REVIEW
Goldman Sachs Fundamental International
Equity Funds
Market Review
International equities lost ground during the six-month period ended April 30, 2016 (the “Reporting Period”). The MSCI® Europe, Australasia, Far East (EAFE) Index (Net, USD, Unhedged) (the “MSCI® Index”) posted a return of -3.07%.* Central bank policy, economic sluggishness, currency movements and oil price shifts were some of the biggest themes dominating the international equities markets during the Reporting Period.
After holding the targeted federal funds rate in September and October 2015, in light of external risks, the Federal Reserve (the “Fed”) voted unanimously for a 25 basis point interest rate increase in December 2015, a move largely expected by the markets. (A basis point is 1/100th of a percentage point.) However, the fairly dovish language in the announcement, which emphasized “gradual” future adjustments to policy, helped to somewhat assuage the markets. (Dovish language tends to suggest lower interest rates.) Meanwhile, the Bank of Japan (“BoJ”) announced supplementary support for its quantitative and qualitative easing programs. While the European Central Bank (“ECB”) also lowered its deposit rate by 10 basis points and announced an extension of its quantitative easing program at its December 2015 meeting, market reaction was one of disappointment as more had been expected.
International equities suffered a rout at the beginning of 2016, triggered by investor concerns of an intensifying economic slowdown in China, exacerbated by an oil price plunge. Sentiment improved following a dovish January ECB press conference and the BoJ’s introduction of negative interest rates. In turn, international equities stabilized a bit in February 2016. However, the MSCI® Index still fell 1.83% in February 2016. In March 2016, further central bank dovishness, along with receding global economic concerns and oil price stabilization, helped to finally drive a global equity market recovery. Notably, the ECB implemented heavy easing, cutting its deposit rate to -40 basis points and raising its monthly quantitative easing purchases. The BoJ left its monetary policy unchanged in March 2016, but its rhetoric about negative interest rates heightened expectations for further easing to come.
Market sentiment appeared to remain sanguine in April 2016, as oil prices rose and China economic growth concerns abated with modestly improving economic data. Both the ECB and BoJ were on hold, or did not make any monetary policy changes, in April 2016. BoJ inaction came as a major disappointment against expectations of further easing, causing international equities to sell off once again and the yen to appreciate. Relative currency appreciation was exacerbated by U.S. dollar weakness following a weaker than expected first quarter U.S. Gross Domestic Product (“GDP”) release and an uneventful Fed meeting during which rates were left unchanged.
During the Reporting Period, materials, consumer staples, energy and industrials were the only sectors in the MSCI® Index to post a positive return. The weakest performing sectors in the MSCI® Index during the Reporting Period were financials and consumer discretionary, followed at some distance by health care.
From a country perspective, Australia and Denmark were the only constituents of the MSCI® Index to post a positive return during the Reporting Period. Italy was the weakest individual country constituent in the MSCI® Index during the Reporting Period, followed at some distance by Spain, Switzerland and the U.K.
| * | | All index returns are expressed in U.S. dollar terms. |
2
MARKET REVIEW
Looking Ahead
At the end of the Reporting Period, we believed global equities could still generate positive mid-single digit returns for calendar year 2016, despite a volatile start. Our expectation was that returns would be predominantly driven by earnings growth rather than multiple expansion. (A multiple measures some aspect of a company’s financial well-being, determined by dividing one metric by another metric. Multiple expansion is growth of that multiple.) In our view, positive returns in a low (and potentially negative) interest rate environment makes equities attractive, particularly relative to other asset classes. We believed European and Japanese equities would have more upside potential than other international equity markets given their recent relative underperformance. Still, within these regions, there are areas of each major market we may want to own and those we will seek to avoid.
We believe the primary driver of European equities going forward is the potential for an earnings growth catch-up with that of the U.S. One reason we remain optimistic is that European companies, on average, have higher operating leverage — that is, a higher proportion of fixed-to-variable costs — so their earnings benefit more from increases in sales.
In Japan, corporate reforms introduced as part of Prime Minister Abe’s Three Arrows plan appear to be having a meaningful impact on corporate profitability and shareholder returns. Continued economic progress could be a significant driver of equity returns looking ahead. Japanese companies have often lagged their peers in other developed markets when it comes to measures of profitability, including return on equity, but seem to be catching up to the developed market average. Many companies have also made progress on corporate governance, with more independent directors and further unwinding of cross shareholdings. (Cross shareholdings are shares that are mutually held among companies. These companies have been increasingly unwinding, i.e. selling, their cross-held shares.) An improvement in shareholder orientation has boosted share buybacks and dividends to multi-year highs.
Further, both the ECB and the BoJ remain accommodative, which we see as helpful for equities. As mentioned earlier, the BoJ introduced negative interest rates in January 2016, and the ECB announced a broad set of easing measures that exceeded market expectations in March 2016.
Overall, we continued to believe at the end of the Reporting Period that domestically-focused companies in the major developed regions could benefit from increasing domestic consumption while being more insulated from currency volatility. In Europe, we are interested in companies that can benefit from domestic recovery in Europe as well as those less exposed to relatively weak emerging market end-markets. In Japan, negative interest rates combined with record-low unemployment and expectations of rising wage growth means consumer spending could increase, in our view. Furthermore, inbound tourism to Japan remains high, and tourist spending appears to be helping to boost domestic consumption. These factors support our favorable view on domestically-oriented Japanese companies.
As always, we maintain our focus on seeking companies that we believe will generate long-term growth in today’s ever-changing market conditions.
3
PORTFOLIO RESULTS
Goldman Sachs Focused International Equity Fund
Investment Objective
The Fund seeks long-term capital appreciation.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Global Equity Team discusses the Goldman Sachs Focused International Equity Fund’s (the “Fund”) performance and positioning for the six-month period ended April 30, 2016 (the “Reporting Period”).
| Q | | How did the Fund perform during Reporting Period? |
| A | | During the Reporting Period, the Fund’s Class A, C, Institutional, Service and IR Shares generated cumulative total returns, without sales charges, of -2.85%, -3.19%, -2.63%, -2.90% and -2.69%, respectively. These returns compare to the -3.07% cumulative total return of the Fund’s benchmark, the Morgan Stanley Capital International (MSCI®) Europe, Australasia, Far East Index (Net, USD, Unhedged) (the “MSCI® Index”), during the same period. |
| | Since their inception on February 26, 2016, the Fund’s Class R6 Shares generated a cumulative total return, without sales charge, of 10.71%. This return compares to the 9.61% cumulative total return of the MSCI® Index during the same period. |
| Q | | What key factors were responsible for the Fund’s performance during the Reporting Period? |
| A | | While the Fund’s absolute returns were disappointing, its outperformance of the MSCI® Index during the Reporting Period can be primarily attributed to individual stock selection. Sector and country allocation also contributed positively. |
| Q | | What were some of the Fund’s best-performing individual stocks? |
| A | | The greatest contributors to Fund performance relative to the MSCI® Index during the Reporting Period were Rio Tinto, Pola Orbis and Syngenta. |
| | U.K.-based international mining company Rio Tinto was the top positive contributor to the Fund’s relative results during the Reporting Period. We purchased the stock for the Fund in January 2016, seeing it as a high quality company in a challenged sector that had suffered significant underperformance. The stock performed well during the Reporting Period owing primarily to a rebound in the materials sector in 2016 driven, in turn, by a recovery in metals prices. |
| | Another strong positive contributor during the Reporting Period was Pola Orbis, a Japanese cosmetics maker known for products such as Pola, Orbis, H2O and Jurlique. The company’s products are popular both domestically and with foreigners, such as Chinese tourists. The company has been a beneficiary of heightened tourism, the entry of millennials into the marketplace and Japan’s corporate governance revolution. Its margins continued to improve in Japan on the back of an increase in private-brand stores for Pola, an average selling price boost for Orbis as it shifts from the mid-price to high-price bracket, overall market share gains and higher sales of up-and-coming brands. |
| | Swiss agricultural chemicals producer Syngenta was a strong positive contributor during the Reporting Period. Syngenta performed well early in the Reporting Period mainly due to speculation of a takeover and following the announced merger of Dow Chemical and E.I. DuPont de Nemours. Then, in February 2016, Syngenta agreed to a cash takeover by ChemChina for approximately 463 Swiss francs per share on then-current exchange rates. |
| Q | | Which stocks detracted significantly from the Fund’s performance during the Reporting Period? |
| A | | The biggest detractors from Fund performance relative to the MSCI® Index during the Reporting Period were Credit Suisse, UniCredit and Banco Popular Espanol — each a bank in the financials sector. |
| | Credit Suisse’s share price came under pressure in the first part of the Reporting Period, as it was in the process of raising equity. The company finished its rights issue in the second week of November 2015. However, it performed poorly following the announcement of weaker than expected |
4
PORTFOLIO RESULTS
| | fourth quarter 2015 results, citing difficult market conditions amidst its transition to shrink its investment bank and focus on its private bank. At the end of the Reporting Period, we believed the stock still presented significant long-term value. |
| | Shares of UniCredit sold off along with other Italian banks in January 2016 following increased concerns surrounding Italian non-performing loans. This came after the resolution of four small Italian banks at the end of 2015, which triggered the bail-in of their subordinated debt. (A non-performing loan is the sum of borrowed money upon which the debtor has not made his or her schedule payments for at least 90 days. A non-performing loan is either in default or close to being in default. A bail-in occurs when the borrower’s creditors are forced to bear some of the burden by having a portion of their debt written off.) We believe these banks represented isolated cases and that asset quality in Italy is gradually improving. At the end of the Reporting Period, we believed UniCredit remained attractively valued relative to other European banks. |
| | Banco Popular Espanol performed poorly driven by political uncertainty surrounding the December 2015 elections in Spain. These elections resulted in a hung parliament and then continued to weigh on the Spanish financial sector. Even though we continued to like the bank’s strong presence in the small to medium enterprise market and its improvement in asset quality, we trimmed the position by the end of the Reporting Period in an effort to manage the Fund’s overall exposure to the Spanish banking industry. |
| Q | | Which equity market sectors most significantly affected Fund performance during the Reporting Period? |
| A | | The sectors that contributed most positively to the Fund’s performance relative to the MSCI® Index during the Reporting Period were materials, consumer discretionary and consumer staples, each due primarily to effective stock selection. Sector positioning in materials added value as well. |
| | The sectors that detracted most from the Fund’s relative results during the Reporting Period were financials, industrials and health care, each due primarily to weak stock selection. |
| Q | | Which countries most affected the Fund’s performance during the Reporting Period? |
| A | | Typically, the Fund’s individual stock holdings will significantly influence the Fund’s performance within a particular country or region relative to the MSCI® Index. |
| | This effect may be even more pronounced in a concentrated portfolio or in countries that represent only a modest proportion of the MSCI® Index. |
| | That said, effective stock selection in France, Sweden and Japan boosted the Fund’s relative returns most. The countries that detracted most from the Fund’s performance during the Reporting Period were Australia, Switzerland and Italy, where stock selection overall hurt. |
| Q | | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | | During the Reporting Period, the Fund did not use derivatives or similar instruments. |
| Q | | Did the Fund make any significant purchases or sales during the Reporting Period? |
| A | | In addition to the purchase of Rio Tinto, already mentioned, we established a new Fund position during the Reporting Period in Bank of Ireland, an Irish commercial bank that also conducts business in the U.K. and Northern Ireland. While it was aided by government during the 2008 crisis, it was the only Irish bank to avoid state control during that time. Its shares had been beaten down by dilution through the financial crisis, but the company emerged as what we view as the strongest of the Irish banks, currently boasting a BB+ rating. In our view, the bank also benefits from decreased competition post-crisis, favorable monetary policy and an overall Eurozone recovery. Its margins have been improving thanks to lower funding costs and a positive impact from new lending. Its asset quality has shown what we view as encouraging trends, and its valuation remained attractive at the end of the Reporting Period, in our view, given its prospects for growth. We considered the purchase of Bank of Ireland an attractive opportunity among domestically-exposed mid-cap names. |
| | We sold the Fund’s position in Denmark-based pharmaceuticals company Novo Nordisk following the |
5
PORTFOLIO RESULTS
| | stock’s strong performance due to overall concerns surrounding pricing in the health care sector. |
| | We eliminated the Fund’s position in French banking group Societe Generale following poor performance and based on concerns around its ability to improve its efficiency to improve returns. |
| Q | | Were there any notable changes in the Fund’s weightings during the Reporting Period? |
| A | | In this Fund, both sector weightings and country allocations are largely the result of our bottom-up stock selection process rather than any top-down macroeconomic views or regional, country, sector or industry bets. We seek to outpace the MSCI® Index by overweighting stocks that we expect to outperform and underweighting those we think may lag. Consequently, changes in its sector or country weightings are generally the direct result of individual stock selection or of stock appreciation or depreciation. That said, during the Reporting Period, the Fund’s exposure to consumer discretionary modestly increased relative to the MSCI® Index during the Reporting Period, while its relative exposure to industrials and energy modestly decreased. From a country perspective, there were no notable changes made during the Reporting Period. |
| Q | | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
| A | | There were no material changes to the Fund’s portfolio management team during the Reporting Period. |
| Q | | How was the Fund positioned relative to the MSCI® Index at the end of the Reporting Period? |
| A | | At the end of the Reporting Period, the Fund had more exposure to France, Germany, Ireland, Spain, South Korea and the U.K. and less exposure to Australia, Japan and Switzerland relative to the MSCI® Index. At the end of the Reporting Period, the Fund held neutral positions relative to the MSCI® Index in several countries, most notably Sweden and Italy. |
| | From a sector allocation perspective, the Fund had overweight positions relative to the MSCI® Index in health care and industrials at the end of the Reporting Period. On the same date, the Fund had underweighted positions compared to the MSCI® Index in telecommunication services, consumer staples and financials and was rather neutrally weighted compared to the MSCI® Index in information technology, consumer discretionary, materials, energy and utilities. |
| | As always, we remained focused on individual stock selection, with sector and country positioning being a secondary, closely-monitored effect. |
6
FUND BASICS
Focused International Equity Fund
as of April 30, 2016
| | | | | | | | | | |
| | PERFORMANCE REVIEW | |
| | | November 1, 2015–April 30, 2016 | | Fund Total Return
(based on NAV)1 | | | MSCI® Index2 | |
| | Class A | | | -2.85 | % | | | -3.07 | % |
| | Class C | | | -3.19 | | | | -3.07 | |
| | Institutional | | | -2.63 | | | | -3.07 | |
| | Service | | | -2.90 | | | | -3.07 | |
| | | Class IR | | | -2.69 | | | | -3.07 | |
| | | |
| | | | | | | | | |
| | | February 26, 2016–April 30, 2016 | | Fund Total Return
(based on NAV)1 | | | MSCI® Index2 | |
| | | Class R6 | | | 10.71 | % | | | 9.61 | % |
| | 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 MSCI® Index is a market capitalization-weighted composite of securities in 22 developed markets. The Index approximates the minimum possible dividend reinvestment. The dividend is reinvested after deduction for withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties. MSCI® Inc. uses withholding tax rates applicable to Luxembourg holding companies, as Luxembourg applies the highest rates. The MSCI® Index is unmanaged and the figures for the MSCI® Index do not include any deduction for fees or expenses. It is not possible to invest directly in an index. |
| | | | | | | | | | | | | | | | | | | | |
| | STANDARDIZED TOTAL RETURNS3 |
| | | For the period ended 3/31/16 | | One Year | | | Five Years | | | Ten Years | | | Since Inception | | | Inception Date |
| | Class A | | | -10.82 | % | | | 0.45 | % | | | -0.61 | % | | | 3.96 | % | | 12/01/92 |
| | Class C | | | -7.26 | | | | 0.85 | | | | -0.78 | | | | 1.28 | | | 8/15/97 |
| | Institutional | | | -5.22 | | | | 2.02 | | | | 0.37 | | | | 3.72 | | | 2/07/96 |
| | Service | | | -5.75 | | | | 1.50 | | | | -0.14 | | | | 3.11 | | | 3/06/96 |
| | Class IR | | | -5.40 | | | | 1.87 | | | | N/A | | | | 4.88 | | | 8/31/10 |
| | | Class R6 | | | N/A | | | | N/A | | | | N/A | | | | 7.69 | | | 2/26/16 |
| | 3 | | The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% 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 and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
7
FUND BASICS
| | | | | | | | | | |
| | EXPENSE RATIOS4 | |
| | | | | Net Expense Ratio (Current) | | | Gross Expense Ratio (Before Waivers) | |
| | Class A | | | 1.30 | % | | | 1.64 | % |
| | Class C | | | 2.05 | | | | 2.39 | |
| | Institutional | | | 0.90 | | | | 1.24 | |
| | Service | | | 1.40 | | | | 1.73 | |
| | Class IR | | | 1.05 | | | | 1.39 | |
| | | Class R6 | | | 0.88 | | | | 1.22 | |
| | 4 | | 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 February 26, 2017, 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 HOLDINGS AS OF 4/30/165 |
| | | Holding | | % of
Net Assets | | | Line of Business | | Country |
| | Royal Dutch Shell PLC Class A | | | 4.1 | % | | Energy | | Netherlands |
| | Bayer AG (Registered) | | | 4.0 | | | Pharmaceuticals,
Biotechnology & Life Sciences | | Germany |
| | Computershare Ltd. | | | 3.9 | | | Software & Services | | Australia |
| | Reckitt Benckiser Group PLC | | | 3.3 | | | Household & Personal
Products | | United Kingdom |
| | Mitsubishi Estate Co. Ltd. | | | 3.2 | | | Real Estate | | Japan |
| | Klepierre | | | 3.2 | | | Real Estate Investment Trust | | France |
| | Iberdrola SA | | | 3.2 | | | Utilities | | Spain |
| | Shire PLC | | | 3.2 | | | Pharmaceuticals,
Biotechnology & Life Sciences | | Ireland |
| | Safran SA | | | 3.2 | | | Capital Goods | | France |
| | | Wolseley PLC | | | 3.0 | | | Capital Goods | | Switzerland |
| | 5 | | The top 10 holdings may not be representative of the Fund’s future investments. |
8
FUND BASICS
|
| FUND VS. BENCHMARK SECTOR ALLOCATIONS6 |
| As of April 30, 2016 |
| | 6 | | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. |
9
PORTFOLIO RESULTS
Goldman Sachs Strategic International Equity Fund
Investment Objective
The Fund seeks long-term growth of capital.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Fundamental International Equity Team discusses the Goldman Sachs Strategic International Equity Fund’s (the “Fund”) performance and positioning for the six-month period ended April 30, 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 cumulative total returns, without sales charges, of -3.36%, -3.68%, -3.12%, -3.17% and -3.42%, respectively. These returns compare to the -3.07% cumulative total return of the Fund’s benchmark, the Morgan Stanley Capital International (MSCI®) Europe, Australasia, Far East Index (Net, USD, Unhedged) (the “MSCI® Index”), during the same period. |
| | Since their inception on February 26, 2016, the Fund’s Class R6 Shares generated a cumulative total return, without sales charge, of 9.54%. This return compares to the 9.61% cumulative total return of the MSCI® Index during the same period. |
| Q | | What key factors were responsible for the Fund’s performance during the Reporting Period? |
| A | | The Fund’s underperformance of the MSCI® Index during the Reporting Period can be primarily attributed to individual stock selection. Country allocation also detracted, although sector allocation contributed positively. |
| Q | | Which stocks detracted significantly from the Fund’s performance during the Reporting Period? |
| A | | Among the biggest detractors from Fund performance relative to the MSCI® Index during the Reporting Period were three banks in the financials sector — Credit Suisse, UniCredit and Sumitomo Mitsui Financial Group. |
| | Credit Suisse’s share price came under pressure in the first part of the Reporting Period, as it was in the process of raising equity. The company finished its rights issue in the second week of November 2015. However, it performed poorly following the announcement of weaker than expected fourth quarter 2015 results, citing difficult market conditions amidst its transition to shrink its investment bank and focus on its private bank. At the end of the Reporting Period, we believed the stock still presented significant long-term value. |
| | Shares of UniCredit sold off along with other Italian banks in January 2016 following increased concerns surrounding Italian non-performing loans. This came after the resolution of four small Italian banks at the end of 2015, which triggered the bail-in of their subordinated debt. (A non-performing loan is the sum of borrowed money upon which the debtor has not made his or her schedule payments for at least 90 days. A non-performing loan is either in default or close to being in default. A bail-in occurs when the borrower’s creditors are forced to bear some of the burden by having a portion of their debt written off.) We believe these banks represented isolated cases and that asset quality in Italy is gradually improving. At the end of the Reporting Period, we believed UniCredit remained attractively valued relative to other European banks. |
| | Sumitomo Mitsui Financial Group, which provides commercial banking and a variety of financial services, was a detractor during the Reporting Period due to the introduction of a negative interest rate by the Bank of Japan. Although its third quarter 2015 earnings results were in line with market expectations, its stock underperformed the MSCI® Index on investor concerns about the potentially detrimental effects of the negative interest rate, such as a squeeze on the bank’s net interest margin and low returns from securities investments. |
| Q | | What were some of the Fund’s best-performing individual stocks? |
| A | | The greatest contributors to Fund performance relative to the MSCI® Index during the Reporting Period were Japan Tobacco, Covestro and Adidas. |
10
PORTFOLIO RESULTS
| | Japan Tobacco was the top positive contributor to the Fund’s relative results during the Reporting Period. Through an enduring emphasis on cost rationalization, the company has created meaningful earnings quality and dividend growth during the Reporting Period, helping to drive its stock performance. At the end of the Reporting Period, we continued to like the company due to its significant market share and brand value in both Asia and Europe (through international licensing rights of local brands). We also liked the relative stability of Japan Tobacco’s diversified, non-core businesses in consumer staples and pharmaceuticals. |
| | Another top positive contributor to the Fund’s results during the Reporting Period was Covestro. Covestro is a global leader in polyurethanes and polycarbonates and operates a coatings, adhesives and specialties business. In October 2015, the German health care company Bayer conducted an Initial Public Offering (“IPO”) on approximately 35% of its materials science business known as Covestro. We took part in the IPO and purchased shares for the Fund in what we believed to be a company trading at a significant discount to both its intrinsic value and competitors in the industry. Covestro’s stock performed well as investors began to recognize the intrinsic value of the company following the IPO. At the end of the Reporting Period, we continued to believe the company was trading at a significant discount to both its intrinsic value and competitors in the industry with strong free cash flow anticipated during the next few years. |
| | Also contributing positively to the Fund’s relative performance during the Reporting Period was Adidas, the German-based sports apparel and equipment company. Its stock performed strongly as the company posted consistently strong earnings results for the most recent three quarters and upgraded its fiscal year 2016 guidance. At the end of the Reporting Period, we continued to like the stock and believed Adidas has a strong global brand that remained undervalued. |
| Q | | Which equity market sectors most significantly affected Fund performance during the Reporting Period? |
| A | | The biggest detractors from the Fund’s results during the Reporting Period were financials, health care and utilities, where weak stock selection in each hurt most. Sector allocation positioning in financials and utilities also detracted, albeit modestly. |
| | The sectors that contributed most to the Fund’s performance relative to the MSCI® Index were consumer staples, consumer discretionary and industrials. Stock selection in all three sectors proved effective during the Reporting Period as did allocation positioning in consumer staples and consumer discretionary. |
| Q | | Which countries most affected the Fund’s performance during the Reporting Period? |
| A | | Typically, the Fund’s individual stock holdings will significantly influence the Fund’s performance within a particular country or region relative to the MSCI® Index. This effect may be even more pronounced in countries that represent only a modest proportion of the MSCI® Index. |
| | That said, the countries that detracted most from the Fund’s relative performance were Switzerland, Australia and Italy, where stock selection overall hurt. Allocation positioning in Australia further detracted. Conversely, effective individual stock selection in Japan, Germany and the U.K. contributed most positively to the Fund’s results relative to the MSCI® Index. |
| Q | | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | | During the Reporting Period, the Fund did not use derivatives or similar instruments. |
| Q | | Did the Fund make any significant purchases or sales during the Reporting Period? |
| A | | During the Reporting Period, we purchased Fund positions in Moncler, Virgin Money and UBM. |
| | We initiated a Fund position in Moncler, a French/Italian apparel brand, most known for its down jackets and sportswear. The company operates in a niche segment of luxury, where there is little competition and where it has continued to have strong momentum. We believe the company should benefit as the “affordable luxury” segment gains traction with millennials. There is substantial growth potential compared to other luxury brands, in our opinion, which have already over-expanded and are now seeing declining revenue growth. Moncler’s management team is thoughtful, in our view, about the longer-term sustainability of its business, recently choosing to bring its production in |
11
PORTFOLIO RESULTS
| | house, focus on new product lines and invest in digital/ online. (Digital/online is an umbrella term for the marketing of products or services using digital technologies, mainly on the Internet, but also including mobile phones, display advertising, and any other digital medium.) Its stock underperformed the MSCI® Index during the Reporting Period due to warm weather, weak sentiment around exposure to China and a small change in business strategy that concerned the market but which we view as positive. We see each of these headwinds as short-term and believe they created an attractive entry point for the Fund. |
| | We introduced Virgin Money to the Fund during the Reporting Period. Virgin Money is a financial services company based in the U.K. (services available in the U.K, South Africa and Australia), offering retail mortgage, credit cards, savings, individual savings accounts (U.K. tax free accounts), investments and insurance. We saw the company as a favorable opportunity, as it attracts customers with its brand (it calls branches “lounges” as part of its customer experience) and information technology platform. When Northern Rock was bailed out by the U.K. government, Virgin Money bought its platform as a distressed asset. In our view, Virgin Money benefits from strong earnings growth potential as it expands, owing to a fixed cost base (ex-Northern Rock platform) and therefore high operating leverage. |
| | UBM is a global business-to-business event organizer headquartered in the U.K. The majority of its revenues are derived from participating companies in the trade shows, who tend to book attendance one year in advance. We find the company attractive, as it offers steady growth potential and relative immunity to recessions, since companies book in advance and likely still attend trade shows in a downturn. UBM is also debt light. |
| | Conversely, we sold out of the Fund’s positions in Start Today, Banco Bilbau Vizcaya Argentaria (“BBVA”) and Total during the Reporting Period. |
| | We sold the Fund’s position in Start Today, a Japan-based online apparel shopping site, following a period of strong performance and as we viewed its valuation to have become stretched. |
| | We eliminated the Fund’s position in BBVA. Its stock underperformed the MSCI® Index during the Reporting Period due to political uncertainty in Spain following the December 2015 elections. The election resulted in a hung parliament and continued to weigh on the financials sector. We sold the position to avoid exposure to Spanish financials until the political uncertainty is resolved. |
| | We exited the Fund’s position in French integrated oil company Total following a span of relative outperformance. We decided to redeploy capital in other opportunities in the energy sector. |
| Q | | Were there any notable changes in the Fund’s weightings during the Reporting Period? |
| A | | In this Fund, both sector weightings and country allocations are largely the result of our bottom-up stock selection process rather than any top-down macroeconomic views or regional, country, sector or industry bets. We seek to outpace the MSCI® Index by overweighting stocks that we expect to outperform and underweighting those we think may lag. Consequently, changes in its sector or country weightings are generally the direct result of individual stock selection or of stock appreciation or depreciation. That said, during the Reporting Period, the Fund’s exposure to telecommunication services increased modestly relative to the MSCI® Index during the Reporting Period, while its relative exposure to energy and information technology decreased modestly. From a country perspective, there were no notable changes made during the Reporting Period. |
| Q | | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
| A | | There were no material changes to the Fund’s portfolio management team during the Reporting Period. |
| Q | | How was the Fund positioned relative to the MSCI® Index at the end of the Reporting Period? |
| A | | At the end of the Reporting Period, the Fund had more exposure to Ireland, Belgium, Germany, Sweden, China and Spain relative to the MSCI® Index and less exposure to the U.K., Australia, the Netherlands and Japan relative to the MSCI® Index. At the end of the Reporting Period, the Fund held neutral positions relative to the MSCI® Index in several countries, most notably South Korea, Norway, Italy, France, Singapore, Switzerland and Denmark. |
| | From a sector allocation perspective, the Fund had overweight positions relative to the MSCI® Index in consumer staples at the end of the Reporting Period. On the same date, the Fund had underweighted positions compared to the MSCI® Index in industrials, consumer discretionary, |
12
PORTFOLIO RESULTS
| | utilities and materials and rather neutral positions relative to the MSCI® Index in health care, energy, information technology, financials and telecommunication services. |
| | As always, we remained focused on individual stock selection, with sector and country positioning being a secondary, closely-monitored effect. |
13
FUND BASICS
Strategic International Equity Fund
as of April 30, 2016
| | | | | | | | | | |
| | PERFORMANCE REVIEW | |
| | | November 1, 2015–April 30, 2016 | | Fund Total Return
(based on NAV)1 | | | MSCI® Index2 | |
| | Class A | | | -3.36 | % | | | -3.07 | % |
| | Class C | | | -3.68 | | | | -3.07 | |
| | Institutional | | | -3.12 | | | | -3.07 | |
| | Class IR | | | -3.17 | | | | -3.07 | |
| | | Class R | | | -3.42 | | | | -3.07 | |
| | | |
| | | | | | | | | |
| | | February 26, 2016–April 30, 2016 | | Fund Total Return
(based on NAV)1 | | | MSCI® Index2 | |
| | | Class R6 | | | 9.54 | % | | | 9.61 | % |
| | 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 MSCI® Index is a market capitalization-weighted composite of securities in 22 developed markets. The MSCI® Index approximates the minimum possible dividend reinvestment. The dividend is reinvested after deduction for withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties. MSCI® Inc. uses withholding tax rates applicable to Luxembourg holding companies, as Luxembourg applies the highest rates. The MSCI® Index is unmanaged and the figures for the Index do not include any deduction for fees or expenses. It is not possible to invest directly in an index. |
| | | | | | | | | | | | | | | | |
| | STANDARDIZED TOTAL RETURNS3 |
| | | For the period ended 3/31/16 | | One Year | | | Five Years | | | Since Inception | | | Inception Date |
| | Class A | | | -12.80 | % | | | 0.93 | % | | | -1.84 | % | | 6/25/07 |
| | Class C | | | -9.34 | | | | 1.33 | | | | -1.94 | | | 6/25/07 |
| | Institutional | | | -7.34 | | | | 2.50 | | | | -0.82 | | | 6/25/07 |
| | Class IR | | | -7.50 | | | | 2.35 | | | | -1.84 | | | 11/30/07 |
| | Class R | | | -7.99 | | | | 1.81 | | | | -2.39 | | | 11/30/07 |
| | | Class R6 | | | N/A | | | | N/A | | | | 6.75 | | | 2/26/16 |
| | 3 | | The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% 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 R, Class IR and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
14
FUND BASICS
| | | | | | | | | | |
| | EXPENSE RATIOS4 | |
| | | | | Net Expense Ratio (Current) | | | Gross Expense Ratio (Before Waivers) | |
| | Class A | | | 1.30 | % | | | 1.82 | % |
| | Class C | | | 2.05 | | | | 2.57 | |
| | Institutional | | | 0.90 | | | | 1.42 | |
| | Class IR | | | 1.05 | | | | 1.56 | |
| | Class R | | | 1.55 | | | | 2.07 | |
| | | Class R6 | | | 0.88 | | | | 1.40 | |
| | 4 | | 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 February 26, 2017, 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 HOLDINGS AS OF 4/30/165 |
| | | Holding | | % of Net Assets | | | Line of Business | | Country |
| | Royal Dutch Shell PLC Class A | | | 4.2 | % | | Energy | | Netherlands |
| | Anheuser-Busch InBev NV | | | 3.5 | | | Food, Beverage & Tobacco | | Belgium |
| | Novartis AG (Registered) | | | 2.8 | | | Pharmaceuticals, Biotechnology &
Life Sciences | | Switzerland |
| | Japan Tobacco, Inc. | | | 2.6 | | | Food, Beverage & Tobacco | | Japan |
| | Iberdrola SA | | | 2.3 | | | Utilities | | Spain |
| | Beiersdorf AG | | | 2.3 | | | Household & Personal Products | | Germany |
| | Australia & New Zealand Banking Group Ltd. | | | 2.2 | | | Banks | | Australia |
| | Bayer AG (Registered) | | | 2.2 | | | Pharmaceuticals, Biotechnology &
Life Sciences | | Germany |
| | UBS Group AG (Registered) | | | 2.2 | | | Diversified Financials | | Switzerland |
| | | Mitsubishi Estate Co. Ltd. | | | 2.0 | | | Real Estate | | Japan |
| | 5 | | The top 10 holdings may not be representative of the Fund’s future investments. |
15
FUND BASICS
|
| FUND VS. BENCHMARK SECTOR ALLOCATIONS6 |
| As of April 30, 2016 |
| | 6 | | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. Underlying sector allocations of exchange traded funds held by the Fund are not reflected in the graph above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. |
16
GOLDMAN SACHS FOCUSED INTERNATIONAL EQUITY FUND
Schedule of Investments
April 30, 2016 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| | Common Stocks – 95.2% | |
| | Australia – 3.9% | |
| | 1,131,817 | | | Computershare Ltd. (Software & Services) | | $ | 8,663,931 | |
| | |
| | France – 15.2% | |
| | 150,733 | | | Klepierre (REIT) | | | 7,089,344 | |
| | 90,104 | | | Publicis Groupe SA (Media) | | | 6,667,986 | |
| | 307,069 | | | Rexel SA (Capital Goods) | | | 4,655,958 | |
| | 101,194 | | | Safran SA (Capital Goods) | | | 6,976,276 | |
| | 47,978 | | | Sanofi (Pharmaceuticals, Biotechnology & Life Sciences) | | | 3,954,662 | |
| | 57,735 | | | Vinci SA (Capital Goods) | | | 4,312,130 | |
| | | | | | | | |
| | | | | | | 33,656,356 | |
| | |
| | Germany – 13.5% | |
| | 76,684 | | | Bayer AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | | | 8,862,132 | |
| | 72,386 | | | Beiersdorf AG (Household & Personal Products) | | | 6,499,923 | |
| | 519,400 | | | Commerzbank AG (Banks) | | | 4,870,603 | |
| | 116,937 | | | Covestro AG (Materials)*(a) | | | 4,625,865 | |
| | 62,093 | | | SAP SE (Software & Services) | | | 4,871,882 | |
| | | | | | | | |
| | | | | | | 29,730,405 | |
| | |
| | Ireland – 7.3% | |
| | 15,992,012 | | | Bank of Ireland (Banks)* | | | 4,863,942 | |
| | 951,157 | | | C&C Group PLC (Food, Beverage & Tobacco) | | | 4,286,097 | |
| | 112,381 | | | Shire PLC (Pharmaceuticals, Biotechnology & Life Sciences) | | | 7,012,799 | |
| | | | | | | | |
| | | | | | | 16,162,838 | |
| | |
| | Italy – 2.0% | |
| | 1,143,636 | | | UniCredit SpA (Banks) | | | 4,435,031 | |
| | |
| | Japan – 19.6% | |
| | 112,100 | | | Dentsu, Inc. (Media) | | | 5,695,690 | |
| | 144,500 | | | Hoya Corp. (Health Care Equipment & Services) | | | 5,533,523 | |
| | 501,400 | | | Isuzu Motors Ltd. (Automobiles & Components) | | | 5,365,121 | |
| | 377,000 | | | Mitsubishi Estate Co. Ltd. (Real Estate) | | | 7,163,986 | |
| | 84,100 | | | Nidec Corp. (Capital Goods) | | | 6,162,349 | |
| | 384,200 | | | ORIX Corp. (Diversified Financials) | | | 5,434,484 | |
| | 44,500 | | | Pola Orbis Holdings, Inc. (Household & Personal Products) | | | 3,539,007 | |
| | 149,300 | | | Sumitomo Mitsui Financial Group, Inc. (Banks) | | | 4,492,694 | |
| | | | | | | | |
| | | | | | | 43,386,854 | |
| | |
| | Common Stocks – (continued) | |
| | Netherlands – 4.1% | |
| | 348,075 | | | Royal Dutch Shell PLC Class A (Energy) | | $ | 9,117,198 | |
| | |
| | South Korea – 1.9% | |
| | 98,393 | | | Kia Motors Corp. (Automobiles & Components) | | | 4,126,767 | |
| | |
| | Spain – 5.3% | |
| | 1,658,440 | | | Banco Popular Espanol SA (Banks) | | | 4,522,031 | |
| | 994,991 | | | Iberdrola SA (Utilities) | | | 7,083,083 | |
| | | | | | | | |
| | | | | | | 11,605,114 | |
| | |
| | Sweden – 2.1% | |
| | 388,514 | | | Volvo AB Class B (Capital Goods) | | | 4,556,011 | |
| | |
| | Switzerland – 9.8% | |
| | 286,127 | | | Credit Suisse Group AG (Registered) (Diversified Financials)* | | | 4,354,413 | |
| | 11,126 | | | Syngenta AG (Registered) (Materials) | | | 4,463,365 | |
| | 18,016 | | | The Swatch Group AG (Consumer Durables & Apparel) | | | 6,146,725 | |
| | 119,611 | | | Wolseley PLC (Capital Goods) | | | 6,699,659 | |
| | | | | | | | |
| | | | | | | 21,664,162 | |
| | |
| | United Kingdom – 10.5% | |
| | 759,532 | | | BTG PLC (Pharmaceuticals, Biotechnology & Life Sciences)* | | | 6,584,994 | |
| | 73,887 | | | Reckitt Benckiser Group PLC (Household & Personal Products) | | | 7,197,990 | |
| | 135,557 | | | Rio Tinto PLC (Materials) | | | 4,547,435 | |
| | 1,494,586 | | | Vodafone Group PLC (Telecommunication Services) | | | 4,815,313 | |
| | | | | | | | |
| | | | | | | 23,145,732 | |
| | |
| | TOTAL INVESTMENTS – 95.2% | |
| | (Cost $233,086,212) | | $ | 210,250,399 | |
| | |
| OTHER ASSETS IN EXCESS OF
LIABILITIES – 4.8% | | | 10,691,479 | |
| | |
| | NET ASSETS – 100.0% | | $ | 220,941,878 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 17 |
GOLDMAN SACHS FOCUSED INTERNATIONAL EQUITY FUND
Schedule of Investments (continued)
April 30, 2016 (Unaudited)
| | |
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | | Non-income producing security. |
(a) | | Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, 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 $4,625,865, which represents approximately 2.1% of net assets as of April 30, 2016. |
| | |
|
Investment Abbreviation: |
REIT | | —Real Estate Investment Trust |
|
| | |
| 18 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS STRATEGIC INTERNATIONAL EQUITY FUND
Schedule of Investments
April 30, 2016 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| | Common Stocks – 96.4% | |
| | Australia – 4.5% | |
| | 88,297 | | | Australia & New Zealand Banking Group Ltd. (Banks) | | $ | 1,618,478 | |
| | 30,221 | | | BHP Billiton PLC (Materials) | | | 412,955 | |
| | 164,818 | | | Computershare Ltd. (Software & Services) | | | 1,261,663 | |
| | | | | | | | |
| | | | | | | 3,293,096 | |
| | |
| | Belgium – 3.5% | |
| | 20,304 | | | Anheuser-Busch InBev NV (Food, Beverage & Tobacco) | | | 2,518,790 | |
| | |
| | China – 1.3% | |
| | 217,000 | | | ANTA Sports Products Ltd. (Consumer Durables & Apparel) | | | 552,749 | |
| | 217,000 | | | China Mengniu Dairy Co. Ltd. (Food, Beverage & Tobacco) | | | 366,973 | |
| | | | | | | | |
| | | | | | | 919,722 | |
| | |
| | Denmark – 1.9% | |
| | 24,012 | | | Novo Nordisk A/S Class B (Pharmaceuticals, Biotechnology & Life Sciences) | | | 1,340,696 | |
| | |
| | France – 10.2% | |
| | 8,615 | | | Air Liquide SA (Materials) | | | 977,084 | |
| | 27,007 | | | Klepierre (REIT) | | | 1,270,206 | |
| | 11,791 | | | Publicis Groupe SA (Media) | | | 872,572 | |
| | 36,203 | | | Rexel SA (Capital Goods) | | | 548,931 | |
| | 15,188 | | | Safran SA (Capital Goods) | | | 1,047,055 | |
| | 9,787 | | | Sanofi (Pharmaceuticals, Biotechnology & Life Sciences) | | | 806,709 | |
| | 21,102 | | | Societe Generale SA (Banks) | | | 830,304 | |
| | 14,180 | | | Vinci SA (Capital Goods) | | | 1,059,080 | |
| | | | | | | | |
| | | | | | | 7,411,941 | |
| | |
| | Germany – 10.6% | |
| | 6,228 | | | Adidas AG (Consumer Durables & Apparel) | | | 803,520 | |
| | 13,897 | | | Bayer AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | | | 1,606,033 | |
| | 18,254 | | | Beiersdorf AG (Household & Personal Products) | | | 1,639,124 | |
| | 74,877 | | | Commerzbank AG (Banks) | | | 702,149 | |
| | 25,780 | | | Covestro AG (Materials)*(a) | | | 1,019,821 | |
| | 16,120 | | | GEA Group AG (Capital Goods) | | | 749,089 | |
| | 14,977 | | | SAP SE (Software & Services) | | | 1,175,111 | |
| | | | | | | | |
| | | | | | | 7,694,847 | |
| | |
| | Ireland – 5.5% | |
| | 3,382,198 | | | Bank of Ireland (Banks)* | | | 1,028,690 | |
| | 19,050 | | | Kerry Group PLC Class A (Food, Beverage & Tobacco) | | | 1,697,711 | |
| | 19,630 | | | Shire PLC (Pharmaceuticals, Biotechnology & Life Sciences) | | | 1,224,951 | |
| | | | | | | | |
| | | | | | | 3,951,352 | |
| | |
| | Common Stocks – (continued) | |
| | Italy – 2.6% | |
| | 33,680 | | | Moncler SpA (Consumer Durables & Apparel) | | $ | 547,427 | |
| | 698,184 | | | Telecom Italia SpA (Telecommunication Services)* | | | 681,758 | |
| | 170,906 | | | UniCredit SpA (Banks) | | | 662,775 | |
| | | | | | | | |
| | | | | | | 1,891,960 | |
| | |
| | Japan – 19.2% | |
| | 7,000 | | | Dentsu, Inc. (Media) | | | 355,663 | |
| | 37,100 | | | HIS Co. Ltd. (Consumer Services) | | | 916,317 | |
| | 30,600 | | | Hoya Corp. (Health Care Equipment & Services) | | | 1,171,805 | |
| | 46,700 | | | Japan Tobacco, Inc. (Food, Beverage & Tobacco) | | | 1,908,066 | |
| | 26,000 | | | Kao Corp. (Household & Personal Products) | | | 1,438,241 | |
| | 43,000 | | | KDDI Corp. (Telecommunication Services) | | | 1,238,647 | |
| | 52,400 | | | Kubota Corp. (Capital Goods) | | | 763,303 | |
| | 78,000 | | | Mitsubishi Estate Co. Ltd. (Real Estate) | | | 1,482,204 | |
| | 16,900 | | | Nidec Corp. (Capital Goods) | | | 1,238,332 | |
| | 80,100 | | | ORIX Corp. (Diversified Financials) | | | 1,133,009 | |
| | 11,800 | | | Pola Orbis Holdings, Inc. (Household & Personal Products) | | | 938,433 | |
| | 42,700 | | | Sumitomo Mitsui Financial Group, Inc. (Banks) | | | 1,284,916 | |
| | | | | | | | |
| | | | | | | 13,868,936 | |
| | |
| | Netherlands – 5.4% | |
| | 9,361 | | | ASML Holding NV (Semiconductors & Semiconductor Equipment)* | | | 904,795 | |
| | 115,452 | | | Royal Dutch Shell PLC Class A (Energy) | | | 3,024,057 | |
| | | | | | | | |
| | | | | | | 3,928,852 | |
| | |
| | Norway – 1.3% | |
| | 53,287 | | | Statoil ASA (Energy) | | | 937,920 | |
| | |
| | Singapore – 1.6% | |
| | 103,105 | | | DBS Group Holdings Ltd. (Banks) | | | 1,166,228 | |
| | |
| | South Korea – 1.0% | |
| | 16,652 | | | Kia Motors Corp. (Automobiles & Components) | | | 698,413 | |
| | |
| | Spain – 4.4% | |
| | 148,091 | | | Banco Bilbao Vizcaya Argentaria SA (Banks) | | | 1,017,653 | |
| | 183,180 | | | Banco Popular Espanol SA (Banks) | | | 499,473 | |
| | 232,525 | | | Iberdrola SA (Utilities) | | | 1,655,285 | |
| | | | | | | | |
| | | | | | | 3,172,411 | |
| | |
| | Sweden – 4.3% | |
| | 36,786 | | | Hennes & Mauritz AB Class B (Retailing)* | | | 1,309,963 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 19 |
GOLDMAN SACHS STRATEGIC INTERNATIONAL EQUITY FUND
Schedule of Investments (continued)
April 30, 2016 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Sweden – (continued) | |
| | 37,714 | | | Svenska Cellulosa AB SCA Class B (Household & Personal Products) | | $ | 1,189,938 | |
| | 53,822 | | | Volvo AB Class B (Capital Goods) | | | 631,158 | |
| | | | | | | | |
| | | | | | | 3,131,059 | |
| | |
| | Switzerland – 11.1% | |
| | 57,232 | | | Credit Suisse Group AG (Registered) (Diversified Financials)* | | | 870,983 | |
| | 26,668 | | | Novartis AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | | | 2,029,495 | |
| | 2,848 | | | Syngenta AG (Registered) (Materials) | | | 1,142,519 | |
| | 3,322 | | | The Swatch Group AG (Consumer Durables & Apparel) | | | 1,133,405 | |
| | 90,358 | | | UBS Group AG (Registered) (Diversified Financials) | | | 1,566,397 | |
| | 23,586 | | | Wolseley PLC (Capital Goods) | | | 1,321,101 | |
| | | | | | | | |
| | | | | | | 8,063,900 | |
| | |
| | United Kingdom – 8.0% | |
| | 126,398 | | | Aviva PLC (Insurance) | | | 800,793 | |
| | 74,347 | | | BTG PLC (Pharmaceuticals, Biotechnology & Life Sciences)* | | | 644,574 | |
| | 136,013 | | | Just Eat PLC (Software & Services)* | | | 764,090 | |
| | 31,983 | | | Melrose Industries PLC (Capital Goods) | | | 174,752 | |
| | 16,171 | | | Rio Tinto PLC (Materials) | | | 542,477 | |
| | 82,526 | | | UBM PLC (Media) | | | 687,580 | |
| | 131,841 | | | Virgin Money Holdings UK PLC (Banks) | | | 704,892 | |
| | 451,279 | | | Vodafone Group PLC (Telecommunication Services) | | | 1,453,947 | |
| | | | | | | | |
| | | | | | | 5,773,105 | |
| | |
| | TOTAL COMMON STOCKS | |
| | (Cost $74,008,683) | | $ | 69,763,228 | |
| | |
| | | | | | | | |
| | Exchange Traded Fund – 1.5% | |
| | United States – 1.5% | |
| | 92,419 | | | iShares MSCI Japan Fund | | $ | 1,055,425 | |
| | (Cost $1,164,331) | | | | |
| | |
| | TOTAL INVESTMENTS – 97.9% | |
| | (Cost $75,173,014) | | $ | 70,818,653 | |
| | |
| OTHER ASSETS IN EXCESS OF
LIABILITIES – 2.1% | | | 1,537,117 | |
| | |
| | NET ASSETS – 100.0% | | $ | 72,355,770 | |
| | |
| | |
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | | Non-income producing security. |
(a) | | Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, 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 $1,019,821, which represents approximately 1.4% of net assets as of April 30, 2016. |
| | |
|
Investment Abbreviation: |
REIT | | —Real Estate Investment Trust |
|
| | |
| 20 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
Statements of Assets and Liabilities
April 30, 2016 (Unaudited)
| | | | | | | | | | |
| | | | | Focused International Equity Fund | | | Strategic International Equity Fund | |
| | Assets: | |
| | Investments, at value (cost $233,086,212 and $75,173,014) | | $ | 210,250,399 | | | $ | 70,818,653 | |
| | Cash | | | 33,149,991 | | | | 865,833 | |
| | Foreign currencies, at value (cost $434,349 and $164,147 ) | | | 437,164 | | | | 159,082 | |
| | Receivables: | | | — | | | | — | |
| | Dividends | | | 623,190 | | | | 224,048 | |
| | Foreign tax reclaims | | | 517,746 | | | | 245,462 | |
| | Investments sold | | | 93,083 | | | | 340,756 | |
| | Fund shares sold | | | 50,911 | | | | 89,532 | |
| | Reimbursement from investment adviser | | | 30,105 | | | | 22,393 | |
| | Other assets | | | 70,028 | | | | — | |
| | Total assets | | | 245,222,617 | | | | 72,765,759 | |
| | | | | | | | | | |
| | Liabilities: | |
| | Payables: | | | | | | | | |
| | Investments purchased | | | 23,626,870 | | | | 196,609 | |
| | Fund shares redeemed | | | 389,020 | | | | 82,157 | |
| | Management fees | | | 133,520 | | | | 50,542 | |
| | Distribution and Service fees and Transfer Agency fees | | | 36,196 | | | | 13,580 | |
| | Accrued expenses | | | 95,133 | | | | 67,101 | |
| | Total liabilities | | | 24,280,739 | | | | 409,989 | |
| | | | | | | | | | |
| | Net Assets: | |
| | Paid-in capital | | | 460,282,441 | | | | 119,951,588 | |
| | Undistributed net investment income | | | 4,717,886 | | | | 278,485 | |
| | Accumulated net realized loss | | | (221,203,881 | ) | | | (43,518,535 | ) |
| | Net unrealized loss | | | (22,854,568 | ) | | | (4,355,768 | ) |
| | | NET ASSETS | | $ | 220,941,878 | | | $ | 72,355,770 | |
| | | Net Assets: | | | | | | | | |
| | | Class A | | $ | 43,234,078 | | | $ | 21,166,313 | |
| | | Class C | | | 16,843,021 | | | | 4,547,421 | |
| | | Institutional | | | 159,836,531 | | | | 46,180,357 | |
| | | Service | | | 33,877 | | | | — | |
| | | Class IR | | | 983,297 | | | | 438,051 | |
| | | Class R | | | — | | | | 12,676 | |
| | | Class R6 | | | 11,074 | | | | 10,952 | |
| | | Total Net Assets | | $ | 220,941,878 | | | $ | 72,355,770 | |
| | | Shares outstanding $0.001 par value (unlimited shares authorized): | | | | | | | | |
| | | Class A | | | 2,501,889 | | | | 1,703,508 | |
| | | Class C | | | 1,049,128 | | | | 406,618 | |
| | | Institutional | | | 9,088,985 | | | | 3,554,838 | |
| | | Service | | | 1,938 | | | | — | |
| | | Class IR | | | 56,113 | | | | 35,274 | |
| | | Class R | | | — | | | | 1,012 | |
| | | Class R6 | | | 630 | | | | 844 | |
| | | Net asset value, offering and redemption price per share:(a) | | | | | | | | |
| | | Class A | | | $17.28 | | | | $12.43 | |
| | | Class C | | | 16.05 | | | | 11.18 | |
| | | Institutional | | | 17.59 | | | | 12.99 | |
| | | Service | | | 17.48 | | | | — | |
| | | Class IR | | | 17.52 | | | | 12.42 | |
| | | Class R | | | — | | | | 12.53 | |
| | | Class R6 | | | 17.57 | | | | 12.98 | |
| | (a) | | Maximum public offering price per share for Class A Shares of the Focused International Equity and Strategic International Equity Funds is $18.29 and $13.15, 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 NAV or the original purchase price of the shares. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 21 |
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
Statements of Operations
For the Six Months Ended April 30, 2016 (Unaudited)
| | | | | | | | | | |
| | | | | Focused International Equity Fund | | | Strategic International Equity Fund | |
| | Investment income: | |
| | Dividends (net of foreign taxes withheld of $193,412 and $91,282) | | $ | 5,798,550 | | | $ | 904,386 | |
| | | | | | | | | | |
| | Expenses: | |
| | Management fees | | | 989,632 | | | | 315,457 | |
| | Distribution and Service fees(a) | | | 138,170 | | | | 49,208 | |
| | Transfer Agency fees(a) | | | 85,600 | | | | 34,724 | |
| | Registration fees | | | 63,704 | | | | 55,787 | |
| | Custody, accounting and administrative services | | | 58,610 | | | | 52,451 | |
| | Professional fees | | | 56,039 | | | | 51,170 | |
| | Trustee fees | | | 11,641 | | | | 11,412 | |
| | Printing and mailing costs | | | 8,067 | | | | 23,966 | |
| | Service share fees — Service Plan | | | 42 | | | | — | |
| | Service share fees — Shareholder Administration Plan | | | 42 | | | | — | |
| | Other | | | 8,702 | | | | 869 | |
| | Total expenses | | | 1,420,249 | | | | 595,044 | |
| | Less — expense reductions | | | (342,095 | ) | | | (191,163 | ) |
| | Net expenses | | | 1,078,154 | | | | 403,881 | |
| | NET INVESTMENT INCOME | | | 4,720,396 | | | | 500,505 | |
| | | | | | | | | | |
| | Realized and unrealized gain (loss): | |
| | Net realized gain (loss) from: | | | | | | | | |
| | Investments | | | (5,255,467 | ) | | | (220,224 | ) |
| | Foreign currency transactions | | | 92,887 | | | | 7,314 | |
| | Net change in unrealized gain (loss) on: | | | | | | | | |
| | Investments | | | (6,929,023 | ) | | | (3,012,105 | ) |
| | Foreign currency translation | | | 15,513 | | | | 31,918 | |
| | Net realized and unrealized loss | | | (12,076,090 | ) | | | (3,193,097 | ) |
| | NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | (7,355,694 | ) | | $ | (2,692,592 | ) |
| | (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 | | | Class IR | | | Class R | | | Class R6(b) | |
Focused International Equity | | $ | 54,705 | | | $ | 83,465 | | | $ | — | | | $ | 41,576 | | | $ | 15,858 | | | $ | 27,221 | | | $ | 7 | | | $ | 937 | | | $ | — | | | $ | 1 | |
Strategic International Equity | | | 27,100 | | | | 22,080 | | | | 28 | | | | 20,596 | | | | 4,195 | | | | 9,544 | | | | — | | | | 377 | | | | 11 | | | | 1 | |
| | (b) | | Commenced operations on February 26, 2016. |
| | |
| 22 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | | | |
| | | | | Focused International Equity Fund | | | Strategic International Equity Fund | |
| | | | | For the
Six Months Ended
April 30, 2016
(Unaudited) | | | For the Fiscal Year Ended
October 31, 2015 | | | For the
Six Months Ended
April 30, 2016
(Unaudited) | | | For the Fiscal Year Ended
October 31, 2015 | |
| | From operations: | |
| | Net investment income | | $ | 4,720,396 | | | $ | 3,098,565 | | | $ | 500,505 | | | $ | 886,902 | |
| | Net realized gain (loss) | | | (5,162,580 | ) | | | (11,319,078 | ) | | | (212,910 | ) | | | 354,960 | |
| | Net change in unrealized gain (loss) | | | (6,913,510 | ) | | | 8,208,306 | | | | (2,980,187 | ) | | | (2,049,780 | ) |
| | Net decrease in net assets resulting from operations | | | (7,355,694 | ) | | | (12,207 | ) | | | (2,692,592 | ) | | | (807,918 | ) |
| | | | | | | | | | | | | | | | | | |
| | Distributions to shareholders: | |
| | From net investment income | | | | | | | | | | | | | | | | |
| | Class A Shares | | | (534,931 | ) | | | (1,737,059 | ) | | | (178,101 | ) | | | (849,696 | ) |
| | Class C Shares | | | (98,242 | ) | | | (456,968 | ) | | | (5,202 | ) | | | (152,361 | ) |
| | Institutional Shares | | | (2,308,981 | ) | | | (5,428,826 | ) | | | (638,376 | ) | | | (1,528,500 | ) |
| | Service Shares | | | (118 | ) | | | (9,843 | ) | | | — | | | | — | |
| | Class IR Shares | | | (16,690 | ) | | | (70,733 | ) | | | (4,313 | ) | | | (5,027 | ) |
| | Class R Shares | | | — | | | | — | | | | (22 | ) | | | (557 | ) |
| | Total distributions to shareholders | | | (2,958,962 | ) | | | (7,703,429 | ) | | | (826,014 | ) | | | (2,536,141 | ) |
| | | | | | | | | | | | | | | | | | |
| | From share transactions: | |
| | Proceeds from sales of shares | | | 42,830,021 | | | | 48,121,899 | | | | 26,497,181 | | | | 25,441,147 | |
| | Reinvestment of distributions | | | 2,904,017 | | | | 7,537,145 | | | | 799,748 | | | | 2,501,122 | |
| | Cost of shares redeemed | | | (34,724,240 | ) | | | (78,117,189 | ) | | | (25,541,200 | ) | | | (24,346,563 | ) |
| | Net increase (decrease) in net assets resulting from share transactions | | | 11,009,798 | | | | (22,458,145 | ) | | | 1,755,729 | | | | 3,595,706 | |
| | TOTAL INCREASE (DECREASE) | | | 695,142 | | | | (30,173,781 | ) | | | (1,762,877 | ) | | | 251,647 | |
| | | | | | | | | | | | | | | | | | |
| | Net assets: | |
| | Beginning of period | | | 220,246,736 | | | | 250,420,517 | | | | 74,118,647 | | | | 73,867,000 | |
| | End of period | | $ | 220,941,878 | | | $ | 220,246,736 | | | $ | 72,355,770 | | | $ | 74,118,647 | |
| | Undistributed net investment income | | $ | 4,717,886 | | | $ | 2,956,452 | | | $ | 278,485 | | | $ | 603,994 | |
| | | | | | | | | | | | | | | | | | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 23 |
GOLDMAN SACHS FOCUSED INTERNATIONAL EQUITY FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Income (loss) from
investment operations | | | | | | | |
| | | Year - Share Class | | Net asset
value,
beginning
of period | | | Net
investment
income(a) | | | Net realized
and unrealized
gain (loss) | | | Total from
investment
operations | | | Distributions
to shareholders
from net
investment
income | | | Increase from
regulatory
settlements | |
| FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED) | | | | | |
| | 2016 - A | | $ | 17.98 | | | $ | 0.38 | (d) | | $ | (0.88 | ) | | $ | (0.50 | ) | | $ | (0.20 | ) | | $ | — | |
| | 2016 - C | | | 16.67 | | | | 0.29 | (d) | | | (0.82 | ) | | | (0.53 | ) | | | (0.09 | ) | | | — | |
| | 2016 - Institutional | | | 18.34 | | | | 0.42 | (d) | | | (0.89 | ) | | | (0.47 | ) | | | (0.28 | ) | | | — | |
| | 2016 - Service | | | 18.05 | | | | 0.39 | (d) | | | (0.90 | ) | | | (0.51 | ) | | | (0.06 | ) | | | — | |
| | 2016 - IR | | | 18.25 | | | | 0.34 | (d) | | | (0.83 | ) | | | (0.49 | ) | | | (0.24 | ) | | | — | |
| | 2016 - R6 (Commenced February 26, 2016) | | | 15.87 | | | | 0.09 | (d) | | | 1.61 | | | | 1.70 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | FOR THE FISCAL YEARS ENDED OCTOBER 31, | |
| | 2015 - A | | | 18.49 | | | | 0.21 | | | | (0.16 | ) | | | 0.05 | | | | (0.56 | ) | | | — | |
| | 2015 - C | | | 17.18 | | | | 0.08 | | | | (0.16 | ) | | | (0.08 | ) | | | (0.43 | ) | | | — | |
| | 2015 - Institutional | | | 18.86 | | | | 0.29 | | | | (0.16 | ) | | | 0.13 | | | | (0.65 | ) | | | — | |
| | 2015 - Service | | | 18.57 | | | | 0.14 | | | | (0.11 | ) | | | 0.03 | | | | (0.55 | ) | | | — | |
| | 2015 - IR | | | 18.76 | | | | 0.26 | | | | (0.17 | ) | | | 0.09 | | | | (0.60 | ) | | | — | |
| | 2014 - A | | | 20.00 | | | | 0.55 | (f) | | | (1.99 | ) | | | (1.44 | ) | | | (0.07 | ) | | | — | |
| | 2014 - C | | | 18.65 | | | | 0.36 | (f) | | | (1.83 | ) | | | (1.47 | ) | | | — | | | | — | |
| | 2014 - Institutional | | | 20.39 | | | | 0.64 | (f) | | | (2.02 | ) | | | (1.38 | ) | | | (0.15 | ) | | | — | |
| | 2014 - Service | | | 20.08 | | | | 0.52 | (f) | | | (1.98 | ) | | | (1.46 | ) | | | (0.05 | ) | | | — | |
| | 2014 - IR | | | 20.29 | | | | 0.75 | (f) | | | (2.14 | ) | | | (1.39 | ) | | | (0.14 | ) | | | — | |
| | 2013 - A | | | 15.58 | | | | 0.15 | | | | 4.71 | | | | 4.86 | | | | (0.44 | ) | | | — | |
| | 2013 - C | | | 14.60 | | | | 0.02 | | | | 4.41 | | | | 4.43 | | | | (0.38 | ) | | | — | |
| | 2013 - Institutional | | | 15.92 | | | | 0.23 | | | | 4.79 | | | | 5.02 | | | | (0.55 | ) | | | — | |
| | 2013 - Service | | | 15.69 | | | | 0.14 | | | | 4.72 | | | | 4.86 | | | | (0.47 | ) | | | — | |
| | 2013 - IR | | | 15.87 | | | | 0.16 | | | | 4.82 | | | | 4.98 | | | | (0.56 | ) | | | — | |
| | 2012 - A | | | 14.74 | | | | 0.28 | | | | 0.93 | | | | 1.21 | | | | (0.47 | ) | | | 0.10 | |
| | 2012 - C | | | 13.82 | | | | 0.16 | | | | 0.87 | | | | 1.03 | | | | (0.35 | ) | | | 0.10 | |
| | 2012 - Institutional | | | 15.07 | | | | 0.32 | | | | 0.97 | | | | 1.29 | | | | (0.54 | ) | | | 0.10 | |
| | 2012 - Service | | | 14.85 | | | | 0.26 | | | | 0.94 | | | | 1.20 | | | | (0.46 | ) | | | 0.10 | |
| | 2012 - IR | | | 15.06 | | | | 0.28 | | | | 0.98 | | | | 1.26 | | | | (0.55 | ) | | | 0.10 | |
| | 2011 - A | | | 16.81 | | | | 0.42 | (h) | | | (2.22 | ) | | | (1.80 | ) | | | (0.27 | ) | | | — | |
| | 2011 - C | | | 15.79 | | | | 0.29 | (h) | | | (2.09 | ) | | | (1.80 | ) | | | (0.17 | ) | | | — | |
| | 2011 - Institutional | | | 17.18 | | | | 0.50 | (h) | | | (2.27 | ) | | | (1.77 | ) | | | (0.34 | ) | | | — | |
| | 2011 - Service | | | 16.92 | | | | 0.42 | (h) | | | (2.24 | ) | | | (1.82 | ) | | | (0.25 | ) | | | — | |
| | 2011 - IR | | | 17.22 | | | | 0.63 | (h) | | | (2.45 | ) | | | (1.82 | ) | | | (0.34 | ) | | | — | |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value 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. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | (d) | | Reflects income recognized from a corporate action which amounted to $0.30 per share and 1.79% of average net assets. |
| | (f) | | Reflects income recognized from a corporate action which amounted to $0.35 per share and 1.76% of average net assets. |
| | (g) | | Total returns reflect the impact of payments for regulatory settlements entitled to be received during the year and recorded as an increase to capital by the Fund. Excluding such payments, the total return would have been: |
| | | | | | | | | | | | | | | | | | | | |
| | | Class A | | | Class C | | | Institutional | | | Service | | | Class IR | |
For the Fiscal Year Ended October 31, 2012 | | | 8.66 | % | | | 7.81 | % | | | 9.15 | % | | | 8.57 | % | | | 8.92 | % |
| | (h) | | Reflects income recognized from a corporate action which amounted to $0.26 per share and 1.55% of average net assets. |
| | |
| 24 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FOCUSED INTERNATIONAL EQUITY 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 17.28 | | | | | | (2.85 | )% | | | | $ | 43,234 | | | | | | 1.30 | %(e) | | | | | 1.65 | %(e) | | | | | 4.54 | %(d)(e) | | | | | 30 | % |
| | | 16.05 | | | | | | (3.19 | ) | | | | | 16,843 | | | | | | 2.06 | (e) | | | | | 2.40 | (e) | | | | | 3.80 | (d)(e) | | | | | 30 | |
| | | 17.59 | | | | | | (2.63 | ) | | | | | 159,837 | | | | | | 0.90 | (e) | | | | | 1.25 | (e) | | | | | 4.98 | (d)(e) | | | | | 30 | |
| | | 17.48 | | | | | | (2.90 | ) | | | | | 34 | | | | | | 1.41 | (e) | | | | | 1.75 | (e) | | | | | 4.58 | (d)(e) | | | | | 30 | |
| | | 17.52 | | | | | | (2.69 | ) | | | | | 983 | | | | | | 1.05 | (e) | | | | | 1.40 | (e) | | | | | 3.94 | (d)(e) | | | | | 30 | |
| | | 17.57 | | | | | | 10.71 | | | | | | 11 | | | | | | 0.88 | (e) | | | | | 1.23 | (e) | | | | | 3.05 | (d)(e) | | | | | 30 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 17.98 | | | | | | 0.34 | | | | | | 48,772 | | | | | | 1.30 | | | | | | 1.64 | | | | | | 1.18 | | | | | | 105 | |
| | | 16.67 | | | | | | (0.42 | ) | | | | | 18,415 | | | | | | 2.05 | | | | | | 2.39 | | | | | | 0.44 | | | | | | 105 | |
| | | 18.34 | | | | | | 0.74 | | | | | | 151,755 | | | | | | 0.90 | | | | | | 1.24 | | | | | | 1.56 | | | | | | 105 | |
| | | 18.05 | | | | | | 0.19 | | | | | | 37 | | | | | | 1.40 | | | | | | 1.73 | | | | | | 0.76 | | | | | | 105 | |
| | | 18.25 | | | | | | 0.56 | | | | | | 1,268 | | | | | | 1.05 | | | | | | 1.39 | | | | | | 1.38 | | | | | | 105 | |
| | | 18.49 | | | | | | (7.16 | ) | | | | | 58,368 | | | | | | 1.33 | | | | | | 1.63 | | | | | | 2.78 | (f) | | | | | 121 | |
| | | 17.18 | | | | | | (7.83 | ) | | | | | 18,247 | | | | | | 2.08 | | | | | | 2.38 | | | | | | 1.97 | (f) | | | | | 121 | |
| | | 18.86 | | | | | | (6.79 | ) | | | | | 170,954 | | | | | | 0.93 | | | | | | 1.23 | | | | | | 3.17 | (f) | | | | | 121 | |
| | | 18.57 | | | | | | (7.28 | ) | | | | | 332 | | | | | | 1.43 | | | | | | 1.73 | | | | | | 2.62 | (f) | | | | | 121 | |
| | | 18.76 | | | | | | (6.90 | ) | | | | | 2,253 | | | | | | 1.07 | | | | | | 1.38 | | | | | | 3.73 | (f) | | | | | 121 | |
| | | 20.00 | | | | | | 31.94 | | | | | | 61,224 | | | | | | 1.46 | | | | | | 1.69 | | | | | | 0.89 | | | | | | 189 | |
| | | 18.65 | | | | | | 30.97 | | | | | | 17,910 | | | | | | 2.20 | | | | | | 2.44 | | | | | | 0.15 | | | | | | 189 | |
| | | 20.39 | | | | | | 32.50 | | | | | | 112,707 | | | | | | 1.06 | | | | | | 1.29 | | | | | | 1.29 | | | | | | 189 | |
| | | 20.08 | | | | | | 31.86 | | | | | | 364 | | | | | | 1.56 | | | | | | 1.79 | | | | | | 0.80 | | | | | | 189 | |
| | | 20.29 | | | | | | 32.36 | | | | | | 1,609 | | | | | | 1.20 | | | | | | 1.44 | | | | | | 0.89 | | | | | | 189 | |
| | | 15.58 | | | | | | 9.36 | (g) | | | | | 52,564 | | | | | | 1.48 | | | | | | 1.72 | | | | | | 1.95 | | | | | | 144 | |
| | | 14.60 | | | | | | 8.55 | (g) | | | | | 14,039 | | | | | | 2.23 | | | | | | 2.47 | | | | | | 1.14 | | | | | | 144 | |
| | | 15.92 | | | | | | 9.84 | (g) | | | | | 61,874 | | | | | | 1.08 | | | | | | 1.31 | | | | | | 2.11 | | | | | | 144 | |
| | | 15.69 | | | | | | 9.26 | (g) | | | | | 299 | | | | | | 1.58 | | | | | | 1.82 | | | | | | 1.77 | | | | | | 144 | |
| | | 15.87 | | | | | | 9.61 | (g) | | | | | 30 | | | | | | 1.23 | | | | | | 1.46 | | | | | | 1.87 | | | | | | 144 | |
| | | 14.74 | | | | | | (10.89 | ) | | | | | 118,977 | | | | | | 1.53 | | | | | | 1.67 | | | | | | 2.55 | (h) | | | | | 135 | |
| | | 13.82 | | | | | | (11.55 | ) | | | | | 15,883 | | | | | | 2.28 | | | | | | 2.42 | | | | | | 1.86 | (h) | | | | | 135 | |
| | | 15.07 | | | | | | (10.53 | ) | | | | | 28,105 | | | | | | 1.13 | | | | | | 1.27 | | | | | | 2.94 | (h) | | | | | 135 | |
| | | 14.85 | | | | | | (10.96 | ) | | | | | 300 | | | | | | 1.63 | | | | | | 1.77 | | | | | | 2.51 | (h) | | | | | 135 | |
| | | 15.06 | | | | | | (10.80 | ) | | | | | 3 | | | | | | 1.28 | | | | | | 1.42 | | | | | | 3.87 | (h) | | | | | 135 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 25 |
GOLDMAN SACHS STRATEGIC INTERNATIONAL EQUITY FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Income (loss) from
investment operations | | | | |
| | | Year - Share Class | | Net asset
value,
beginning
of period | | | Net
investment
income(a) | | | Net realized
and unrealized
gain (loss) | | | Total from
investment
operations | | | Distributions
to shareholders
from net
investment
income | |
| | FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED) | |
| | 2016 - A | | $ | 12.95 | | | $ | 0.07 | | | $ | (0.49 | ) | | $ | (0.42 | ) | | $ | (0.10 | ) |
| | 2016 - C | | | 11.62 | | | | 0.02 | | | | (0.45 | ) | | | (0.43 | ) | | | (0.01 | ) |
| | 2016 - Institutional | | | 13.56 | | | | 0.10 | | | | (0.52 | ) | | | (0.42 | ) | | | (0.15 | ) |
| | 2016 - IR | | | 12.97 | | | | 0.09 | | | | (0.50 | ) | | | (0.41 | ) | | | (0.14 | ) |
| | 2016 - R | | | 13.00 | | | | 0.07 | | | | (0.51 | ) | | | (0.44 | ) | | | (0.03 | ) |
| | 2016 - R6 (Commenced February 26, 2016) | | | 11.85 | | | | 0.06 | | | | 1.07 | | | | 1.13 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | |
| | FOR THE FISCAL YEARS ENDED OCTOBER 31, | |
| | 2015 - A | | | 13.52 | | | | 0.15 | | | | (0.23 | ) | | | (0.08 | ) | | | (0.49 | ) |
| | 2015 - C | | | 12.17 | | | | 0.04 | | | | (0.20 | ) | | | (0.16 | ) | | | (0.39 | ) |
| | 2015 - Institutional | | | 14.13 | | | | 0.20 | | | | (0.23 | ) | | | (0.03 | ) | | | (0.54 | ) |
| | 2015 - IR | | | 13.55 | | | | 0.15 | | | | (0.20 | ) | | | (0.05 | ) | | | (0.53 | ) |
| | 2015 - R | | | 13.57 | | | | 0.11 | | | | (0.23 | ) | | | (0.12 | ) | | | (0.45 | ) |
| | 2014 - A | | | 13.81 | | | | 0.45 | (e) | | | (0.63 | ) | | | (0.18 | ) | | | (0.11 | ) |
| | 2014 - C | | | 12.45 | | | | 0.31 | (e) | | | (0.57 | ) | | | (0.26 | ) | | | (0.02 | ) |
| | 2014 - Institutional | | | 14.44 | | | | 0.52 | (e) | | | (0.67 | ) | | | (0.15 | ) | | | (0.16 | ) |
| | 2014 - IR | | | 13.84 | | | | 0.40 | (e) | | | (0.56 | ) | | | (0.16 | ) | | | (0.13 | ) |
| | 2014 - R | | | 13.88 | | | | 0.41 | (e) | | | (0.63 | ) | | | (0.22 | ) | | | (0.09 | ) |
| | 2013 - A | | | 11.06 | | | | 0.14 | | | | 2.80 | | | | 2.94 | | | | (0.19 | ) |
| | 2013 - C | | | 10.01 | | | | 0.04 | | | | 2.54 | | | | 2.58 | | | | (0.14 | ) |
| | 2013 - Institutional | | | 11.58 | | | | 0.19 | | | | 2.93 | | | | 3.12 | | | | (0.26 | ) |
| | 2013 - IR | | | 11.11 | | | | 0.18 | | | | 2.80 | | | | 2.98 | | | | (0.25 | ) |
| | 2013 - R | | | 11.14 | | | | 0.08 | | | | 2.85 | | | | 2.93 | | | | (0.19 | ) |
| | 2012 - A | | | 10.62 | | | | 0.20 | | | | 0.61 | | | | 0.81 | | | | (0.37 | ) |
| | 2012 - C | | | 9.64 | | | | 0.10 | | | | 0.57 | | | | 0.67 | | | | (0.30 | ) |
| | 2012 - Institutional | | | 11.11 | | | | 0.19 | | | | 0.71 | | | | 0.90 | | | | (0.43 | ) |
| | 2012 - IR | | | 10.70 | | | | 0.21 | | | | 0.63 | | | | 0.84 | | | | (0.43 | ) |
| | 2012 - R | | | 10.57 | | | | 0.16 | | | | 0.64 | | | | 0.80 | | | | (0.23 | ) |
| | 2011 - A | | | 11.71 | | | | 0.28 | (f) | | | (1.25 | ) | | | (0.97 | ) | | | (0.12 | ) |
| | 2011 - C | | | 10.63 | | | | 0.17 | (f) | | | (1.12 | ) | | | (0.95 | ) | | | (0.04 | ) |
| | 2011 - Institutional | | | 12.24 | | | | 0.25 | (f) | | | (1.22 | ) | | | (0.97 | ) | | | (0.16 | ) |
| | 2011 - IR | | | 11.70 | | | | 0.17 | (f) | | | (1.06 | ) | | | (0.89 | ) | | | (0.11 | ) |
| | 2011 - R | | | 11.64 | | | | 0.27 | (f) | | | (1.26 | ) | | | (0.99 | ) | | | (0.08 | ) |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value 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. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | (e) | | Reflects income recognized from a corporate action which amounted to $0.33 per share and 2.32% of average net assets. |
| | (f) | | Reflects income recognized from a corporate action which amounted to $0.14 per share and 1.22% of average net assets. |
| | |
| 26 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS STRATEGIC INTERNATIONAL EQUITY 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 12.43 | | | | | | (3.36 | )% | | | | $ | 21,166 | | | | | | 1.30 | %(d) | | | | | 1.82 | %(d) | | | | | 1.14 | %(d) | | | | | 42 | % |
| | | 11.18 | | | | | | (3.68 | ) | | | | | 4,547 | | | | | | 2.05 | (d) | | | | | 2.57 | (d) | | | | | 0.42 | (d) | | | | | 42 | |
| | | 12.99 | | | | | | (3.12 | ) | | | | | 46,180 | | | | | | 0.90 | (d) | | | | | 1.42 | (d) | | | | | 1.53 | (d) | | | | | 42 | |
| | | 12.42 | | | | | | (3.17 | ) | | | | | 438 | | | | | | 1.05 | (d) | | | | | 1.57 | (d) | | | | | 1.49 | (d) | | | | | 42 | |
| | | 12.53 | | | | | | (3.42 | ) | | | | | 13 | | | | | | 1.56 | (d) | | | | | 2.07 | (d) | | | | | 1.07 | (d) | | | | | 42 | |
| | | 12.98 | | | | | | 9.54 | | | | | | 11 | | | | | | 0.88 | (d) | | | | | 1.39 | (d) | | | | | 2.85 | (d) | | | | | 42 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 12.95 | | | | | | (0.57 | ) | | | | | 23,111 | | | | | | 1.30 | | | | | | 1.82 | | | | | | 1.11 | | | | | | 83 | |
| | | 11.62 | | | | | | (1.33 | ) | | | | | 4,841 | | | | | | 2.05 | | | | | | 2.57 | | | | | | 0.35 | | | | | | 83 | |
| | | 13.56 | | | | | | (0.15 | ) | | | | | 45,795 | | | | | | 0.90 | | | | | | 1.42 | | | | | | 1.47 | | | | | | 83 | |
| | | 12.97 | | | | | | (0.32 | ) | | | | | 355 | | | | | | 1.05 | | | | | | 1.56 | | | | | | 1.17 | | | | | | 83 | |
| | | 13.00 | | | | | | (0.84 | ) | | | | | 17 | | | | | | 1.55 | | | | | | 2.07 | | | | | | 0.86 | | | | | | 83 | |
| | | 13.52 | | | | | | (1.41 | ) | | | | | 22,384 | | | | | | 1.33 | | | | | | 1.77 | | | | | | 3.21 | (e) | | | | | 89 | |
| | | 12.17 | | | | | | (2.10 | ) | | | | | 4,873 | | | | | | 2.08 | | | | | | 2.52 | | | | | | 2.44 | (e) | | | | | 89 | |
| | | 14.13 | | | | | | (1.05 | ) | | | | | 45,118 | | | | | | 0.93 | | | | | | 1.37 | | | | | | 3.55 | (e) | | | | | 89 | |
| | | 13.55 | | | | | | (1.14 | ) | | | | | 128 | | | | | | 1.07 | | | | | | 1.52 | | | | | | 2.86 | (e) | | | | | 89 | |
| | | 13.57 | | | | | | (1.58 | ) | | | | | 17 | | | | | | 1.58 | | | | | | 2.02 | | | | | | 2.92 | (e) | | | | | 89 | |
| | | 13.81 | | | | | | 27.11 | | | | | | 23,850 | | | | | | 1.47 | | | | | | 1.87 | | | | | | 1.16 | | | | | | 102 | |
| | | 12.45 | | | | | | 26.06 | | | | | | 5,700 | | | | | | 2.22 | | | | | | 2.62 | | | | | | 0.37 | | | | | | 102 | |
| | | 14.44 | | | | | | 27.63 | | | | | | 41,058 | | | | | | 1.07 | | | | | | 1.47 | | | | | | 1.51 | | | | | | 102 | |
| | | 13.84 | | | | | | 27.37 | | | | | | 65 | | | | | | 1.22 | | | | | | 1.62 | | | | | | 1.49 | | | | | | 102 | |
| | | 13.88 | | | | | | 26.72 | | | | | | 17 | | | | | | 1.72 | | | | | | 2.11 | | | | | | 0.61 | | | | | | 102 | |
| | | 11.06 | | | | | | 8.17 | | | | | | 21,854 | | | | | | 1.45 | | | | | | 1.95 | | | | | | 1.91 | | | | | | 119 | |
| | | 10.01 | | | | | | 7.35 | | | | | | 5,147 | | | | | | 2.20 | | | | | | 2.70 | | | | | | 1.01 | | | | | | 119 | |
| | | 11.58 | | | | | | 8.58 | | | | | | 23,684 | | | | | | 1.05 | | | | | | 1.51 | | | | | | 1.68 | | | | | | 119 | |
| | | 11.11 | | | | | | 8.42 | | | | | | 79 | | | | | | 1.20 | | | | | | 1.68 | | | | | | 2.01 | | | | | | 119 | |
| | | 11.14 | | | | | | 7.87 | | | | | | 7 | | | | | | 1.70 | | | | | | 2.19 | | | | | | 1.49 | | | | | | 119 | |
| | | 10.62 | | | | | | (8.40 | ) | | | | | 41,862 | | | | | | 1.45 | | | | | | 1.78 | | | | | | 2.36 | (f) | | | | | 139 | |
| | | 9.64 | | | | | | (9.00 | ) | | | | | 6,643 | | | | | | 2.20 | | | | | | 2.53 | | | | | | 1.63 | (f) | | | | | 139 | |
| | | 11.11 | | | | | | (8.04 | ) | | | | | 6,416 | | | | | | 1.05 | | | | | | 1.38 | | | | | | 2.02 | (f) | | | | | 139 | |
| | | 10.70 | | | | | | (7.69 | ) | | | | | 56 | | | | | | 1.20 | | | | | | 1.53 | | | | | | 1.56 | (f) | | | | | 139 | |
| | | 10.57 | | | | | | (8.61 | ) | | | | | 7 | | | | | | 1.70 | | | | | | 2.03 | | | | | | 2.30 | (f) | | | | | 139 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 27 |
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
Notes to Financial Statements
April 30, 2016 (Unaudited)
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 |
Focused International Equity | | A, C, Institutional, Service, IR and R6+ | | Diversified |
Strategic International Equity | | A, C, Institutional, IR, R and R6+ | | Diversified |
| + | | Class R6 commenced operations on February 26, 2016. |
Class A Shares are sold with a front-end sales charge of up to 5.50%. 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, Class IR, Class R and Class R6 Shares are not subject to a sales charge.
Goldman Sachs Asset Management International (“GSAMI”), 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 United States (“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.
28
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
|
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
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. Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Funds are not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid annually.
Net capital losses are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
Under the Regulated Investment Company Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each Fund’s distributions may be shown in the accompanying financial statements as either from net investment income, net realized gain or capital. Certain components of the Funds’ net assets on the Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
E. 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.
29
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS |
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAMI’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 GSAMI 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, GSAMI 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 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 GSAMI 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.
30
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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.
Exchange Traded Funds — Investments in exchange-traded funds (“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. 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 ETF’s accounting policies and investment holdings, please see the ETF’s shareholder report.
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 GSAMI 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. GSAMI, 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.
C. Fair Value Hierarchy — The following is a summary of the Funds’ investments classified in the fair value hierarchy as of April 30, 2016:
| | | | | | | | | | | | |
| | | |
| FOCUSED INTERNATIONAL EQUITY | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| Assets | | | | | | | | | | | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
Asia | | $ | — | | | $ | 47,513,621 | | | $ | — | |
Australia and Oceania | | | — | | | | 8,663,931 | | | | — | |
Europe | | | — | | | | 154,072,847 | | | | — | |
| Total | | $ | — | | | $ | 210,250,399 | | | $ | — | |
31
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
| | | | | | | | | | | | |
| | | |
| STRATEGIC INTERNATIONAL EQUITY | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| Assets | | | | | | | | | | | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
Asia | | $ | — | | | $ | 16,653,299 | | | $ | — | |
Australia and Oceania | | | — | | | | 3,293,096 | | | | — | |
Europe | | | — | | | | 49,816,833 | | | | — | |
North America | | | 1,055,425 | | | | — | | | | — | |
| Total | | $ | 1,055,425 | | | $ | 69,763,228 | | | $ | — | |
| (a) | | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of NAV. Security valuations are based on the principal 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 certain international equity securities, resulting in a Level 2 classification. |
For further information regarding security characteristics, see the Schedules of Investments.
|
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAMI 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, GSAMI 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 six months ended April 30, 2016, contractual and effective net management fees with GSAMI were at the following rates:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Contractual Management Rate | | | Effective Net
Management
Rate^ | |
| Fund | | First $1 billion | | | Next $1 billion | | | Next $3 billion | | | Next $3 billion | | | Over $8 billion | | | Effective
Rate | | |
Focused International Equity | | | 1.00% | | | | 0.90% | | | | 0.86% | | | | 0.84% | | | | 0.82% | | | | 1.00% | | | | 0.85% | * |
Strategic International Equity | | | 0.85 | | | | 0.77 | | | | 0.73 | | | | 0.72 | | | | 0.71 | | | | 0.85 | | | | 0.85 | |
| ^ | | Effective Net Management Rate includes the impact of management fee waivers of affiliated underlying funds, if any. |
| * | | GSAMI agreed to waive a portion of its management fee in order to achieve a net management rate, as defined in the Fund’s most recent prospectus. This waiver will be effective through at least February 26, 2017, and prior to such date GSAMI may not terminate the arrangement without the approval of the Trustees. |
32
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
|
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
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. |
C. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Funds pursuant to a Distribution Agreement, may retain a portion of the Class A Shares front end sales charge and Class C Shares’ CDSC. During the six months ended April 30, 2016, Goldman Sachs advised that it retained the following amounts:
| | | | | | | | | | |
| | | | | Front End
Sales Charge | | | Contingent Deferred
Sales Charge | |
| Fund | | | | Class A | | | Class C | |
Focused International Equity | | | | $ | 1,986 | | | $ | 244 | |
Strategic International Equity | | | | | 1,542 | | | | — | |
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: 0.19% 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 and Service Shares.
33
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
F. Other Expense Agreements and Affiliated Transactions — GSAMI 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 GSAMI for prior fiscal year expense reimbursements, if any. The Other Expense limitations as an annual percentage rate of average daily net assets for the Funds are 0.014%. These Other Expense limitations will remain in place through at least February 26, 2017, and prior to such date GSAMI 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.
For the six months ended April 30, 2016, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
| | | | | | | | | | | | | | | | | | |
| Fund | | | | Management Fee Waiver | | | Custody Fee
Credits | | | Other Expense
Reimbursement | | | Total
Expense
Reductions | |
Focused International Equity | | | | $ | 148,446 | | | $ | 728 | | | $ | 192,921 | | | $ | 342,095 | |
Strategic International Equity | | | | | — | | | | 705 | | | | 190,458 | | | | 191,163 | |
G. Line of Credit Facility — As of April 30, 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 GSAMI or its affiliates (“Other Borrowers”). This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the six months ended April 30, 2016, the Funds did not have any borrowings under the facility. The facility was renewed in the amount of $1,100,000,000 effective May 3, 2016.
H. Other Transactions with Affiliates — As of April 30, 2016, the Goldman Sachs Growth Strategy Portfolio was the beneficial owner of 5% or more of total outstanding shares of the Focused International Equity Fund.
As of April 30, 2016, The Goldman Sachs Group, Inc. was the beneficial owner of approximately 100% of the Class R6 Shares of the Focused International Equity Fund and approximately 66% and 100% of the Class R Shares and Class R6 Shares, respectively, of the Strategic International Equity Fund.
|
| 5. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended April 30, 2016, were as follows:
| | | | | | | | | | |
| Fund | | | | Purchases | | | Sales and Maturities | |
Focused International Equity | | | | $ | 64,071,103 | | | $ | 59,978,019 | |
Strategic International Equity | | | | | 33,110,508 | | | | 30,285,241 | |
34
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
As of the Funds’ most recent fiscal year end, October 31, 2015, the Funds’ capital loss carryforwards on a tax basis were as follows:
| | | | | | | | |
| | | Focused
International
Equity | | | Strategic
International
Equity | |
Capital loss carryforwards:(1) | | | | | | | | |
Expiring 2016 | | $ | (89,358,426 | ) | | $ | (14,821,928 | ) |
Expiring 2017 | | | (106,107,378 | ) | | | (28,233,535 | ) |
Expiring 2019 | | | (9,250,431 | ) | | | — | |
Perpetual short-term | | | (4,531,331 | ) | | | — | |
Perpetual long-term | | | (6,146,886 | ) | | | — | |
Total capital loss carryforwards | | $ | (215,394,452 | ) | | $ | (43,055,463 | ) |
| (1) | | With the exception of perpetual capital loss carryforwards, expiration occurs on October 31 of the year indicated. |
As of April 30, 2016, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
| | | | | | | | |
| | | Focused
International
Equity | | | Strategic
International
Equity | |
Tax cost | | $ | 233,733,061 | | | $ | 75,437,060 | |
Gross unrealized gain | | | 7,610,393 | | | | 3,789,874 | |
Gross unrealized loss | | | (31,093,055 | ) | | | (8,408,281 | ) |
Net unrealized security loss | | $ | (23,482,662 | ) | | $ | (4,618,407 | ) |
The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gains (losses) on foreign currency contracts and differences related to the tax treatment of underlying fund investments and passive foreign investment company investments.
GSAMI 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.
35
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
The Funds’ risks include, but are not limited to, the following:
Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of more or less foreign government regulation, less public information and less economic, political and social stability in the countries in which the Fund invests. Loss may also result from the imposition of exchange controls, confiscations and other government restrictions by the U.S. 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 a 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 a fund also invests in securities of issuers located in emerging markets, these risks may be more pronounced.
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.
Investments in Other Investment Companies — As a shareholder of another investment company, including an ETF, a Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund. ETFs are subject to risks that do not apply to conventional mutual funds, including but not limited to the following: (i) the market price of the ETF’s shares may trade at a premium or a discount to their NAV; and (ii) an active trading market for an ETF’s shares may not develop or be maintained.
Issuer Concentration Risk — The Focused International Equity Fund intends to invest in a relatively small number of issuers. As a result, it may be subject to greater risks than a fund that invests in a greater number of issuers. A change in the value of any single investment held by the Fund may affect the overall value of the Fund more than it would affect a mutual fund that holds more investments. In particular, the Fund may be more susceptible to adverse developments affecting any single issuer in the Fund and may be susceptible to greater losses because of these developments.
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 the 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 a Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact a Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in a Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect a Fund’s performance to the extent that a Fund is delayed in investing new cash and is required to maintain a larger cash position than it ordinarily would.
36
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
|
| 7. OTHER RISKS (continued) |
Liquidity Risk — A Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk 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.
Market and Credit Risks — In the normal course of business, a Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, a Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
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, GSAMI believes the risk of loss under these arrangements to be remote.
Subsequent events after the Statements of Assets and Liabilities date have been evaluated through the date the financial statements were issued. GSAMI has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
37
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 10. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | Focused International Equity Fund | |
| | | | |
| | | For the Six Months Ended April 30, 2016 (Unaudited) | | | For the Fiscal Year Ended October 31, 2015 | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 93,793 | | | $ | 1,602,663 | | | | 293,167 | | | $ | 5,383,781 | |
Shares converted from Class B(a) | | | — | | | | — | | | | 4,363 | | | | 79,894 | |
Reinvestment of distributions | | | 29,815 | | | | 520,578 | | | | 94,946 | | | | 1,684,348 | |
Shares redeemed | | | (334,464 | ) | | | (5,591,946 | ) | | | (835,896 | ) | | | (15,008,792 | ) |
| | | | (210,856 | ) | | | (3,468,705 | ) | | | (443,420 | ) | | | (7,860,769 | ) |
| Class B Shares(a) | | | | | | | | | | | | | | | | |
Shares converted to Class A | | | — | | | | — | | | | (4,448 | ) | | | (79,894 | ) |
Shares redeemed | | | — | | | | — | | | | (10,228 | ) | | | (183,739 | ) |
| | | | — | | | | — | | | | (14,676 | ) | | | (263,633 | ) |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 114,486 | | | | 1,814,194 | | | | 234,732 | | | | 3,933,741 | |
Reinvestment of distributions | | | 5,841 | | | | 94,977 | | | | 26,339 | | | | 435,904 | |
Shares redeemed | | | (176,124 | ) | | | (2,748,338 | ) | | | (218,263 | ) | | | (3,686,491 | ) |
| | | | (55,797 | ) | | | (839,167 | ) | | | 42,808 | | | | 683,154 | |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 2,225,023 | | | | 39,155,185 | | | | 2,042,402 | | | | 38,294,257 | |
Reinvestment of distributions | | | 128,053 | | | | 2,271,654 | | | | 296,453 | | | | 5,345,040 | |
Shares redeemed | | | (1,539,612 | ) | | | (25,906,572 | ) | | | (3,126,278 | ) | | | (57,420,654 | ) |
| | | | 813,464 | | | | 15,520,267 | | | | (787,423 | ) | | | (13,781,357 | ) |
| Service Shares | | | | | | | | | | | | | | | | |
Shares sold | | | — | | | | — | | | | 516 | | | | 9,235 | |
Reinvestment of distributions | | | 7 | | | | 118 | | | | 63 | | | | 1,120 | |
Shares redeemed | | | (108 | ) | | | (1,715 | ) | | | (16,435 | ) | | | (284,841 | ) |
| | | | (101 | ) | | | (1,597 | ) | | | (15,856 | ) | | | (274,486 | ) |
| Class IR Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 14,937 | | | | 247,979 | | | | 26,620 | | | | 500,885 | |
Reinvestment of distributions | | | 943 | | | | 16,690 | | | | 3,938 | | | | 70,733 | |
Shares redeemed | | | (29,255 | ) | | | (475,669 | ) | | | (81,206 | ) | | | (1,532,672 | ) |
| | | | (13,375 | ) | | | (211,000 | ) | | | (50,648 | ) | | | (961,054 | ) |
| Class R6 Shares(b) | | | | | | | | | | | | | | | | |
Shares sold | | | 630 | | | | 10,000 | | | | — | | | | — | |
| | | | 630 | | | | 10,000 | | | | — | | | | — | |
NET INCREASE (DECREASE) | | | 533,965 | | | $ | 11,009,798 | | | | (1,269,215 | ) | | $ | (22,458,145 | ) |
| (a) | | Class B Shares converted into Class A Shares at the close of business on November 14, 2014. |
| (b) | | Class R6 Shares commenced operations on February 26, 2016. |
38
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
|
| 10. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | Strategic International Equity Fund | |
| | | | |
| | | For the Six Months Ended April 30, 2016 (Unaudited) | | | For the Fiscal Year Ended October 31, 2015 | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 175,677 | | | $ | 2,187,989 | | | | 287,002 | | | $ | 3,820,054 | |
Shares converted from Class B(a) | | | — | | | | — | | | | 82,120 | | | | 1,098,759 | |
Reinvestment of distributions | | | 12,966 | | | | 163,244 | | | | 64,638 | | | | 831,893 | |
Shares redeemed | | | (270,193 | ) | | | (3,205,026 | ) | | | (304,568 | ) | | | (3,998,001 | ) |
| | | | (81,550 | ) | | | (853,793 | ) | | | 129,192 | | | | 1,752,705 | |
| Class B Shares(a) | | | | | | | | | | | | | | | | |
Shares converted to Class A | | | — | | | | — | | | | (92,333 | ) | | | (1,098,759 | ) |
Shares redeemed | | | — | | | | — | | | | (19,706 | ) | | | (234,677 | ) |
| | | | — | | | | — | | | | (112,039 | ) | | | (1,333,436 | ) |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 30,891 | | | | 339,380 | | | | 78,335 | | | | 951,232 | |
Reinvestment of distributions | | | 428 | | | | 4,859 | | | | 11,937 | | | | 138,834 | |
Shares redeemed | | | (41,256 | ) | | | (448,456 | ) | | | (74,129 | ) | | | (882,624 | ) |
| | | | (9,937 | ) | | | (104,217 | ) | | | 16,143 | | | | 207,442 | |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 1,857,577 | | | | 23,682,635 | | | | 1,464,658 | | | | 20,425,892 | |
Reinvestment of distributions | | | 47,740 | | | | 627,310 | | | | 113,557 | | | | 1,525,075 | |
Shares redeemed | | | (1,727,622 | ) | | | (21,689,399 | ) | | | (1,393,101 | ) | | | (19,206,286 | ) |
| | | | 177,695 | | | | 2,620,546 | | | | 185,114 | | | | 2,744,681 | |
| Class IR Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 23,294 | | | | 273,000 | | | | 19,455 | | | | 243,705 | |
Reinvestment of distributions | | | 343 | | | | 4,313 | | | | 391 | | | | 5,027 | |
Shares redeemed | | | (15,772 | ) | | | (190,601 | ) | | | (1,894 | ) | | | (24,975 | ) |
| | | | 7,865 | | | | 86,712 | | | | 17,952 | | | | 223,757 | |
| Class R Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 342 | | | | 4,177 | | | | 20 | | | | 264 | |
Reinvestment of distributions | | | 2 | | | | 22 | | | | 23 | | | | 293 | |
Shares redeemed | | | (603 | ) | | | (7,718 | ) | | | — | | | | — | |
| | | | (259 | ) | | | (3,519 | ) | | | 43 | | | | 557 | |
| Class R6 Shares(b) | | | | | | | | | | | | | | | | |
Shares sold | | | 844 | | | | 10,000 | | | | — | | | | — | |
| | | | 844 | | | | 10,000 | | | | — | | | | — | |
NET INCREASE | | | 94,658 | | | $ | 1,755,729 | | | | 236,405 | | | $ | 3,595,706 | |
| (a) | | Class B Shares converted into Class A Shares at the close of business on November 14, 2014. |
| (b) | | Class R6 Shares commenced operations on February 26, 2016. |
39
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
| | |
Fund Expenses — Six Month Period Ended April 30, 2016 (Unaudited) | | |
As a shareholder of Class A, Class C, Institutional, Service, Class IR, Class R or 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) and contingent deferred sales charges on redemptions (with respect to and 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, Class IR, Class R and Class R6 Shares of the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The example for all share classes other than Class R6 Shares is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from November 1, 2015 through April 30, 2016, which represents a period of 182 days of a 366 day year. The example for Class R6 Shares is based on the period from February 26, 2015 through April 30, 2016, which represents a period of 65 out of 366 days.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual net expense ratio 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 fee 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.
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Focused International Equity Fund | | | Strategic International Equity Fund | |
| Share Class | | Beginning
Account Value
11/01/2015 | | | Ending
Account Value
04/30/2016 | | | Expenses
Paid for the
6 Months Ended
04/30/2016* | | | Beginning
Account Value
11/01/2015 | | | Ending
Account Value
04/30/2016 | | | Expenses
Paid for the
6 Months Ended
04/30/2016* | |
| Class A | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 971.50 | | | $ | 6.37 | | | $ | 1,000 | | | $ | 966.40 | | | $ | 6.36 | |
Hypothetical 5% return | | | 1,000 | | | | 1,018.40 | + | | | 6.52 | | | | 1,000 | | | | 1,018.40 | + | | | 6.52 | |
| Class C | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000 | | | | 968.10 | | | | 10.08 | | | | 1,000 | | | | 963.20 | | | | 10.01 | |
Hypothetical 5% return | | | 1,000 | | | | 1,014.62 | + | | | 10.32 | | | | 1,000 | | | | 1,014.67 | + | | | 10.27 | |
| Institutional | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000 | | | | 973.70 | | | | 4.42 | | | | 1,000 | | | | 968.80 | | | | 4.41 | |
Hypothetical 5% return | | | 1,000 | | | | 1,020.39 | + | | | 4.52 | | | | 1,000 | | | | 1,020.39 | + | | | 4.52 | |
| Service | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000 | | | | 971.00 | | | | 6.91 | | | | N/A | | | | N/A | | | | N/A | |
Hypothetical 5% return | | | 1,000 | | | | 1,017.85 | | | | 7.07 | | | | N/A | | | | N/A | | | | N/A | |
| Class IR | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000 | | | | 973.10 | | | | 5.15 | | | | 1,000 | | | | 968.30 | | | | 5.14 | |
Hypothetical 5% return | | | 1,000 | | | | 1,019.64 | + | | | 5.27 | | | | 1,000 | | | | 1,019.64 | + | | | 5.27 | |
| Class R | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | N/A | | | | N/A | | | | N/A | | | | 1,000 | | | | 965.80 | | | | 7.62 | |
Hypothetical 5% return | | | N/A | | | | N/A | | | | N/A | | | | 1,000 | | | | 1,017.11 | + | | | 7.82 | |
| Class R6(a) | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000 | | | | 1,107.12 | | | | 1.96 | | | | 1,000 | | | | 1,095.36 | | | | 2.34 | |
Hypothetical 5% return | | | 1,000 | | | | 1,019.39 | + | | | 5.52 | | | | 1,000 | | | | 1,018.30 | + | | | 6.62 | |
| | * | | Expenses 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 periods ended April 30, 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 | | | Class IR | | | Class R | | | Class R6(a) | |
Focused International Equity | | | 1.30 | % | | | 2.06 | % | | | 0.90 | % | | | 1.41 | % | | | 1.05 | % | | | N/A | | | | 1.10 | % |
Strategic International Equity | | | 1.30 | | | | 2.05 | | | | 0.90 | | | | N/A | | | | 1.05 | | | | 1.56 | % | | | 1.32 | |
| | + | | 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 February 26, 2016. | |
40
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 FundsSM
| 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 FundsSM
| n | | Investor Money Market Fund |
| n | | Investor Tax-Exempt Money Market Fund3 |
Fixed Income
Short Duration and Government
| n | | High Quality Floating Rate Fund |
| n | | Limited Maturity Obligations Fund |
| n | | Short Duration Government Fund |
| n | | Short Duration Income Fund |
| n | | Inflation Protected Securities Fund |
Multi-Sector
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 | | 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 | | Small/Mid Cap Value 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 |
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 | | Emerging Markets Equity Fund6 |
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 | | 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 Overlay Fund8 |
| 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 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. |
| 8 | | Effective on June 1, 2016, the Goldman Sachs Tactical Tilt Implementation Fund was renamed the Goldman Sachs Tactical Tilt Overlay Fund. |
Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman, Sachs & Co.
| * | | This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds. |
| | |
TRUSTEES Ashok N. Bakhru, Chairman Kathryn A. Cassidy 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, Principal Financial Officer, Senior Vice President and Treasurer Caroline L. Kraus, Secretary |
| |
GOLDMAN, SACHS & CO. Distributor and Transfer Agent | | GOLDMAN SACHS ASSET MANAGEMENT INTERNATIONAL Investment Adviser |
Visit our website 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).
Fund holdings and allocations shown are as of April 30, 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.
The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus or summary prospectus, if applicable. Investors should consider a Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about a Fund and may be obtained from your authorized dealer or from Goldman, Sachs & Co. by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550).
© 2016 Goldman Sachs. All rights reserved. 51095-TMPL-06/2016 EQINTSAR16 / 7.9k
Goldman Sachs Funds
| | | | |
| | |
| Semi-Annual Report | | | | April 30, 2016 |
| | |
| | | | Global Managed Beta Fund |
Goldman Sachs Global Managed Beta Fund
| | | | |
TABLE OF CONTENTS | | | | |
| |
Portfolio Management Discussion and Performance Summaries | | | 1 | |
| |
Schedule of Investments | | | 5 | |
| |
Financial Statements | | | 7 | |
| |
Financial Highlights | | | 10 | |
| |
Notes to Financial Statements | | | 12 | |
| |
Other Information | | | 24 | |
| | | | |
| | | |
| NOT FDIC-INSURED | | May Lose Value | | No Bank Guarantee |
PORTFOLIO RESULTS
Goldman Sachs Global Managed Beta Fund
Investment Objective
The Fund seeks to provide long-term capital growth.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Global Portfolio Solutions Team discusses the Goldman Sachs Global Managed
Beta Fund’s (the “Fund”) performance and positioning for the six-month period ended April 30, 2016
(the “Reporting Period”).
| Q | | How did the Fund perform during the Reporting Period? |
| A | | During the Reporting Period, the Fund’s Institutional Shares generated a cumulative total return, without sales charges, of -1.41%. This return compares to the -1.28% cumulative total return of the Fund’s benchmark, the Morgan Stanley Capital International (MSCI) All World Index Investable Market Index (Net, USD, 50% Non-US Developed Hedged to USD) (the “Index”), during the same time period. |
| Q | | What economic and market factors most influenced the Fund during the Reporting Period? |
| A | | Global equity markets declined slightly during the Reporting Period as volatility increased, driven primarily by renewed concerns during January 2016 about weakness in China’s economy. Volatility spiked, with global equities (as represented by the Index) falling 12% from January 2016 through mid-February 2016 before recovering by the end of the Reporting Period. Large swings in energy prices added extra uncertainty about global economic growth prospects, significantly affecting the stocks of energy-sensitive economies, such as those of Canada and emerging markets countries. |
| | | Beyond the global equity markets, the price of Eurodollar futures, which move in response to the interest rate offered on U.S. dollar-denominated deposits held in European banks, declined as the Federal Reserve (the “Fed”) hiked the targeted federal funds rate in December 2015. Eurodollar prices then rebounded at the start of 2016 as investors sought safe haven assets amid heightened volatility. U.S. Treasury yields experienced a similar decline due to the “risk off” sentiment. Although riskier asset classes broadly rebounded after mid-February 2016, U.S. Treasury yields stayed below 2%, as the Fed shifted market expectations of interest rate hikes further into 2016. |
| Q | | What key factors were responsible for the Fund’s performance during the Reporting Period? |
| A | | The Fund primarily seeks to achieve its investment objective by investing in a diversified portfolio of global equity asset classes that provide broad beta exposure to the global equity markets. (Beta refers to the component of returns that is attributable to market risk exposure, rather than manager skill.) During the Reporting Period, the Fund underperformed the Index, largely because of its long exposure to global equities. This positioning detracted significantly at the beginning of 2016 amid substantial market volatility, especially in the Chinese equity markets. On the positive side, the Fund benefited from the effectiveness of its macro hedging strategy through which we seek to diversify the Fund’s overall exposure to global equity asset classes. The macro hedging strategy generated a positive return, partly buffering the losses of the Fund’s global equity positions. The Fund was also helped during the Reporting Period by its lower sensitivity than the Index to energy prices, which was the result of its structural underweight in Canadian equities. |
| Q | | How was the Fund positioned at the beginning of the Reporting Period? |
| A | | In terms of its strategic allocation at the beginning of the Reporting Period, the Fund had 97.79% of its total net assets invested in equity-related investments and 2.21% in cash and cash equivalents. The Fund also maintained a position in cash and cash equivalents to cover the exposure of various derivatives positions. This above sector breakout is inclusive of derivative exposure across all asset classes. |
| Q | | How did you tactically manage the Fund’s allocations during the Reporting Period? |
| A | | Because we had a more favorable outlook for the U.S. economy relative to other developed markets economies, we |
1
PORTFOLIO RESULTS
| | | allowed the Fund’s exposure to U.S. equities to drift above our target allocation during the Reporting Period, while at the same time maintaining the Fund’s slight underweight in other developed markets equities. Near the end of the Reporting Period, we re-balanced the Fund’s equity exposures relative to our long-term targets. We also added exposure to Canadian equities and decreased the Fund’s exposure to international small-cap equities relative to the Index. Most notably, we partly reduced the Fund’s macro hedge near the end of the Reporting Period because we believed the Fed would keep interest rates “lower for longer” and because the Fund’s macro hedge strategy tends to be less effective during periods of equity drawdowns. (An equity drawdown is a peak-to-trough decline during a specific timeframe.) |
| Q | | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | | During the Reporting Period, the Fund used equity futures to express passive investment views with greater versatility across the Canadian equity market and the U.S. small-cap equity market. In addition, the Fund used interest rate options and currency forwards to afford greater risk management of macroeconomic and foreign exchange risks in the portfolio. The currency forwards detracted from the Fund’s performance as the U.S. dollar weakened versus other developed markets currencies during the Reporting Period. This was partially offset by gains on the interest rate options within the Fund’s macro hedge strategy. The use of equity futures did not have a material impact on performance during the Reporting Period. |
| Q | | How was the Fund positioned at the end of the Reporting Period? |
| A | | In terms of its strategic allocation at the end of the Reporting Period, the Fund had 98.51% of its total net assets invested in equity-related investments and 1.49% in cash and cash equivalents. The Fund also maintained a position in cash and cash equivalents to cover the exposure of various derivatives positions. This above sector breakout is inclusive of derivative exposure across all asset classes. |
| Q | | What is the Fund’s tactical asset allocation view and strategy for the months ahead? |
| A | | At the end of the Reporting Period, we thought the U.S. economy was in the late stages of recovery, but we believed that, absent external shocks, it still had room to grow. Accordingly, we remained cautiously optimistic on the outlook for riskier asset classes. Overall, we believed the slowdown in economic growth at the beginning of 2016 was temporary and expected growth for the 2016 calendar year to be on par with that of 2015, due in part to the Fed’s supportive monetary policy. However, we recognized that tighter U.S. labor markets and continued accommodative monetary policy could lead to an inflation scare later in 2016. Market concerns about the Fed remaining on hold could, in turn, result in a temporary selloff in riskier asset classes and a more sustained selloff in government bonds. |
| | | Broadly speaking, at the end of the Reporting Period, we remained more constructive on equities than on corporate credit and on corporate credit relative to interest rates and increasingly on emerging markets over developed markets. On balance, we believe equities may perform better than bonds in the near term. Our view is based mostly on how high bond yields were at the end of the Reporting Period rather than on anticipation of strong equity market performance. Indeed, we expect equities to remain rather range-bound in the short term. That said, we believe European stocks may advance, driven by improving economic growth, better fundamentals, accommodative monetary policy by the European Central Bank, tailwinds from a weaker euro and thawing credit markets. We expect the U.S. economy to be resilient overall, although U.S. equity returns, in our view, are likely to be muted. In terms of emerging markets equities, we held a marginally positive view at the end of the Reporting Period as better economic data, dovish global central banks and a stabilizing U.S. dollar had helped improve investor sentiment about the asset class. (Dovish tends to imply lower interest rates.) Within emerging markets equities, we continued to focus on China where we believe economic growth is likely to improve in the near term on the back of monetary policy support, though we maintain a cautious view for the longer term. |
| | | Looking ahead, we plan to continue positioning the Fund in line with our long-term strategic asset allocation model, maintaining overweights and underweights relative to the Index, and do not anticipate significant tactical changes in the near term. This is likely to result in an overweight to small-cap equities, mainly within developed markets equities other than the U.S., with a commensurate underweight in U.S. large-cap stocks relative to the Index. At the end of the Reporting Period, the Fund’s allocation to emerging markets equities was relatively neutral compared to the Index. Additionally, in anticipation of further Fed rate hikes, we plan to maintain a reduced allocation to our macro hedging strategy as we position the Fund to potentially generate an attractive return with lower sensitivity to market volatility. |
2
FUND BASICS
Global Managed Beta Fund
as of April 30, 2016
| | | | | | | | | | |
| | PERFORMANCE REVIEW | |
| | | November 1, 2015–April 30, 2016 | | Fund Total Return (based on NAV)1 | | | MSCI All Country World
Investable Market Index2 | |
| | | Institutional | | | -1.41 | % | | | -1.28 | % |
| | 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 Fund’s benchmark index is the MSCI All Country World Investable Market Index (Net, USD, 50% Non-US Developed Hedged to USD) (the “Index”). The Index captures large, mid and small cap representation across 23 developed markets and 23 emerging markets countries. |
| | | | | | | | |
| | STANDARDIZED TOTAL RETURNS3 |
| | | For the period ended 3/31/16 | | Since Inception | | | Inception Date |
| | | Institutional | | | -5.18 | % | | 4/30/2015 |
| | 3 | | The Standardized Total Returns are cumulative total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. Because Institutional Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
| | | | | | | | | | |
| | EXPENSE RATIOS4 | |
| | | | | Net Expense Ratio (Current) | | | Gross Expense Ratio (Before Waivers) | |
| | | Institutional | | | 0.62 | % | | | 0.93 | % |
| | 4 | | 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 February 26, 2017, 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. |
3
FUND BASICS
| | | | | | | | |
| | HOLDINGS AS OF 4/30/165 |
| | | Holding | | % of Net Assets | | | Line of Business |
| | Vanguard S&P 500 ETF | | | 33.2 | % | | Exchange Traded Funds |
| | iShares MSCI EAFE ETF | | | 28.5 | | | Exchange Traded Funds |
| | iShares MSCI EAFE Small-Cap ETF | | | 13.7 | | | Exchange Traded Funds |
| | iShares Core MSCI Emerging Markets ETF | | | 11.0 | | | Exchange Traded Funds |
| | | Goldman Sachs Financial Square Government Fund | | | 9.5 | | | Investment Companies |
| | 5 | | The holdings may not be representative of the Fund’s future investments. |
4
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Schedule of Investments
April 30, 2016 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| | Exchange Traded Funds – 86.4% | |
| | 348,929 | | | iShares Core MSCI Emerging Markets ETF | | $ | 14,627,104 | |
| | 651,887 | | | iShares MSCI EAFE ETF | | | 38,089,757 | |
| | 362,154 | | | iShares MSCI EAFE Small-Cap ETF | | | 18,248,940 | |
| | 234,284 | | | Vanguard S&P 500 ETF | | | 44,331,219 | |
| | |
| | TOTAL EXCHANGE TRADED FUNDS | |
| | (Cost $113,886,031) | | $ | 115,297,020 | |
| | |
| | | | | | | | | | | | | | |
| Contracts | | | Exercise
Price | | | Expiration
Date | | | Value | |
| | Option Contracts Purchased – 1.2% | |
| | Options on Futures | |
| Credit Suisse International (London) Call – Eurodollar Futures | |
| | 38 | | | $ | 99.000 | | | | 06/13/16 | | | $ | 30,875 | |
| Credit Suisse International (London) Call – Eurodollar Futures | |
| | 257 | | | | 99.125 | | | | 06/19/17 | | | | 107,619 | |
| Credit Suisse International (London) Call – Eurodollar Futures | |
| | 248 | | | | 99.000 | | | | 09/18/17 | | | | 153,450 | |
| Credit Suisse International (London) Call – Eurodollar Futures | |
| | 196 | | | | 98.875 | | | | 12/18/17 | | | | 158,025 | |
| Credit Suisse International (London) Call – Eurodollar Futures | |
| | 34 | | | | 98.875 | | | | 09/19/16 | | | | 29,750 | |
| Credit Suisse International (London) Call – Eurodollar Futures | |
| | 14 | | | | 98.750 | | | | 12/19/16 | | | | 14,088 | |
| Credit Suisse International (London) Call – Eurodollar Futures | |
| | 4 | | | | 98.625 | | | | 03/13/17 | | | | 4,850 | |
| Credit Suisse International (London) Call – Eurodollar Futures | |
| | 77 | | | | 98.375 | | | | 06/18/18 | | | | 123,200 | |
| Credit Suisse International (London) Call – Eurodollar Futures | |
| | 37 | | | | 98.375 | | | | 03/19/18 | | | | 58,737 | |
| Credit Suisse International (London) Call – Eurodollar Futures | |
| | 106 | | | | 98.250 | | | | 09/17/18 | | | | 192,125 | |
| Credit Suisse International (London) Call – Eurodollar Futures | |
| | 133 | | | | 98.125 | | | | 12/17/18 | | | | 265,169 | |
| Credit Suisse International (London) Call – Eurodollar Futures | |
| | 45 | | | | 98.375 | | | | 06/19/17 | | | | 75,656 | |
| Credit Suisse International (London) Call – Eurodollar Futures | |
| | 85 | | | | 98.500 | | | | 06/13/16 | | | | 175,312 | |
| Credit Suisse International (London) Call – Eurodollar Futures | |
| | 27 | | | | 98.625 | | | | 09/19/16 | | | | 40,331 | |
| Credit Suisse International (London) Call – Eurodollar Futures | |
| | 49 | | | | 99.000 | | | | 12/19/16 | | | | 24,500 | |
| Credit Suisse International (London) Call – Eurodollar Futures | |
| | 6 | | | | 98.875 | | | | 12/19/16 | | | | 4,388 | |
| Credit Suisse International (London) Call – Eurodollar Futures | |
| | 58 | | | | 99.000 | | | | 09/19/16 | | | | 33,712 | |
| Credit Suisse International (London) Call – Eurodollar Futures | |
| | 88 | | | | 98.875 | | | | 06/13/16 | | | | 99,000 | |
| Credit Suisse International (London) Call – Eurodollar Futures | |
| | 529 | | | | 99.375 | | | | 09/19/16 | | | | 16,531 | |
| Credit Suisse International (London) Call – Eurodollar Futures | |
| | 64 | | | | 99.250 | | | | 06/13/16 | | | | 13,600 | |
| | |
| | Option Contracts Purchased – (continued) | |
| | Options on Futures – (continued) | |
| Credit Suisse International (London) Call – Eurodollar Futures | |
| | 30 | | | $ | 98.750 | | | | 03/13/17 | | | $ | 28,688 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 1,649,606 | |
| | |
| | TOTAL OPTION CONTRACTS PURCHASED | |
| | (Cost $1,981,817) | | | $ | 1,649,606 | |
| | |
| | | | | | | | |
| Shares | | Distribution
Rate | | | Value | |
| Investment Company(a)(b) – 9.5% | |
Goldman Sachs Financial Square Government Fund – FST Institutional Shares | |
| 12,726,587 | | | 0.250 | % | | $ | 12,726,587 | |
| (Cost $12,726,587) | |
| |
| TOTAL INVESTMENTS – 97.1% | |
| (Cost $128,594,435) | | | $ | 129,673,213 | |
| |
| OTHER ASSETS IN EXCESS OF LIABILITIES – 2.9% | | | | 3,810,441 | |
| |
| NET ASSETS – 100.0% | | | $ | 133,483,654 | |
| |
| | |
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
(a) | | Represents an Affiliated Fund. |
(b) | | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on April 30, 2016. |
| | |
|
Currency Abbreviations: |
AUD | | —Australian Dollar |
CAD | | —Canadian Dollar |
CHF | | —Swiss Franc |
DKK | | —Danish Krone |
EUR | | —Euro |
GBP | | —British Pound |
HKD | | —Hong Kong Dollar |
ILS | | —Israeli Shekel |
JPY | | —Japanese Yen |
NOK | | —Norwegian Krone |
NZD | | —New Zealand Dollar |
SEK | | —Swedish Krona |
SGD | | —Singapore Dollar |
| | |
Investment Abbreviations: |
ETF | | —Exchange Traded Fund |
PLC | | —Public Limited Company |
|
| | |
| The accompanying notes are an integral part of these financial statements. | | 5 |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Schedule of Investments (continued)
April 30, 2016 (Unaudited)
|
| ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At April 30, 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 | |
Morgan Stanley & Co. International PLC | | CAD | | | 1,610,000 | | | USD | | | 1,264,961 | | | $ | 1,283,185 | | | | 06/15/16 | | | $ | 18,225 | |
| | CHF | | | 10,000 | | | USD | | | 10,428 | | | | 10,445 | | | | 06/15/16 | | | | 17 | |
| | ILS | | | 40,000 | | | USD | | | 10,663 | | | | 10,714 | | | | 06/15/16 | | | | 52 | |
| | JPY | | | 19,000,000 | | | USD | | | 174,278 | | | | 178,795 | | | | 06/15/16 | | | | 4,517 | |
| | NOK | | | 50,000 | | | USD | | | 6,158 | | | | 6,208 | | | | 06/15/16 | | | | 50 | |
| | SEK | | | 75,000 | | | USD | | | 9,300 | | | | 9,355 | | | | 06/15/16 | | | | 55 | |
| | USD | | | 62,389 | | | AUD | | | 80,000 | | | | 60,710 | | | | 06/15/16 | | | | 1,679 | |
| | USD | | | 65,793 | | | HKD | | | 510,000 | | | | 65,776 | | | | 06/15/16 | | | | 17 | |
| | | USD | | | 29,916 | | | SGD | | | 40,000 | | | | 29,711 | | | | 06/15/16 | | | | 206 | |
| TOTAL | | | | | | | | | | | | | | | | | | | | | | $ | 24,818 | |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency Purchased | | | Currency Sold | | | Current
Value | | | Settlement
Date | | | Unrealized
Loss | |
Morgan Stanley & Co. International PLC | | USD | | | 2,093,069 | | | AUD | | | 2,880,000 | | | | 2,185,573 | | | | 06/15/16 | | | $ | (92,504 | ) |
| | USD | | | 2,864,174 | | | CHF | | | 2,840,000 | | | | 2,966,476 | | | | 06/15/16 | | | | (102,302 | ) |
| | USD | | | 607,420 | | | DKK | | | 4,150,000 | | | | 639,391 | | | | 06/15/16 | | | | (31,972 | ) |
| | USD | | | 9,386,685 | | | EUR | | | 8,620,000 | | | | 9,884,339 | | | | 06/15/16 | | | | (497,655 | ) |
| | USD | | | 6,124,557 | | | GBP | | | 4,345,000 | | | | 6,349,548 | | | | 06/15/16 | | | | (224,990 | ) |
| | USD | | | 933,056 | | | HKD | | | 7,250,000 | | | | 935,053 | | | | 06/15/16 | | | | (1,997 | ) |
| | USD | | | 206,107 | | | ILS | | | 800,000 | | | | 214,285 | | | | 06/15/16 | | | | (8,178 | ) |
| | USD | | | 7,047,277 | | | JPY | | | 797,000,000 | | | | 7,499,980 | | | | 06/15/16 | | | | (452,703 | ) |
| | USD | | | 178,625 | | | NOK | | | 1,550,000 | | | | 192,461 | | | | 06/15/16 | | | | (13,836 | ) |
| | USD | | | 52,953 | | | NZD | | | 80,000 | | | | 55,722 | | | | 06/15/16 | | | | (2,769 | ) |
| | USD | | | 891,253 | | | SEK | | | 7,650,000 | | | | 954,221 | | | | 06/15/16 | | | | (62,968 | ) |
| | | USD | | | 387,500 | | | SGD | | | 540,000 | | | | 401,093 | | | | 06/15/16 | | | | (13,595 | ) |
| TOTAL | | | | | | | | | | | | | | | | | | | | | | $ | (1,505,469 | ) |
FUTURES CONTRACTS — At April 30, 2016, the Fund had the following futures contracts:
| | | | | | | | | | | | | | |
| Type | | Number of
Contracts
Long (Short) | | | Expiration
Date | | Current Value | | | Unrealized
Gain (Loss) | |
Russell 2000 Mini Index | | | 106 | | | June 2016 | | $ | 11,952,560 | | | $ | 627,412 | |
S&P Toronto Stock Exchange 60 Index | | | 33 | | | June 2016 | | | 4,280,242 | | | | 17,599 | |
| TOTAL | | | | | | | | | | | | $ | 645,011 | |
| | |
| 6 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Statement of Assets and Liabilities
April 30, 2016 (Unaudited)
| | | | | | |
| | | | | | |
| | Assets: | |
| | Investments of unaffiliated issuers, at value (cost $115,867,848) | | $ | 116,946,626 | |
| | Investments of affiliated issuers, at value (cost $12,726,587) | | | 12,726,587 | |
| | Cash | | | 2,702,093 | |
| | Unrealized gain on forward foreign currency exchange contracts | | | 24,818 | |
| | Receivables: | | | | |
| | Collateral on certain derivative contracts(a) | | | 2,451,711 | |
| | Investments sold | | | 962,564 | |
| | Reimbursement from investment adviser | | | 67,050 | |
| | Dividends and interest | | | 2,119 | |
| | Total assets | | | 135,883,568 | |
| | | | | | |
| | Liabilities: | |
| | Unrealized loss on forward foreign currency exchange contracts | | | 1,505,469 | |
| | Variation margin on certain derivative contracts | | | 109,507 | |
| | Payables: | | | | |
| | Fund shares redeemed | | | 700,000 | |
| | Management fees | | | 5,592 | |
| | Transfer Agency fees | | | 2,187 | |
| | Investments purchased | | | 2,119 | |
| | Accrued expenses | | | 75,040 | |
| | Total liabilities | | | 2,399,914 | |
| | | | | | |
| | Net Assets: | |
| | Paid-in capital | | | 133,893,129 | |
| | Undistributed net investment income | | | 23,194 | |
| | Accumulated net realized loss | | | (675,807 | ) |
| | Net unrealized gain | | | 243,138 | |
| | NET ASSETS | | $ | 133,483,654 | |
| | Shares Outstanding $0.001 par value (unlimited number of shares authorized): | | | 14,178,882 | |
| | Net asset value, offering and redemption price per share: | | | $9.41 | |
| | (a) | | Includes amount segregated for initial margin and/or collateral on forward and futures transactions of $1,610,000 and $841,711, respectively. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 7 |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Statement of Operations
For the Six Months Ended April 30, 2016 (Unaudited)
| | | | | | |
| | | | | | |
| | Investment income: | |
| | Dividends — unaffiliated issuers | | $ | 1,198,671 | |
| | Dividends — affiliated issuers | | | 7,931 | |
| | Total investment income | | | 1,206,602 | |
| | | | | | |
| | Expenses: | |
| | Management fees | | | 195,439 | |
| | Professional fees | | | 58,193 | |
| | Printing and mailing costs | | | 25,185 | |
| | Custody, accounting and administrative services | | | 17,657 | |
| | Transfer Agency fees | | | 13,029 | |
| | Trustee fees | | | 10,470 | |
| | Other | | | 9,837 | |
| | Total expenses | | | 329,810 | |
| | Less — expense reductions | | | (202,183 | ) |
| | Net expenses | | | 127,627 | |
| | NET INVESTMENT INCOME | | | 1,078,975 | |
| | | | | | |
| | Realized and unrealized gain (loss): | |
| | Net realized gain (loss) from: | | | | |
| | Investments — unaffiliated issuers | | | (232,251 | ) |
| | Futures contracts | | | (365,765 | ) |
| | Forward foreign currency exchange contracts | | | 423,771 | |
| | Net change in unrealized gain (loss) on: | | | | |
| | Investments | | | (1,177,000 | ) |
| | Futures contracts | | | 248,323 | |
| | Forward foreign currency exchange contracts | | | (1,626,534 | ) |
| | Net realized and unrealized loss | | | (2,729,456 | ) |
| | NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | (1,650,481 | ) |
| | |
| 8 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Statements of Changes in Net Assets
| | | | | | | | | | |
| | | | | For the
Six Months Ended
April 30, 2016
(Unaudited) | | | For the Period Ended
October 31, 2015(a) | |
| | From operations: | |
| | Net investment income | | $ | 1,078,975 | | | $ | 298,117 | |
| | Net realized loss | | | (174,245 | ) | | | (16,536 | ) |
| | Net change in unrealized gain (loss) | | | (2,555,211 | ) | | | 2,798,349 | |
| | Net increase (decrease) in net assets resulting from operations | | | (1,650,481 | ) | | | 3,079,930 | |
| | | | | | | | | | |
| | Distributions to shareholders: | |
| | From net investment income | | | (1,511,756 | ) | | | — | |
| | From net realized gains | | | (327,168 | ) | | | — | |
| | Total distributions to shareholders | | | (1,838,924 | ) | | | — | |
| | | | | | | | | | |
| | From share transactions: | |
| | Proceeds from sales of shares | | | 6,950,005 | | | | 136,000,015 | |
| | Reinvestment of distributions | | | 1,838,924 | | | | — | |
| | Cost of shares redeemed | | | (8,800,005 | ) | | | (2,095,810 | ) |
| | Net increase (decrease) in net assets resulting from share transactions | | | (11,076 | ) | | | 133,904,205 | |
| | TOTAL INCREASE (DECREASE) | | | (3,500,481 | ) | | | 136,984,135 | |
| | | | | | | | | | |
| | Net assets: | |
| | Beginning of period | | | 136,984,135 | | | | — | |
| | End of period | | $ | 133,483,654 | | | $ | 136,984,135 | |
| | Undistributed net investment income | | $ | 23,194 | | | $ | 455,975 | |
| | (a) | | Commenced operations on April 30, 2015. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 9 |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Income (loss) from
investment operations | | | Distributions
to shareholders | |
| | | Year - Share Class | | Net asset
value,
beginning
of period | | | Net
investment
income(a) | | | Net realized
and unrealized
gain (loss) | | | Total from
investment
operations | | | From net
investment
income | | | From net
realized
gains | | | Total
distributions | |
| | FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED) | |
| | 2016 - Institutional Shares | | $ | 9.68 | | | $ | 0.08 | | | $ | (0.22 | ) | | $ | (0.14 | ) | | $ | (0.11 | ) | | $ | (0.02 | ) | | $ | (0.13 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | FOR THE PERIOD ENDED OCTOBER 31, | |
| | 2015 - Institutional Shares (Commenced April 30,2015) | | | 10.00 | | | | 0.05 | | | | (0.37 | ) | | | (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) | | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| | (e) | | 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. |
| | (f) | | Portfolio Turnover rounds to less than 0.5%. |
| | |
| 10 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL MANAGED BETA 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(c)(d) | | | | | Ratio of
total expenses
to average
net assets(c)(d) | | | | | Ratio of
net investment
income
to average
net assets(d) | | | | | Portfolio
turnover
rate(e) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 9.41 | | | | | | (1.41 | )% | | | | $ | 133,484 | | | | | | 0.20 | % | | | | | 0.51 | % | | | | | 1.66 | % | | | | | 9 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 9.68 | | | | | | (3.20 | ) | | | | | 136,984 | | | | | | 0.37 | | | | | | 0.68 | | | | | | 1.04 | | | | | | — | (f) |
| | |
| The accompanying notes are an integral part of these financial statements. | | 11 |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Notes to Financial Statements
April 30, 2016 (Unaudited)
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. Goldman Sachs Global Managed Beta Fund (the “Fund”) is a diversified fund that currently offers one class of shares — Institutional Shares. The Fund commenced operations on April 30, 2015. Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman, Sachs & Co. (“Goldman Sachs”), serves as investment adviser to the Fund 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 Fund’s 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.
For derivative contracts, realized gains and losses are recorded upon settlement of the contract.
C. Expenses — Expenses incurred directly by the Fund are charged to the Fund, and certain expenses incurred by the Trust that may not solely relate to the Fund are allocated to the Fund and the other applicable funds of the Trust on a straight-line and/or pro-rata basis depending upon the nature of the expenses, and are accrued daily.
D. Federal Taxes and Distributions to Shareholders — It is the 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 Fund is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid annually.
Net capital losses are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
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 the 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 Fund’s net assets on the Statement of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
12
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
|
| 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 Fund’s 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 Fund, including investments for which market quotations are not readily available. The Trustees have delegated to GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Fund’s 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.
13
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
Underlying Funds (including Money Market Funds) — Underlying Funds (“Underlying Funds”) include other investment companies and exchange-traded funds (“ETFs”). Investments in the Underlying Funds (except ETFs) are valued at the NAV per share of the Institutional Share class (the FST Institutional 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 Fund invests in Underlying Funds that fluctuate in value, the Fund’s shares will correspondingly fluctuate in value. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.
Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. The Fund enters into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers.
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 the Fund agrees to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date. All forward foreign currency exchange contracts are marked-to-market daily 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.
14
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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, the Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by the Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.
iii. Option Contracts — When the 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 the Fund, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.
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 Fund’s investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining the Fund’s NAV. 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.
15
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
C. Fair Value Hierarchy — The following is a summary of the Fund’s investments and derivatives classified in the fair value hierarchy as of April 30, 2016:
| | | | | | | | | | | | |
| |
| GLOBAL MANAGED BETA FUND | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| Assets | | | | | | | | | | | | |
Exchange Traded Funds | | $ | 115,297,020 | | | $ | — | | | $ | — | |
Investment Company | | | 12,726,587 | | | | — | | | | — | |
| Total | | $ | 128,023,607 | | | $ | — | | | $ | — | |
| | | |
| Derivative Type | | | | | | | | | |
| Assets | | | | | | | | | | | | |
Option Contracts Purchased | | $ | 1,649,606 | | | $ | — | | | $ | — | |
Forward Foreign Currency Exchange Contracts(a) | | | — | | | | 24,818 | | | | — | |
Futures Contracts(a) | | | 645,011 | | | | — | | | | — | |
| Total | | $ | 2,294,617 | | | $ | 24,818 | | | $ | — | |
| Liabilities(a) | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts | | $ | — | | | $ | (1,505,469 | ) | | $ | — | |
| (a) | | Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Schedule of Investments.
16
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
|
| 4. INVESTMENTS IN DERIVATIVES |
The following table sets forth, by certain risk types, the gross value of derivative contracts as of April 30, 2016. These instruments were used as part of the Fund’s investment strategies and to obtain and/or manage exposure related to the risks below. The values in the table below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Fund’s net exposure.
| | | | | | | | | | | | |
| Risk | | Statement of Assets
and Liabilities | | Assets | | | Statement of Assets
and Liabilities | | Liabilities | |
Interest | | Investment, at value | | $ | 1,649,606 | | | — | | $ | — | |
Currency | | Receivable for unrealized gain on forward foreign currency exchange contracts | | | 24,818 | | | Payable for unrealized loss on forward foreign currency exchange contracts | | | (1,505,469) | |
Equity | | Variation margin on certain derivative contracts(a) | | | 645,011 | | | — | | | — | |
| Total | | | | $ | 2,319,435 | | | | | $ | (1,505,469) | |
| (a) | | Represents unrealized gain (loss) on futures contracts described in the Additional Investment Information sections of the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table sets forth, by certain risk types, the Fund’s gains (losses) related to these derivatives and their indicative volumes for the six months ended April 30, 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 Statement of Operations:
| | | | | | | | | | | | | | |
| Risk | | Statement of Operations | | Net Realized
Gain (Loss) | | | Net Change in
Unrealized
Gain (Loss) | | | Average
Number of
Contracts(a) | |
| Interest | | Net realized gain (loss) from investment/ Net change in unrealized gain (loss) on investments | | $ | 666,740 | | | $ | (436,469 | ) | | | 16 | |
| Currency | | Net realized gain (loss) from forward foreign currency exchange contracts and/
Net change in unrealized gain (loss) on forward foreign currency exchange contracts | | | 423,771 | | | | (1,626,534 | ) | | | 36 | |
| Equity | | Net realized gain (loss) on futures contracts/ Net change in unrealized gain (loss) on futures contracts | | | (365,765 | ) | | | 248,323 | | | | 112 | |
| Total | | $ | 724,746 | | | $ | (1,814,680 | ) | | | 164 | |
| (a) | | Average number of contracts is based on the average of month end balances for the six months ended April 30, 2016. |
17
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 4. INVESTMENTS IN DERIVATIVES (continued) |
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the 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 the 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 the Fund and the counterparty. Additionally, the 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 the Fund and cash collateral received from the counterparty, if any, is reported separately on the Statement of Assets and Liabilities as receivables/payables for collateral on certain derivative contracts. Non-cash collateral pledged by the Fund, if any, is noted in the Schedule 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 the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The 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.
18
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
|
| 4. INVESTMENTS IN DERIVATIVES (continued) |
The following table sets forth the Fund’s net exposure for derivative instruments that are subject to enforceable master netting arrangements or similar agreements as of April 30, 2016:
| | | | | | | | | | | | | | | | | | | | |
| | | Derivative
Assets(1) | | | Derivative
Liabilities(1) | | | Net Derivative
Asset
(Liabilities) | | | Collateral
(Received)
Pledged(1) | | | Net
Amount(2) | |
| Counterparty | | Forward
Currency
Contracts | | | Forward
Currency
Contracts | | | | |
Morgan Stanley & Co.
International PLC | | $ | 24,818 | | | $ | (1,505,469 | ) | | $ | (1,480,651 | ) | | $ | 1,480,651 | | | $ | — | |
Total | | $ | 24,818 | | | $ | (1,505,469 | ) | | $ | (1,480,651 | ) | | $ | 1,480,651 | | | $ | — | |
| (1) | | Gross amounts available for offset but not netted in the Statement of Assets and Liabilities. |
| (2) | | Net amount represents the net amount due (to) from counterparty in the event of a default based on the contractual set-off rights under the agreement. Net amount excludes any over-collateralized amounts. |
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAM manages the Fund, 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 Fund’s business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of 0.30% of the Institutional Shares Class’ average daily net assets.
GSAM has agreed to waive all management fees payable by the Fund. This arrangement will remain in place through at least February 26, 2017 and prior to such date GSAM may not terminate this arrangement without the approval of the Trustees. For the six months ended April 30, 2016, GSAM waived $195,439 in management fees.
The Fund invests in FST Institutional Shares of Goldman Sachs Financial Square Government Fund, which is an affiliated Underlying Fund. GSAM has agreed to reduce or limit “Other Expenses” in an amount equal to any management fee it earns as the investment adviser to any of the affiliated money market funds in which the Fund invest. These Other Expense limitations will remain in place through at least February 26, 2017, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees.
For the six months ended April 30, 2016 these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
| | | | | | | | | | |
| Management Fees | | | Other Expense
Reimbursements | | | Total Expense
Reimbursements | |
| $ | 195,439 | | | $ | 6,744 | | | $ | 202,183 | |
19
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
B. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Fund 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: 0.02% of the average daily net assets of the Institutional Shares.
C. Line of Credit Facility — As of April 30, 2016, the Fund participated in a $1,205,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and registered investment companies having management agreements with GSAM or its affiliates (“Other Borrowers”). 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 Fund based on the amount of the commitment that has not been utilized. For the six months ended April 30, 2016, the Fund did not have any borrowings under the facility. The facility was renewed in the amount of $1,100,000,000 effective May 3, 2016.
D. Other Transactions with Affiliates — For the six months ended April 30, 2016, Goldman Sachs did not earn any brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as Futures Commission Merchant, on behalf of the Fund.
The table below shows the transaction in and earnings from investments in the Underlying Fund For the six months ended April 30, 2016:
| | | | | | | | | | | | | | | | | | | | |
| Underlying Fund | | Market
Value
10/31/2015 | | | Purchases at Cost | | | Proceeds from Sales | | | Market Value
4/30/2016 | | | Dividend
Income | |
Goldman Sachs Financial Square Government Fund | | $ | 9,060,782 | | | $ | 20,996,224 | | | $ | (17,330,419 | ) | | $ | 12,726,587 | | | $ | 7,931 | |
|
| 6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended April 30, 2016, were $11,071,613 and $15,350,937, respectively.
As of April 30, 2016, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
| | | | |
| | | Global
Managed Beta | |
Tax Cost | | $ | 128,594,435 | |
Gross unrealized gain | | | 2,606,450 | |
Gross unrealized loss | | | (1,527,672 | ) |
Net unrealized security gain | | $ | 1,078,778 | |
20
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
|
| 7. TAX INFORMATION (continued) |
The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to net mark-to-market gains/losses on regulated futures and options contracts, net mark-to-market gain/loss on foreign currency contracts.
GSAM has reviewed the Fund’s tax positions for the current open tax year and has concluded that no provision for income tax is required in the Fund’s financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
The Fund’s risks include, but are not limited to, the following:
Derivatives Risk — Loss may result from the Fund 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 Fund. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. Losses from investments in derivatives also can result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.
Foreign and Emerging Countries Risk — 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.
Investments in Other Investment Companies — As a shareholder of another investment company, including an exchange-traded fund (“ETF”), the Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund. ETFs are subject to risks that do not apply to conventional mutual funds, including but not limited to the following: (i) the market price of the ETF’s shares may trade at a premium or a discount to their NAV; and (ii) an active trading market for an ETF’s shares may not develop or be maintained.
21
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 8. OTHER RISKS (continued) |
Large Shareholder Transactions Risk — The Fund may experience adverse effects when certain large shareholders, such as other funds, institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include the Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of the Fund. Such large shareholder redemptions may cause the Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact the Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in the Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect the Fund’s performance to the extent that the Fund is delayed in investing new cash and is required to maintain a larger cash position than it ordinarily would.
Market and Credit Risks — In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
Portfolio Concentration Risk — As a result of the Fund’s ability to invest a large percentage of its 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 Fund’s investments more than if its investments were not so concentrated.
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 Fund. Additionally, in the course of business, the Fund enters into contracts that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
22
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Subsequent events after the Statement of Assets and Liabilities date have been evaluated through the date the financial statements were issued. GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
|
| 11. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | For the Six Months Ended
April 30, 2016
(Unaudited) | | | For the Period Ended
October 31, 2015(a) | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 768,426 | | | $ | 6,950,005 | | | | 14,383,148 | | | $ | 136,000,015 | |
Reinvestment of distributions | | | 195,312 | | | | 1,838,924 | | | | — | | | | — | |
Shares redeemed | | | (937,496 | ) | | | (8,800,005 | ) | | | (230,508 | ) | | | (2,095,810 | ) |
NET INCREASE (DECREASE) | | | 26,242 | | | $ | (11,076 | ) | | | 14,152,640 | | | $ | 133,904,205 | |
| (a) | | Commenced operations on April 30, 2015. |
23
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
| | |
Fund Expenses — Six Month Period Ended April 30, 2016 (Unaudited) | | |
As a shareholder of Institutional Shares of the Fund, you incur ongoing costs, including management fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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 November 1, 2015 through April 30, 2016, which represents a period of 182 days out of 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 Fund’s actual net expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.
| | | | | | | | | | | | |
| Share Class | | Beginning
Account Value
11/1/15 | | | Ending
Account Value
4/30/16 | | | Expenses Paid for the
6 months ended
4/30/16* | |
| Institutional | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 985.90 | | | $ | 0.99 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,023.87 | + | | | 1.01 | |
| | * | | Expenses are calculated using the Fund’s annualized net expense ratio, which represents the ongoing expenses as a percentage of net assets for the period ended April 30, 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 ratio for the period was 0.20%. | |
| | + | | Hypothetical expenses are based on the Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. | |
24
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 FundsSM
| 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 FundsSM
| n | | Investor Money Market Fund |
| n | | Investor Tax-Exempt Money Market Fund3 |
Fixed Income
Short Duration and Government
| n | | High Quality Floating Rate Fund |
| n | | Limited Maturity Obligations Fund |
| n | | Short Duration Government Fund |
| n | | Short Duration Income Fund |
| n | | Inflation Protected Securities Fund |
Multi-Sector
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 | | 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 | | Small/Mid Cap Value 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 |
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 | | Emerging Markets Equity Fund6 |
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 | | 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 | | Tactical Tilt Overlay Fund8 |
| 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 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. |
| 8 | | Effective on June 1, 2016, the Goldman Sachs Tactical Tilt Implementation Fund was renamed the Goldman Sachs Tactical Tilt Overlay Fund. |
Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman, Sachs & Co.
| * | | This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds. |
| | |
TRUSTEES Ashok N. Bakhru, Chairman Kathryn A. Cassidy 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, Principal Financial Officer, Senior Vice President and Treasurer 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 Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, 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 Fund. 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 Fund uses 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 1-800-621-2550 (for Institutional Shareholders); and (II) on the Securities and Exchange Commission (’’SEC’’) web site at http://www.sec.gov.
The website links provided are for your convenience only and are not an endorsement or recommendation by GSAM of any of these websites or the products or services offered. GSAM is not responsible for the accuracy and validity of the content of these websites.
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Forms N-Qs. The Fund’s Forms N-Qs are available on the SEC’s web site at http://www.sec.gov within 60 days after the Fund’s first and third fiscal quarters. The Fund’s Forms N-Qs 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-Qs 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).
Fund holdings and allocations shown are as of April 30, 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.
Economic and market forecasts presented herein reflect our judgment as of the date of this presentation 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.
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus or summary prospectus, if applicable. Investors should consider a Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about a Fund and may be obtained from your authorized dealer or from Goldman, Sachs & Co. by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550).
© 2016 Goldman Sachs. All rights reserved. 50860-TMPL-06/2016 MGDBETASAR-16 / 118
Goldman Sachs Funds
| | | | |
| | |
| Semi-Annual Report | | | | April 30, 2016 |
| | |
| | | | International Equity Insights Funds |
| | | | Emerging Markets Equity Insights |
| | | | International Equity Insights |
| | | | International Small Cap Insights |
Goldman Sachs International Equity Insights Funds
| n | | EMERGING MARKETS EQUITY INSIGHTS |
| n | | INTERNATIONAL EQUITY INSIGHTS |
| n | | INTERNATIONAL SMALL CAP INSIGHTS |
| | | | |
TABLE OF CONTENTS | | | | |
| |
Investment Process | | | 1 | |
| |
Market Review | | | 4 | |
| |
Portfolio Management Discussions and Performance Summaries | | | 7 | |
| |
Schedules of Investments | | | 24 | |
| |
Financial Statements | | | 44 | |
| |
Financial Highlights | | | 48 | |
| |
Notes to the Financial Statements | | | 54 | |
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Other Information | | | 72 | |
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| NOT FDIC-INSURED | | May Lose Value | | No Bank Guarantee |
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Goldman Sachs’ International Equity Insights Investment Process
| n | | Comprehensive – We forecast returns on over 8,000 international stocks and 43 equity markets on a daily basis. |
| n | | Rigorous – We evaluate stocks, countries and currencies based on fundamental investment criteria that have outperformed historically. |
| n | | Objective – Our stock and equity market selection process is free from emotion that may lead to biased investment decisions. |
| n | | Our computer optimization process allocates risk to our high conviction investment ideas and constructs funds that strive to neutralize systematic risks and deliver better returns. |
| n | | We use proprietary risk models that are designed to be more precise, more focused and faster to respond because they seek to identify, track and manage risk specific to our process, using daily data. |
Fully invested, well-diversified international portfolio that seeks to:
| n | | Blend top-down market views with bottom-up stock selection. |
| n | | Maintain style, sector, risk and capitalization characteristics similar to the benchmark. |
| n | | Achieve excess returns by taking many small diversified stock positions. Additionally, in the Goldman Sachs Emerging Markets Equity Insights Fund and the Goldman Sachs International Equity Insights Fund we take intentional country bets. |
1
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Enhancements Made to Proprietary Quantitative Model during the Six-Month Period Ended April 30, 2016
We continuously look for ways to improve our investment process. Accordingly, we introduced a number of enhancements to our proprietary quantitative model during the six-month period ended April 30, 2016 (the “Reporting Period”).
We enhanced our Management theme in Europe and the emerging markets by expanding the scope of an existing signal that looks at managements’ personal transactions in the stock of their respective company. Corporate executives purchasing or selling shares can potentially signal their conviction in the company’s stock when assessed under the right circumstances. We obtain and analyze this information through regulatory filings for more than 7,500 companies globally. In addition, we expanded the scope of two signals within our global linkages theme. First, we extended a signal, which analyzes patent data to identify economically linked companies, to all investment regions. We now analyze about 40 million patents from various patent offices for more than 3,000 companies globally to establish the economic linkages between stocks of various industries. Second, we extended a signal that establishes economic linkages between companies in the automotive supply chain from Japan to the Europe investment region. We take a differentiated, region-specific approach and analyze the potential relationships between the stock returns of suppliers and manufacturers multiple levels down the supply chain. During the Reporting Period, we also extended a signal within our Profitability theme to the emerging markets and Japan investment regions. The signal analyzes web traffic data that we believe can potentially forecast corporate revenue growth. We analyze this information for about 4,000 companies spanning across various sectors. Furthermore, during the Reporting Period, we enhanced certain investment themes specific to our country/currency selection model. Specifically, we enhanced our Valuation theme with the addition of a residual income model-based valuation metric. We favor markets that generate higher earnings and are growing faster; we consider growth more valuable in markets with higher valuations. We also enhanced our Risk Premium theme by incorporating the change in forecasted earnings to price. We favor markets where forecasted earnings to price is increasing, as we consider this a proxy for higher distress risk (i.e., cheaper valuations) with positive premia.
2
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
|
| |
| Changes to the International Equity Insights Funds’ Portfolio Management Team |
| |
| On February 5, 2016, Ron Hua, Chief Investment Officer of Equity Alpha Strategies for the Quantitative Investment Strategies (“QIS”) Team, announced his intention to retire from Goldman Sachs Asset Management, L.P. (“GSAM”). As such, effective that date, Mr. Hua no longer had portfolio management responsibilities for the International Equity Insights Funds (the “Funds”). Effective February 5, 2016, Armen Avanessians assumed the responsibilities as Chief Investment Officer of GSAM’s Equity Alpha Team, overseeing research, portfolio management and implementation for all of the Funds. As always, the Quantitative Investment Strategies platform is organized into a series of specialist portfolio management teams that focus on generating and implementing investment ideas within their area of expertise. Investment decisions are made by these portfolio management teams, rather than by one portfolio manager or committee. Ultimate accountability for each of the Funds resides with the senior portfolio managers dedicated to each Team strategy, who oversee their respective research, portfolio management and implementation processes. |
3
MARKET REVIEW
Goldman Sachs International Equity
Insights Funds
Market Review
Emerging markets equities finished the six-month period ended April 30, 2016 (the “Reporting Period”) approximately where they started, while international developed markets equities declined.
Emerging Markets Equities
Emerging markets equities were roughly flat during the Reporting Period. The MSCI® Emerging Markets Index (Net, USD, Unhedged) (the “MSCI® EM Index”) posted a return of -0.13%.* While absolute returns were disappointing, emerging markets equities outpaced developed markets equities, as measured by the MSCI® Europe, Australasia, Far East (“EAFE”) Index. Weakness in emerging market equities for most of the Reporting Period reflected concerns about slowing economic growth, particularly in China, and the impact of weak commodity prices, particularly oil prices.
There was broad emerging markets “risk off” sentiment in November 2015, as the Reporting Period began, on a combination of Federal Reserve (“Fed”) rate hike concerns and disappointing macroeconomic data and negative news flow from China. When the Fed finally hiked U.S. interest rates by 25 basis points in December 2015, the fairly dovish language in its statement, which emphasized “gradual” future adjustments to policy, helped to somewhat assuage market sentiment. (A basis point is 1/100th of a percentage point. Dovish language tends to suggest lower interest rates.)
Emerging market equities suffered a rout at the beginning of 2016, triggered by investor concerns of an intensifying economic slowdown in China and exacerbated by an oil price plunge. Market sentiment improved in February 2016, and emerging market equities stabilized as global central banks set a more accommodative tone. For example, the Bank of Japan (“BoJ”) introduced negative interest rates in late January 2016 and the People’s Bank of China eased, while the Fed released dovish remarks in February 2016. In March 2016, further central bank dovishness, along with receding global economic concerns and a commodity price rebound, helped to drive a strong recovery in emerging markets equities. Notably, the European Central Bank implemented heavy easing, cutting its deposit rate to -40 basis points and raising its monthly quantitative easing purchases. The BoJ left its monetary policy unchanged in March 2016, but its rhetoric about negative interest rates heightened expectations for further easing to come.
Market sentiment appeared to remain sanguine in April 2016, as oil prices rose and Chinese economic growth concerns abated with modestly improving economic data. The Fed left rates unchanged but expressed less concern about market volatility and global economic growth, opening up the possibility of a June 2016 rate hike. However, global sentiment moderated near the end of April 2016, as the BoJ disappointed markets by not implementing additional monetary stimulus.
Materials and energy were the best performing sectors in the MSCI® EM Index during the Reporting Period, followed at some distance by consumer staples and utilities, the only other two sectors in the MSCI® EM Index to post a positive absolute return during the Reporting Period. Health care and industrials were the weakest sectors in the MSCI® EM Index during the Reporting Period, followed by information technology and consumer discretionary.
| * | | All index returns are expressed in U.S. dollar terms. |
4
MARKET REVIEW
From a country perspective, Hungary, Brazil and Peru were by a wide margin the best performing individual country constituents of the MSCI® EM Index for the Reporting Period. Turkey, Indonesia, Russia and Malaysia also notably outpaced the MSCI® EM Index during the Reporting Period. Conversely, Greece was by far the weakest individual country constituent of the MSCI® EM Index during the Reporting Period, followed at some distance by China, Qatar and India which also significantly lagged the MSCI® EM Index during the Reporting Period.
International Equities
International equities lost ground during the Reporting Period. The MSCI® EAFE Index posted a return of -3.07%.* Central bank policy, economic sluggishness, currency movements and oil price shifts were some of the biggest themes dominating the international equities markets.
After holding the targeted federal funds rate in September and October 2015, in light of external risks, the Fed voted unanimously for a 25 basis point interest rate increase in December 2015, a move largely expected by the markets. (A basis point is 1/100th of a percentage point.) However, the fairly dovish language in the announcement, which emphasized “gradual” future adjustments to policy, helped to somewhat assuage the markets. The BoJ announced supplementary support for its quantitative and qualitative easing programs. While the European Central Bank (“ECB”) also lowered its deposit rate by 10 basis points and announced an extension of its quantitative easing program at its December 2015 meeting, market reaction was one of disappointment as more had been expected.
International equities suffered a rout at the beginning of 2016, triggered by investor concerns of an intensifying economic slowdown in China and exacerbated by an oil price plunge. Sentiment improved following a dovish January ECB press conference and the BoJ’s introduction of negative interest rates. In turn, international equities stabilized a bit in February 2016. However, the MSCI® EAFE Index still fell 1.83% in February 2016. In March 2016, further central bank dovishness, along with receding global economic concerns and oil price stabilization, helped to finally drive a global equity market recovery. Notably, the ECB implemented heavy easing, cutting its deposit rate to -40 basis points and raising its monthly quantitative easing purchases. The BoJ left its monetary policy unchanged in March 2016, but its rhetoric about negative interest rates heightened expectations for further easing to come.
Market sentiment appeared to remain sanguine in April 2016, as oil prices rose and Chinese economic growth concerns abated with modestly improving economic data. Both the ECB and BoJ were on hold in April 2016. BoJ inaction came as a major disappointment against expectations of further easing, causing international equities to sell off once again and the yen to appreciate. Relative currency appreciation was exacerbated by U.S. dollar weakness following a weaker than expected first quarter U.S. Gross Domestic Product (“GDP”) release and an uneventful Fed meeting during which rates were left unchanged.
During the Reporting Period, materials, consumer staples, energy and industrials were the only sectors in the MSCI® EAFE Index to post a positive return. The weakest performing sectors in the MSCI® EAFE Index during the Reporting Period were financials and consumer discretionary, followed at some distance by health care.
| * | | All index returns are expressed in U.S. dollar terms. |
5
MARKET REVIEW
From a country perspective, New Zealand was the strongest individual country constituent in the MSCI® EAFE Index, followed by Australia and Denmark. Italy was the weakest individual country constituent in the MSCI® EAFE Index during the Reporting Period, followed by Spain and Israel.
In the international small cap arena, equities provided a positive return during the Reporting Period, with the MSCI® EAFE Small Cap Index (Net, USD, Unhedged) (“MSCI® EAFE Small Cap Index”) gaining 2.46%. The strongest performing sectors in the MSCI® EAFE Small Cap Index were consumer staples, health care and materials, while energy, telecommunication services and financials were the weakest performing sectors.
From a country perspective, New Zealand, Australia and Finland were the strongest performing individual country constituents in the MSCI® EAFE Small Cap Index during the Reporting Period. Portugal, Hong Kong and the U.K. were the weakest performing individual country constituents in the MSCI® EAFE Small Cap Index during the Reporting Period.
Looking Ahead
At the end of the Reporting Period, we continued to believe that less expensive stocks should outpace more expensive stocks. In addition, we expected stocks with good momentum to outperform those with poor momentum. We plan to focus on seeking companies about which fundamental research analysts are becoming more positive as well as profitable companies with what we view as sustainable earnings and a track record of using their capital to enhance shareholder value. As such, we anticipate remaining fully invested, with long-term performance likely to be the result of stock selection rather than sector or capitalization allocations.
We stand behind our investment philosophy that sound economic investment principles, coupled with a disciplined quantitative approach, can provide strong, uncorrelated returns over the long term. Our research agenda is robust, and we continue to enhance our existing models, add new proprietary forecasting signals and improve our trading execution as we seek to provide the most value to our shareholders.
6
PORTFOLIO RESULTS
Goldman Sachs Emerging Markets Equity
Insights Fund
Investment Objective
The Fund seeks long-term growth of capital.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs Emerging Markets Equity Insights Fund’s (the “Fund”) performance and positioning for the six-month period ended April 30, 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, R and R6 Shares generated cumulative total returns, without sales charges, of -0.36%, -0.70%, -0.10%, -0.19%, -0.41% and -0.06%, respectively. These returns compare to the -0.13% cumulative total return of the Fund’s benchmark, the MSCI® Emerging Markets Standard Index (Net, USD, Unhedged) (the “Index”), during the same period. |
| Q | | What key factors were most responsible for the Fund’s performance during the Reporting Period? |
| A | | We use two distinct strategies — a bottom-up stock selection strategy and a top-down country/currency selection strategy — to manage the Fund. These strategies are uncorrelated, that is, they tend to perform independently of each other over time, which enables us to greater diversify the portfolio. During the Reporting Period, the Fund benefited from our stock selection strategy, which uses fundamental research and stock selection models based on six investment themes. However, it underperformed the Index, largely due to the underperformance of our Management theme. Our country/currency selection strategy contributed positively. |
| Q | | Which investment themes helped and which hurt within the Team’s stock selection strategy? |
| A | | In keeping with our investment approach, we use our quantitative model and six investment themes to take a long-term view of market patterns and look for inefficiencies, selecting stocks for the Fund and overweighting or underweighting the ones chosen by the model. Over time and by design, the performance of any one of our model’s investment themes tends to have a low correlation with the model’s other themes, demonstrating the diversification benefit of our theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by our different investment themes is a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term. Of course, diversification does not protect an investor from market risk nor does it ensure a profit. |
| | During the Reporting Period, four of our six investment themes added to the Fund’s relative returns. Valuation was our best performing theme. The Valuation theme attempts to capture potential mispricings of securities, typically by comparing a measure of the company’s intrinsic value to its market value. Momentum, Sentiment and Quality also added to relative results. The Momentum theme seeks to predict drifts in stock prices caused by delayed investor reaction to company-specific information and information about related companies. The Sentiment theme reflects selected investment views and decisions of individuals and financial intermediaries. The Quality theme seeks to assess both firm and management quality. |
| | Our Management theme, which assesses the characteristics, policies and strategic decisions of company management, detracted from relative results during the Reporting Period. |
| | The impact of our Profitability theme on relative performance was rather neutral during the Reporting Period. The Profitability theme assesses whether a company is earning more than its cost of capital. |
| Q | | How did the Fund’s sector and industry allocations affect relative results? |
| A | | In constructing the portfolio, we focus on picking stocks rather than on making sector or industry bets. Consequently, the Fund is similar to the Index in terms of its sector and industry allocations and its style. Changes in its sector or industry weights generally do not have a meaningful impact on relative returns. |
7
PORTFOLIO RESULTS
| Q | | Did stock selection help or hurt Fund performance during the Reporting Period? |
| A | | We seek to outpace the Index by overweighting stocks we expect to outperform and underweighting those we think may lag. At the same time, we strive to maintain a risk profile similar to the Index. The Fund’s investments are selected using fundamental research and a variety of quantitative techniques based on our investment themes. For example, the Fund aims to hold a basket of stocks with better Momentum characteristics than the benchmark. |
| | | During the Reporting Period, our stock selection added to the Fund’s relative performance. Investments in the energy, information technology and materials sectors contributed positively. Stock picks in the financials, consumer staples and health care sectors detracted from results. |
| Q | | Which stock positions contributed most to the Fund’s relative returns during the Reporting Period? |
| A | | The Fund benefited from overweight positions in BM&F Bovespa, a Brazil-based stock exchange; Lotte Chemical, a South Korea-based chemical company; and Rosneft Oil, a Russia-based oil company. We chose to overweight BM&F Bovespa due to our positive views on Sentiment, Management and Momentum, while the overweight in Lotte Chemical was the result of our positive views on Momentum, Valuation and Quality. The Fund was overweight Rosneft Oil because of our positive views on Valuation, Quality and Sentiment. |
| Q | | Which Fund positions detracted most from results during the Reporting Period? |
| A | | The Fund was hurt by overweight positions in JBS, People’s Insurance Company Group of China and Fubon Financial Holding. Our positive views on Valuation and Momentum led us to overweight JBS, a Brazil-based meat processing company. The overweight in People’s Insurance Company Group of China was based on our positive views on Sentiment and Valuation. We adopted the overweight in Taiwan-based Fubon Financial Holding as a result of our positive views on Valuation and Management. |
| Q | | What impact did the Team’s country/currency selection strategy have on the Fund’s relative performance during the Reporting Period? |
| A | | Our country/currency strategy enhanced relative performance during the Reporting Period. Overweight positions in Hungary, Turkey and Russia contributed positively. The Fund was hampered by underweight positions in Brazil and Malaysia, as well as by an overweight in Poland. |
| | | We made our picks using our proprietary models, which, during the Reporting Period, were based on three investment themes specific to our country/currency strategy—Valuation, Risk Premium and Macro. Valuation favors equity and currency markets that appear cheap relative to accounting measures of value and purchasing power. Risk Premium evaluates whether a country is overcompensating investors for various types of risk. Macro assesses a market’s macroeconomic environment and growth prospects. |
| Q | | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | | During the Reporting Period, the Fund did not use derivatives or similar instruments as part of its investment process. |
| Q | | What changes did you make to the Fund’s country weightings during the Reporting Period? |
| A | | During the Reporting Period, we increased the size of the Fund’s overweight position in China. We reduced the size of the Fund’s underweight positions in Malaysia and South Africa. In addition, we moved within the Fund from a neutral position compared to the Index in Taiwan to an underweight position and from an overweight position compared to the Index in Mexico to a neutral position. We also reduced the size of the Fund’s overweight in Turkey. |
| Q | | What were the Fund’s sector and country weightings at the end of the Reporting Period? |
| A | | At the end of the Reporting Period, the Fund was overweight relative to the Index in the energy, materials and industrials sectors. Compared to the Index, the Fund was underweight the telecommunication services, consumer discretionary, utilities, consumer staples and health care sectors. The Fund was relatively neutral compared to the Index in the information technology and financials sectors at the end of the Reporting Period. |
| | In terms of countries, the Fund was overweight China, South Korea, Brazil, Turkey and Russia relative to the Index at the end of the Reporting Period. Compared to the Index, the Fund was underweight Taiwan, Malaysia, South Africa and Chile. The Fund was relatively neutral compared to the Index in Thailand, United Arab Emirates, Hungary, the Czech Republic, Indonesia, Egypt, Mexico, Greece, Peru, India, Colombia, Qatar, the Philippines and Poland at the end of the Reporting Period. |
8
FUND BASICS
Emerging Markets Equity Insights Fund
as of April 30, 2016
| | | | | | | | | | |
| | PERFORMANCE REVIEW | |
| | | November 1, 2015–April 30, 2016 | | Fund Total Return
(based on NAV)1 | | | MSCI@ Emerging Markets
Standard Index2 | |
| | Class A | | | -0.36 | % | | | -0.13 | % |
| | Class C | | | -0.70 | | | | -0.13 | |
| | Institutional | | | -0.10 | | | | -0.13 | |
| | Class IR | | | -0.19 | | | | -0.13 | |
| | Class R | | | -0.41 | | | | -0.13 | |
| | | Class R6 | | | -0.06 | | | | -0.13 | |
| | 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 MSCI® Emerging Markets Standard Index is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. As of April 30, 2016, the MSCI® Emerging Markets Standard Index consists of the following 23 emerging market country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, South Korea, Malaysia, Mexico, Peru, Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey and United Arab Emirates. Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
| | | | | | | | | | | | | | | | |
| | STANDARDIZED TOTAL RETURNS3 |
| | | For the period ended 3/31/16 | | One Year | | | Five Years | | | Since Inception | | | Inception Date |
| | Class A | | | -14.32 | % | | | -3.60 | % | | | -2.44 | % | | 10/5/07 |
| | Class C | | | -10.96 | | | | -3.26 | | | | -2.47 | | | 10/5/07 |
| | Institutional | | | -9.03 | | | | -2.14 | | | | -1.40 | | | 10/5/07 |
| | Class IR | | | -9.23 | | | | -2.31 | | | | 1.85 | | | 8/31/10 |
| | Class R | | | -9.60 | | | | N/A | | | | -1.96 | | | 2/28/14 |
| | | Class R6 | | | N/A | | | | N/A | | | | -6.97 | | | 7/31/15 |
| | 3 | | The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% 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, Class R6 and Class R Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
9
FUND BASICS
| | | | | | | | | | |
| | EXPENSE RATIOS4 | |
| | | | | Net��Expense Ratio (Current) | | | Gross Expense Ratio (Before Waivers) | |
| | Class A | | | 1.55 | % | | | 1.67 | % |
| | Class C | | | 2.30 | | | | 2.42 | |
| | Institutional | | | 1.15 | | | | 1.27 | |
| | Class IR | | | 1.30 | | | | 1.42 | |
| | Class R | | | 1.80 | | | | 1.93 | |
| | | Class R6 | | | 1.14 | | | | 1.28 | |
| | 4 | | 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 February 26, 2017, 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 HOLDINGS AS OF 4/30/165 |
| | | Holding | | % of Total
Net Assets | | | Line of Business | | Country |
| | Samsung Electronics Co. Ltd. | | | 2.8 | % | | Technology Hardware &
Equipment | | South Korea |
| | Tencent Holdings Ltd. | | | 2.8 | | | Software & Services | | China |
| | Taiwan Semiconductor
Manufacturing Co. Ltd. ADR | | | 2.6 | | | Semiconductors &
Semiconductor Equipment | | Taiwan |
| | Baidu, Inc. ADR | | | 2.3 | | | Software & Services | | China |
| | China Mobile Ltd. | | | 2.2 | | | Telecommunication Services | | Hong Kong |
| | Industrial & Commercial Bank
of China Ltd. Class H | | | 2.2 | | | Banks | | China |
| | POSCO | | | 2.0 | | | Materials | | South Korea |
| | Hon Hai Precision Industry Co. Ltd. | | | 1.9 | | | Technology Hardware &
Equipment | | Taiwan |
| | Vanguard FTSE Emerging
Markets Fund | | | 1.8 | | | Exchange Traded Fund | | United States |
| | | Ultrapar Participacoes SA | | | 1.8 | | | Energy | | Brazil |
| | 5 | | The top 10 holdings may not be representative of the Fund’s future investments. |
10
FUND BASICS
| | |
| FUND VS. BENCHMARK SECTOR ALLOCATIONS6 | | |
| As of April 30, 2016 | | |
| | 6 | | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. Underlying sector allocations of exchange traded funds held by the Fund are not reflected in the graph above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Investments in the securities lending reinvestment vehicle represented 0.4% of the Fund’s net assets at April 30, 2016. 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. |
11
PORTFOLIO RESULTS
Goldman Sachs International Equity Insights Fund
Investment Objective
The Fund seeks long-term growth of capital.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs International Equity Insights Fund’s (the “Fund”) performance and positioning for the six-month period ended April 30, 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, R and R6 Shares generated cumulative total returns, without sales charges, of -0.46%, -0.95%, -0.34%, -0.65%, -0.34%, -0.70% and -0.31%, respectively. These returns compare to the -3.07% cumulative total return of the Fund’s benchmark, the MSCI® EAFE Standard Index (Net, USD, Unhedged) (the “Index”), during the same period. |
| Q | | What key factors were most responsible for the Fund’s performance during the Reporting Period? |
| A | | We use two distinct strategies — a bottom-up stock selection strategy and a top-down country/currency selection strategy — to manage the Fund. These strategies are uncorrelated, that is, they tend to perform independently of each other over time, which enables us to greater diversify the portfolio. Our bottom-up stock selection strategy, which uses fundamental research and stock selection models based on six investment themes, added to relative performance during the Reporting Period. Our country/currency selection strategy also contributed positively. |
| Q | | Which investment themes helped and which hurt within the Team’s stock selection strategy? |
| A | | In keeping with our investment approach, we use our quantitative model and six investment themes to take a long-term view of market patterns and look for inefficiencies, selecting stocks for the Fund and overweighting or underweighting the ones chosen by the model. Over time and by design, the performance of any one of our model’s investment themes tends to have a low correlation with the model’s other themes, demonstrating the diversification benefit of our theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by our different investment themes is a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term. Of course, diversification does not protect an investor from market risk nor does it ensure a profit. |
| | During the Reporting Period, four of our six investment themes contributed positively to the Fund’s relative performance. Our best performing theme was Momentum. The Momentum theme seeks to predict drifts in stock prices caused by delayed investor reaction to company-specific information and information about related companies. Sentiment, Quality and Valuation also enhanced results. The Sentiment theme reflects selected investment views and decisions of individuals and financial intermediaries. The Quality theme seeks to assess both firm and management quality. The Valuation theme attempts to capture potential mispricings of securities, typically by comparing a measure of the company’s intrinsic value to its market value. |
| | Our Management theme, which assesses the characteristics, policies and strategic decisions of company management, detracted from relative results during the Reporting Period. |
12
PORTFOLIO RESULTS
| | The impact of our Profitability theme on relative performance was rather neutral during the Reporting Period. The Profitability theme assesses whether a company is earning more than its cost of capital. |
| Q | | How did the Fund’s sector and industry allocations affect relative results? |
| A | | In constructing the portfolio, we focus on picking stocks rather than on making sector or industry bets. Consequently, the Fund is similar to the Index in terms of its sector and industry allocations and its style. Changes in its sector or industry weights generally do not have a meaningful impact on relative returns. |
| Q | | Did stock selection help or hurt Fund performance during the Reporting Period? |
| A | | We seek to outpace the Index by overweighting stocks we expect to outperform and underweighting those we think may lag. At the same time, we strive to maintain a risk profile similar to the Index. The Fund’s investments are selected using fundamental research and a variety of quantitative techniques based on our investment themes. For example, the Fund aims to hold a basket of stocks with better Momentum characteristics than the benchmark. |
| | During the Reporting Period, security selection bolstered the Fund’s relative returns. Stock picks in the consumer discretionary, financials and health care sectors added to relative performance. Holdings in the materials and energy sectors detracted from results. |
| | Which stock positions contributed most to the Fund’s relative returns during the Reporting Period? |
| | The Fund benefited from overweight positions in Actelion, a Switzerland-based pharmaceutical company, and Treasury Wine Estates, an Australian-based winemaking and distribution business. Our positive views on Sentiment and Valuation resulted in the Fund’s overweight in Actelion, while we assumed the overweight in Treasury Wine Estates due to our positive views on Momentum and Management. An underweight position in Japan-based Toyota Motor also added to relative performance. The Fund was underweight the stock because of our negative views on Quality and Sentiment. |
| Q | | Which Fund positions detracted most from results during the Reporting Period? |
| A | | The Fund was hampered by overweight positions in Japan-based Mitsubishi UFJ Financial Group and in China Travel International Investment Hong Kong, which operates tourist attractions, golf clubs, hotels and other travel related activities. We adopted the overweight in Mitsubishi UFJ Financial Group based on our positive views on Valuation and Momentum. The Fund was overweight China Travel International Investment Hong Kong because of our positive views on Momentum and Valuation. An underweight position in Netherlands-headquartered oil and gas company Royal Dutch Shell also detracted from the Fund’s relative performance. We chose to underweight Royal Dutch Shell primarily as a result of our negative views on Sentiment. |
| Q | | What impact did the Team’s country/currency selection strategy have on the Fund’s relative performance during the Reporting Period? |
| A | | Our country/currency selection strategy enhanced Fund returns during the Reporting Period. Overweight positions in Denmark and Japan and an underweight in Italy added most to relative returns. The Fund was hurt by underweight positions in Australia and Belgium. |
| | We made our picks using our proprietary models, which, during the Reporting Period, were based on five investment themes specific to our country/currency strategy — Valuation, Momentum, Risk Premium, Fund Flows and Macro. Valuation favors equity and currency markets that appear cheap relative to accounting measures of value and purchasing power. Momentum favors countries and currencies that have had strong recent outperformance. Risk Premium evaluates whether a country is overcompensating investors for various types of risk, while Fund Flows evaluates the strength of capital market inflows. Finally, Macro assesses a market’s macroeconomic environment and growth prospects. |
| Q | | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | | During the Reporting Period, we used financial futures contracts to equitize the Fund’s cash holdings. In other words, we put the Fund’s cash holdings to work by using them as collateral for the purchase of financial futures contracts. The use of these derivatives had a significantly negative impact on Fund results during the Reporting Period. |
| Q | | What changes did you make to the Fund’s country weightings during the Reporting Period? |
| A | | During the Reporting Period, we shifted within the Fund from a neutral position relative to the Index to an overweight position in Germany. We moved from an underweight to a neutral position in Switzerland. We also reduced the size of Fund’s underweight position in Australia. Furthermore, we substantially reduced the size of the Fund’s overweight positions compared to the Index in Japan and the Netherlands. |
13
PORTFOLIO RESULTS
| Q | | What were the Fund’s sector and country weightings at the end of the Reporting Period? |
| A | | At the end of the Reporting Period, the Fund was overweight the health care and materials sectors relative to the Index. Compared to the Index, the Fund was underweight the financials and utilities sectors. The Fund was relatively neutral compared to the Index in the industrials, telecommunication services, energy, consumer discretionary, information technology and consumer staples sectors at the end of the Reporting Period. |
| | In terms of countries, the Fund was overweight relative to the Index in Germany, the Netherlands, Denmark, Japan, Sweden and Norway. Compared to the Index, the Fund was underweight in the U.K., Australia and Spain. The Fund was relatively neutral compared to the Index in Portugal, Switzerland, Hong Kong, Austria, France, New Zealand, Italy, Ireland, Belgium, Israel, Finland and Singapore. |
14
FUND BASICS
International Equity Insights Fund
as of April 30, 2016
| | | | | | | | | | |
| | PERFORMANCE REVIEW | |
| | | November 1, 2015–April 30, 2016 | | Fund Total Return
(based on NAV)1 | | | MSCI® EAFE Standard Index
(Net, USD, Unhedged)2 | |
| | Class A | | | -0.46 | % | | | -3.07 | % |
| | Class C | | | -0.95 | | | | -3.07 | |
| | Institutional | | | -0.34 | | | | -3.07 | |
| | Service | | | -0.65 | | | | -3.07 | |
| | Class IR | | | -0.34 | | | | -3.07 | |
| | Class R | | | -0.70 | | | | -3.07 | |
| | | Class R6 | | | -0.31 | | | | -3.07 | |
| | 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 unmanaged MSCI® EAFE Standard Index (Net, USD, Unhedged) is a market capitalization-weighted composite of securities in 21 developed markets. As of April 30, 2016, the MSCI® EAFE Standard Index consists of the following 21 developed countries: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland and the United Kingdom. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
| | | | | | | | | | | | | | | | | | | | |
| | STANDARDIZED TOTAL RETURNS3 |
| | | For the period ended 3/31/16 | | One Year | | | Five Years | | | Ten Years | | | Since Inception | | | Inception Date |
| | Class A | | | -6.55 | % | | | 1.37 | % | | | 0.87 | % | | | 2.87 | % | | 8/15/97 |
| | Class C | | | -2.92 | | | | 1.74 | | | | 0.69 | | | | 2.52 | | | 8/15/97 |
| | Institutional | | | -0.75 | | | | 2.94 | | | | 1.86 | | | | 3.69 | | | 8/15/97 |
| | Service | | | -1.25 | | | | 2.41 | | | | 1.34 | | | | 3.18 | | | 8/15/97 |
| | Class IR | | | -0.97 | | | | 2.76 | | | | N/A | | | | -1.14 | | | 11/30/07 |
| | Class R | | | -1.32 | | | | 2.27 | | | | N/A | | | | -1.59 | | | 11/30/07 |
| | | Class R6 | | | N/A | | | | N/A | | | | N/A | | | | -6.03 | | | 7/31/15 |
| | 3 | | The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% 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 R6 and Class R Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
15
FUND BASICS
| | | | | | | | | | |
| | EXPENSE RATIOS4 | |
| | | | | Net Expense Ratio (Current) | | | Gross Expense Ratio (Before Waivers) | |
| | Class A | | | 1.27 | % | | | 1.37 | % |
| | Class C | | | 2.01 | | | | 2.12 | |
| | Institutional | | | 0.87 | | | | 0.97 | |
| | Service | | | 1.37 | | | | 1.47 | |
| | Class IR | | | 1.01 | | | | 1.13 | |
| | Class R | | | 1.52 | | | | 1.62 | |
| | | Class R6 | | | 0.84 | | | | 0.93 | |
| | 4 | | 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 February 26, 2017, 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 HOLDINGS AS OF 4/30/165 |
| | | Holding | | % of Total Net Assets | | | Line of Business | | Country |
| | Roche Holding AG | | | 2.5 | % | | Pharmaceuticals, Biotechnology
& Life Sciences | | Switzerland |
| | British American
Tobacco PLC | | | 2.3 | | | Food, Beverage & Tobacco | | United Kingdom |
| | ING Groep NV CVA | | | 1.6 | | | Banks | | Netherlands |
| | Actelion Ltd.
(Registered) | | | 1.6 | | | Pharmaceuticals, Biotechnology
& Life Sciences | | Switzerland |
| | BP PLC ADR | | | 1.4 | | | Energy | | United Kingdom |
| | GlaxoSmithKline PLC ADR | | | 1.4 | | | Pharmaceuticals, Biotechnology
& Life Sciences | | United Kingdom |
| | BASF SE | | | 1.4 | | | Materials | | Germany |
| | Reckitt Benckiser
Group PLC | | | 1.4 | | | Household & Personal Products | | United Kingdom |
| | Deutsche Telekom AG (Registered) | | | 1.4 | | | Telecommunication Services | | Germany |
| | | Sanofi | | | 1.3 | | | Pharmaceuticals, Biotechnology
& Life Sciences | | France |
| | 5 | | The top 10 holdings may not be representative of the Fund’s future investments. |
16
FUND BASICS
| | |
| FUND VS. BENCHMARK SECTOR ALLOCATIONS6 | | |
| As of April 30, 2016 | | |
| | 6 | | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall industry sector allocations may differ from percentages contained in the graph above. The above graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Investments in the securities lending reinvestment vehicle represented 3.4% of the Fund’s net assets at April 30, 2016. The above 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. |
17
PORTFOLIO RESULTS
Goldman Sachs International Small Cap Insights Fund
Investment Objective
The Fund seeks long-term growth of capital.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs International Small Cap Insights Fund’s (the “Fund”) performance and positioning for the six-month period ended April 30, 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 R6 Shares generated cumulative total returns, without sales charges, of 2.05%, 1.58%, 2.18%, 2.10% and 2.40%, respectively. These returns compare to the 2.46% cumulative total return of the Fund’s benchmark, the MSCI® EAFE Small Cap Index (Net, USD, Unhedged) (the “Index”), during the same period. |
| Q | | What key factors were most responsible for the Fund’s performance during the Reporting Period? |
| A | | During the Reporting Period, the Fund benefited from stock selection driven by our quantitative model, with four of our quantitative model’s six investment themes contributing positively to relative returns. However, the Fund underperformed the Index, largely because of the underperformance of our Management investment theme. |
| Q | | What impact did the Fund’s investment themes have on performance during the Reporting Period? |
| A | | In keeping with our investment approach, we use our quantitative model and six investment themes to take a long-term view of market patterns and look for inefficiencies, selecting stocks for the Fund and overweighting or underweighting the ones chosen by the model. Over time and by design, the performance of any one of our model’s investment themes tends to have a low correlation with the model’s other themes, demonstrating the diversification benefit of our theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by our different investment themes is a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term. Of course, diversification does not protect an investor from market risk nor does it ensure a profit. |
| | During the Reporting Period, four of our six investment themes contributed positively to the Fund’s relative performance. Our best performing theme was Momentum. The Momentum theme seeks to predict drifts in stock prices caused by delayed investor reaction to company-specific information and information about related companies. Sentiment, Valuation and Quality also enhanced results. The Sentiment theme reflects selected investment views and decisions of individuals and financial intermediaries. The Valuation theme attempts to capture potential mispricings of securities, typically by comparing a measure of the company’s intrinsic value to its market value. The Quality theme seeks to assess both firm and management quality. |
| | Our Management theme, which assesses the characteristics, policies and strategic decisions of company management, detracted from relative results during the Reporting Period. |
| | The impact of our Profitability theme on relative performance was rather neutral during the Reporting Period. The Profitability theme assesses whether a company is earning more than its cost of capital. |
| Q | | How did the Fund’s sector and industry allocations affect relative results? |
| A | | In constructing the Fund’s portfolio, we focus on picking stocks rather than on making sector or industry bets. Consequently, the Fund is similar to the Index in terms of its sector and industry allocations and style. Changes in its sector or industry weights generally do not have a meaningful impact on relative performance. |
| Q | | Did stock selection help or hurt Fund performance during the Reporting Period? |
| A | | We seek to outpace the Index by overweighting stocks we expect to outperform and underweighting those we think |
18
PORTFOLIO RESULTS
| | may lag. At the same time, we strive to maintain a risk profile similar to the Index. The Fund’s investments are selected using fundamental research and a variety of quantitative techniques based on our investment themes. For example, the Fund aims to hold a basket of stocks with better Momentum characteristics than the benchmark. |
| | During the Reporting Period, security selection contributed positively. Investments in the consumer discretionary, information technology and financials sectors added to relative returns. Stock choices in the health care, consumer staples and industrials sectors detracted from results. |
| Q | | Which stock positions contributed most to the Fund’s relative results during the Reporting Period? |
| A | | The Fund benefited from overweight positions in BE Semiconductor Industries, which is headquartered in the Netherlands and Switzerland; Georg Fischer, a Switzerland-based provider of piping systems, automotive components and machining solutions; and Advance Residence Investment, a Japan-based real estate investment trust. We chose to overweight BE Semiconductor Industries and Georg Fischer based on our positive views on Valuation and Sentiment. Our positive views on Momentum and Valuation led us to overweight Advance Residence Investment. |
| Q | | Which stock positions detracted most from the Fund’s relative returns during the Reporting Period? |
| A | | The Fund was hurt by overweight positions in Japan Display, a liquid crystal display technology joint venture, and Regus, a Belgium-based operator of business centers around the world. We assumed the overweight in Japan Display due to our positive views on Valuation and Quality, while the overweight in Regus was the result of our positive views on Sentiment and Momentum. An underweight in Japan-based biopharmaceutical company Sosei Group also detracted from relative performance. The Fund was underweight the stock because of our negative views on Valuation and Momentum. |
| Q | | What impact did country selection have on the Fund’s relative performance during the Reporting Period? |
| A | | To construct the portfolio, we focus on security selection rather than on making country bets. As a result, the Fund is similar to the Index in terms of its country allocation; changes in its country weightings are generally the result of our stock picking. That said, the Fund benefited during the Reporting Period from its overweight positions relative to the Index in the Netherlands, Switzerland and Germany. Compared to the Index, the Fund was hampered by its underweight positions in the U.K. and New Zealand. Its overweight position in France also dampened relative performance. Security selection in all six countries added positively to returns. |
| Q | | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | | During the Reporting Period, we used financial futures contracts to equitize the Fund’s cash holdings. In other words, we put the Fund’s cash holdings to work by using them as collateral for the purchase of financial futures contracts. The use of these derivatives had a negative impact on Fund results during the Reporting Period. |
| Q | | What changes did you make to the Fund’s country weightings during the Reporting Period? |
| A | | During the Reporting Period, we shifted within the Fund from neutral positions relative to the Index in the Netherlands and Italy to overweight positions. We also increased the size of the Fund’s overweight in Japan. In addition, we increased the size of the Fund’s underweight compared to the Index in the U.K., moved from a neutral position in France to an underweight position, and shifted from an overweight position in Spain to a neutral position. |
| Q | | What were the Fund’s sector and country weightings at the end of the Reporting Period? |
| A | | At the end of the Reporting Period, the Fund was overweight the information technology, materials and consumer staples sectors relative to the Index. Compared to the Index, the Fund was underweight the financials, consumer discretionary and telecommunication services sectors. The Fund was relatively neutral compared to the Index in the energy, utilities, health care and industrials sectors at the end of the Reporting Period. |
| | In terms of countries, the Fund was overweight Japan, Italy and the Netherlands relative to the Index. Compared to the Index, the Fund was underweight the U.K., Singapore, France and Hong Kong. The Fund was relatively neutral compared to the Index in Belgium, Germany, Norway, Sweden, Australia, Switzerland, Portugal, Spain, Denmark, Austria, Finland, New Zealand, Israel and Ireland at the end of the Reporting Period. |
19
FUND BASICS
International Small Cap Insights Fund
as of April 30, 2016
| | | | | | | | | | |
| | PERFORMANCE REVIEW | |
| | | November 1, 2015–April 30, 2016 | | Fund Total Return
(based on NAV)1 | | | MSCI® EAFE
Small Cap Index
(Net, USD, Unhedged)2 | |
| | Class A | | | 2.05 | % | | | 2.46 | % |
| | Class C | | | 1.58 | | | | 2.46 | |
| | Institutional | | | 2.18 | | | | 2.46 | |
| | Class IR | | | 2.10 | | | | 2.46 | |
| | | Class R6 | | | 2.40 | | | | 2.46 | |
| | 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 charge. |
| | 2 | | The MSCI® EAFE Small Cap Index (Net, USD, Unhedged) is a free float-adjusted market capitalization index that is designed to measure developed market equity performance, excluding the U.S. and Canada. MSCI® selects the most liquid securities across developed markets relative to their market capitalization, and targets for index inclusion 40% of the full market capitalization of the eligible small cap universe within each industry group, within each country. Its returns include net reinvested dividends but, unlike Fund returns, do not reflect the payment of sales commissions or other expenses incurred in the purchase or sale of the securities included in the Index. It is not possible to invest directly in an index. |
| | | | | | | | | | | | | | | | |
| | STANDARDIZED TOTAL RETURNS3 |
| | | For the period ended 3/31/16 | | One Year | | | Five Years | | | Since Inception | | | Inception Date |
| | Class A | | | -3.02 | % | | | 4.95 | % | | | 2.68 | % | | 9/28/07 |
| | Class C | | | 0.88 | | | | 5.39 | | | | 2.63 | | | 9/28/07 |
| | Institutional | | | 3.17 | | | | 6.59 | | | | 3.79 | | | 9/28/07 |
| | Class IR | | | 2.99 | | | | 6.44 | | | | 11.10 | | | 8/31/10 |
| | | Class R6 | | | N/A | | | | N/A | | | | -1.69 | | | 7/31/15 |
| | 3 | | The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% 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 returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
20
FUND BASICS
| | | | | | | | | | |
| | EXPENSE RATIOS4 | |
| | | | | Net Expense Ratio (Current) | | | Gross Expense Ratio (Before Waivers) | |
| | Class A | | | 1.30 | % | | | 1.39 | % |
| | Class C | | | 2.05 | | | | 2.14 | |
| | Institutional | | | 0.90 | | | | 0.99 | |
| | Class IR | | | 1.05 | | | | 1.14 | |
| | | Class R6 | | | 0.90 | | | | 0.96 | |
| | 4 | | 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 February 26, 2017, 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 HOLDINGS AS OF 4/30/165 |
| | | Holding | | % of Total
Net Assets | | | Line of Business | | Country |
| | Georg Fischer AG
(Registered) | | | 1.2 | % | | Capital Goods | | Switzerland |
| | Aurubis AG | | | 1.0 | | | Materials | | Germany |
| | OZ Minerals Ltd. | | | 1.0 | | | Materials | | Australia |
| | Advance Residence
Investment Corp. | | | 1.0 | | | Real Estate Investment Trust | | Japan |
| | OKUMA Corp. | | | 1.0 | | | Capital Goods | | Japan |
| | Aperam SA | | | 0.9 | | | Materials | | Luxembourg |
| | Software AG | | | 0.9 | | | Software & Services | | Germany |
| | The Star Entertainment
Group Ltd. | | | 0.9 | | | Consumer Services | | Australia |
| | Gerresheimer AG | | | 0.9 | | | Pharmaceuticals,
Biotechnology & Life Sciences | | Germany |
| | | BE Semiconductor
Industries NV | | | 0.9 | | | Semiconductors &
Semiconductor Equipment | | Netherlands |
| | 5 | | The top 10 holdings may not be representative of the Fund’s future investments. |
21
FUND BASICS
| | |
| FUND VS. BENCHMARK SECTOR ALLOCATIONS6 |
| As of April 30, 2016 | | |
| | 6 | | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall industry sector allocations may differ from percentages contained in the graph above. The above graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle). Investments in the securities lending reinvestment vehicle represented 6.0% of the Fund’s net assets at April 30, 2016. The above 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. |
22
PORTFOLIO RESULTS
Index Definitions
The MSCI® Emerging Markets Standard Index captures large-cap and mid-cap representation across 23 emerging markets countries. The index covers approximately 85% of the free float-adjusted market capitalization in each country. Emerging markets countries in the index include Brazil, Chile, China, Colombia, the Czech Republic, Egypt, Greece, Hungary, India, Indonesia, South Korea, Malaysia, Mexico, Peru, the Philippines, Poland, Russia, Qatar, South Africa, Taiwan, Thailand, Turkey and the United Arab Emirates.
The MSCI® EAFE® Standard Index is an equity index that captures large-cap and mid-cap representation across 21 developed markets countries around the world, excluding the U.S. and Canada. The index covers approximately 85% of the free float-adjusted market capitalization in each country. Developed markets countries in the index include Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland and the U.K.
The MSCI® EAFE® Small Cap Index is an equity index that captures small-cap representation across 21 developed markets countries around the world, excluding the U.S. and Canada. The index covers approximately 14% of the free float-adjusted market capitalization in each country. Developed markets countries in the index include Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland and the U.K.
23
GOLDMAN SACHS EMERGING MARKETS EQUITY INSIGHTS FUND
Schedule of Investments
April 30, 2016 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| | Common Stocks – 96.4% | |
| | Brazil – 8.5% | |
| | 137,060 | | | Banco Bradesco SA ADR (Banks) | | $ | 1,023,838 | |
| | 636,000 | | | Banco do Brasil SA (Banks) | | | 4,088,671 | |
| | 414,800 | | | Banco Santander Brasil SA ADR (Banks)(a) | | | 2,231,624 | |
| | 364,500 | | | BB Seguridade Participacoes SA (Insurance) | | | 3,179,472 | |
| | 1,295,100 | | | BM&FBovespa SA - Bolsa de Valores Mercadorias e Futuros (Diversified Financials) | | | 6,469,381 | |
| | 163,600 | | | BTG Pactual Group (Diversified Financials) | | | 934,721 | |
| | 264,600 | | | CCR SA (Transportation) | | | 1,244,814 | |
| | 604,400 | | | CETIP SA - Mercados Organizados (Diversified Financials) | | | 7,419,573 | |
| | 551,900 | | | Companhia Siderurgica Nacional SA (Materials)* | | | 2,108,589 | |
| | 549,200 | | | Cosan SA Industria e Comercio (Energy) | | | 5,084,402 | |
| | 187,100 | | | EDP - Energias do Brasil SA (Utilities) | | | 696,338 | |
| | 195,800 | | | Grendene SA (Consumer Durables & Apparel) | | | 967,258 | |
| | 1,050,400 | | | MRV Engenharia e Participacoes SA (Consumer Durables & Apparel) | | | 3,671,093 | |
| | 70,200 | | | Multiplan Empreendimentos Imobiliarios SA (Real Estate) | | | 1,203,254 | |
| | 344,200 | | | Multiplus SA (Media) | | | 3,798,035 | |
| | 500,500 | | | Qualicorp SA (Health Care Equipment & Services) | | | 2,168,336 | |
| | 213,400 | | | Smiles SA (Media) | | | 2,475,732 | |
| | 137,800 | | | Sul America SA (Insurance) | | | 671,120 | |
| | 624,600 | | | Ultrapar Participacoes SA (Energy) | | | 13,152,150 | |
| | 76,600 | | | Vale SA ADR (Materials)(a) | | | 434,322 | |
| | | | | | | | |
| | | | | | | 63,022,723 | |
| | |
| | China – 22.9% | |
| | 19,953,000 | | | Agricultural Bank of China Ltd. Class H (Banks) | | | 7,201,297 | |
| | 86,400 | | | Baidu, Inc. ADR (Software & Services)* | | | 16,787,520 | |
| | 4,594,000 | | | Bank of China Ltd. Class H (Banks) | | | 1,860,086 | |
| | 10,165,000 | | | Bank of Communications Co. Ltd. Class H (Banks) | | | 6,406,669 | |
| | 10,311,000 | | | China Communications Construction Co. Ltd. Class H (Capital Goods) | | | 12,376,663 | |
| | 13,817,000 | | | China Construction Bank Corp. Class H (Banks) | | | 8,775,550 | |
| | 345,000 | | | China Machinery Engineering Corp. Class H (Capital Goods) | | | 234,392 | |
| | 2,173,000 | | | China Merchants Bank Co. Ltd. Class H (Banks) | | | 4,760,232 | |
| | 10,660,000 | | | China Petroleum & Chemical Corp. Class H (Energy) | | | 7,511,939 | |
| | |
| | Common Stocks – (continued) | |
| | China – (continued) | |
| | 3,638,000 | | | China Railway Construction Corp. Ltd. Class H (Capital Goods) | | $ | 4,624,963 | |
| | 766,000 | | | China Railway Group Ltd. Class H (Capital Goods) | | | 606,312 | |
| | 3,042,000 | | | China Southern Airlines Co. Ltd. Class H (Transportation) | | | 1,907,465 | |
| | 11,550,000 | | | China Telecom Corp. Ltd. Class H (Telecommunication Services) | | | 5,718,016 | |
| | 1,647,700 | | | China Vanke Co. Ltd. Class H (Real Estate) | | | 4,112,701 | |
| | 6,215,000 | | | Chongqing Rural Commercial Bank Co. Ltd. Class H (Banks) | | | 3,266,480 | |
| | 4,543,000 | | | CNOOC Ltd. (Energy) | | | 5,612,065 | |
| | 548,800 | | | Dalian Wanda Commercial Properties Co. Ltd. Class H (Real Estate)(b) | | | 3,592,816 | |
| | 3,868,000 | | | Dongfeng Motor Group Co. Ltd. Class H (Automobiles & Components) | | | 4,226,907 | |
| | 7,532,000 | | | Evergrande Real Estate Group Ltd. (Real Estate) | | | 5,565,668 | |
| | 1,234,400 | | | Guangzhou R&F Properties Co. Ltd. Class H (Real Estate) | | | 1,721,394 | |
| | 30,778,000 | | | Industrial & Commercial Bank of China Ltd. Class H (Banks) | | | 16,478,568 | |
| | 50,500 | | | NetEase, Inc. ADR (Software & Services) | | | 7,105,350 | |
| | 49,400 | | | New Oriental Education & Technology Group, Inc. ADR (Consumer Services) | | | 1,934,504 | |
| | 428,000 | | | PetroChina Co. Ltd. Class H (Energy) | | | 313,138 | |
| | 2,038,000 | | | PICC Property & Casualty Co. Ltd. Class H (Insurance) | | | 3,707,280 | |
| | 6,208,000 | | | Sino-Ocean Land Holdings Ltd. Class H (Real Estate) | | | 2,791,970 | |
| | 532,000 | | | Sinopec Engineering Group Co. Ltd. Class H (Capital Goods) | | | 493,445 | |
| | 1,024,600 | | | Tencent Holdings Ltd. (Software & Services) | | | 20,848,884 | |
| | 9,970,000 | | | The People’s Insurance Co. Group of China Ltd. Class H (Insurance) | | | 4,009,589 | |
| | 1,909,000 | | | TravelSky Technology Ltd. Class H (Software & Services) | | | 3,547,551 | |
| | 594,000 | | | Xinhua Winshare Publishing and Media Co. Ltd. Class H (Retailing) | | | 552,919 | |
| | 1,402,000 | | | Zhejiang Expressway Co. Ltd. Class H (Transportation) | | | 1,430,604 | |
| | | | | | | | |
| | | | | | | 170,082,937 | |
| | |
| | Czech Republic – 0.1% | |
| | 2,140 | | | Komercni banka as (Banks) | | | 440,135 | |
| | |
| | Hong Kong – 4.2% | |
| | 1,456,500 | | | China Mobile Ltd. (Telecommunication Services) | | | 16,721,745 | |
| | |
| | |
| 24 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS EMERGING MARKETS EQUITY INSIGHTS FUND
| | | | | | | | |
Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Hong Kong – (continued) | |
| | 1,598,000 | | | China Overseas Land & Investment Ltd. (Real Estate) | | $ | 5,072,479 | |
| | 3,004,000 | | | China Resources Land Ltd. (Real Estate) | | | 7,379,893 | |
| | | | | | | | |
| | 476,000 | | | China Resources Power Holdings Co. Ltd. (Utilities) | | | 801,702 | |
| | 1,498,000 | | | China Travel International Investment Hong Kong Ltd. (Consumer Services) | | | 436,581 | |
| | 801,000 | | | Shimao Property Holdings Ltd. (Real Estate) | | | 1,105,513 | |
| | | | | | | | |
| | | | | | | 31,517,913 | |
| | |
| | Hungary – 0.3% | |
| | 86,412 | | | OTP Bank PLC (Banks) | | | 2,289,666 | |
| | |
| | India – 7.4% | |
| | 677,964 | | | Apollo Tyres Ltd. (Automobiles & Components) | | | 1,631,107 | |
| | 639,734 | | | Ashok Leyland Ltd. (Capital Goods) | | | 1,027,398 | |
| | 35,275 | | | Bajaj Auto Ltd. (Automobiles & Components) | | | 1,322,818 | |
| | 8,550 | | | Bajaj Finance Ltd. (Diversified Financials) | | | 879,038 | |
| | 58,196 | | | Bajaj Holdings & Investment Ltd. (Diversified Financials) | | | 1,260,607 | |
| | 282,944 | | | Bharat Petroleum Corp. Ltd. (Energy) | | | 4,168,013 | |
| | 238,102 | | | Cadila Healthcare Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 1,173,663 | |
| | 351,322 | | | Cairn India Ltd. (Energy) | | | 767,272 | |
| | 1,325,461 | | | Dish TV India Ltd. (Media)* | | | 1,804,451 | |
| | 50,043 | | | Divi’s Laboratories Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 791,866 | |
| | 11,701 | | | Eicher Motors Ltd. (Capital Goods) | | | 3,526,783 | |
| | 16,070 | | | Godrej Consumer Products Ltd. (Household & Personal Products) | | | 319,655 | |
| | 103,890 | | | HCL Technologies Ltd. (Software & Services) | | | 1,172,844 | |
| | 538,063 | | | Indian Oil Corp. Ltd. (Energy) | | | 3,508,679 | |
| | 510,053 | | | Infosys Ltd. ADR (Software & Services) | | | 9,588,996 | |
| | 158,549 | | | IRB Infrastructure Developers Ltd. (Capital Goods) | | | 509,332 | |
| | 1,109,617 | | | ITC Ltd. (Food, Beverage & Tobacco) | | | 5,432,349 | |
| | 66,857 | | | Mindtree Ltd. (Software & Services) | | | 682,676 | |
| | 4,283 | | | MRF Ltd. (Automobiles & Components) | | | 2,178,416 | |
| | 20,716 | | | Oracle Financial Services Software Ltd. (Software & Services) | | | 1,125,275 | |
| | 173,328 | | | Rajesh Exports Ltd. (Consumer Durables & Apparel) | | | 1,542,819 | |
| | 34,919 | | | Reliance Industries Ltd. (Energy) | | | 516,224 | |
| | |
| | Common Stocks – (continued) | |
| | India – (continued) | |
| | 171,281 | | | Torrent Pharmaceuticals Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | $ | 3,690,646 | |
| | 422,450 | | | Wipro Ltd. (Software & Services) | | | 3,525,595 | |
| | 98,400 | | | WNS Holdings Ltd. ADR (Software & Services)* | | | 3,118,296 | |
| | | | | | | | |
| | | | | | | 55,264,818 | |
| | |
| | Indonesia – 2.4% | |
| | 784,900 | | | PT Bank Mandiri (Persero) Tbk (Banks) | | | 570,563 | |
| | 13,661,400 | | | PT Bank Rakyat Indonesia (Persero) Tbk (Banks) | | | 10,676,187 | |
| | 392,500 | | | PT Gudang Garam Tbk (Food, Beverage & Tobacco) | | | 2,056,892 | |
| | 228,800 | | | PT Indofood CBP Sukses Makmur Tbk (Food, Beverage & Tobacco) | | | 264,500 | |
| | 735,700 | | | PT Semen Indonesia (Persero) Tbk (Materials)* | | | 549,924 | |
| | 5,909,600 | | | PT Telekomunikasi Indonesia (Persero) Tbk (Telecommunication Services)* | | | 1,585,503 | |
| | 479,500 | | | PT Unilever Indonesia Tbk (Household & Personal Products) | | | 1,544,361 | |
| | 542,100 | | | PT United Tractors Tbk (Capital Goods) | | | 613,671 | |
| | | | | | | | |
| | | | | | | 17,861,601 | |
| | |
| | Luxembourg – 0.2% | |
| | 84,800 | | | Ternium SA ADR (Materials) | | | 1,730,768 | |
| | |
| | Malaysia – 1.3% | |
| | 143,200 | | | British American Tobacco Malaysia Bhd (Food, Beverage & Tobacco) | | | 1,681,816 | |
| | 1,937,900 | | | IOI Corp. Bhd (Food, Beverage & Tobacco) | | | 2,187,931 | |
| | 745,200 | | | MISC Bhd (Transportation) | | | 1,611,914 | |
| | 3,056,600 | | | Top Glove Corp Bhd (Health Care Equipment & Services) | | | 3,878,248 | |
| | | | | | | | |
| | | | | | | 9,359,909 | |
| | |
| | Mexico – 3.9% | |
| | 1,819,400 | | | Alfa SAB de CV Class A (Capital Goods) | | | 3,419,970 | |
| | 245,700 | | | Alpek SAB de CV (Materials) | | | 410,294 | |
| | 454,100 | | | Bolsa Mexicana de Valores SAB de CV (Diversified Financials) | | | 754,077 | |
| | 66,370 | | | Controladora Vuela Cia de Aviacion SAB de CV ADR (Transportation)* | | | 1,385,806 | |
| | 589,200 | | | Grupo Aeroportuario del Centro Norte Sab de CV (Transportation)* | | | 3,409,587 | |
| | 39,530 | | | Grupo Aeroportuario del Pacifico SAB de CV ADR (Transportation) | | | 3,732,423 | |
| | 332,000 | | | Grupo Aeroportuario del Pacifico SAB de CV Class B (Transportation) | | | 3,128,061 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 25 |
GOLDMAN SACHS EMERGING MARKETS EQUITY INSIGHTS FUND
Schedule of Investments (continued)
April 30, 2016 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Mexico – (continued) | |
| | 37,132 | | | Grupo Aeroportuario del Sureste SAB de CV ADR (Transportation) | | $ | 5,712,387 | |
| | 1,412,900 | | | Kimberly-Clark de Mexico SAB de CV Class A (Household & Personal Products) | | | 3,344,055 | |
| | 574,900 | | | PLA Administradora Industrial S de RL de CV (REIT)* | | | 1,061,941 | |
| | 187,600 | | | Prologis Property Mexico SA de CV (REIT)* | | | 295,499 | |
| | 173,690 | | | Promotora y Operadora de Infraestructura SAB de CV (Transportation) | | | 2,202,743 | |
| | | | | | | | |
| | | | | | | 28,856,843 | |
| | |
| | Netherlands – 0.4% | |
| | 504,362 | | | Steinhoff International Holdings NV (Consumer Durables & Apparel) | | | 3,155,053 | |
| | |
| | Philippines – 0.7% | |
| | 50,870 | | | Globe Telecom, Inc. (Telecommunication Services) | | | 2,376,544 | |
| | 82,760 | | | Manila Electric Co. (Utilities) | | | 605,369 | |
| | 578,550 | | | Universal Robina Corp. (Food, Beverage & Tobacco) | | | 2,569,121 | |
| | | | | | | | |
| | | | | | | 5,551,034 | |
| | |
| | Poland – 0.3% | |
| | 4,269 | | | mBank SA (Banks)* | | | 360,643 | |
| | 1,418,192 | | | Polskie Gornictwo Naftowe i Gazownictwo SA (Energy) | | | 1,888,965 | |
| | | | | | | | |
| | | | | | | 2,249,608 | |
| | |
| | Qatar – 0.3% | |
| | 272,286 | | | Barwa Real Estate Co. (Real Estate) | | | 2,504,428 | |
| | |
| | Russia – 5.1% | |
| | 288,864 | | | Lukoil PJSC ADR (Energy) | | | 12,307,809 | |
| | 596,550 | | | MMC Norilsk Nickel PJSC ADR (Materials) | | | 8,815,389 | |
| | 299,840 | | | Moscow Exchange MICEX-RTS PJSC (Diversified Financials) | | | 473,255 | |
| | 1,907,640 | | | OAO Rosneft GDR (Energy) | | | 10,469,338 | |
| | 824,700 | | | Sberbank of Russia PJSC (Banks) | | | 1,574,455 | |
| | 350,880 | | | PAO Severstal GDR (Materials) | | | 4,086,445 | |
| | | | | | | | |
| | | | | | | 37,726,691 | |
| | |
| | South Africa – 5.7% | |
| | 684,568 | | | AngloGold Ashanti Ltd. ADR (Materials)* | | | 11,261,144 | |
| | 43,261 | | | Barclays Africa Group Ltd. (Banks) | | | 438,071 | |
| | 774,666 | | | Hyprop Investments Ltd. (REIT) | | | 6,679,856 | |
| | 74,104 | | | JSE Ltd. (Diversified Financials) | | | 859,799 | |
| | 139,396 | | | MTN Group Ltd. (Telecommunication Services) | | | 1,459,268 | |
| | 2,086,623 | | | Redefine Properties Ltd. (REIT) | | | 1,801,153 | |
| | 95,171 | | | Resilient REIT Ltd. (REIT) | | | 909,275 | |
| | |
| | Common Stocks – (continued) | |
| | South Africa – (continued) | |
| | 499,844 | | | RMB Holdings Ltd. (Diversified Financials) | | $ | 2,043,497 | |
| | 274,964 | | | Sasol Ltd. (Energy) | | | 8,994,116 | |
| | 868,668 | | | Standard Bank Group Ltd. (Banks) | | | 7,800,935 | |
| | | | | | | | |
| | | | | | | 42,247,114 | |
| | |
| | South Korea – 16.6% | |
| | 14,725 | | | Daelim Industrial Co. Ltd. (Capital Goods) | | | 1,165,316 | |
| | 1,351 | | | Dong-A Socio Holdings Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 219,746 | |
| | 84,462 | | | Hankook Tire Co. Ltd. (Automobiles & Components) | | | 3,928,615 | |
| | 98,355 | | | Hanwha Chemical Corp. (Materials) | | | 2,153,805 | |
| | 119,740 | | | Hanwha Life Insurance Co. Ltd. (Insurance) | | | 700,670 | |
| | 19,673 | | | Hyosung Corp. (Materials) | | | 2,104,808 | |
| | 61,575 | | | Hyundai Development Co. - Engineering & Construction (Capital Goods) | | | 2,712,568 | |
| | 6,110 | | | Hyundai Steel Co. (Materials) | | | 335,143 | |
| | 196,962 | | | Korea Electric Power Corp. (Utilities) | | | 10,698,732 | |
| | 11,987 | | | Korea Petro Chemical Ind Co. Ltd. (Materials) | | | 2,462,518 | |
| | 435,589 | | | Korea Real Estate Investment & Trust Co. Ltd. (Real Estate) | | | 1,339,224 | |
| | 844 | | | Korea Zinc Co. Ltd. (Materials) | | | 365,984 | |
| | 12,408 | | | KT Corp. (Telecommunication Services) | | | 332,374 | |
| | 75,412 | | | KT&G Corp. (Food, Beverage & Tobacco) | | | 8,124,524 | |
| | 1,854 | | | LG Chem Ltd. (Materials) | | | 480,917 | |
| | 7,887 | | | LG Corp. (Capital Goods) | | | 470,062 | |
| | 159,501 | | | LG Electronics, Inc. (Consumer Durables & Apparel) | | | 8,116,193 | |
| | 8,778 | | | LG Household & Health Care Ltd. (Household & Personal Products) | | | 7,728,749 | |
| | 74,735 | | | LG Uplus Corp. (Telecommunication Services) | | | 733,132 | |
| | 28,455 | | | Lotte Chemical Corp. (Materials) | | | 7,258,002 | |
| | 1,841 | | | NCSoft Corp. (Software & Services) | | | 368,913 | |
| | 138,485 | | | Poongsan Corp. (Materials) | | | 3,856,075 | |
| | 69,302 | | | POSCO (Materials) | | | 14,519,827 | |
| | 19,373 | | | Samsung Electronics Co. Ltd. (Technology Hardware & Equipment) | | | 21,113,308 | |
| | 4,274 | | | Samsung Fire & Marine Insurance Co. Ltd. (Insurance) | | | 1,101,766 | |
| | 24,374 | | | Samsung Life Insurance Co. Ltd. (Insurance) | | | 2,338,250 | |
| | 273,384 | | | Shinhan Financial Group Co. Ltd. (Banks) | | | 10,023,883 | |
| | 3,773 | | | SK Holdings Co. Ltd. (Capital Goods) | | | 739,468 | |
| | |
| | |
| 26 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS EMERGING MARKETS EQUITY INSIGHTS FUND
| | | | | | | | |
Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | South Korea – 16.6% | |
| | 251,511 | | | SK Hynix, Inc. (Semiconductors & Semiconductor Equipment) | | $ | 6,169,014 | |
| | 13,739 | | | SK Innovation Co. Ltd. (Energy) | | | 1,855,554 | |
| | | | | | | | |
| | | | | | | 123,517,140 | |
| | |
| | Taiwan – 8.6% | |
| | 626,000 | | | Elite Material Co. Ltd. (Technology Hardware & Equipment) | | | 1,113,461 | |
| | 227,000 | | | Farglory Land Development Co. Ltd. (Real Estate) | | | 271,498 | |
| | 332,000 | | | Formosa Petrochemical Corp. (Energy) | | | 941,673 | |
| | 5,188,000 | | | Fubon Financial Holding Co. Ltd. (Diversified Financials) | | | 6,284,322 | |
| | 930,000 | | | Getac Technology Corp. (Technology Hardware & Equipment) | | | 626,761 | |
| | 5,982,000 | | | Hon Hai Precision Industry Co. Ltd. (Technology Hardware & Equipment) | | | 14,249,514 | |
| | 359,000 | | | Kung Long Batteries Industrial Co. Ltd. (Capital Goods) | | | 1,480,501 | |
| | 737,000 | | | Lite-On Technology Corp. (Technology Hardware & Equipment) | | | 895,175 | |
| | 1,220,000 | | | Micro-Star International Co. Ltd. (Technology Hardware & Equipment) | | | 1,941,769 | |
| | 196,000 | | | Namchow Chemical Industrial Co. Ltd. (Food, Beverage & Tobacco) | | | 363,137 | |
| | 552,000 | | | Nien Hsing Textile Co. Ltd. (Consumer Durables & Apparel) | | | 405,185 | |
| | 979,000 | | | Powertech Technology, Inc. (Semiconductors & Semiconductor Equipment) | | | 1,975,821 | |
| | 79,000 | | | Sitronix Technology Corp. (Semiconductors & Semiconductor Equipment) | | | 230,352 | |
| | 106,000 | | | Standard Foods Corp. (Food, Beverage & Tobacco) | | | 256,586 | |
| | 985,000 | | | Systex Corp. (Software & Services)* | | | 1,653,337 | |
| | 825,000 | | | Taiwan Semiconductor Manufacturing Co. Ltd. ADR (Semiconductors & Semiconductor Equipment) | | | 19,461,750 | |
| | 4,818,000 | | | Uni-President Enterprises Corp. (Food, Beverage & Tobacco) | | | 8,673,316 | |
| | 1,674,000 | | | Win Semiconductors Corp. (Semiconductors & Semiconductor Equipment) | | | 3,143,428 | |
| | | | | | | | |
| | | | | | | 63,967,586 | |
| | |
| | Thailand – 3.1% | |
| | 879,600 | | | Airports of Thailand PCL (Transportation) | | | 9,860,912 | |
| | |
| | Common Stocks – (continued) | |
| | Thailand – (continued) | |
| | 1,744,200 | | | CP ALL PCL (Food & Staples Retailing) | | $ | 2,280,413 | |
| | 38,794,400 | | | IRPC PCL (Energy) | | | 5,652,622 | |
| | 249,800 | | | PTT PCL (Energy) | | | 2,169,335 | |
| | 1,578,900 | | | Thai Oil PCL (Energy) | | | 2,978,191 | |
| | 15,100 | | | The Siam Cement PCL (Registered) (Materials) | | | 210,592 | |
| | | | | | | | |
| | | | | | | 23,152,065 | |
| | |
| | Turkey – 3.0% | |
| | 529,504 | | | Akbank TAS (Banks) | | | 1,626,969 | |
| | 903,642 | | | Arcelik AS (Consumer Durables & Apparel) | | | 6,066,814 | |
| | 2,718,518 | | | Eregli Demir ve Celik Fabrikalari TAS (Materials) | | | 4,534,684 | |
| | 107,228 | | | Ford Otomotiv Sanayi AS (Automobiles & Components) | | | 1,441,474 | |
| | 364,596 | | | Koza Altin Isletmeleri AS (Materials)* | | | 2,386,795 | |
| | 461,135 | | | TAV Havalimanlari Holding AS (Transportation) | | | 2,687,288 | |
| | 92,102 | | | Tupras Turkiye Petrol Rafinerileri AS (Energy) | | | 2,429,233 | |
| | 39,389 | | | Turk Traktor ve Ziraat Makineleri AS (Capital Goods) | | | 1,166,441 | |
| | | | | | | | |
| | | | | | | 22,339,698 | |
| | |
| | United Arab Emirates – 1.4% | |
| | 1,746,245 | | | Aldar Properties PJSC (Real Estate) | | | 1,286,536 | |
| | 3,560,135 | | | DAMAC Properties Dubai Co. PJSC (Real Estate) | | | 2,481,634 | |
| | 1,266,436 | | | Dubai Islamic Bank PJSC (Banks) | | | 1,998,794 | |
| | 2,327,720 | | | Emaar Properties PJSC (Real Estate) | | | 4,259,887 | |
| | | | | | | | |
| | | | | | | 10,026,851 | |
| | |
| | TOTAL COMMON STOCKS | | | | |
| | (Cost $671,203,030) | | $ | 716,864,581 | |
| | |
| | | | | | | | | | |
Shares | | Description | | Rate | | | Value | |
| | | | | | | | | | |
| Preferred Stocks – 0.7% | |
| Brazil – 0.4% | |
| 280,000 | | Braskem SA Class A
(Materials) | | | 1.257 | % | | $ | 1,998,692 | |
| 38,600 | | Companhia
Paranaense de
Energia (Utilities) | | | 0.495 | | | | 317,734 | |
| 138,200 | | Vale SA (Materials) | | | 0.374 | | | | 632,483 | |
| | | | | | | | | | |
| | | | 2,948,909 | |
| |
| | |
| The accompanying notes are an integral part of these financial statements. | | 27 |
GOLDMAN SACHS EMERGING MARKETS EQUITY INSIGHTS FUND
Schedule of Investments (continued)
April 30, 2016 (Unaudited)
| | | | | | | | | | |
Shares | | Description | | Rate | | | Value | |
| | | | | | | | | | |
| Preferred Stocks – (continued) | |
| South Korea – 0.3% | |
| 4,991 | | LG Household &
Health Care Ltd.
(Household &
Personal Products) | | | 5,550 | % | | $ | 2,571,553 | |
| |
| TOTAL PREFERRED STOCKS | |
| (Cost $4,206,828) | | | | | | $ | 5,520,462 | |
| |
| | | | | | | | | | |
| Shares | | | Description | | | | Value | |
| | | | | | | | | | |
| | Exchange Traded Fund(a) – 1.8% | |
| | United States – 1.8% | |
| | 388,886 | | | Vanguard FTSE Emerging Markets
Fund | | | | $ | 13,583,788 | |
| | (Cost $12,977,166) | | | | | | |
| | |
| | | | | | | | | | |
| Units | | Description | | Expiration
Month | | | Value | |
| | | | | | | | | | |
| Warrant* – 0.0% | |
| Thailand – 0.0% | |
| 1,567,600 | | BTS Group
Holdings PCL
(Transportation) | | | 11/18 | | | $ | 34,556 | |
| (Cost $0) | | | |
| |
TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | |
| (Cost $688,387,024) | | | | | | $ | 736,003,387 | |
| |
| | | | | | | | | | | | |
| Shares | | | Distribution
Rate | | | | | Value | |
| | | | | | | | | | | | |
| | Securities Lending Reinvestment Vehicle(c)(d) – 0.4% | |
| Goldman Sachs Financial Square Money Market Fund – FST
Institutional Shares |
|
| | 2,728,800 | | | | 0.427 | % | | | | $ | 2,728,800 | |
| | (Cost $2,728,800) | | | | |
| | |
| | TOTAL INVESTMENTS – 99.3% | |
| | (Cost $691,115,824) | | $ | 738,732,187 | |
| | |
| OTHER ASSETS IN EXCESS OF
LIABILITIES – 0.7% | | | 5,202,494 | |
| | |
| | NET ASSETS – 100.0% | | $ | 743,934,681 | |
| | |
| | |
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | | Non-income producing security. |
(a) | | All or a portion of security is on loan. |
(b) | | Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, 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 $3,592,816, which represents approximately 0.5% of net assets as of April 30, 2016. |
(c) | | Represents an affiliated issuer. |
(d) | | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on April 30, 2016. |
| | |
|
Investment Abbreviations: |
ADR | | —American Depositary Receipt |
GDR | | —Global Depositary Receipt |
REIT | | —Real Estate Investment Trust |
|
| | |
| 28 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUND
Schedule of Investments
April 30, 2016 (Unaudited)
| | | | | | | | |
Shares | | | Description | |
Value | |
| | Common Stocks – 95.5% | |
| | Australia – 5.6% | |
| | 717,972 | | | AMP Ltd. (Insurance) | | $ | 3,190,314 | |
| | 139,762 | | | Australian Pharmaceutical Industries Ltd. (Health Care Equipment & Services) | | | 207,610 | |
| | 474,042 | | | BHP Billiton PLC (Materials) | | | 6,477,544 | |
| | 341,597 | | | Coca-Cola Amatil Ltd. (Food, Beverage & Tobacco) | | | 2,225,499 | |
| | 46,504 | | | Domino’s Pizza Enterprises Ltd. (Consumer Services) | | | 2,178,087 | |
| | 107,763 | | | Iluka Resources Ltd. (Materials) | | | 523,018 | |
| | 97,373 | | | JB Hi-Fi Ltd. (Retailing)(a) | | | 1,619,923 | |
| | 412,818 | | | Northern Star Resources Ltd. (Materials) | | | 1,227,844 | |
| | 221,052 | | | Oil Search Ltd. (Energy) | | | 1,171,958 | |
| | 1,095,305 | | | OZ Minerals Ltd. (Materials) | | | 4,862,740 | |
| | 1,700,558 | | | Qantas Airways Ltd. (Transportation)* | | | 4,146,356 | |
| | 601,682 | | | Regis Resources Ltd. (Materials) | | | 1,338,179 | |
| | 148,618 | | | Sandfire Resources NL (Materials) | | | 664,499 | |
| | 175,469 | | | Scentre Group (REIT) | | | 622,831 | |
| | 94,697 | | | St. Barbara Ltd. (Materials)* | | | 168,508 | |
| | 47,410 | | | The Reject Shop Ltd. (Retailing) | | | 446,466 | |
| | 1,085,437 | | | The Star Entertainment Grp Ltd. (Consumer Services) | | | 4,634,789 | |
| | 733,260 | | | Treasury Wine Estates Ltd. (Food, Beverage & Tobacco) | | | 5,163,070 | |
| | | | | | | | |
| | | | | | | 40,869,235 | |
| | |
| | Austria – 0.3% | |
| | 45,488 | | | OMV AG (Energy) | | | 1,368,736 | |
| | 4,060 | | | Strabag SE (Capital Goods) | | | 127,612 | |
| | 19,687 | | | voestalpine AG (Materials) | | | 710,403 | |
| | | | | | | | |
| | | | | | | 2,206,751 | |
| | |
| | Belgium – 0.9% | |
| | 3,914 | | | Befimmo SA (REIT) | | | 261,779 | |
| | 2,809 | | | Bekaert SA NV (Materials) | | | 123,706 | |
| | 31,351 | | | bpost SA (Transportation) | | | 885,340 | |
| | 3,661 | | | Melexis NV (Semiconductors & Semiconductor Equipment) | | | 202,614 | |
| | 64,086 | | | UCB SA (Pharmaceuticals, Biotechnology & Life Sciences) | | | 4,807,038 | |
| | | | | | | | |
| | | | | | | 6,280,477 | |
| | |
| | China – 0.1% | |
| | 509,500 | | | Fosun International Ltd. (Capital Goods) | | | 703,985 | |
| | |
| | Denmark – 3.5% | |
| | 284,234 | | | Danske Bank A/S (Banks) | | | 8,042,278 | |
| | 29,759 | | | NKT Holding A/S (Capital Goods) | | | 1,696,692 | |
| | 87,220 | | | Novo Nordisk A/S Class B (Pharmaceuticals, Biotechnology & Life Sciences) | | | 4,869,876 | |
| | 7,633 | | | Royal Unibrew A/S (Food, Beverage & Tobacco) | | | 344,867 | |
| | |
| | Common Stocks – (continued) | |
| | Denmark – (continued) | |
| | 679,080 | | | TDC A/S (Telecommunication Services) | | $ | 3,477,075 | |
| | 100,088 | | | Vestas Wind Systems A/S (Capital Goods) | | | 7,164,508 | |
| | | | | | | | |
| | | | | | | 25,595,296 | |
| | |
| | Finland – 0.1% | |
| | 10,609 | | | Cramo OYJ (Capital Goods) | | | 212,590 | |
| | 30,483 | | | Finnair OYJ (Transportation)* | | | 181,504 | |
| | 4,443 | | | Kone OYJ Class B (Capital Goods) | | | 203,011 | |
| | 45,333 | | | Ramirent OYJ (Capital Goods) | | | 317,088 | |
| | | | | | | | |
| | | | | | | 914,193 | |
| | |
| | France – 9.9% | |
| | 1,909 | | | Alten SA (Software & Services) | | | 117,870 | |
| | 237,452 | | | AXA SA (Insurance) | | | 5,995,567 | |
| | 141,444 | | | BNP Paribas SA (Banks) | | | 7,490,721 | |
| | 17,316 | | | Coface SA (Insurance) | | | 139,872 | |
| | 53,427 | | | Compagnie Generale des Etablissements Michelin Class B (Automobiles & Components) | | | 5,580,453 | |
| | 1,071 | | | Gecina SA (REIT) | | | 154,770 | |
| | 363,081 | | | Orange SA (Telecommunication Services) | | | 6,032,203 | |
| | 35,108 | | | Publicis Groupe SA (Media) | | | 2,598,105 | |
| | 56,208 | | | Renault SA (Automobiles & Components) | | | 5,423,385 | |
| | 44,387 | | | Safran SA (Capital Goods) | | | 3,060,023 | |
| | 111,190 | | | Sanofi (Pharmaceuticals, Biotechnology & Life Sciences) | | | 9,165,009 | |
| | 98,896 | | | Schneider Electric SE (Capital Goods)* | | | 6,466,571 | |
| | 77,488 | | | SCOR SE (Insurance)(a) | | | 2,639,682 | |
| | 150,757 | | | Societe Generale SA (Banks) | | | 5,931,861 | |
| | 11,847 | | | UBISOFT Entertainment (Software & Services)* | | | 343,860 | |
| | 17,258 | | | Unibail-Rodamco SE (REIT) | | | 4,625,925 | |
| | 31,310 | | | Valeo SA (Automobiles & Components) | | | 4,966,359 | |
| | 312,150 | | | Vallourec SA (Energy)(a) | | | 1,625,532 | |
| | | | | | | | |
| | | | | | | 72,357,768 | |
| | |
| | Germany – 10.9% | |
| | 3,271 | | | Allianz SE (Registered) (Insurance) | | | 556,488 | |
| | 42,104 | | | Aurubis AG (Materials) | | | 2,288,191 | |
| | 121,843 | | | BASF SE (Materials) | | | 10,080,167 | |
| | 19,320 | | | Bayer AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | | | 2,232,753 | |
| | 3,705 | | | Bechtle AG (Software & Services) | | | 387,487 | |
| | 29,560 | | | Continental AG (Automobiles & Components) | | | 6,509,508 | |
| | 29,967 | | | Covestro AG (Materials)*(b) | | | 1,185,453 | |
| | 561,286 | | | Deutsche Telekom AG (Registered) (Telecommunication Services) | | | 9,852,492 | |
| | 56,219 | | | Evotec AG (Pharmaceuticals, Biotechnology & Life Sciences)* | | | 224,445 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 29 |
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUND
Schedule of Investments (continued)
April 30, 2016 (Unaudited)
| | | | | | | | |
Shares | | | Description | |
Value | |
| | Common Stocks – (continued) | |
| | Germany – (continued) | |
| | 2,485 | | | Fresenius Medical Care AG & Co. KGaA (Health Care Equipment & Services) | | $ | 216,287 | |
| | 112,280 | | | Fresenius SE & Co. KGaA (Health Care Equipment & Services) | | | 8,187,259 | |
| | 39,528 | | | Gerresheimer AG (Pharmaceuticals, Biotechnology & Life Sciences) | | | 2,948,060 | |
| | 21,896 | | | Hannover Rueck SE (Insurance) | | | 2,503,172 | |
| | 453,509 | | | Infineon Technologies AG (Semiconductors & Semiconductor Equipment) | | | 6,470,474 | |
| | 29,471 | | | Jenoptik AG (Technology Hardware & Equipment) | | | 461,035 | |
| | 17,241 | | | Linde AG (Materials) | | | 2,637,907 | |
| | 46,310 | | | Metro AG (Food & Staples Retailing) | | | 1,477,459 | |
| | 36,149 | | | Muenchener Rueckversicherungs-Gesellschaft AG (Registered) (Insurance) | | | 6,720,303 | |
| | 16,944 | | | OSRAM Licht AG (Capital Goods) | | | 884,798 | |
| | 2,250 | | | Pfeiffer Vacuum Technology AG (Capital Goods) | | | 242,347 | |
| | 107,533 | | | ProSiebenSat.1 Media SE (Registered) (Media) | | | 5,493,324 | |
| | 51,804 | | | Siemens AG (Registered) (Capital Goods) | | | 5,421,198 | |
| | 57,913 | | | Software AG (Software & Services) | | | 2,217,052 | |
| | | | | | | | |
| | | | | | | 79,197,659 | |
| | |
| | Hong Kong – 3.3% | |
| | 1,783,500 | | | BOC Hong Kong Holdings Ltd. (Banks) | | | 5,327,134 | |
| | 61,000 | | | Cathay Pacific Airways Ltd. (Transportation) | | | 97,255 | |
| | 7,548,000 | | | China Travel International Investment Hong Kong Ltd. (Consumer Services) | | | 2,199,811 | |
| | 743,000 | | | CLP Holdings Ltd. (Utilities) | | | 6,869,049 | |
| | 56,000 | | | Hang Lung Group Ltd. (Real Estate) | | | 171,767 | |
| | 52,800 | | | Jardine Strategic Holdings Ltd. (Capital Goods) | | | 1,533,114 | |
| | 624,000 | | | New World Development Co. Ltd. (Real Estate) | | | 620,636 | |
| | 127,000 | | | NWS Holdings Ltd. (Capital Goods) | | | 192,906 | |
| | 216,000 | | | Sino Land Co. Ltd. (Real Estate) | | | 339,108 | |
| | 249,500 | | | Techtronic Industries Co. Ltd. (Consumer Durables & Apparel) | | | 935,293 | |
| | 560,000 | | | Wheelock & Co. Ltd. (Real Estate) | | | 2,592,580 | |
| | 740,500 | | | Yue Yuen Industrial Holdings Ltd. (Consumer Durables & Apparel) | | | 2,697,214 | |
| | | | | | | | |
| | | | | | | 23,575,867 | |
| | |
| | Italy – 1.6% | |
| | 12,877 | | | De’ Longhi SpA (Consumer Durables & Apparel) | | | 297,277 | |
| | 394,622 | | | Eni SpA (Energy) | | | 6,446,911 | |
| | 78,357 | | | Prysmian SpA (Capital Goods) | | | 1,853,836 | |
| | |
| | Common Stocks – (continued) | |
| | Italy – (continued) | |
| | 24,513 | | | Recordati SpA (Pharmaceuticals, Biotechnology & Life Sciences) | | $ | 623,756 | |
| | 92,115 | | | Salini Impregilo SpA (Capital Goods) | | | 404,010 | |
| | 1,142,931 | | | Saras SpA (Energy)* | | | 1,996,343 | |
| | | | | | | | |
| | | | | | | 11,622,133 | |
| | |
| | Japan – 22.6% | |
| | 51,800 | | | Aeon Mall Co. Ltd. (Real Estate) | | | 712,413 | |
| | 45,200 | | | Amada Holdings Co. Ltd. (Capital Goods) | | | 454,101 | |
| | 10,100 | | | Asatsu-DK, Inc. (Media) | | | 250,794 | |
| | 453,900 | | | Astellas Pharma, Inc. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 6,119,749 | |
| | 32,500 | | | Central Japan Railway Co. (Transportation) | | | 5,693,213 | |
| | 166,900 | | | Chubu Electric Power Co., Inc. (Utilities) | | | 2,198,434 | |
| | 36,000 | | | Daito Trust Construction Co. Ltd. (Real Estate) | | | 5,091,561 | |
| | 230,100 | | | Daiwa House Industry Co. Ltd. (Real Estate) | | | 6,147,520 | |
| | 24,600 | | | DCM Holdings Co. Ltd. (Retailing) | | | 185,978 | |
| | 6,000 | | | Doshisha Co. Ltd. (Retailing) | | | 112,654 | |
| | 7,900 | | | Dydo Drinco, Inc. (Food, Beverage & Tobacco) | | | 398,983 | |
| | 5,900 | | | Foster Electric Co. Ltd. (Consumer Durables & Apparel) | | | 122,765 | |
| | 16,700 | | | Geo Holdings Corp. (Retailing) | | | 275,799 | |
| | 232,000 | | | Gree, Inc. (Software & Services) | | | 1,300,206 | |
| | 14,000 | | | Heiwa Corp. (Consumer Durables & Apparel) | | | 294,080 | |
| | 174,700 | | | Iida Group Holdings Co. Ltd. (Consumer Durables & Apparel) | | | 3,262,714 | |
| | 32,600 | | | IT Holdings Corp. (Software & Services) | | | 770,393 | |
| | 150,200 | | | Itochu Techno-Solutions Corp. (Software & Services) | | | 2,943,370 | |
| | 117,700 | | | Japan Airlines Co. Ltd. (Transportation) | | | 4,236,528 | |
| | 33,000 | | | Kaken Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 1,802,894 | |
| | 183,300 | | | KDDI Corp. (Telecommunication Services) | | | 5,280,091 | |
| | 183,800 | | | Kinden Corp. (Capital Goods) | | | 2,158,767 | |
| | 8,100 | | | Kokuyo Co. Ltd. (Commercial & Professional Services) | | | 106,121 | |
| | 89,300 | | | Konica Minolta, Inc. (Technology Hardware & Equipment) | | | 770,799 | |
| | 15,000 | | | Maeda Road Construction Co. Ltd. (Capital Goods) | | | 273,275 | |
| | 132,000 | | | Makino Milling Machine Co. Ltd. (Capital Goods) | | | 793,048 | |
| | 5,300 | | | Mandom Corp. (Household & Personal Products) | | | 239,879 | |
| | |
| | |
| 30 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUND
| | | | | | | | |
Shares | | | Description | |
Value | |
| | Common Stocks – (continued) | |
| | Japan – (continued) | |
| | 816,700 | | | Marubeni Corp. (Capital Goods) | | $ | 4,335,254 | |
| | 53,400 | | | Matsumotokiyoshi Holdings Co. Ltd. (Food & Staples Retailing) | | | 2,613,763 | |
| | 35,500 | | | Miraca Holdings, Inc. (Health Care Equipment & Services) | | | 1,508,648 | |
| | 909,800 | | | Mitsubishi Chemical Holdings Corp. (Materials) | | | 4,747,827 | |
| | 327,400 | | | Mitsubishi Corp. (Capital Goods) | | | 5,503,137 | |
| | 311,700 | | | Mitsubishi Tanabe Pharma Corp. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 5,549,664 | |
| | 1,582,200 | | | Mitsubishi UFJ Financial Group, Inc. (Banks) | | | 7,301,561 | |
| | 466,100 | | | Mitsui & Co. Ltd. (Capital Goods) | | | 5,693,524 | |
| | 30,000 | | | Mitsui Fudosan Co. Ltd. (Real Estate) | | | 732,673 | |
| | 35,700 | | | Nexon Co. Ltd. (Software & Services) | | | 536,049 | |
| | 752,000 | | | Nippon Electric Glass Co. Ltd. (Technology Hardware & Equipment) | | | 3,981,412 | |
| | 99,800 | | | Nippon Telegraph & Telephone Corp. (Telecommunication Services) | | | 4,466,083 | |
| | 251,100 | | | Nippon Television Holdings, Inc. (Media) | | | 4,044,721 | |
| | 118,200 | | | Nipro Corp. (Health Care Equipment & Services) | | | 1,151,440 | |
| | 157,000 | | | Nishimatsu Construction Co. Ltd. (Capital Goods) | | | 685,599 | |
| | 176,300 | | | NTT DOCOMO, Inc. (Telecommunication Services) | | | 4,228,376 | |
| | 119,000 | | | OKUMA Corp. (Capital Goods) | | | 928,397 | |
| | 528,500 | | | ORIX Corp. (Diversified Financials) | | | 7,475,599 | |
| | 5,200 | | | Paltac Corp. (Retailing) | | | 92,294 | |
| | 118,700 | | | Sankyo Co. Ltd. (Consumer Durables & Apparel) | | | 4,494,119 | |
| | 55,300 | | | Seino Holdings Co. Ltd. (Transportation) | | | 562,037 | |
| | 393,300 | | | Sekisui Chemical Co. Ltd. (Consumer Durables & Apparel) | | | 4,915,493 | |
| | 22,300 | | | Sekisui House Ltd. (Consumer Durables & Apparel) | | | 387,202 | |
| | 4,800 | | | Shimachu Co. Ltd. (Retailing) | | | 111,715 | |
| | 17,500 | | | SoftBank Group Corp. (Telecommunication Services) | | | 940,984 | |
| | 16,900 | | | Square Enix Holdings Co. Ltd. (Software & Services) | | | 432,637 | |
| | 1,106,000 | | | Sumitomo Chemical Co. Ltd. (Materials) | | | 4,998,923 | |
| | 515,700 | | | Sumitomo Corp. (Capital Goods) | | | 5,452,115 | |
| | 204,100 | | | Sumitomo Mitsui Financial Group, Inc. (Banks) | | | 6,141,720 | |
| | 56,100 | | | Tadano Ltd. (Capital Goods) | | | 535,334 | |
| | 19,100 | | | TDK Corp. (Technology Hardware & Equipment) | | | 1,117,615 | |
| | 588,000 | | | Teijin Ltd. (Materials) | | | 2,105,182 | |
| | 44,000 | | | The Nishi-Nippon City Bank Ltd. (Banks) | | | 79,387 | |
| | |
| | Common Stocks – (continued) | |
| | Japan – (continued) | |
| | 53,100 | | | Tokyo Electron Ltd. (Semiconductors & Semiconductor Equipment) | | $ | 3,509,496 | |
| | 1,148,000 | | | Tokyo Gas Co. Ltd. (Utilities) | | | 5,066,899 | |
| | 519,000 | | | Toppan Printing Co. Ltd. (Commercial & Professional Services) | | | 4,437,646 | |
| | 56,000 | | | Tosoh Corp. (Materials) | | | 255,963 | |
| | 5,700 | | | Toyota Motor Corp. (Automobiles & Components) | | | 288,932 | |
| | 33,100 | | | Wacom Co. Ltd. (Technology Hardware & Equipment)(a) | | | 137,599 | |
| | 19,000 | | | West Japan Railway Co. (Transportation) | | | 1,146,958 | |
| | 15,500 | | | Yamato Kogyo Co. Ltd. (Materials) | | | 363,855 | |
| | | | | | | | |
| | | | | | | 165,053,961 | |
| | |
| | Luxembourg – 0.4% | |
| | 60,206 | | | Aperam SA (Materials) | | | 2,370,156 | |
| | 2,019 | | | Eurofins Scientific SE (Pharmaceuticals, Biotechnology & Life Sciences) | | | 749,101 | |
| | | | | | | | |
| | | | | | | 3,119,257 | |
| | |
| | Netherlands – 3.2% | |
| | 48,762 | | | ASM International NV (Semiconductors & Semiconductor Equipment) | | | 1,991,816 | |
| | 61,440 | | | Boskalis Westminster (Capital Goods) | | | 2,562,235 | |
| | 53,998 | | | Heineken Holding NV (Food, Beverage & Tobacco) | | | 4,457,898 | |
| | 937,141 | | | ING Groep NV CVA (Banks) | | | 11,483,181 | |
| | 11,096 | | | NXP Semiconductors NV (Semiconductors & Semiconductor Equipment)* | | | 946,267 | |
| | 37,407 | | | Royal Dutch Shell PLC Class A (Energy) | | | 988,213 | |
| | 39,813 | | | Royal Dutch Shell PLC Class B (Energy) | | | 1,045,285 | |
| | | | | | | | |
| | | | | | | 23,474,895 | |
| | |
| | New Zealand – 0.1% | |
| | 129,611 | | | Auckland International Airport Ltd. (Transportation) | | | 555,995 | |
| | 20,996 | | | EBOS Group Ltd. (Health Care Equipment & Services) | | | 233,851 | |
| | | | | | | | |
| | | | | | | 789,846 | |
| | |
| | Norway – 1.7% | |
| | 11,720 | | | Leroy Seafood Group ASA (Food, Beverage & Tobacco) | | | 571,994 | |
| | 1,335,540 | | | Norsk Hydro ASA (Materials)(a) | | | 5,810,913 | |
| | 626,807 | | | Orkla ASA (Food, Beverage & Tobacco) | | | 5,471,982 | |
| | 35,339 | | | Tomra Systems ASA (Commercial & Professional Services) | | | 410,514 | |
| | | | | | | | |
| | | | | | | 12,265,403 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 31 |
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUND
Schedule of Investments (continued)
April 30, 2016 (Unaudited)
| | | | | | | | |
Shares | | | Description | |
Value | |
| | Common Stocks – (continued) | |
| | Portugal – 0.7% | |
| | 348,613 | | | Galp Energia SGPS SA (Energy) | | $ | 4,789,743 | |
| | |
| | Singapore – 0.3% | |
| | 64,800 | | | Singapore Airlines Ltd. (Transportation) | | | 553,164 | |
| | 234,700 | | | Venture Corp. Ltd. (Technology Hardware & Equipment) | | | 1,459,509 | |
| | | | | | | | |
| | | | | | | 2,012,673 | |
| | |
| | South Africa – 0.5% | |
| | 190,484 | | | Mondi PLC (Materials) | | | 3,648,634 | |
| | |
| | Spain – 1.8% | |
| | 387,526 | | | Banco Bilbao Vizcaya Argentaria SA (Banks) | | | 2,663,003 | |
| | 1,188,640 | | | Banco Santander SA (Banks) | | | 6,036,297 | |
| | 78,384 | | | Grifols SA (Pharmaceuticals, Biotechnology & Life Sciences) | | | 1,709,022 | |
| | 195,454 | | | Repsol SA (Energy) | | | 2,575,392 | |
| | | | | | | | |
| | | | | | | 12,983,714 | |
| | |
| | Sweden – 3.9% | |
| | 30,040 | | | Atlas Copco AB Class A (Capital Goods)(a) | | | 778,254 | |
| | 310,036 | | | Boliden AB (Materials)(a) | | | 5,422,635 | |
| | 16,898 | | | Dios Fastigheter AB (Real Estate) | | | 123,662 | |
| | 209,197 | | | Electrolux ABSeries B (Consumer Durables & Apparel) | | | 6,079,205 | |
| | 104,181 | | | Granges AB (Materials) | | | 769,218 | |
| | 15,238 | | | Hemfosa Fastigheter AB (Real Estate) | | | 158,962 | |
| | 43,695 | | | Intrum Justitia AB (Commercial & Professional Services) | | | 1,570,678 | |
| | 34,943 | | | Inwido AB (Capital Goods) | | | 440,224 | |
| | 32,298 | | | Loomis AB Class B (Commercial & Professional Services) | | | 897,148 | |
| | 374,083 | | | Nordea Bank AB (Banks) | | | 3,636,141 | |
| | 148,965 | | | Svenska Cellulosa AB SCA Class B (Household & Personal Products) | | | 4,700,089 | |
| | 129,138 | | | Swedish Match AB (Food, Beverage & Tobacco)(a) | | | 4,101,661 | |
| | | | | | | | |
| | | | | | | 28,677,877 | |
| | |
| | Switzerland – 8.8% | |
| | 99,012 | | | ABB Ltd. (Registered) (Capital Goods)* | | | 2,096,112 | |
| | 69,869 | | | Actelion Ltd. (Registered) (Pharmaceuticals, Biotechnology & Life Sciences)* | | | 11,324,375 | |
| | 51,191 | | | Ascom Holding AG (Registered) (Technology Hardware & Equipment) | | | 838,868 | |
| | 4,140 | | | Bachem Holding AG (Registered) Class B (Pharmaceuticals, Biotechnology & Life Sciences)* | | | 276,201 | |
| | 2,616 | | | Bobst Group SA (Registered) (Capital Goods) | | | 142,894 | |
| | |
| | Common Stocks – (continued) | |
| | Switzerland – (continued) | |
| | 2,098 | | | dorma+kaba Holding AG (Registered) Class B (Commercial & Professional Services) | | $ | 1,362,397 | |
| | 898 | | | Flughafen Zuerich AG (Registered) (Transportation)* | | | 824,962 | |
| | 455 | | | Forbo Holding AG (Registered) (Consumer Durables & Apparel)* | | | 554,397 | |
| | 5,969 | | | Georg Fischer AG (Registered) (Capital Goods) | | | 4,852,936 | |
| | 36,656 | | | Lonza Group AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences)* | | | 6,113,795 | |
| | 1,050 | | | Mobimo Holding AG (Registered) (Real Estate)* | | | 240,590 | |
| | 44,841 | | | Nestle SA (Registered) (Food, Beverage & Tobacco) | | | 3,346,918 | |
| | 28,833 | | | Novartis AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | | | 2,194,257 | |
| | 4,116 | | | Partners Group Holding AG (Diversified Financials) | | | 1,697,598 | |
| | 1,292 | | | Rieter Holding AG (Registered) (Capital Goods)* | | | 267,821 | |
| | 73,269 | | | Roche Holding AG (Pharmaceuticals, Biotechnology & Life Sciences) | | | 18,537,733 | |
| | 152 | | | Schweiter Technologies AG (Capital Goods) | | | 143,772 | |
| | 626 | | | Sika AG (Materials) | | | 2,667,978 | |
| | 77,585 | | | Swiss Re AG (Insurance) | | | 6,895,646 | |
| | | | | | | | |
| | | | | | | 64,379,250 | |
| | |
| | United Kingdom – 15.3% | |
| | 449,382 | | | 3i Group PLC (Diversified Financials) | | | 3,116,947 | |
| | 150,521 | | | Amec Foster Wheeler PLC (Energy) | | | 1,090,714 | |
| | 212,741 | | | Anglo American PLC (Materials) | | | 2,379,566 | |
| | 15,831 | | | AstraZeneca PLC (Pharmaceuticals, Biotechnology & Life Sciences) | | | 908,265 | |
| | 128,102 | | | AstraZeneca PLC ADR (Pharmaceuticals, Biotechnology & Life Sciences)(a) | | | 3,709,834 | |
| | 489,992 | | | Beazley PLC (Insurance)* | | | 2,335,450 | |
| | 86,853 | | | Berkeley Group Holdings PLC (Consumer Durables & Apparel) | | | 3,805,940 | |
| | 41,613 | | | Booker Group PLC (Food & Staples Retailing) | | | 98,678 | |
| | 314,403 | | | BP PLC ADR (Energy) | | | 10,557,653 | |
| | 276,790 | | | British American Tobacco PLC (Food, Beverage & Tobacco) | | | 16,876,464 | |
| | 509,414 | | | BT Group PLC (Telecommunication Services) | | | 3,302,057 | |
| | 344,517 | | | CNH Industrial NV (Capital Goods)(a) | | | 2,648,607 | |
| | 9,710 | | | Derwent London PLC (REIT) | | | 466,684 | |
| | 10,070 | | | Dialog Semiconductor PLC (Semiconductors & Semiconductor Equipment)* | | | 351,206 | |
| | |
| | |
| 32 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUND
| | | | | | | | |
Shares | | | Description | |
Value | |
| | Common Stocks – (continued) | |
| | United Kingdom – (continued) | |
| | 352,729 | | | Dixons Carphone PLC (Retailing) | | $ | 2,195,720 | |
| | 235,946 | | | GlaxoSmithKline PLC ADR (Pharmaceuticals, Biotechnology & Life Sciences) | | | 10,124,443 | |
| | 7,907 | | | Hill & Smith Holdings PLC (Materials) | | | 107,850 | |
| | 1,066,383 | | | HSBC Holdings PLC (Banks) | | | 7,066,788 | |
| | 110,241 | | | Imperial Brands PLC (Food, Beverage & Tobacco) | | | 5,994,158 | |
| | 148,656 | | | Inchcape PLC (Retailing) | | | 1,474,519 | |
| | 628,965 | | | Man Group PLC (Diversified Financials) | | | 1,360,439 | |
| | 100,659 | | | Meggitt PLC (Capital Goods) | | | 605,198 | |
| | 14,406 | | | Micro Focus International PLC (Software & Services) | | | 322,226 | |
| | 56,381 | | | National Grid PLC (Utilities) | | | 804,478 | |
| | 183,097 | | | Prudential PLC (Insurance) | | | 3,614,249 | |
| | 102,714 | | | Reckitt Benckiser Group PLC (Household & Personal Products) | | | 10,006,284 | |
| | 311,008 | | | RELX NV (Media) | | | 5,222,937 | |
| | 143,376 | | | Severn Trent PLC (Utilities) | | | 4,674,107 | |
| | 52,453 | | | Unilever NV CVA (Household & Personal Products) | | | 2,304,252 | |
| | 77,218 | | | Unilever PLC (Household & Personal Products) | | | 3,450,245 | |
| | 3,618 | | | Unilever PLC ADR (Household & Personal Products) | | | 162,304 | |
| | 105,587 | | | William Hill PLC (Consumer Services) | | | 483,411 | |
| | | | | | | | |
| | | | | | | 111,621,673 | |
| | |
| | TOTAL COMMON STOCKS | | | | |
| | (Cost $663,003,023) | | $ | 696,140,290 | |
| | |
| | | | | | | | | | |
| Shares | | Description | | Rate | | | Value | |
| Preferred Stocks – 0.9% | |
| Germany – 0.9% | |
| 58,901 | | Henkel AG & Co.
KGaA (Household &
Personal Products) | | | 1.470 | % | | $ | 6,727,604 | |
| 946 | | Sartorius AG (Health
Care Equipment &
Services) | | | 1.520 | | | | 233,778 | |
| |
| TOTAL PREFERRED STOCKS | | | | | |
| (Cost $6,292,870) | | | $ | 6,961,382 | |
| |
| Units | | Description | | Expiration
Month | | | Value | |
| Right* – 0.0% | |
| Sweden – 0.0% | | | | | |
| 15,238 | | Hemfosa Fastigheter
AB (Real Estate) | | | 05/16 | | | $ | 5,503 | |
| (Cost $0) | |
| |
TOTAL INVESTMENTS BEFORE SECURITIES
LENDING REINVESTMENT VEHICLE | |
| (Cost $669,295,893) | | | $ | 703,107,175 | |
| |
| | | | | | | | |
Shares | | | Distribution
Rate | | Value | |
| | Securities Lending Reinvestment Vehicle(c)(d) – 3.4% | |
| Goldman Sachs Financial Square Money Market Fund –
FST Institutional Shares |
|
| | 24,797,079 | | | 0.427% | | $ | 24,797,079 | |
| | (Cost $24,797,079) | |
| | |
| | TOTAL INVESTMENTS – 99.8% | |
| | (Cost $694,092,972) | | $ | 727,904,254 | |
| | |
| OTHER ASSETS IN EXCESS OF
LIABILITIES – 0.2% | | | 1,377,027 | |
| | |
| | NET ASSETS – 100.0% | | $ | 729,281,281 | |
| | |
| | |
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | | Non-income producing security. |
(a) | | All or a portion of security is on loan. |
(b) | | Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, 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 $1,185,453, which represents approximately 0.2% of net assets as of April 30, 2016. |
(c) | | Represents an affiliated issuer. |
(d) | | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on April 30, 2016. |
| | |
|
Investment Abbreviations: |
ADR | | —American Depositary Receipt |
CVA | | —Dutch Certification |
REIT | | —Real Estate Investment Trust |
|
| | |
| The accompanying notes are an integral part of these financial statements. | | 33 |
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUND
Schedule of Investments (continued)
April 30, 2016 (Unaudited)
FUTURES CONTRACTS — At April 30, 2016, the Fund had the following futures contracts:
| | | | | | | | | | | | | | |
| Type | | Number of
Contracts
Long (Short) | | | Expiration
Date | | Current
Value | | | Unrealized
Gain (Loss) | |
EURO STOXX 50 Index | | | 187 | | | June 2016 | | $ | 6,374,482 | | | $ | (79,377 | ) |
FTSE 100 Index | | | 34 | | | June 2016 | | | 3,086,066 | | | | 57,525 | |
Hang Seng Index | | | 2 | | | May 2016 | | | 268,845 | | | | (4,973 | ) |
MSCI Singapore Index | | | 9 | | | May 2016 | | | 212,745 | | | | (4,851 | ) |
SPI 200 Index | | | 13 | | | June 2016 | | | 1,292,652 | | | | 17,757 | |
TSE TOPIX Index | | | 24 | | | June 2016 | | | 2,992,105 | | | | (52,929 | ) |
| TOTAL | | | | | | | | | | | | $ | (66,848 | ) |
| | |
| 34 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL SMALL CAP INSIGHTS FUND
Schedule of Investments
April 30, 2016 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| | Common Stocks – 97.1% | |
| | Australia – 5.9% | |
| | 2,063,553 | | | Australian Pharmaceutical Industries Ltd. (Health Care Equipment & Services) | | $ | 3,065,321 | |
| | 551,927 | | | BlueScope Steel Ltd. (Materials) | | | 2,694,702 | |
| | 464,810 | | | BT Investment Management Ltd. (Diversified Financials) | | | 3,472,576 | |
| | 2,652,626 | | | Investa Office Fund (REIT) | | | 8,375,721 | |
| | 817,605 | | | JB Hi-Fi Ltd. (Retailing)(a) | | | 13,601,892 | |
| | 139,874 | | | Macquarie Atlas Roads Group (Transportation) | | | 515,530 | |
| | 213,850 | | | Magellan Financial Group Ltd. (Diversified Financials) | | | 3,469,026 | |
| | 1,084,690 | | | Northern Star Resources Ltd. (Materials) | | | 3,226,191 | |
| | 3,514,420 | | | OZ Minerals Ltd. (Materials) | | | 15,602,696 | |
| | 2,583,866 | | | Pacific Brands Ltd. (Retailing) | | | 2,233,032 | |
| | 858,590 | | | Pact Group Holdings Ltd. (Materials) | | | 3,363,150 | |
| | 2,052,316 | | | Regis Resources Ltd. (Materials) | | | 4,564,482 | |
| | 402,146 | | | SAI Global Ltd. (Commercial & Professional Services) | | | 1,111,094 | |
| | 1,968,575 | | | Sandfire Resources NL (Materials) | | | 8,801,864 | |
| | 1,504,185 | | | St. Barbara Ltd. (Materials)* | | | 2,676,615 | |
| | 3,359,126 | | | The Star Entertainment Group Ltd. (Consumer Services) | | | 14,343,384 | |
| | | | | | | | |
| | | | | | | 91,117,276 | |
| | |
| | Austria – 0.7% | |
| | 385,993 | | | BUWOG AG (Real Estate)* | | | 8,125,697 | |
| | 22,652 | | | Lenzing AG (Materials) | | | 1,755,202 | |
| | 12,433 | | | Porr AG (Capital Goods) | | | 393,603 | |
| | 47,174 | | | S IMMO AG (Real Estate)* | | | 463,016 | |
| | | | | | | | |
| | | | | | | 10,737,518 | |
| | |
| | Belgium – 2.6% | |
| | 399,433 | | | Agfa-Gevaert NV (Health Care Equipment & Services)* | | | 1,588,269 | |
| | 19,136 | | | Barco NV (Technology Hardware & Equipment) | | | 1,336,393 | |
| | 32,949 | | | Befimmo SA (REIT) | | | 2,203,722 | |
| | 146,828 | | | Bekaert SA NV (Materials) | | | 6,466,187 | |
| | 285,583 | | | bpost SA (Transportation) | | | 8,064,748 | |
| | 23,152 | | | Cie d’Entreprises CFE (Capital Goods) | | | 2,301,155 | |
| | 66,260 | | | D’ieteren SA NV (Retailing) | | | 2,939,173 | |
| | 48,619 | | | Euronav NV (Energy) | | | 535,496 | |
| | 329,828 | | | Fagron (Health Care Equipment & Services)(a) | | | 2,411,608 | |
| | 13,371 | | | Intervest Offices & Warehouses NV (REIT)* | | | 382,588 | |
| | 99,549 | | | Melexis NV (Semiconductors & Semiconductor Equipment)(a) | | | 5,509,422 | |
| | |
| | Common Stocks – (continued) | |
| | Belgium – (continued) | |
| | 92,819 | | | Tessenderlo Chemie NV (Materials)* | | $ | 3,194,532 | |
| | 40,868 | | | Warehouses De Pauw SCA (REIT) | | | 3,723,083 | |
| | | | | | | | |
| | | | | | | 40,656,376 | |
| | |
| | Bermuda – 0.2% | |
| | 281,067 | | | Hiscox Ltd. (Insurance) | | | 3,704,672 | |
| | |
| | Denmark – 2.2% | |
| | 368,246 | | | Bakkafrost P/F (Food, Beverage & Tobacco) | | | 13,026,578 | |
| | 121,336 | | | NKT Holding A/S (Capital Goods) | | | 6,917,901 | |
| | 50,770 | | | PER Aarsleff A/S (Capital Goods) | | | 1,403,102 | |
| | 213,439 | | | Royal Unibrew A/S (Food, Beverage & Tobacco) | | | 9,643,411 | |
| | 24,541 | | | Schouw & Co. A/S (Food, Beverage & Tobacco) | | | 1,435,474 | |
| | 113,399 | | | Spar Nord Bank A/S (Banks) | | | 925,865 | |
| | | | | | | | |
| | | | | | | 33,352,331 | |
| | |
| | Finland – 0.7% | |
| | 76,364 | | | Cramo OYJ (Capital Goods) | | | 1,530,234 | |
| | 188,106 | | | Ramirent OYJ (Capital Goods) | | | 1,315,731 | |
| | 697,943 | | | Sponda OYJ (Real Estate) | | | 3,039,339 | |
| | 128,140 | | | Tieto OYJ (Software & Services) | | | 3,367,290 | |
| | 284,136 | | | YIT OYJ (Capital Goods)(a) | | | 1,939,829 | |
| | | | | | | | |
| | | | | | | 11,192,423 | |
| | |
| | France – 3.0% | |
| | 15,704 | | | Adocia (Pharmaceuticals, Biotechnology & Life Sciences)* | | | 1,115,758 | |
| | 260,970 | | | Air France-KLM (Transportation)*(a) | | | 2,338,067 | |
| | 24,541 | | | Alten SA (Software & Services) | | | 1,515,269 | |
| | 39,576 | | | Assystem (Commercial & Professional Services) | | | 1,026,872 | |
| | 20,806 | | | Cegid Group SA (Software & Services) | | | 1,472,318 | |
| | 225,599 | | | Coface SA (Insurance) | | | 1,822,301 | |
| | 116,078 | | | Derichebourg SA (Commercial & Professional Services) | | | 370,095 | |
| | 229,397 | | | Elior Group (Commercial & Professional Services)(b) | | | 4,931,129 | |
| | 10,603 | | | Euler Hermes Group (Insurance) | | | 1,007,982 | |
| | 11,796 | | | Guerbet (Health Care Equipment & Services) | | | 774,813 | |
| | 185,346 | | | Havas SA (Media) | | | 1,554,075 | |
| | 158,701 | | | Innate Pharma SA (Pharmaceuticals, Biotechnology & Life Sciences)* | | | 2,296,321 | |
| | 100,996 | | | IPSOS (Media) | | | 3,011,561 | |
| | 164,029 | | | Nexans SA (Capital Goods)* | | | 7,630,897 | |
| | 10,649 | | | Nexity SA (Real Estate) | | | 570,797 | |
| | 146,070 | | | Saft Groupe SA (Capital Goods) | | | 4,537,960 | |
| | 1,121 | | | Sartorius Stedim Biotech (Health Care Equipment & Services) | | | 428,392 | |
| | 41,895 | | | Technicolor SA (Registered) (Media) | | | 287,369 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 35 |
GOLDMAN SACHS INTERNATIONAL SMALL CAP INSIGHTS FUND
Schedule of Investments (continued)
April 30, 2016 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | France – (continued) | |
| | 87,990 | | | UBISOFT Entertainment (Software & Services)* | | $ | 2,553,915 | |
| | 1,240,097 | | | Vallourec SA (Energy)(a) | | | 6,457,849 | |
| | 5,777 | | | Vicat SA (Materials) | | | 402,155 | |
| | | | | | | | |
| | | | | | | 46,105,895 | |
| | |
| | Germany – 6.8% | |
| | 204,893 | | | Aareal Bank AG (Banks) | | | 7,294,216 | |
| | 4,156 | | | Amadeus Fire AG (Commercial & Professional Services) | | | 312,084 | |
| | 288,762 | | | Aurubis AG (Materials) | | | 15,693,106 | |
| | 28,121 | | | Bechtle AG (Software & Services) | | | 2,941,029 | |
| | 37,608 | | | CENTROTEC Sustainable AG (Capital Goods) | | | 622,261 | |
| | 94,624 | | | Deutsche EuroShop AG (Real Estate) | | | 4,414,942 | |
| | 39,202 | | | Deutz AG (Capital Goods) | | | 200,400 | |
| | 85,242 | | | DIC Asset AG (Real Estate) | | | 786,041 | |
| | 1,067,912 | | | Evotec AG (Pharmaceuticals, Biotechnology & Life Sciences)* | | | 4,263,468 | |
| | 8,824 | | | Freenet AG (Telecommunication Services) | | | 270,115 | |
| | 190,324 | | | Gerresheimer AG (Pharmaceuticals, Biotechnology & Life Sciences) | | | 14,194,663 | |
| | 23,168 | | | Homag Group AG (Capital Goods) | | | 954,761 | |
| | 55,397 | | | Indus Holding AG (Capital Goods) | | | 2,826,932 | |
| | 189,627 | | | Jenoptik AG (Technology Hardware & Equipment) | | | 2,966,465 | |
| | 183,122 | | | Kloeckner & Co. SE (Capital Goods)(a) | | | 2,137,648 | |
| | 12,015 | | | MorphoSys AG (Pharmaceuticals, Biotechnology & Life Sciences)* | | | 602,897 | |
| | 89,539 | | | Nemetschek SE (Software & Services) | | | 5,010,509 | |
| | 91,957 | | | Pfeiffer Vacuum Technology AG (Capital Goods) | | | 9,904,680 | |
| | 41,098 | | | Rheinmetall AG (Capital Goods) | | | 3,219,914 | |
| | 377,676 | | | Software AG (Software & Services) | | | 14,458,366 | |
| | 8,080 | | | STRATEC Biomedical AG (Health Care Equipment & Services) | | | 462,970 | |
| | 30,306 | | | Stroeer SE & Co KGaA (Media)(a) | | | 1,495,030 | |
| | 636,777 | | | TAG Immobilien AG (Real Estate) | | | 8,466,857 | |
| | 50,780 | | | Takkt AG (Retailing) | | | 1,061,158 | |
| | | | | | | | |
| | | | | | | 104,560,512 | |
| | |
| | Hong Kong – 1.4% | |
| | 1,862,000 | | | Champion REIT (REIT) | | | 996,669 | |
| | 406,400 | | | Dah Sing Financial Holdings Ltd. (Banks) | | | 2,777,248 | |
| | 1,165,000 | | | Emperor Entertainment Hotel Ltd. (Consumer Services) | | | 360,724 | |
| | 1,418,000 | | | Emperor International Holdings Ltd. (Real Estate) | | | 284,572 | |
| | 1,552,000 | | | Giordano International Ltd. (Retailing) | | | 701,145 | |
| | |
| | Common Stocks – (continued) | |
| | Hong Kong – (continued) | |
| | 55,000 | | | Great Eagle Holdings Ltd. (Real Estate) | | $ | 222,789 | |
| | 22,899,000 | | | G-Resources Group Ltd. (Materials) | | | 526,085 | |
| | 1,460,000 | | | Guotai Junan International Holdings Ltd. (Diversified Financials) | | | 486,114 | |
| | 5,472,000 | | | Haitong International Securities Group Ltd. (Diversified Financials) | | | 3,149,323 | |
| | 3,127,000 | | | Hutchison Telecommunications Hong Kong Holdings Ltd. (Telecommunication Services) | | | 1,093,883 | |
| | 236,000 | | | NewOcean Energy Holdings Ltd. (Energy) | | | 80,318 | |
| | 1,453,000 | | | Samson Holding Ltd. (Consumer Durables & Apparel) | | | 166,528 | |
| | 5,570,000 | | | Shun Tak Holdings Ltd. (Capital Goods) | | | 1,852,767 | |
| | 1,662,208 | | | SmarTone Telecommunications Holdings Ltd. (Telecommunication Services) | | | 2,747,808 | |
| | 607,000 | | | Sunlight Real Estate Investment Trust (REIT) | | | 319,554 | |
| | 3,214,000 | | | Texwinca Holdings Ltd. (Consumer Durables & Apparel) | | | 3,125,488 | |
| | 4,824,000 | | | Truly International Holdings Ltd. (Technology Hardware & Equipment) | | | 1,883,361 | |
| | | | | | | | |
| | | | | | | 20,774,376 | |
| | |
| | Ireland – 0.8% | |
| | 109,521 | | | DCC PLC (Capital Goods) | | | 9,713,977 | |
| | 76,774 | | | Grafton Group PLC (Capital Goods) | | | 776,306 | |
| | 320,500 | | | Hibernia REIT PLC (REIT) | | | 473,048 | |
| | 129,410 | | | Irish Continental Group PLC (Transportation) | | | 763,132 | |
| | | | | | | | |
| | | | | | | 11,726,463 | |
| | |
| | Israel – 0.4% | |
| | 90,514 | | | Amot Investments Ltd. (Real Estate) | | | 328,514 | |
| | 175,101 | | | Delek Automotive Systems Ltd. (Retailing) | | | 1,626,612 | |
| | 15,218 | | | IDI Insurance Co. Ltd. (Insurance) | | | 794,334 | |
| | 323,001 | | | Plus500 Ltd. (Diversified Financials) | | | 2,789,672 | |
| | 285,468 | | | Shufersal Ltd. (Food & Staples Retailing) | | | 968,094 | |
| | | | | | | | |
| | | | | | | 6,507,226 | |
| | |
| | Italy – 6.1% | |
| | 143,928 | | | ACEA SpA (Utilities) | | | 2,116,093 | |
| | 121,188 | | | Ascopiave SpA (Utilities) | | | 331,374 | |
| | 245,267 | | | Astaldi SpA (Capital Goods)(a) | | | 1,204,022 | |
| | 134,855 | | | ASTM SpA (Transportation) | | | 1,774,578 | |
| | |
| | |
| 36 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL SMALL CAP INSIGHTS FUND
| | | | | | | | |
Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Italy – (continued) | |
| | 102,146 | | | Banca IFIS SpA (Diversified Financials) | | $ | 2,928,037 | |
| | 8,792,382 | | | Banca Popolare di Milano Scarl (Banks) | | | 6,691,246 | |
| | 2,324,754 | | | Beni Stabili SpA SIIQ (REIT) | | | 1,726,028 | |
| | 169,845 | | | Biesse SpA (Capital Goods) | | | 2,587,379 | |
| | 205,264 | | | Buzzi Unicem SpA (Materials) | | | 3,898,897 | |
| | 165,612 | | | De’ Longhi SpA (Consumer Durables & Apparel)(a) | | | 3,823,299 | |
| | 124,906 | | | DiaSorin SpA (Health Care Equipment & Services) | | | 7,301,556 | |
| | 17,854 | | | Engineering SpA (Software & Services) | | | 1,351,196 | |
| | 92,000 | | | ERG SpA (Energy) | | | 1,199,411 | |
| | 3,076,040 | | | Hera SpA (Utilities) | | | 9,265,118 | |
| | 3,178,855 | | | Immobiliare Grande Distribuzione SIIQ SpA (REIT) | | | 2,894,039 | |
| | 81,314 | | | Interpump Group SpA (Capital Goods) | | | 1,173,454 | |
| | 3,229,280 | | | Iren SpA (Utilities) | | | 5,979,718 | |
| | 243,625 | | | La Doria SpA (Food, Beverage & Tobacco) | | | 3,549,985 | |
| | 228,709 | | | Maire Tecnimont SpA (Capital Goods)* | | | 696,243 | |
| | 3,136,681 | | | Mediaset SpA (Media) | | | 14,170,464 | |
| | 295,866 | | | Recordati SpA (Pharmaceuticals, Biotechnology & Life Sciences) | | | 7,528,587 | |
| | 10,158 | | | Reply SpA (Software & Services) | | | 1,445,785 | |
| | 203,302 | | | Salini Impregilo SpA (Capital Goods) | | | 891,668 | |
| | 3,812,761 | | | Saras SpA (Energy)*(a) | | | 6,659,699 | |
| | 263,053 | | | Societa Iniziative Autostradali e Servizi SpA (Transportation) | | | 2,751,331 | |
| | | | | | | | |
| | | | | | | 93,939,207 | |
| | |
| | Japan – 32.4% | |
| | 301,800 | | | Accordia Golf Co. Ltd. (Consumer Services) | | | 2,864,895 | |
| | 120,450 | | | Achilles Corp. (Materials) | | | 153,880 | |
| | 462,200 | | | Aderans Co. Ltd. (Household & Personal Products) | | | 2,323,822 | |
| | 5,672 | | | Advance Residence Investment Corp. (REIT) | | | 15,276,850 | |
| | 213,110 | | | AOKI Holdings, Inc. (Retailing) | | | 2,472,822 | |
| | 93,600 | | | Aoyama Trading Co. Ltd. (Retailing) | | | 3,489,837 | |
| | 144,600 | | | Arcs Co. Ltd. (Food & Staples Retailing) | | | 3,394,699 | |
| | 56,900 | | | Artnature, Inc. (Household & Personal Products) | | | 471,779 | |
| | 359,000 | | | Asatsu-DK, Inc. (Media) | | | 8,914,372 | |
| | 18,900 | | | BML, Inc. (Health Care Equipment & Services) | | | 805,547 | |
| | 9,600 | | | C. Uyemura & Co. Ltd. (Materials) | | | 408,745 | |
| | 84,400 | | | Canon Electronics, Inc. (Technology Hardware & Equipment) | | | 1,219,051 | |
| | |
| | Common Stocks – (continued) | |
| | Japan – (continued) | |
| | 379,200 | | | Canon Marketing Japan, Inc. (Retailing) | | $ | 6,796,128 | |
| | 88,500 | | | Cawachi Ltd. (Food & Staples Retailing) | | | 2,072,821 | |
| | 60,700 | | | Century Tokyo Leasing Corp. (Diversified Financials) | | | 2,063,983 | |
| | 41,500 | | | Chiyoda Integre Co. Ltd. (Capital Goods) | | | 829,758 | |
| | 172,000 | | | Chugoku Marine Paints Ltd. (Materials) | | | 1,218,488 | |
| | 36,200 | | | Cocokara fine, Inc. (Food & Staples Retailing) | | | 1,612,568 | |
| | 1,129,000 | | | Daikyo, Inc. (Real Estate) | | | 1,807,961 | |
| | 19,400 | | | Daiseki Co. Ltd. (Commercial & Professional Services) | | | 359,715 | |
| | 1,283 | | | Daiwa House Residential Investment Corp. (REIT) | | | 3,148,954 | |
| | 31,000 | | | Daiwa Industries Ltd. (Capital Goods) | | | 265,730 | |
| | 1,151,500 | | | DCM Holdings Co. Ltd. (Retailing) | | | 8,705,415 | |
| | 120,400 | | | DeNA Co. Ltd. (Software & Services) | | | 2,026,273 | |
| | 686,000 | | | Denka Co. Ltd. (Materials) | | | 2,887,759 | |
| | 38,300 | | | Doshisha Co. Ltd. (Retailing) | | | 719,108 | |
| | 243,100 | | | Doutor Nichires Holdings Co. Ltd. (Consumer Services) | | | 4,267,928 | |
| | 159,300 | | | DTS Corp. (Software & Services) | | | 3,152,842 | |
| | 235,590 | | | Duskin Co. Ltd. (Commercial & Professional Services) | | | 4,286,538 | |
| | 28,500 | | | Dydo Drinco, Inc. (Food, Beverage & Tobacco) | | | 1,439,368 | |
| | 735,200 | | | EDION Corp. (Retailing)(a) | | | 5,948,664 | |
| | 51,300 | | | Fields Corp. (Consumer Durables & Apparel) | | | 763,749 | |
| | 87,700 | | | Foster Electric Co. Ltd. (Consumer Durables & Apparel) | | | 1,824,830 | |
| | 383,400 | | | Fuji Machine Manufacturing Co. Ltd. (Capital Goods) | | | 3,937,291 | |
| | 19,700 | | | Fuji Oil Holdings, Inc. (Food, Beverage & Tobacco) | | | 366,456 | |
| | 71,400 | | | Fuji Soft, Inc. (Software & Services) | | | 1,619,391 | |
| | 669,000 | | | Fujibo Holdings, Inc. (Consumer Durables & Apparel) | | | 1,300,573 | |
| | 76,310 | | | Fujicco Co. Ltd. (Food, Beverage & Tobacco) | | | 1,625,431 | |
| | 61,000 | | | Fujikura Ltd. (Capital Goods) | | | 295,683 | |
| | 20,400 | | | Fujimi, Inc. (Materials) | | | 270,362 | |
| | 50,500 | | | Fuyo General Lease Co. Ltd. (Diversified Financials) | | | 2,120,643 | |
| | 96,600 | | | Geo Holdings Corp. (Retailing) | | | 1,595,338 | |
| | 1,275 | | | Global One Real Estate Investment Corp. (REIT) | | | 5,295,523 | |
| | 386,000 | | | Godo Steel Ltd. (Materials) | | | 701,883 | |
| | 1,381,200 | | | Gree, Inc. (Software & Services) | | | 7,740,708 | |
| | 140,400 | | | Happinet Corp. (Retailing) | | | 1,172,335 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 37 |
GOLDMAN SACHS INTERNATIONAL SMALL CAP INSIGHTS FUND
Schedule of Investments (continued)
April 30, 2016 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Japan – (continued) | |
| | 60,300 | | | Hazama Ando Corp. (Capital Goods) | | $ | 294,146 | |
| | 536,700 | | | Heiwa Corp. (Consumer Durables & Apparel) | | | 11,273,767 | |
| | 142,800 | | | Heiwa Real Estate Co. Ltd. (Real Estate) | | | 1,770,137 | |
| | 1,619 | | | Heiwa Real Estate REIT, Inc. (REIT) | | | 1,358,435 | |
| | 64,900 | | | Hitachi Capital Corp. (Diversified Financials) | | | 1,386,112 | |
| | 26,100 | | | Hitachi Maxell Ltd. (Technology Hardware & Equipment) | | | 392,382 | |
| | 110,500 | | | IBJ Leasing Co. Ltd. (Diversified Financials) | | | 1,902,412 | |
| | 1,329 | | | Ichigo Office REIT Investment (REIT) | | | 1,029,141 | |
| | 102,800 | | | Ines Corp. (Software & Services) | | | 1,073,611 | |
| | 337 | | | Invesco Office J-Reit, Inc. (REIT) | | | 309,061 | |
| | 447,200 | | | IT Holdings Corp. (Software & Services) | | | 10,568,086 | |
| | 275,200 | | | Jafco Co. Ltd. (Diversified Financials) | | | 7,613,510 | |
| | 55,200 | | | Japan Digital Laboratory Co. Ltd. (Technology Hardware & Equipment) | | | 746,702 | |
| | 441,300 | | | Japan Display, Inc. (Technology Hardware & Equipment) | | | 844,733 | |
| | 712 | | | Japan Logistics Fund, Inc. (REIT) | | | 1,580,739 | |
| | 206,400 | | | Japan Securities Finance Co. Ltd. (Diversified Financials) | | | 804,200 | |
| | 245,000 | | | J-Oil Mills, Inc. (Food, Beverage & Tobacco) | | | 789,687 | |
| | 71,400 | | | Kaken Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 3,900,806 | |
| | 1,279 | | | Kenedix Retail REIT Corp. (REIT)* | | | 3,372,948 | |
| | 111,600 | | | Kenedix, Inc. (Real Estate) | | | 476,978 | |
| | 214,100 | | | Kissei Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 4,924,673 | |
| | 633,500 | | | Kitz Corp. (Capital Goods) | | | 2,567,877 | |
| | 59,760 | | | Koei Tecmo Holdings Co. Ltd. (Software & Services) | | | 930,074 | |
| | 202,100 | | | Kohnan Shoji Co. Ltd. (Retailing)(a) | | | 3,447,109 | |
| | 413,700 | | | Kokuyo Co. Ltd. (Commercial & Professional Services) | | | 5,420,051 | |
| | 170,800 | | | Komeri Co. Ltd. (Retailing) | | | 4,283,091 | |
| | 154,000 | | | Komori Corp. (Capital Goods) | | | 1,810,775 | |
| | 268,000 | | | Kurabo Industries Ltd. (Consumer Durables & Apparel) | | | 470,803 | |
| | 1,168,000 | | | KYB Corp. (Automobiles & Components) | | | 3,903,395 | |
| | 186,300 | | | Kyokuto Securities Co. Ltd. (Diversified Financials)(a) | | | 2,157,682 | |
| | |
| | Common Stocks – (continued) | |
| | Japan – (continued) | |
| | 138,100 | | | KYORIN Holdings, Inc. (Pharmaceuticals, Biotechnology & Life Sciences) | | $ | 2,724,890 | |
| | 165,900 | | | Kyowa Exeo Corp. (Capital Goods) | | | 1,875,461 | |
| | 21,800 | | | Lintec Corp. (Materials) | | | 417,904 | |
| | 65,550 | | | Macnica Fuji Electronics Holdings, Inc. (Technology Hardware & Equipment) | | | 725,878 | |
| | 332,000 | | | Maeda Road Construction Co. Ltd. (Capital Goods) | | | 6,048,482 | |
| | 2,069,000 | | | Makino Milling Machine Co. Ltd. (Capital Goods) | | | 12,430,423 | |
| | 36,300 | | | Mandom Corp. (Household & Personal Products) | | | 1,642,946 | |
| | 59,100 | | | Maruwa Co. Ltd. (Technology Hardware & Equipment) | | | 1,678,237 | |
| | 1,168,300 | | | Marvelous, Inc. (Software & Services)(a) | | | 9,493,984 | |
| | 183,100 | | | Matsumotokiyoshi Holdings Co. Ltd. (Food & Staples Retailing) | | | 8,962,171 | |
| | 176,500 | | | Meiko Network Japan Co. Ltd. (Consumer Services) | | | 1,946,629 | |
| | 90,600 | | | Melco Holdings, Inc. (Technology Hardware & Equipment) | | | 1,797,441 | |
| | 64,900 | | | Mimasu Semiconductor Industry Co. Ltd. (Semiconductors & Semiconductor Equipment) | | | 622,865 | |
| | 284,300 | | | Mirait Holdings Corp. (Capital Goods) | | | 2,491,976 | |
| | 155,000 | | | Mitsui Sugar Co. Ltd. (Food, Beverage & Tobacco) | | | 699,110 | |
| | 43,300 | | | Mochida Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 3,220,140 | |
| | 5,656 | | | Mori Trust Sogo REIT, Inc. (REIT) | | | 11,107,148 | |
| | 88,700 | | | Namura Shipbuilding Co. Ltd. (Capital Goods) | | | 657,612 | |
| | 125,600 | | | NEC Networks & System Integration Corp. (Software & Services) | | | 1,947,893 | |
| | 816,300 | | | NET One Systems Co. Ltd. (Software & Services) | | | 4,238,596 | |
| | 11,800 | | | Nichiha Corp. (Capital Goods) | | | 179,870 | |
| | 15,300 | | | Nihon M&A Center, Inc. (Diversified Financials) | | | 881,127 | |
| | 415,000 | | | Nippon Flour Mills Co. Ltd. (Food, Beverage & Tobacco) | | | 3,203,858 | |
| | 56,500 | | | Nippon Shokubai Co. Ltd. (Materials) | | | 2,926,468 | |
| | 260,000 | | | Nippon Thompson Co. Ltd. (Capital Goods) | | | 938,238 | |
| | 627,800 | | | Nipro Corp. (Health Care Equipment & Services) | | | 6,115,685 | |
| | 1,164,000 | | | Nishimatsu Construction Co. Ltd. (Capital Goods) | | | 5,083,041 | |
| | |
| | |
| 38 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL SMALL CAP INSIGHTS FUND
| | | | | | | | |
Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Japan – (continued) | |
| | 107,000 | | | Nittetsu Mining Co. Ltd. (Materials) | | $ | 395,662 | |
| | 119,600 | | | Nitto Kogyo Corp. (Capital Goods) | | | 1,893,604 | |
| | 455,900 | | | North Pacific Bank Ltd. (Banks) | | | 1,155,796 | |
| | 189,900 | | | NSD Co. Ltd. (Software & Services) | | | 2,977,989 | |
| | 1,129,000 | | | NTN Corp. (Capital Goods) | | | 3,498,423 | |
| | 289,000 | | | Okamura Corp. (Commercial & Professional Services) | | | 2,672,253 | |
| | 183,000 | | | Okasan Securities Group, Inc. (Diversified Financials) | | | 965,672 | |
| | 1,943,000 | | | OKUMA Corp. (Capital Goods) | | | 15,158,612 | |
| | 232,900 | | | Paltac Corp. (Retailing) | | | 4,133,690 | |
| | 51,300 | | | Paramount Bed Holdings Co. Ltd. (Health Care Equipment & Services) | | | 1,908,301 | |
| | 122,400 | | | Plenus Co. Ltd. (Consumer Services) | | | 2,245,072 | |
| | 51,000 | | | Riso Kagaku Corp. (Technology Hardware & Equipment) | | | 795,584 | |
| | 1,289,400 | | | Round One Corp. (Consumer Services) | | | 7,567,598 | |
| | 95,000 | | | Ryobi Ltd. (Capital Goods) | | | 344,626 | |
| | 110,000 | | | Sakai Chemical Industry Co. Ltd. (Materials) | | | 302,701 | |
| | 1,163,000 | | | Sanyo Shokai Ltd. (Consumer Durables & Apparel) | | | 2,785,238 | |
| | 79,000 | | | Sanyo Special Steel Co. Ltd. (Materials) | | | 359,538 | |
| | 1,273,600 | | | Seino Holdings Co. Ltd. (Transportation) | | | 12,944,125 | |
| | 322,100 | | | Shimachu Co. Ltd. (Retailing) | | | 7,496,512 | |
| | 393,000 | | | Shindengen Electric Manufacturing Co. Ltd. (Semiconductors & Semiconductor Equipment) | | | 1,418,097 | |
| | 680,400 | | | Shinko Electric Industries Co. Ltd. (Semiconductors & Semiconductor Equipment) | | | 3,779,179 | |
| | 526,000 | | | Shinmaywa Industries Ltd. (Capital Goods) | | | 3,604,724 | |
| | 52,650 | | | Showa Sangyo Co. Ltd. (Food, Beverage & Tobacco) | | | 234,662 | |
| | 32,800 | | | Sintokogio Ltd. (Capital Goods) | | | 277,331 | |
| | 771,900 | | | SKY Perfect JSAT Holdings, Inc. (Media) | | | 4,109,076 | |
| | 124,200 | | | Sodick Co. Ltd. (Capital Goods) | | | 962,024 | |
| | 161,350 | | | St. Marc Holdings Co. Ltd. (Consumer Services) | | | 4,364,782 | |
| | 13,600 | | | Sumitomo Real Estate Sales Co. Ltd. (Real Estate) | | | 272,721 | |
| | 107,600 | | | Sumitomo Riko Co. Ltd. (Automobiles & Components) | | | 923,217 | |
| | 660,100 | | | Tadano Ltd. (Capital Goods) | | | 6,299,005 | |
| | 117,700 | | | Tamron Co. Ltd. (Consumer Durables & Apparel) | | | 1,902,629 | |
| | 145,035 | | | Tatsuta Electric Wire and Cable Co. Ltd. (Capital Goods) | | | 455,318 | |
| | 7,500 | | | Tenma Corp. (Materials) | | | 111,649 | |
| | |
| | Common Stocks – (continued) | |
| | Japan – (continued) | |
| | 156,900 | | | The Nippon Signal Co. Ltd. (Technology Hardware & Equipment) | | $ | 1,306,107 | |
| | 344,000 | | | The Nippon Synthetic Chemical Industry Co. Ltd. (Materials) | | | 2,075,819 | |
| | 2,798,000 | | | The Nishi-Nippon City Bank Ltd. (Banks) | | | 5,048,302 | |
| | 725,000 | | | The Nisshin Oillio Group Ltd. (Food, Beverage & Tobacco) | | | 3,081,277 | |
| | 51,750 | | | The Okinawa Electric Power Co., Inc. (Utilities) | | | 1,322,450 | |
| | 321,600 | | | Toagosei Co. Ltd. (Materials) | | | 2,900,344 | |
| | 15,100 | | | Tocalo Co. Ltd. (Capital Goods) | | | 271,625 | |
| | 295,900 | | | Toho Holdings Co. Ltd. (Health Care Equipment & Services) | | | 6,845,658 | |
| | 75,300 | | | Tokai Tokyo Financial Holdings, Inc. (Diversified Financials) | | | 390,266 | |
| | 115,400 | | | Tokyo Seimitsu Co. Ltd. (Semiconductors & Semiconductor Equipment) | | | 2,393,147 | |
| | 838,800 | | | Tokyotokeiba Co. Ltd. (Consumer Services) | | | 1,685,157 | |
| | 5,687 | | | Tokyu REIT, Inc. (REIT) | | | 8,198,317 | |
| | 1,230 | | | Top REIT, Inc. (REIT) | | | 4,651,196 | |
| | 298,400 | | | Toppan Forms Co. Ltd. (Commercial & Professional Services) | | | 3,282,029 | |
| | 204,800 | | | Tosei Corp. (Real Estate) | | | 1,434,043 | |
| | 2,524,000 | | | Tosoh Corp. (Materials) | | | 11,536,630 | |
| | 219,350 | | | Toyo Securities Co. Ltd. (Diversified Financials) | | | 507,831 | |
| | 590,000 | | | Tsubakimoto Chain Co. (Capital Goods) | | | 3,847,766 | |
| | 297,700 | | | Tsumura & Co. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 7,660,664 | |
| | 43,600 | | | TV Asahi Holdings Corp. (Media) | | | 724,060 | |
| | 1,440,000 | | | Ube Industries Ltd. (Materials) | | | 2,734,976 | |
| | 1,267,300 | | | UNY Group Holdings Co. Ltd. (Food & Staples Retailing) | | | 9,248,404 | |
| | 86,600 | | | Wacom Co. Ltd. (Technology Hardware & Equipment)(a) | | | 360,001 | |
| | 122,400 | | | Wakita & Co. Ltd. (Capital Goods) | | | 849,300 | |
| | 43,200 | | | Warabeya Nichiyo Co. Ltd. (Food, Beverage & Tobacco) | | | 807,868 | |
| | 132,000 | | | Xebio Holdings Co. Ltd. (Retailing) | | | 2,105,480 | |
| | 414,600 | | | Yamato Kogyo Co. Ltd. (Materials) | | | 9,732,535 | |
| | 41,600 | | | Yodogawa Steel Works Ltd. (Materials) | | | 939,200 | |
| | 90,100 | | | Yorozu Corp. (Automobiles & Components) | | | 1,802,895 | |
| | | | | | | | |
| | | | | | | 497,556,449 | |
| | |
| | Jersey – 0.3% | |
| | 2,807,764 | | | Petra Diamonds Ltd. (Materials) | | | 4,841,026 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 39 |
GOLDMAN SACHS INTERNATIONAL SMALL CAP INSIGHTS FUND
Schedule of Investments (continued)
April 30, 2016 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Luxembourg – 1.8% | |
| | 369,446 | | | Aperam SA (Materials)(a) | | $ | 14,544,142 | |
| | 14,834 | | | Eurofins Scientific SE (Pharmaceuticals, Biotechnology & Life Sciences) | | | 5,503,797 | |
| | 1,676,006 | | | Regus PLC (Commercial & Professional Services) | | | 7,171,144 | |
| | | | | | | | |
| | | | | | | 27,219,083 | |
| | |
| | Netherlands – 2.5% | |
| | 8,600 | | | Accell Group (Consumer Durables & Apparel) | | | 182,259 | |
| | 30,584 | | | Arcadis NV (Capital Goods) | | | 524,236 | |
| | 280,932 | | | ASM International NV (Semiconductors & Semiconductor Equipment)(a) | | | 11,475,432 | |
| | 470,909 | | | BE Semiconductor Industries NV (Semiconductors & Semiconductor Equipment) | | | 14,185,371 | |
| | 204,091 | | | Corbion NV (Materials) | | | 5,213,085 | |
| | 3,384 | | | Eurocommercial Properties NV CVA (Real Estate) | | | 158,042 | |
| | 8,710 | | | Euronext NV (Diversified Financials)(b) | | | 368,188 | |
| | 208,848 | | | NSI NV (REIT) | | | 992,604 | |
| | 349,050 | | | SNS REAAL NV (Diversified Financials)*(a) | | | — | |
| | 27,020 | | | TKH Group NV CVA (Capital Goods) | | | 1,068,266 | |
| | 72,479 | | | Vastned Retail NV (REIT) | | | 3,192,376 | |
| | 95,248 | | | Wessanen (Food, Beverage & Tobacco) | | | 983,646 | |
| | | | | | | | |
| | | | | | | 38,343,505 | |
| | |
| | New Zealand – 0.4% | |
| | 2,632,558 | | | Air New Zealand Ltd. (Transportation) | | | 4,517,075 | |
| | 576,986 | | | Nuplex Industries Ltd. (Materials) | | | 2,119,928 | |
| | | | | | | | |
| | | | | | | 6,637,003 | |
| | |
| | Norway – 1.3% | |
| | 112,313 | | | Atea ASA (Software & Services) | | | 1,053,732 | |
| | 288,528 | | | Austevoll Seafood ASA (Food, Beverage & Tobacco) | | | 2,427,404 | |
| | 224,650 | | | Borregaard ASA (Materials) | | | 1,681,433 | |
| | 114,273 | | | Leroy Seafood Group ASA (Food, Beverage & Tobacco) | | | 5,577,089 | |
| | 325,016 | | | Salmar ASA (Food, Beverage & Tobacco) | | | 8,075,611 | |
| | 187,320 | | | SpareBank 1 SMN (Banks) | | | 1,151,799 | |
| | | | | | | | |
| | | | | | | 19,967,068 | |
| | |
| | Portugal – 0.4% | |
| | 815,928 | | | Altri SGPS SA (Materials) | | | 3,178,584 | |
| | 958,770 | | | REN – Redes Energeticas Nacionais SGPS SA (Utilities) | | | 2,875,413 | |
| | | | | | | | |
| | | | | | | 6,053,997 | |
| | |
| | Common Stocks – (continued) | |
| | Singapore – 0.8% | |
| | 410,600 | | | Asian Pay Television Trust (Media) | | $ | 182,897 | |
| | 785,000 | | | Indofood Agri Resources Ltd. (Food, Beverage & Tobacco) | | | 311,598 | |
| | 1,155,000 | | | United Engineers Ltd. (Capital Goods)* | | | 2,003,844 | |
| | 1,035,000 | | | Venture Corp. Ltd. (Technology Hardware & Equipment) | | | 6,436,265 | |
| | 382,700 | | | Wing Tai Holdings Ltd. (Real Estate) | | | 532,702 | |
| | 2,462,310 | | | Yanlord Land Group Ltd. (Real Estate) | | | 2,212,525 | |
| | | | | | | | |
| | | | | | | 11,679,831 | |
| | |
| | Spain – 2.5% | |
| | 207,013 | | | Almirall SA (Pharmaceuticals, Biotechnology & Life Sciences) | | | 3,407,866 | |
| | 517,199 | | | Ebro Foods SA (Food, Beverage & Tobacco) | | | 11,735,303 | |
| | 646,393 | | | Ence Energia y Celulosa SA (Materials) | | | 1,870,375 | |
| | 301,824 | | | Faes Farma SA (Pharmaceuticals, Biotechnology & Life Sciences) | | | 951,152 | |
| | 149,293 | | | Gamesa Corp. Tecnologica SA (Capital Goods) | | | 2,948,233 | |
| | 173,753 | | | Lar Espana Real Estate Socimi SA (REIT)* | | | 1,787,022 | |
| | 30,191 | | | Let’s GOWEX SA (Telecommunication Services)*(a) | | | — | |
| | 8,645 | | | Miquel y Costas & Miquel SA (Materials) | | | 353,644 | |
| | 88,715 | | | Papeles y Cartones de Europa SA (Materials) | | | 550,322 | |
| | 1,051,487 | | | Prosegur Cia de Seguridad SA (Commercial & Professional Services) | | | 6,091,057 | |
| | 147,717 | | | Viscofan SA (Food, Beverage & Tobacco) | | | 8,298,457 | |
| | | | | | | | |
| | | | | | | 37,993,431 | |
| | |
| | Sweden – 5.2% | |
| | 330,482 | | | Betsson AB (Consumer Services)* | | | 4,473,319 | |
| | 417,322 | | | Byggmax Group AB (Retailing) | | | 3,381,352 | |
| | 683,406 | | | Castellum AB (Real Estate)(a) | | | 10,947,167 | |
| | 84,601 | | | Dios Fastigheter AB (Real Estate)(a) | | | 619,122 | |
| | 10,612 | | | Duni AB (Consumer Durables & Apparel) | | | 154,532 | |
| | 252,776 | | | Fabege AB (Real Estate) | | | 4,221,197 | |
| | 410,288 | | | Fastighets AB Balder Class B (Real Estate)* | | | 10,465,256 | |
| | 378,422 | | | Granges AB (Materials) | | | 2,794,071 | |
| | 60,019 | | | Haldex AB (Capital Goods)* | | | 508,776 | |
| | 483,257 | | | Hemfosa Fastigheter AB (Real Estate)(a) | | | 5,041,326 | |
| | 252,576 | | | Intrum Justitia AB (Commercial & Professional Services) | | | 9,079,201 | |
| | 289,603 | | | Inwido AB (Capital Goods) | | | 3,648,523 | |
| | |
| | |
| 40 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL SMALL CAP INSIGHTS FUND
| | | | | | | | |
Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Sweden – (continued) | |
| | 381,372 | | | Klovern AB Class B (Real Estate)(a) | | $ | 448,194 | |
| | 408,114 | | | Kungsleden AB (Real Estate)(a) | | | 2,809,294 | |
| | 180,671 | | | Loomis AB Class B (Commercial & Professional Services)(a) | | | 5,018,534 | |
| | 155,590 | | | Mycronic AB (Technology Hardware & Equipment)(a) | | | 1,216,776 | |
| | 23,182 | | | NetEnt AB (Software & Services)* | | | 1,459,860 | |
| | 128,333 | | | Nobia AB (Consumer Durables & Apparel) | | | 1,465,545 | |
| | 85,789 | | | Nolato AB Class B (Capital Goods)(a) | | | 2,318,905 | |
| | 33,113 | | | Peab AB (Capital Goods) | | | 276,721 | |
| | 8,413 | | | SkiStar AB (Consumer Services) | | | 116,812 | |
| | 362,830 | | | SSAB AB Class A (Materials)*(a) | | | 1,528,718 | |
| | 559,187 | | | SSAB AB Class B (Materials)*(a) | | | 1,940,971 | |
| | 262,558 | | | Wihlborgs Fastigheter AB (Real Estate)(a) | | | 5,334,677 | |
| | | | | | | | |
| | | | | | | 79,268,849 | |
| | |
| | Switzerland – 4.7% | |
| | 64,018 | | | Ascom Holding AG (Registered) (Technology Hardware & Equipment) | | | 1,049,064 | |
| | 4,455 | | | Autoneum Holding AG (Automobiles & Components) | | | 1,063,995 | |
| | 11,795 | | | Bobst Group SA (Registered) (Capital Goods) | | | 644,280 | |
| | 2,352 | | | Burckhardt Compression Holding AG (Capital Goods) | | | 838,350 | |
| | 12,348 | | | Daetwyler Holding AG (Capital Goods) | | | 1,836,953 | |
| | 14,192 | | | dorma+kaba Holding AG (Registered) Class B (Commercial & Professional Services) | | | 9,215,982 | |
| | 3,368 | | | Emmi AG (Registered) (Food, Beverage & Tobacco)* | | | 2,019,060 | |
| | 6,824 | | | Forbo Holding AG (Registered) (Consumer Durables & Apparel)* | | | 8,314,739 | |
| | 22,367 | | | Georg Fischer AG (Registered) (Capital Goods) | | | 18,184,891 | |
| | 20,836 | | | Kardex AG (Registered) (Capital Goods)* | | | 1,681,694 | |
| | 2,752 | | | Komax Holding AG (Registered) (Capital Goods)* | | | 608,574 | |
| | 25,170 | | | Mobimo Holding AG (Registered) (Real Estate)* | | | 5,767,298 | |
| | 233,471 | | | Oriflame Holding AG (Household & Personal Products)*(a) | | | 4,701,064 | |
| | 16,255 | | | Rieter Holding AG (Registered) (Capital Goods)* | | | 3,369,528 | |
| | 2,001 | | | Schweiter Technologies AG (Capital Goods) | | | 1,892,684 | |
| | 3,970 | | | Siegfried Holding AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences)* | | | 744,918 | |
| | |
| | Common Stocks – (continued) | |
| | Switzerland – (continued) | |
| | 38,887 | | | Tecan AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | | $ | 5,405,286 | |
| | 23,030 | | | Valiant Holding AG (Registered) (Banks) | | | 2,555,513 | |
| | 39,345 | | | Zehnder Group AG (Capital Goods)* | | | 1,664,600 | |
| | | | | | | | |
| | | | | | | 71,558,473 | |
| | |
| | United Kingdom – 14.0% | |
| | 145,681 | | | Abcam PLC (Pharmaceuticals, Biotechnology & Life Sciences) | | | 1,260,244 | |
| | 1,688,352 | | | Amec Foster Wheeler PLC (Energy) | | | 12,234,238 | |
| | 63,239 | | | Ashmore Group PLC (Diversified Financials)(a) | | | 284,200 | |
| | 1,245,884 | | | Beazley PLC (Insurance)* | | | 5,938,261 | |
| | 47,724 | | | Bellway PLC (Consumer Durables & Apparel) | | | 1,708,865 | |
| | 302,586 | | | Berendsen PLC (Commercial & Professional Services) | | | 5,227,984 | |
| | 191,048 | | | Bodycote PLC (Capital Goods) | | | 1,667,787 | |
| | 4,861,641 | | | Booker Group PLC (Food & Staples Retailing) | | | 11,528,553 | |
| | 409,560 | | | Britvic PLC (Food, Beverage & Tobacco) | | | 4,219,424 | |
| | 132,311 | | | Carillion PLC (Capital Goods) | | | 569,487 | |
| | 326,625 | | | Dart Group PLC (Transportation) | | | 2,980,414 | |
| | 1,494,248 | | | Debenhams PLC (Retailing) | | | 1,716,070 | |
| | 64,315 | | | Derwent London PLC (REIT) | | | 3,091,119 | |
| | 44,743 | | | Dialog Semiconductor PLC (Semiconductors & Semiconductor Equipment)* | | | 1,560,477 | |
| | 38,667 | | | Domino’s Pizza Group PLC (Consumer Services) | | | 519,864 | |
| | 136,055 | | | esure Group PLC (Insurance) | | | 533,571 | |
| | 168,115 | | | Foxtons Group PLC (Real Estate) | | | 354,952 | |
| | 311,019 | | | Galliford Try PLC (Capital Goods) | | | 5,814,141 | |
| | 1,755,112 | | | Globo PLC (Software & Services)*(a) | | | — | |
| | 806,923 | | | Great Portland Estates PLC (REIT) | | | 8,947,336 | |
| | 359,946 | | | Greggs PLC (Food & Staples Retailing) | | | 5,444,457 | |
| | 1,240,646 | | | Hansteen Holdings PLC (REIT) | | | 1,881,655 | |
| | 1,502,443 | | | Henderson Group PLC (Diversified Financials) | | | 5,624,601 | |
| | 69,625 | | | Hunting PLC (Energy) | | | 374,227 | |
| | 702,525 | | | IG Group Holdings PLC (Diversified Financials) | | | 7,948,449 | |
| | 1,351,709 | | | Inchcape PLC (Retailing) | | | 13,407,602 | |
| | 1,564,881 | | | Indivior PLC (Pharmaceuticals, Biotechnology & Life Sciences) | | | 3,685,111 | |
| | 973,611 | | | Intermediate Capital Group PLC (Diversified Financials) | | | 8,752,534 | |
| | 1,364,697 | | | John Wood Group PLC (Energy) | | | 12,484,352 | |
| | 324,388 | | | KAZ Minerals PLC (Materials)*(a) | | | 813,261 | |
| | 69,149 | | | Keller Group PLC (Capital Goods) | | | 892,662 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 41 |
GOLDMAN SACHS INTERNATIONAL SMALL CAP INSIGHTS FUND
Schedule of Investments (continued)
April 30, 2016 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | United Kingdom – (continued) | |
| | 196,417 | | | Lancashire Holdings Ltd. (Insurance) | | $ | 1,578,764 | |
| | 2,337,613 | | | LondonMetric Property PLC (REIT) | | | 5,416,908 | |
| | 100,221 | | | Lonmin PLC (Materials)* | | | 275,854 | |
| | 3,677,145 | | | Man Group PLC (Diversified Financials) | | | 7,953,590 | |
| | 670,731 | | | Melrose Industries PLC (Capital Goods) | | | 3,664,814 | |
| | 616,806 | | | Micro Focus International PLC (Software & Services) | | | 13,796,398 | |
| | 611,421 | | | Mitie Group PLC (Commercial & Professional Services) | | | 2,428,136 | |
| | 1,177,455 | | | Moneysupermarket.com Group PLC (Software & Services) | | | 5,408,779 | |
| | 65,290 | | | Morgan Advanced Materials PLC (Capital Goods) | | | 225,045 | |
| | 193,491 | | | OneSavings Bank PLC (Banks) | | | 810,556 | |
| | 983,925 | | | Ophir Energy PLC (Energy)* | | | 1,087,565 | |
| | 494,384 | | | Premier Oil PLC (Energy)* | | | 534,944 | |
| | 2,849,848 | | | QinetiQ Group PLC (Capital Goods) | | | 9,333,484 | |
| | 293,818 | | | Rentokil Initial PLC (Commercial & Professional Services) | | | 757,160 | |
| | 349,345 | | | Safestore Holdings PLC (REIT) | | | 1,731,973 | |
| | 407,732 | | | Savills PLC (Real Estate) | | | 4,422,424 | |
| | 178,723 | | | Spectris PLC (Technology Hardware & Equipment) | | | 4,768,222 | |
| | 365,811 | | | Subsea 7 SA (Energy)* | | | 3,356,394 | |
| | 33,556 | | | SVG Capital PLC (Diversified Financials)* | | | 252,918 | |
| | 569,268 | | | Synthomer PLC (Materials) | | | 2,899,863 | |
| | 544,163 | | | The Paragon Group of Cos. PLC (Banks) | | | 2,366,185 | |
| | 528,132 | | | Tullett Prebon PLC (Diversified Financials) | | | 2,618,283 | |
| | 94,583 | | | Workspace Group PLC (REIT) | | | 1,154,971 | |
| | 268,776 | | | WS Atkins PLC (Commercial & Professional Services) | | | 5,244,693 | |
| | 18,213 | | | Zeal Network SE (Consumer Services) | | | 844,311 | |
| | | | | | | | |
| | | | | | | 214,398,132 | |
| | |
| | TOTAL COMMON STOCKS | | | | |
| | (Cost $1,398,976,110) | | $ | 1,489,891,122 | |
| | |
| | |
| Shares | | | Distribution
Rate | | Value | |
| | Investment Company(c)(d) – 0.1% | |
| Goldman Sachs Financial Square Government Fund – FST
Institutional Shares |
|
| | 1,700,138 | | | 0.278% | | $ | 1,700,138 | |
| | (Cost $1,700,138) | | | | |
| | |
| | | | | | | | | | | | |
| Units | | | Description | | Expiration
Month | | | Value | |
| | Right*(a) – 0.0% | | | | | |
| | Sweden – 0.0% | | | | | |
| | 483,257 | | | Hemfosa Fastigheter AB (Real Estate) | | | 05/16 | | | $ | 174,517 | |
| | (Cost $0) | | | | | | | | |
| | |
| | | | | | | | | | | | |
| | Warrant* – 0.0% | | | | | |
| | France – 0.0% | | | | | |
| | 9,966 | | | Societe de la Tour Eiffel (Real Estate) | | | 07/16 | | | $ | 2,967 | |
| | (Cost $0) | | | | | | | | |
| | |
| TOTAL INVESTMENTS BEFORE SECURITIES
LENDING REINVESTMENT VEHICLE |
|
| | (Cost $1,400,676,248) | | | | | | $ | 1,491,768,744 | |
| | |
| | | | | | | | |
| Shares | | | Distribution
Rate | | Value | |
| | Securities Lending Reinvestment Vehicle(c)(d) – 6.0% | |
| Goldman Sachs Financial Square Money Market Fund – FST
Institutional Shares |
|
| | 91,779,427 | | | 0.427% | | $ | 91,779,427 | |
| | (Cost $91,779,427) | | | | |
| | |
| | TOTAL INVESTMENTS – 103.2% | | | | |
| | (Cost $1,492,455,675) | | $ | 1,583,548,171 | |
| | |
| LIABILITIES IN EXCESS OF
OTHER ASSETS – (3.2)% | | | (48,623,609 | ) |
| | |
| | NET ASSETS – 100.0% | | $ | 1,534,924,562 | |
| | |
| | |
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | | Non-income producing security. |
(a) | | All or a portion of security is on loan. |
(b) | | Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, 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 $5,299,317, which represents approximately 0.3% of net assets as of April 30, 2016. |
(c) | | Represents an affiliated issuer. |
(d) | | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on April 30, 2016. |
| | |
|
Investment Abbreviations: |
CVA | | —Dutch Certification |
REIT | | —Real Estate Investment Trust |
|
| | |
| 42 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL SMALL CAP INSIGHTS FUND
|
| ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At April 30, 2016, the Fund had the following futures contracts:
| | | | | | | | | | | | | | |
| Type | | Number of
Contracts
Long (Short) | | | Expiration
Date | | Current
Value | | | Unrealized
Gain (Loss) | |
EURO STOXX 50 Index | | | 273 | | | June 2016 | | $ | 9,306,062 | | | $ | 63,242 | |
FTSE 100 Index | | | 53 | | | June 2016 | | | 4,810,632 | | | | 84,357 | |
Hang Seng Index | | | 7 | | | May 2016 | | | 940,956 | | | | (17,414 | ) |
MSCI Singapore Index | | | 22 | | | May 2016 | | | 520,043 | | | | (11,862 | ) |
SPI 200 Index | | | 22 | | | June 2016 | | | 2,187,565 | | | | 67,178 | |
TSE TOPIX Index | | | 49 | | | June 2016 | | | 6,108,882 | | | | (119,732 | ) |
| TOTAL | | | | | | | | | | | | $ | 65,769 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 43 |
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Statements of Assets and Liabilities
April 30, 2016 (Unaudited)
| | | | | | | | | | | | | | |
| | | | | Emerging Markets
Equity Insights Fund | | | International Equity Insights Fund | | | International Small Cap Insights Fund | |
| | Assets: | |
| | Investments in unaffiliated issuers, at value (cost $688,387,024, $669,295,893 and
$1,398,976,110)(a) | | $ | 736,003,387 | | | $ | 703,107,175 | | | $ | 1,490,068,606 | |
| | Investments in affiliated issuers, at value (cost $0, $0 and $1,700,138) | | | — | | | | — | | | | 1,700,138 | |
| | Investments in affiliated securities lending reinvestment vehicle, at value which equals cost | | | 2,728,800 | | | | 24,797,079 | | | | 91,779,427 | |
| | Cash | | | 37,074,881 | | | | — | | | | 72,642 | |
| | Foreign currencies, at value (cost $11,794,991, $2,480,394 and $30,426,820) | | | 11,819,112 | | | | 2,544,347 | | | | 31,018,117 | |
| | Receivables: | | | | | | | | | | | | |
| | Investments sold | | | 28,724,197 | | | | 42,335,247 | | | | 27,912,121 | |
| | Fund shares sold | | | 1,629,138 | | | | 652,503 | | | | 4,176,997 | |
| | Dividends | | | 479,192 | | | | 4,058,043 | | | | 7,962,614 | |
| | Foreign tax reclaims | | | 139,337 | | | | 1,185,091 | | | | 1,144,780 | |
| | Securities lending income | | | 4,292 | | | | 96,383 | | | | 209,883 | |
| | Collateral on certain derivative contracts(b) | | | — | | | | 1,424,853 | | | | 1,706,662 | |
| | Reimbursement from investment adviser | | | — | | | | 105,498 | | | | 328,555 | |
| | Other assets | | | — | | | | 53,653 | | | | 11,207 | |
| | Total assets | | | 818,602,336 | | | | 780,359,872 | | | | 1,658,091,749 | |
| | | | | | | | | | | | | | |
| | Liabilities: | | | | | | | | | | | | |
| | Variation margin on certain derivative contracts | | | — | | | | 206,929 | | | | 301,278 | |
| | Payables: | | | | | | | | | | | | |
| | Investments purchased | | | 70,435,723 | | | | 23,702,979 | | | | 26,505,317 | |
| | Payable upon return of securities loaned | | | 2,728,800 | | | | 24,797,079 | | | | 91,779,427 | |
| | Management fees | | | 591,345 | | | | 501,135 | | | | 1,058,512 | |
| | Fund shares redeemed | | | 480,841 | | | | 405,016 | | | | 3,002,044 | |
| | Foreign capital gains taxes | | | 147,484 | | | | — | | | | — | |
| | Distribution and Service fees and Transfer Agency fees | | | 38,454 | | | | 59,375 | | | | 185,495 | |
| | Due to custodian | | | — | | | | 1,260,447 | | | | — | |
| | Accrued expenses | | | 245,008 | | | | 145,631 | | | | 335,114 | |
| | Total liabilities | | | 74,667,655 | | | | 51,078,591 | | | | 123,167,187 | |
| | | | | | | | | | | | | | |
| | Net Assets: | | | | | | | | | | | | |
| | Paid-in capital | | | 796,775,781 | | | | 2,068,992,011 | | | | 1,445,721,260 | |
| | Undistributed net investment income | | | 277,245 | | | | 4,171,576 | | | | 4,485,968 | |
| | Accumulated net realized loss | | | (100,542,798 | ) | | | (1,377,998,155 | ) | | | (7,367,685 | ) |
| | Net unrealized gain | | | 47,424,453 | | | | 34,115,849 | | | | 92,085,019 | |
| | | NET ASSETS | | $ | 743,934,681 | | | $ | 729,281,281 | | | $ | 1,534,924,562 | |
| | | Net Assets: | | | | | | | | | | | | |
| | | Class A | | $ | 40,381,976 | | | $ | 86,454,321 | | | $ | 244,622,415 | |
| | | Class C | | | 1,012,167 | | | | 5,447,266 | | | | 49,295,749 | |
| | | Institutional | | | 693,597,539 | | | | 634,032,603 | | | | 1,164,358,816 | |
| | | Service | | | — | | | | 1,666,181 | | | | — | |
| | | Class IR | | | 1,837,172 | | | | 1,167,948 | | | | 73,650,050 | |
| | | Class R | | | 6,993,271 | | | | 503,351 | | | | — | |
| | | Class R6 | | | 112,556 | | | | 9,611 | | | | 2,997,532 | |
| | | Total Net Assets | | $ | 743,934,681 | | | $ | 729,281,281 | | | $ | 1,534,924,562 | |
| | | Shares outstanding $0.001 par value (unlimited shares authorized): | | | | | | | | | | | | |
| | | Class A | | | 5,165,224 | | | | 8,332,349 | | | | 23,320,658 | |
| | | Class C | | | 130,346 | | | | 533,845 | | | | 4,840,593 | |
| | | Institutional | | | 88,916,395 | | | | 59,583,669 | | | | 110,954,206 | |
| | | Service | | | — | | | | 159,070 | | | | — | |
| | | Class IR | | | 235,609 | | | | 114,544 | | | | 7,044,508 | |
| | | Class R | | | 903,691 | | | | 49,573 | | | | — | |
| | | Class R6 | | | 14,433 | | | | 903 | | | | 285,266 | |
| | | Net asset value, offering and redemption price per share:(c) | | | | | | | | | | | | |
| | | Class A | | | $7.82 | | | | $10.38 | | | | $10.49 | |
| | | Class C | | | 7.77 | | | | 10.20 | | | | 10.18 | |
| | | Institutional | | | 7.80 | | | | 10.64 | | | | 10.49 | |
| | | Service | | | — | | | | 10.47 | | | | — | |
| | | Class IR | | | 7.80 | | | | 10.20 | | | | 10.45 | |
| | | Class R | | | 7.74 | | | | 10.15 | | | | — | |
| | | Class R6 | | | 7.80 | | | | 10.64 | | | | 10.51 | |
| | (a) | | Includes loaned securities having a market value of $2,761,409, $23,443,669 and $86,708,498 for the Emerging Markets Equity Insights, International Equity Insights and International Small Cap Insights Funds, respectively. |
| | (b) | | Includes amount segregated for initial margin and/or collateral on futures transactions of $1,424,853 and $1,706,662, respectively for the International Equity Insights and International Small Cap Insights Funds. |
| | (c) | | Maximum public offering price per share for Class A Shares of the Emerging Markets Equity Insights, International Equity Insights and International Small Cap Insights Funds is $8.28, $10.98 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 NAV or the original purchase price of the shares. |
| | |
| 44 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Statements of Operations
For the Six Months Ended April 30, 2016 (Unaudited)
| | | | | | | | | | | | | | |
| | | | | Emerging Markets Equity Insights Fund | | | International
Equity Insights
Fund | | | International Small Cap Insights
Fund | |
| | Investment income: | | | | | | | | | | | | |
| | Dividends — affiliated issuer (net of foreign taxes withheld of $516,266, $943,091 and $1,997,478) | | $ | 4,980,214 | | | $ | 10,462,649 | | | $ | 17,689,680 | |
| | Dividend — affiliated issuer | | | — | | | | — | | | | 11,521 | |
| | Securities lending income — affiliated issuer | | | 96,351 | | | | 196,122 | | | | 648,532 | |
| | Total investment income | | | 5,076,565 | | | | 10,658,771 | | | | 18,349,733 | |
| | | | | | | | | | | | | | |
| | Expenses: | | | | | | | | | | | | |
| | Management fees | | | 2,534,172 | | | | 3,002,694 | | | | 5,642,650 | |
| | Custody, accounting and administrative services | | | 401,721 | | | | 152,421 | | | | 374,112 | |
| | Transfer Agency fees(a) | | | 134,685 | | | | 205,218 | | | | 505,896 | |
| | Registration fees | | | 79,524 | | | | 79,812 | | | | 141,326 | |
| | Distribution and Service fees(a) | | | 64,181 | | | | 122,367 | | | | 487,696 | |
| | Printing and mailing costs | | | 52,759 | | | | 24,892 | | | | 101,435 | |
| | Trustee fees | | | 12,100 | | | | 12,395 | | | | 12,836 | |
| | Professional fees | | | 7,818 | | | | 51,513 | | | | 61,024 | |
| | Service share fees — Service Plan | | | — | | | | 1,989 | | | | — | |
| | Service share fees — Shareholder Administration Plan | | | — | | | | 1,989 | | | | — | |
| | Other | | | 27,082 | | | | 34,660 | | | | 49,577 | |
| | Total expenses | | | 3,314,042 | | | | 3,689,950 | | | | 7,376,552 | |
| | Less — expense reductions | | | (248,284 | ) | | | (487,427 | ) | | | (659,938 | ) |
| | Net expenses | | | 3,065,758 | | | | 3,202,523 | | | | 6,716,614 | |
| | NET INVESTMENT INCOME | | | 2,010,807 | | | | 7,456,248 | | | | 11,633,119 | |
| | | | | | | | | | | | | | |
| | Realized and unrealized gain (loss): | | | | | | | | | | | | |
| | Net realized gain (loss) from: | | | | | | | | | | | | |
| | Investments | | | (43,516,749 | ) | | | (20,014,224 | ) | | | 4,770,623 | |
| | Futures contracts | | | — | | | | (1,433,941 | ) | | | (1,593,951 | ) |
| | Foreign currency transactions | | | (617,071 | ) | | | 884,621 | | | | (571,441 | ) |
| | Net change in unrealized gain (loss) on: | | | | | | | | | | | | |
| | Investments (including the effects of the net change in the foreign capital gains tax liability of $203,371, $0 and $0) | | | 38,374,166 | | | | 14,150,144 | | | | 32,049,926 | |
| | Futures contracts | | | — | | | | (490,974 | ) | | | (1,688,234 | ) |
| | Foreign currency translation | | | 276,344 | | | | 770,034 | | | | 1,119,868 | |
| | Net realized and unrealized gain (loss) | | | (5,483,310 | ) | | | (6,134,340 | ) | | | 34,086,791 | |
| | NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | $ | (3,472,503 | ) | | $ | 1,321,908 | | | $ | 45,719,910 | |
| | (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 | | | Class IR | | | Class R | | | Class R6 | |
Emerging Markets Equity Insights | | $ | 45,882 | | | $ | 4,762 | | | $ | 13,537 | | | $ | 34,871 | | | $ | 905 | | | $ | 92,474 | | | $ | — | | | $ | 1,287 | | | $ | 5,144 | | | $ | 4 | |
International Equity Insights | | | 98,087 | | | | 23,997 | | | | 283 | | | | 74,547 | | | | 4,559 | | | | 124,064 | | | | 318 | | | | 983 | | | | 746 | | | | 1 | |
International Small Cap Insights | | | 276,841 | | | | 210,855 | | | | — | | | | 210,443 | | | | 40,062 | | | | 201,207 | | | | — | | | | 54,075 | | | | — | | | | 109 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 45 |
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Statements of Changes in Net Assets
| | | | | | | | | | |
| | | | | Emerging Markets Equity Insights Fund | |
| | | | | For the
Six Months Ended
April 30, 2016
(Unaudited) | | | For the Fiscal Year Ended
October 31, 2015 | |
| | From operations: | | | | | | | | |
| | Net investment income | | $ | 2,010,807 | | | $ | 10,586,672 | |
| | Net realized gain (loss) | | | (44,133,820 | ) | | | (53,580,965 | ) |
| | Net change in unrealized gain (loss) | | | 38,650,510 | | | | (25,465,209 | ) |
| | Net increase (decrease) in net assets resulting from operations | | | (3,472,503 | ) | | | (68,459,502 | ) |
| | | | | | | | | | |
| | Distributions to shareholders: | | | | | | | | |
| | From net investment income | | | | | | | | |
| | Class A Shares | | | (333,631 | ) | | | (540,220 | ) |
| | Class C Shares | | | (1,954 | ) | | | (4,206 | ) |
| | Institutional Shares | | | (5,711,198 | ) | | | (11,716,286 | ) |
| | Service Shares | | | — | | | | — | |
| | Class IR Shares | | | (13,689 | ) | | | (11,352 | ) |
| | Class R Shares | | | (42,141 | ) | | | (21,187 | ) |
| | Class R6 Shares | | | (121 | ) | | | — | |
| | From net realized gains | | | | | | | | |
| | Class A Shares | | | — | | | | (300,785 | ) |
| | Class C Shares | | | — | | | | (6,674 | ) |
| | Institutional Shares | | | — | | | | (5,218,737 | ) |
| | Class IR Shares | | | — | | | | (5,790 | ) |
| | Class R Shares | | | — | | | | (10,409 | ) |
| | Total distributions to shareholders | | | (6,102,734 | ) | | | (17,835,646 | ) |
| | | | | | | | | | |
| | From share transactions: | | | | | | | | |
| | Proceeds from sales of shares | | | 372,609,078 | | | | 233,575,432 | |
| | Proceeds received in connection with merger | | | — | | | | — | |
| | Reinvestment of distributions | | | 6,068,454 | | | | 17,524,245 | |
| | Cost of shares redeemed | | | (177,567,066 | ) | | | (314,048,730 | ) |
| | Net increase (decrease) in net assets resulting from share transactions | | | 201,110,466 | | | | (62,949,053 | ) |
| | TOTAL INCREASE (DECREASE) | | | 191,535,229 | | | | (149,244,201 | ) |
| | | | | | | | | | |
| | Net assets: | | | | | | | | |
| | Beginning of period | | | 552,399,452 | | | | 701,643,653 | |
| | End of period | | $ | 743,934,681 | | | $ | 552,399,452 | |
| | Undistributed net investment income | | $ | 277,245 | | | $ | 4,369,172 | |
| | |
| 46 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
| | | | | | | | | | | | | | | | | | | | | | |
| | | International Equity Insights Fund | | | | | International Small Cap Insights Fund | |
| | | For the
Six Months Ended
April 30, 2016 (Unaudited) | | | | | For the Fiscal
Year Ended
October 31, 2015 | | | | | For the
Six Months Ended
April 30, 2016 (Unaudited) | | | | | For the Fiscal
Year Ended
October 31, 2015 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | $ | 7,456,248 | | | | | $ | 15,346,268 | | | | | $ | 11,633,119 | | | | | $ | 17,665,996 | |
| | | (20,563,544 | ) | | | | | (20,975,277 | ) | | | | | 2,605,231 | | | | | | (6,256,157 | ) |
| | | 14,429,204 | | | | | | 22,207,615 | | | | | | 31,481,560 | | | | | | 39,964,817 | |
| | | 1,321,908 | | | | | | 16,578,606 | | | | | | 45,719,910 | | | | | | 51,374,656 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | (836,569 | ) | | | | | (3,035,885 | ) | | | | | (2,985,588 | ) | | | | | (2,355,924 | ) |
| | | (29,349 | ) | | | | | (98,011 | ) | | | | | (363,016 | ) | | | | | (229,064 | ) |
| | | (8,419,997 | ) | | | | | (29,792,716 | ) | | | | | (15,775,913 | ) | | | | | (13,054,172 | ) |
| | | (16,104 | ) | | | | | (85,003 | ) | | | | | — | | | | | | — | |
| | | (17,727 | ) | | | | | (11,495 | ) | | | | | (847,395 | ) | | | | | (400,411 | ) |
| | | (3,210 | ) | | | | | (6,273 | ) | | | | | — | | | | | | — | |
| | | (139 | ) | | | | | — | | | | | | (3,693 | ) | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | — | | | | | | — | | | | | | — | | | | | | (1,419,007 | ) |
| | | — | | | | | | — | | | | | | — | | | | | | (191,500 | ) |
| | | — | | | | | | — | | | | | | — | | | | | | (6,378,743 | ) |
| | | — | | | | | | — | | | | | | — | | | | | | (208,754 | ) |
| | | — | | | | | | — | | | | | | — | | | | | | — | |
| | | (9,323,095 | ) | | | | | (33,029,383 | ) | | | | | (19,975,605 | ) | | | | | (24,237,575 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | 194,991,344 | | | | | | 204,211,026 | | | | | | 457,173,067 | | | | | | 618,521,766 | |
| | | — | | | | | | — | | | | | | 124,352,810 | | | | | | — | |
| | | 9,272,014 | | | | | | 32,820,575 | | | | | | 17,136,594 | | | | | | 20,405,481 | |
| | | (195,892,632 | ) | | | | | (320,374,840 | ) | | | | | (261,297,607 | ) | | | | | (345,845,914 | ) |
| | | 8,370,726 | | | | | | (83,343,239 | ) | | | | | 337,364,864 | | | | | | 293,081,333 | |
| | | 369,539 | | | | | | (99,794,016 | ) | | | | | 363,109,169 | | | | | | 320,218,414 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | 728,911,742 | | | | | | 828,705,758 | | | | | | 1,171,815,393 | | | | | | 851,596,979 | |
| | $ | 729,281,281 | | | | | $ | 728,911,742 | | | | | $ | 1,534,924,562 | | | | | $ | 1,171,815,393 | |
| | $ | 4,171,576 | | | | | $ | 6,038,423 | | | | | $ | 4,485,968 | | | | | $ | 12,828,454 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 47 |
GOLDMAN SACHS EMERGING MARKETS EQUITY INSIGHTS FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Income (loss) from
investment operations | | | Distributions
to shareholders | |
| | | Year - Share Class | |
Net asset value, beginning of period | | | Net
investment income (loss)(a) | | | Net realized
and unrealized
gain (loss) | | | Total from
investment
operations | | | From net
investment income | | | From net
realized
gains | | | Total
distributions | |
| | FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED) | |
| | 2016 - A | | $ | 7.92 | | | $ | 0.02 | | | $ | (0.05 | ) | | $ | (0.03 | ) | | $ | (0.07 | ) | | $ | — | | | $ | (0.07 | ) |
| | 2016 - C | | | 7.84 | | | | (0.01 | ) | | | (0.05 | ) | | | (0.06 | ) | | | (0.01 | ) | | | — | | | | (0.01 | ) |
| | 2016 - Institutional | | | 7.91 | | | | 0.03 | | | | (0.04 | ) | | | (0.01 | ) | | | (0.10 | ) | | | — | | | | (0.10 | ) |
| | 2016 - IR | | | 7.91 | | | | 0.03 | | | | (0.05 | ) | | | (0.02 | ) | | | (0.09 | ) | | | — | | | | (0.09 | ) |
| | 2016 - R | | | 7.84 | | | | 0.01 | | | | (0.04 | ) | | | (0.03 | ) | | | (0.07 | ) | | | — | | | | (0.07 | ) |
| | 2016 - R6 | | | 7.91 | | | | 0.05 | | | | (0.06 | ) | | | (0.01 | ) | | | (0.10 | ) | | | — | | | | (0.10 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | FOR THE FISCAL YEARS ENDED OCTOBER 31, | |
| | 2015 - A | | | 8.99 | | | | 0.11 | | | | (0.98 | ) | | | (0.87 | ) | | | (0.13 | ) | | | (0.07 | ) | | | (0.20 | ) |
| | 2015 - C | | | 8.88 | | | | 0.05 | | | | (0.98 | ) | | | (0.93 | ) | | | (0.04 | ) | | | (0.07 | ) | | | (0.11 | ) |
| | 2015 - Institutional | | | 8.98 | | | | 0.14 | | | | (0.98 | ) | | | (0.84 | ) | | | (0.16 | ) | | | (0.07 | ) | | | (0.23 | ) |
| | 2015 - IR | | | 8.97 | | | | 0.14 | | | | (0.99 | ) | | | (0.85 | ) | | | (0.14 | ) | | | (0.07 | ) | | | (0.21 | ) |
| | 2015 - R | | | 8.94 | | | | 0.09 | | | | (0.98 | ) | | | (0.89 | ) | | | (0.14 | ) | | | (0.07 | ) | | | (0.21 | ) |
| | 2015 - R6 (Commenced July 31, 2015) | | | 8.40 | | | | 0.01 | | | | (0.50 | ) | | | (0.49 | ) | | | — | | | | — | | | | — | |
| | 2014 - A | | | 8.95 | | | | 0.14 | | | | (0.02 | ) | | | 0.12 | | | | (0.08 | ) | | | — | | | | (0.08 | ) |
| | 2014 - C | | | 8.90 | | | | 0.07 | | | | (0.01 | ) | | | 0.06 | | | | (0.08 | ) | | | — | | | | (0.08 | ) |
| | 2014 - Institutional | | | 8.95 | | | | 0.17 | | | | (0.02 | ) | | | 0.15 | | | | (0.12 | ) | | | — | | | | (0.12 | ) |
| | 2014 - IR | | | 8.94 | | | | 0.13 | | | | 0.02 | | | | 0.15 | | | | (0.12 | ) | | | — | | | | (0.12 | ) |
| | 2014 - R (Commenced February 28, 2014) | | | 8.26 | | | | 0.02 | | | | 0.66 | | | | 0.68 | | | | — | | | | — | | | | — | |
| | 2013 - A | | | 8.40 | | | | 0.07 | | | | 0.60 | | | | 0.67 | | | | (0.12 | ) | | | — | | | | (0.12 | ) |
| | 2013 - C | | | 8.36 | | | | 0.04 | | | | 0.55 | | | | 0.59 | | | | (0.05 | ) | | | — | | | | (0.05 | ) |
| | 2013 - Institutional | | | 8.40 | | | | 0.16 | | | | 0.53 | | | | 0.69 | | | | (0.14 | ) | | | — | | | | (0.14 | ) |
| | 2013 - IR | | | 8.39 | | | | 0.14 | | | | 0.54 | | | | 0.68 | | | | (0.13 | ) | | | — | | | | (0.13 | ) |
| | 2012 - A | | | 8.08 | | | | 0.13 | | | | 0.28 | | | | 0.41 | | | | (0.09 | ) | | | — | | | | (0.09 | ) |
| | 2012 - C | | | 8.00 | | | | 0.08 | | | | 0.28 | | | | 0.36 | | | | — | | | | — | | | | — | |
| | 2012 - Institutional | | | 8.12 | | | | 0.16 | | | | 0.28 | | | | 0.44 | | | | (0.16 | ) | | | — | | | | (0.16 | ) |
| | 2012 - IR | | | 8.11 | | | | 0.25 | | | | 0.18 | | | | 0.43 | | | | (0.15 | ) | | | — | | | | (0.15 | ) |
| | 2011 - A | | | 8.91 | | | | 0.11 | | | | (0.87 | ) | | | (0.76 | ) | | | (0.07 | ) | | | — | | | | (0.07 | ) |
| | 2011 - C | | | 8.82 | | | | — | (e) | | | (0.81 | ) | | | (0.81 | ) | | | (0.01 | ) | | | — | | | | (0.01 | ) |
| | 2011 - Institutional | | | 8.96 | | | | 0.16 | | | | (0.88 | ) | | | (0.72 | ) | | | (0.12 | ) | | | — | | | | (0.12 | ) |
| | 2011 - IR | | | 8.98 | | | | 0.15 | | | | (0.90 | ) | | | (0.75 | ) | | | (0.12 | ) | | | — | | | | (0.12 | ) |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value 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. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | (e) | | Amount is less than $0.005 per share. |
| | |
| 48 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS EMERGING MARKETS EQUITY INSIGHTS FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Net asset
value, end of period | | | | | Total
return(b) | | | | | Net assets, end of
period
(in 000s) | | | | | Ratio of net expenses
to average
net assets | | | | | Ratio of
total expenses
to average
net assets | | | | | Ratio of net investment
income (loss)
to average
net assets | | | | | Portfolio
turnover
rate(c) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 7.82 | | | | | | (0.36 | )% | | | | $ | 40,382 | | | | | | 1.57 | %(d) | | | | | 1.69 | %(d) | | | | | 0.46 | %(d) | | | | | 122 | % |
| | | 7.77 | | | | | | (0.70 | ) | | | | | 1,012 | | | | | | 2.32 | (d) | | | | | 2.44 | (d) | | | | | (0.33 | )(d) | | | | | 122 | |
| | | 7.80 | | | | | | (0.10 | ) | | | | | 693,598 | | | | | | 1.17 | (d) | | | | | 1.27 | (d) | | | | | 0.83 | (d) | | | | | 122 | |
| | | 7.80 | | | | | | (0.19 | ) | | | | | 1,837 | | | | | | 1.32 | (d) | | | | | 1.43 | (d) | | | | | 0.78 | (d) | | | | | 122 | |
| | | 7.74 | | | | | | (0.41 | ) | | | | | 6,993 | | | | | | 1.82 | (d) | | | | | 1.93 | (d) | | | | | 0.25 | (d) | | | | | 122 | |
| | | 7.80 | | | | | | (0.06 | ) | | | | | 113 | | | | | | 1.14 | (d) | | | | | 1.17 | (d) | | | | | 1.32 | (d) | | | | | 122 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 7.92 | | | | | | (9.84 | ) | | | | | 37,307 | | | | | | 1.58 | | | | | | 1.67 | | | | | | 1.30 | | | | | | 199 | |
| | | 7.84 | | | | | | (10.50 | ) | | | | | 1,053 | | | | | | 2.33 | | | | | | 2.42 | | | | | | 0.60 | | | | | | 199 | |
| | | 7.91 | | | | | | (9.52 | ) | | | | | 508,685 | | | | | | 1.18 | | | | | | 1.27 | | | | | | 1.69 | | | | | | 199 | |
| | | 7.91 | | | | | | (9.63 | ) | | | | | 798 | | | | | | 1.33 | | | | | | 1.42 | | | | | | 1.63 | | | | | | 199 | |
| | | 7.84 | | | | | | (10.06 | ) | | | | | 4,547 | | | | | | 1.83 | | | | | | 1.93 | | | | | | 1.10 | | | | | | 199 | |
| | | 7.91 | | | | | | (5.83 | ) | | | | | 9 | | | | | | 1.17 | (d) | | | | | 1.28 | (d) | | | | | 0.59 | (d) | | | | | 199 | |
| | | 8.99 | | | | | | 1.38 | | | | | | 37,905 | | | | | | 1.58 | | | | | | 1.66 | | | | | | 1.59 | | | | | | 180 | |
| | | 8.88 | | | | | | 0.66 | | | | | | 944 | | | | | | 2.33 | | | | | | 2.41 | | | | | | 0.80 | | | | | | 180 | |
| | | 8.98 | | | | | | 1.65 | | | | | | 660,922 | | | | | | 1.18 | | | | | | 1.26 | | | | | | 1.95 | | | | | | 180 | |
| | | 8.97 | | | | | | 1.70 | | | | | | 875 | | | | | | 1.34 | | | | | | 1.39 | | | | | | 1.47 | | | | | | 180 | |
| | | 8.94 | | | | | | 8.23 | | | | | | 998 | | | | | | 1.82 | (d) | | | | | 2.07 | (d) | | | | | 0.31 | (d) | | | | | 180 | |
| | | 8.95 | | | | | | 8.00 | | | | | | 24,758 | | | | | | 1.52 | | | | | | 1.65 | | | | | | 0.82 | | | | | | 249 | |
| | | 8.90 | | | | | | 7.02 | | | | | | 989 | | | | | | 2.31 | | | | | | 2.48 | | | | | | 0.51 | | | | | | 249 | |
| | | 8.95 | | | | | | 8.41 | | | | | | 556,434 | | | | | | 1.14 | | | | | | 1.27 | | | | | | 1.87 | | | | | | 249 | |
| | | 8.94 | | | | | | 8.16 | | | | | | 1,649 | | | | | | 1.32 | | | | | | 1.50 | | | | | | 1.59 | | | | | | 249 | |
| | | 8.40 | | | | | | 5.26 | | | | | | 50,760 | | | | | | 1.45 | | | | | | 1.69 | | | | | | 1.58 | | | | | | 180 | |
| | | 8.36 | | | | | | 4.49 | | | | | | 228 | | | | | | 2.20 | | | | | | 2.46 | | | | | | 0.97 | | | | | | 180 | |
| | | 8.40 | | | | | | 5.68 | | | | | | 464,180 | | | | | | 1.05 | | | | | | 1.30 | | | | | | 1.98 | | | | | | 180 | |
| | | 8.39 | | | | | | 5.48 | | | | | | 118 | | | | | | 1.20 | | | | | | 1.41 | | | | | | 3.06 | | | | | | 180 | |
| | | 8.08 | | | | | | (8.58 | ) | | | | | 17,089 | | | | | | 1.45 | | | | | | 1.71 | | | | | | 1.17 | | | | | | 200 | |
| | | 8.00 | | | | | | (9.23 | ) | | | | | 207 | | | | | | 2.20 | | | | | | 2.46 | | | | | | 0.01 | | | | | | 200 | |
| | | 8.12 | | | | | | (8.19 | ) | | | | | 273,027 | | | | | | 1.05 | | | | | | 1.31 | | | | | | 1.75 | | | | | | 200 | |
| | | 8.11 | | | | | | (8.54 | ) | | | | | 1 | | | | | | 1.20 | | | | | | 1.46 | | | | | | 1.67 | | | | | | 200 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 49 |
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Income (loss) from
investment operations | | | | |
| | | Year - Share Class | | Net asset
value,
beginning
of period | | | Net
investment
income(a) | | | Net realized
and unrealized
gain (loss) | | | Total from
investment
operations | | | Distributions
to shareholders
from net
investment
income | |
| FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED) | | | | | |
| | 2016 - A | | $ | 10.54 | | | $ | 0.09 | | | $ | (0.14 | ) | | $ | (0.05 | ) | | $ | (0.11 | ) |
| | 2016 - C | | | 10.36 | | | | 0.05 | | | | (0.15 | ) | | | (0.10 | ) | | | (0.06 | ) |
| | 2016 - Institutional | | | 10.83 | | | | 0.11 | | | | (0.15 | ) | | | (0.04 | ) | | | (0.15 | ) |
| | 2016 - Service | | | 10.64 | | | | 0.08 | | | | (0.15 | ) | | | (0.07 | ) | | | (0.10 | ) |
| | 2016 - IR | | | 10.38 | | | | 0.09 | | | | (0.13 | ) | | | (0.04 | ) | | | (0.14 | ) |
| | 2016 - R | | | 10.34 | | | | 0.10 | | | | (0.17 | ) | | | (0.07 | ) | | | (0.12 | ) |
| | 2016 - R6 | | | 10.83 | | | | 0.11 | | | | (0.14 | ) | | | (0.03 | ) | | | (0.16 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| FOR THE FISCAL YEARS ENDED OCTOBER 31, | | | | | |
| | 2015 - A | | | 10.69 | | | | 0.18 | | | | 0.08 | | | | 0.26 | | | | (0.41 | ) |
| | 2015 - C | | | 10.51 | | | | 0.10 | | | | 0.08 | | | | 0.18 | | | | (0.33 | ) |
| | 2015 - Institutional | | | 10.97 | | | | 0.22 | | | | 0.09 | | | | 0.31 | | | | (0.45 | ) |
| | 2015 - Service | | | 10.76 | | | | 0.16 | | | | 0.09 | | | | 0.25 | | | | (0.37 | ) |
| | 2015 - IR | | | 10.53 | | | | 0.16 | | | | 0.12 | | | | 0.28 | | | | (0.43 | ) |
| | 2015 - R | | | 10.52 | | | | 0.14 | | | | 0.09 | | | | 0.23 | | | | (0.41 | ) |
| | 2015 - R6 (Commenced July 31, 2015) | | | 11.23 | | | | 0.04 | | | | (0.44 | ) | | | (0.40 | ) | | | — | |
| | 2014 - A | | | 10.99 | | | | 0.37 | (e) | | | (0.39 | ) | | | (0.02 | ) | | | (0.28 | ) |
| | 2014 - C | | | 10.83 | | | | 0.28 | (e) | | | (0.37 | ) | | | (0.09 | ) | | | (0.23 | ) |
| | 2014 - Institutional | | | 11.29 | | | | 0.42 | (e) | | | (0.40 | ) | | | 0.02 | | | | (0.34 | ) |
| | 2014 - Service | | | 11.06 | | | | 0.35 | (e) | | | (0.37 | ) | | | (0.02 | ) | | | (0.28 | ) |
| | 2014 - IR | | | 10.86 | | | | 0.38 | (e) | | | (0.38 | ) | | | — | (f) | | | (0.33 | ) |
| | 2014 - R | | | 10.85 | | | | 0.34 | (e) | | | (0.38 | ) | | | (0.04 | ) | | | (0.29 | ) |
| | 2013 - A | | | 9.00 | | | | 0.19 | | | | 2.11 | | | | 2.30 | | | | (0.31 | ) |
| | 2013 - C | | | 8.87 | | | | 0.16 | | | | 2.04 | | | | 2.20 | | | | (0.24 | ) |
| | 2013 - Institutional | | | 9.25 | | | | 0.30 | | | | 2.09 | | | | 2.39 | | | | (0.35 | ) |
| | 2013 - Service | | | 9.06 | | | | 0.22 | | | | 2.08 | | | | 2.30 | | | | (0.30 | ) |
| | 2013 - IR | | | 8.91 | | | | 0.22 | | | | 2.08 | | | | 2.30 | | | | (0.35 | ) |
| | 2013 - R | | | 8.88 | | | | 0.21 | | | | 2.04 | | | | 2.25 | | | | (0.28 | ) |
| | 2012 - A | | | 9.02 | | | | 0.19 | | | | 0.21 | | | | 0.40 | | | | (0.42 | ) |
| | 2012 - C | | | 8.89 | | | | 0.13 | | | | 0.20 | | | | 0.33 | | | | (0.35 | ) |
| | 2012 - Institutional | | | 9.27 | | | | 0.24 | | | | 0.21 | | | | 0.45 | | | | (0.47 | ) |
| | 2012 - Service | | | 9.08 | | | | 0.18 | | | | 0.21 | | | | 0.39 | | | | (0.41 | ) |
| | 2012 - IR | | | 8.97 | | | | 0.20 | | | | 0.21 | | | | 0.41 | | | | (0.47 | ) |
| | 2012 - R | | | 8.93 | | | | 0.17 | | | | 0.20 | | | | 0.37 | | | | (0.42 | ) |
| | 2011 - A | | | 10.21 | | | | 0.28 | | | | (1.26 | ) | | | (0.98 | ) | | | (0.21 | ) |
| | 2011 - C | | | 10.06 | | | | 0.19 | | | | (1.23 | ) | | | (1.04 | ) | | | (0.13 | ) |
| | 2011 - Institutional | | | 10.49 | | | | 0.33 | | | | (1.30 | ) | | | (0.97 | ) | | | (0.25 | ) |
| | 2011 - Service | | | 10.27 | | | | 0.27 | | | | (1.27 | ) | | | (1.00 | ) | | | (0.19 | ) |
| | 2011 - IR | | | 10.15 | | | | 0.23 | | | | (1.18 | ) | | | (0.95 | ) | | | (0.23 | ) |
| | 2011 - R | | | 10.12 | | | | 0.19 | | | | (1.18 | ) | | | (0.99 | ) | | | (0.20 | ) |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value 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. |
| | (e) | | Reflects income recognized from a corporate action which amounted to $0.13 per share and 1.18% of average net assets. |
| | (f) | | Amount is less than $0.005 per share. |
| | |
| 50 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Net asset
value, end
of period | | | | | Total
return(b) | | | | | Net assets,
end of period (in 000s) | | | | | Ratio of
net expenses
to average
net assets | | | | | Ratio of
total expenses
to average
net assets | | | | | Ratio of
net investment
income
to average
net assets | | | | | Portfolio
turnover
rate(c) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 10.38 | | | | | | (0.46 | )% | | | | $ | 86,454 | | | | | | 1.25 | %(d) | | | | | 1.39 | %(d) | | | | | 1.77 | %(d) | | | | | 89 | % |
| | | 10.20 | | | | | | (0.95 | ) | | | | | 5,447 | | | | | | 2.00 | (d) | | | | | 2.14 | (d) | | | | | 1.02 | (d) | | | | | 89 | |
| | | 10.64 | | | | | | (0.34 | ) | | | | | 634,033 | | | | | | 0.85 | (d) | | | | | 0.99 | (d) | | | | | 2.17 | (d) | | | | | 89 | |
| | | 10.47 | | | | | | (0.65 | ) | | | | | 1,666 | | | | | | 1.35 | (d) | | | | | 1.49 | (d) | | | | | 1.56 | (d) | | | | | 89 | |
| | | 10.20 | | | | | | (0.34 | ) | | | | | 1,168 | | | | | | 1.00 | (d) | | | | | 1.14 | (d) | | | | | 1.90 | (d) | | | | | 89 | |
| | | 10.15 | | | | | | (0.70 | ) | | | | | 503 | | | | | | 1.50 | (d) | | | | | 1.65 | (d) | | | | | 2.05 | (d) | | | | | 89 | |
| | | 10.64 | | | | | | (0.31 | ) | | | | | 10 | | | | | | 0.84 | (d) | | | | | 0.94 | (d) | | | | | 2.10 | (d) | | | | | 89 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 10.54 | | | | | | 2.58 | | | | | | 78,527 | | | | | | 1.27 | | | | | | 1.37 | | | | | | 1.70 | | | | | | 154 | |
| | | 10.36 | | | | | | 1.82 | | | | | | 4,409 | | | | | | 2.01 | | | | | | 2.12 | | | | | | 0.93 | | | | | | 154 | |
| | | 10.83 | | | | | | 3.05 | | | | | | 642,473 | | | | | | 0.87 | | | | | | 0.97 | | | | | | 2.08 | | | | | | 154 | |
| | | 10.64 | | | | | | 2.48 | | | | | | 1,641 | | | | | | 1.37 | | | | | | 1.47 | | | | | | 1.51 | | | | | | 154 | |
| | | 10.38 | | | | | | 2.85 | | | | | | 1,666 | | | | | | 1.01 | | | | | | 1.13 | | | | | | 1.54 | | | | | | 154 | |
| | | 10.34 | | | | | | 2.32 | | | | | | 186 | | | | | | 1.52 | | | | | | 1.62 | | | | | | 1.33 | | | | | | 154 | |
| | | 10.83 | | | | | | (3.56 | ) | | | | | 10 | | | | | | 0.84 | (d) | | | | | 0.93 | (d) | | | | | 1.56 | (d) | | | | | 154 | |
| | | 10.69 | | | | | | (0.14 | ) | | | | | 79,214 | | | | | | 1.29 | | | | | | 1.36 | | | | | | 3.31 | (e) | | | | | 142 | |
| | | 10.51 | | | | | | (0.85 | ) | | | | | 3,054 | | | | | | 2.04 | | | | | | 2.11 | | | | | | 2.61 | (e) | | | | | 142 | |
| | | 10.97 | | | | | | 0.22 | | | | | | 742,016 | | | | | | 0.89 | | | | | | 0.96 | | | | | | 3.74 | (e) | | | | | 142 | |
| | | 10.76 | | | | | | (0.17 | ) | | | | | 2,779 | | | | | | 1.39 | | | | | | 1.45 | | | | | | 3.17 | (e) | | | | | 142 | |
| | | 10.53 | | | | | | 0.12 | | | | | | 278 | | | | | | 1.04 | | | | | | 1.10 | | | | | | 3.52 | (e) | | | | | 142 | |
| | | 10.52 | | | | | | (0.33 | ) | | | | | 161 | | | | | | 1.54 | | | | | | 1.61 | | | | | | 3.09 | (e) | | | | | 142 | |
| | | 10.99 | | | | | | 26.31 | | | | | | 92,919 | | | | | | 1.29 | | | | | | 1.37 | | | | | | 1.98 | | | | | | 189 | |
| | | 10.83 | | | | | | 25.33 | | | | | | 3,166 | | | | | | 2.04 | | | | | | 2.11 | | | | | | 1.61 | | | | | | 189 | |
| | | 11.29 | | | | | | 26.71 | | | | | | 945,546 | | | | | | 0.89 | | | | | | 0.96 | | | | | | 2.99 | | | | | | 189 | |
| | | 11.06 | | | | | | 26.13 | | | | | | 6,237 | | | | | | 1.39 | | | | | | 1.46 | | | | | | 2.25 | | | | | | 189 | |
| | | 10.86 | | | | | | 26.55 | | | | | | 468 | | | | | | 1.04 | | | | | | 1.11 | | | | | | 2.22 | | | | | | 189 | |
| | | 10.85 | | | | | | 25.99 | | | | | | 95 | | | | | | 1.54 | | | | | | 1.61 | | | | | | 2.14 | | | | | | 189 | |
| | | 9.00 | | | | | | 4.94 | | | | | | 210,612 | | | | | | 1.28 | | | | | | 1.37 | | | | | | 2.21 | | | | | | 203 | |
| | | 8.87 | | | | | | 4.10 | | | | | | 3,087 | | | | | | 2.04 | | | | | | 2.12 | | | | | | 1.48 | | | | | | 203 | |
| | | 9.25 | | | | | | 5.47 | | | | | | 596,986 | | | | | | 0.88 | | | | | | 0.97 | | | | | | 2.69 | | | | | | 203 | |
| | | 9.06 | | | | | | 4.77 | | | | | | 7,945 | | | | | | 1.38 | | | | | | 1.47 | | | | | | 2.09 | | | | | | 203 | |
| | | 8.91 | | | | | | 5.16 | | | | | | 65 | | | | | | 1.04 | | | | | | 1.11 | | | | | | 2.33 | | | | | | 203 | |
| | | 8.88 | | | | | | 4.69 | | | | | | 71 | | | | | | 1.53 | | | | | | 1.62 | | | | | | 1.98 | | | | | | 203 | |
| | | 9.02 | | | | | | (9.87 | ) | | | | | 314,225 | | | | | | 1.25 | | | | | | 1.31 | | | | | | 2.74 | | | | | | 101 | |
| | | 8.89 | | | | | | (10.50 | ) | | | | | 3,660 | | | | | | 2.00 | | | | | | 2.06 | | | | | | 1.94 | | | | | | 101 | |
| | | 9.27 | | | | | | (9.52 | ) | | | | | 1,013,458 | | | | | | 0.85 | | | | | | 0.91 | | | | | | 3.18 | | | | | | 101 | |
| | | 9.08 | | | | | | (9.91 | ) | | | | | 12,982 | | | | | | 1.35 | | | | | | 1.41 | | | | | | 2.60 | | | | | | 101 | |
| | | 8.97 | | | | | | (9.58 | ) | | | | | 45 | | | | | | 1.00 | | | | | | 1.06 | | | | | | 2.53 | | | | | | 101 | |
| | | 8.93 | | | | | | (9.99 | ) | | | | | 116 | | | | | | 1.50 | | | | | | 1.56 | | | | | | 1.87 | | | | | | 101 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 51 |
GOLDMAN SACHS INTERNATIONAL SMALL CAP INSIGHTS FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Income (loss) from
investment operations | | | Distributions
to shareholders | |
| | | Year - Share Class | |
Net asset
value,
beginning
of period | | | Net
investment
income(a) | | | Net realized
and unrealized
gain (loss) | | | Total from
investment
operations | | | From net
investment
income | | | From net
realized
gains | | | Total
distributions | |
| FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED) | | | | | |
| | 2016 - A | | $ | 10.42 | | | $ | 0.07 | | | $ | 0.14 | | | $ | 0.21 | | | $ | (0.14 | ) | | $ | — | | | $ | (0.14 | ) |
| | 2016 - C | | | 10.11 | | | | 0.03 | | | | 0.13 | | | | 0.16 | | | | (0.09 | ) | | | — | | | | (0.09 | ) |
| | 2016 - Institutional | | | 10.44 | | | | 0.09 | | | | 0.14 | | | | 0.23 | | | | (0.18 | ) | | | — | | | | (0.18 | ) |
| | 2016 - IR | | | 10.40 | | | | 0.09 | | | | 0.13 | | | | 0.22 | | | | (0.17 | ) | | | — | | | | (0.17 | ) |
| | 2016 - R6 | | | 10.44 | | | | 0.18 | | | | 0.07 | | | | 0.25 | | | | (0.18 | ) | | | — | | | | (0.18 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE FISCAL YEARS ENDED OCTOBER 31, | | | | | |
| | 2015 - A | | | 10.03 | | | | 0.16 | | | | 0.49 | | | | 0.65 | | | | (0.16 | ) | | | (0.10 | ) | | | (0.26 | ) |
| | 2015 - C | | | 9.76 | | | | 0.08 | | | | 0.49 | | | | 0.57 | | | | (0.12 | ) | | | (0.10 | ) | | | (0.22 | ) |
| | 2015 - Institutional | | | 10.05 | | | | 0.20 | | | | 0.49 | | | | 0.69 | | | | (0.20 | ) | | | (0.10 | ) | | | (0.30 | ) |
| | 2015 - IR | | | 10.01 | | | | 0.19 | | | | 0.49 | | | | 0.68 | | | | (0.19 | ) | | | (0.10 | ) | | | (0.29 | ) |
| | 2015 - R6 (Commenced July 31, 2015) | | | 10.75 | | | | 0.05 | | | | (0.36 | ) | | | (0.31 | ) | | | — | | | | — | | | | — | |
| | 2014 - A | | | 10.62 | | | | 0.14 | | | | (0.34 | ) | | | (0.20 | ) | | | (0.32 | ) | | | (0.07 | ) | | | (0.39 | ) |
| | 2014 - C | | | 10.40 | | | | 0.06 | | | | (0.33 | ) | | | (0.27 | ) | | | (0.30 | ) | | | (0.07 | ) | | | (0.37 | ) |
| | 2014 - Institutional | | | 10.62 | | | | 0.17 | | | | (0.33 | ) | | | (0.16 | ) | | | (0.34 | ) | | | (0.07 | ) | | | (0.41 | ) |
| | 2014 - IR | | | 10.59 | | | | 0.18 | | | | (0.35 | ) | | | (0.17 | ) | | | (0.34 | ) | | | (0.07 | ) | | | (0.41 | ) |
| | 2013 - A | | | 8.29 | | | | 0.23 | | | | 2.49 | | | | 2.72 | | | | (0.39 | ) | | | — | | | | (0.39 | ) |
| | 2013 - C | | | 8.13 | | | | 0.14 | | | | 2.47 | | | | 2.61 | | | | (0.34 | ) | | | — | | | | (0.34 | ) |
| | 2013 - Institutional | | | 8.30 | | | | 0.26 | | | | 2.50 | | | | 2.76 | | | | (0.44 | ) | | | — | | | | (0.44 | ) |
| | 2013 - IR | | | 8.28 | | | | 0.22 | | | | 2.52 | | | | 2.74 | | | | (0.43 | ) | | | — | | | | (0.43 | ) |
| | 2012 - A | | | 7.92 | | | | 0.17 | | | | 0.38 | | | | 0.55 | | | | (0.18 | ) | | | — | | | | (0.18 | ) |
| | 2012 - C | | | 7.79 | | | | 0.11 | | | | 0.38 | | | | 0.49 | | | | (0.15 | ) | | | — | | | | (0.15 | ) |
| | 2012 - Institutional | | | 7.94 | | | | 0.20 | | | | 0.38 | | | | 0.58 | | | | (0.22 | ) | | | — | | | | (0.22 | ) |
| | 2012 - IR | | | 7.93 | | | | 0.16 | | | | 0.40 | | | | 0.56 | | | | (0.21 | ) | | | — | | | | (0.21 | ) |
| | 2011 - A | | | 8.20 | | | | 0.17 | | | | (0.21 | ) | | | (0.04 | ) | | | (0.24 | ) | | | — | | | | (0.24 | ) |
| | 2011 - C | | | 8.08 | | | | 0.13 | | | | (0.23 | ) | | | (0.10 | ) | | | (0.19 | ) | | | — | | | | (0.19 | ) |
| | 2011 - Institutional | | | 8.21 | | | | 0.20 | | | | (0.20 | ) | | | — | | | | (0.27 | ) | | | — | | | | (0.27 | ) |
| | 2011 - IR | | | 8.21 | | | | 0.20 | | | | (0.21 | ) | | | (0.01 | ) | | | (0.27 | ) | | | — | | | | (0.27 | ) |
| | (a) | | Calculated based on the average shares outstanding methodology. |
| | (b) | | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value 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. |
| | |
| 52 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL SMALL CAP INSIGHTS FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Net asset
value, end
of period | | | | | Total
return(b) | | | | | Net assets, end of period (in 000s) | | | | | Ratio of
net expenses
to average
net assets | | | | | Ratio of
total expenses
to average
net assets | | | | | Ratio of
net investment
income
to average net assets | | | | | Portfolio
turnover
rate(c) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 10.49 | | | | | | 2.05 | % | | | | $ | 244,622 | | | | | | 1.30 | %(d) | | | | | 1.40 | %(d) | | | | | 1.41 | %(d) | | | | | 67 | % |
| | | 10.18 | | | | | | 1.58 | | | | | | 49,296 | | | | | | 2.05 | (d) | | | | | 2.15 | (d) | | | | | 0.71 | (d) | | | | | 67 | |
| | | 10.49 | | | | | | 2.18 | | | | | | 1,164,359 | | | | | | 0.90 | (d) | | | | | 1.00 | (d) | | | | | 1.87 | (d) | | | | | 67 | |
| | | 10.45 | | | | | | 2.10 | | | | | | 73,650 | | | | | | 1.05 | (d) | | | | | 1.16 | (d) | | | | | 1.78 | (d) | | | | | 67 | |
| | | 10.51 | | | | | | 2.40 | | | | | | 2,998 | | | | | | 0.88 | (d) | | | | | 1.03 | (d) | | | | | 3.59 | (d) | | | | | 67 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 10.42 | | | | | | 6.70 | | | | | | 204,067 | | | | | | 1.30 | | | | | | 1.39 | | | | | | 1.58 | | | | | | 131 | |
| | | 10.11 | | | | | | 5.96 | | | | | | 38,777 | | | | | | 2.05 | | | | | | 2.14 | | | | | | 0.82 | | | | | | 131 | |
| | | 10.44 | | | | | | 7.11 | | | | | | 888,071 | | | | | | 0.90 | | | | | | 0.99 | | | | | | 1.97 | | | | | | 131 | |
| | | 10.40 | | | | | | 7.00 | | | | | | 40,890 | | | | | | 1.05 | | | | | | 1.14 | | | | | | 1.83 | | | | | | 131 | |
| | | 10.44 | | | | | | (2.88 | ) | | | | | 10 | | | | | | 0.90 | (d) | | | | | 0.96 | (d) | | | | | 1.94 | (d) | | | | | 131 | |
| | | 10.03 | | | | | | (1.94 | ) | | | | | 144,558 | | | | | | 1.30 | | | | | | 1.39 | | | | | | 1.33 | | | | | | 129 | |
| | | 9.76 | | | | | | (2.71 | ) | | | | | 19,158 | | | | | | 2.05 | | | | | | 2.15 | | | | | | 0.57 | | | | | | 129 | |
| | | 10.05 | | | | | | (1.54 | ) | | | | | 668,746 | | | | | | 0.90 | | | | | | 0.99 | | | | | | 1.65 | | | | | | 129 | |
| | | 10.01 | | | | | | (1.68 | ) | | | | | 19,134 | | | | | | 1.05 | | | | | | 1.14 | | | | | | 1.66 | | | | | | 129 | |
| | | 10.62 | | | | | | 34.41 | | | | | | 53,564 | | | | | | 1.30 | | | | | | 1.48 | | | | | | 2.52 | | | | | | 166 | |
| | | 10.40 | | | | | | 33.40 | | | | | | 3,514 | | | | | | 2.05 | | | | | | 2.24 | | | | | | 1.53 | | | | | | 166 | |
| | | 10.62 | | | | | | 34.96 | | | | | | 441,964 | | | | | | 0.90 | | | | | | 1.07 | | | | | | 2.85 | | | | | | 166 | |
| | | 10.59 | | | | | | 34.77 | | | | | | 3,605 | | | | | | 1.05 | | | | | | 1.26 | | | | | | 2.28 | | | | | | 166 | |
| | | 8.29 | | | | | | 7.32 | | | | | | 18,914 | | | | | | 1.30 | | | | | | 1.51 | | | | | | 2.13 | | | | | | 150 | |
| | | 8.13 | | | | | | 6.56 | | | | | | 896 | | | | | | 2.05 | | | | | | 2.26 | | | | | | 1.44 | | | | | | 150 | |
| | | 8.30 | | | | | | 7.80 | | | | | | 244,135 | | | | | | 0.90 | | | | | | 1.11 | | | | | | 2.59 | | | | | | 150 | |
| | | 8.28 | | | | | | 7.54 | | | | | | 345 | | | | | | 1.05 | | | | | | 1.26 | | | | | | 2.06 | | | | | | 150 | |
| | | 7.92 | | | | | | (0.68 | ) | | | | | 29,729 | | | | | | 1.30 | | | | | | 1.47 | | | | | | 1.95 | | | | | | 79 | |
| | | 7.79 | | | | | | (1.39 | ) | | | | | 856 | | | | | | 2.05 | | | | | | 2.22 | | | | | | 1.56 | | | | | | 79 | |
| | | 7.94 | | | | | | (0.16 | ) | | | | | 249,545 | | | | | | 0.90 | | | | | | 1.07 | | | | | | 2.30 | | | | | | 79 | |
| | | 7.93 | | | | | | (0.33 | ) | | | | | 1,368 | | | | | | 1.05 | | | | | | 1.22 | | | | | | 2.39 | | | | | | 79 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 53 |
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Notes to Financial Statements
April 30, 2016 (Unaudited)
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 |
Emerging Markets Equity Insights | | A, C, Institutional, IR, R and R6 | | Diversified |
International Equity Insights | | A, C, Institutional, Service, IR, R and R6 | | Diversified |
International Small Cap Insights | | A, C, Institutional, IR and R6 | | Diversified |
Class A Shares are sold with a front-end sales charge of up to 5.50%. 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, 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.
Pursuant to an Agreement and Plan of Reorganization (the “Reorganization Agreement”) approved by the Trust’s Board of Trustees, all of the assets and liabilities of the Goldman Sachs International Small Cap Fund (the “Acquired Fund”) were transferred to the Goldman Sachs International Small Cap Insights Fund (the “Survivor Fund”) as of the close of business on February 5, 2016 (the “Reorganization”). As part of the Reorganization, holders of Class A, Class C, Institutional and Class IR shares of the Acquired Fund respectively received Class A, Class C, Institutional and Class IR shares of the Survivor Fund, in an amount equal to the aggregate net asset value of his or her investment in the Acquired Fund. Shareholders of Service Shares of the Acquired Fund received Class A Shares of the Survivor Fund, in an amount equal to the aggregate net asset value of his or her investment in the Acquired Fund. The exchange was a tax-free event to shareholders and the Survivor Fund was the accounting survivor in the reorganization.
|
| 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 United States (“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.
54
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
|
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
For derivative contracts, realized gains and losses are recorded upon settlement of the contract.
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. Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Funds are not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid annually.
Net capital losses are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
Under the Regulated Investment Company Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each Fund’s distributions may be shown in the accompanying financial statements as either from net investment income, net realized gain or capital. Certain components of the Funds’ net assets on the Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
E. 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.
|
| 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
55
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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 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.
Underlying Funds (including Money Market Funds) — Underlying Funds (“Underlying Funds”) include other investment companies and exchange-traded funds (“ETFs”). Investments in the Underlying Funds (except ETFs) are valued at the NAV per share of the Institutional Share class (the FST Institutional 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.
56
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. The Funds enter into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers.
Exchange-traded derivatives, including futures and options contracts, are valued at the last sale or settlement price and typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. 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.
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.
57
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 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 April 30, 2016:
| | | | | | | | | | | | |
| | | |
| EMERGING MARKETS EQUITY INSIGHTS | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| Assets | | | | | | | | | | | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
Africa | | $ | 11,261,144 | | | $ | 30,985,970 | | | $ | — | |
Asia | | | 57,996,416 | | | | 517,482,364 | | | | — | |
Europe | | | 1,730,768 | | | | 8,134,462 | | | | — | |
North America | | | 42,440,631 | | | | — | | | | — | |
South America | | | 63,022,723 | | | | 2,948,909 | | | | — | |
Securities Lending Reinvestment Vehicle | | | 2,728,800 | | | | — | | | | — | |
| Total | | $ | 179,180,482 | | | $ | 559,551,705 | | | $ | — | |
| | | |
| INTERNATIONAL EQUITY INSIGHTS | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| Assets | | | | | | | | | | | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
Africa | | $ | — | | | $ | 3,648,634 | | | $ | — | |
Asia | | | 1,533,114 | | | | 189,813,372 | | | | — | |
Australia and Oceania | | | — | | | | 41,659,081 | | | | — | |
Europe | | | 25,500,501 | | | | 440,952,473 | | | | — | |
Securities Lending Reinvestment Vehicle | | | 24,797,079 | | | | — | | | | — | |
| Total | | $ | 51,830,694 | | | $ | 676,073,560 | | | $ | — | |
| | | |
| Derivative Type | | | | | | | | | |
| Assets(b) | | | | | | | | | | | | |
Futures Contracts | | $ | 75,282 | | | $ | — | | | $ | — | |
| Liabilities(b) | | | | | | | | | | | | |
Futures Contracts | | $ | (142,130 | ) | | $ | — | | | $ | — | |
58
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
| | | | | | | | | | | | |
| | | |
| INTERNATIONAL SMALL CAP INSIGHTS | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| Assets | | | | | | | | | | | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
Asia | | $ | — | | | $ | 536,517,882 | | | $ | — | |
Australia and Oceania | | | — | | | | 97,754,279 | | | | — | |
Europe | | | — | | | | 852,091,773 | | | | — | |
North America | | | — | | | | 3,704,672 | | | | — | |
Investment Company | | | 1,700,138 | | | | — | | | | — | |
Securities Lending Reinvestment Vehicle | | | 91,779,427 | | | | — | | | | — | |
| Total | | $ | 93,479,565 | | | $ | 1,490,068,606 | | | $ | — | |
| | | |
| Derivative Type | | | | | | | | | |
| Assets(b) | | | | | | | | | | | | |
Futures Contracts | | $ | 214,777 | | | $ | — | | | $ | — | |
| | | |
| Derivative Type | | | | | | | | | |
| Liabilities(b) | | | | | | | | | | | | |
Futures Contracts | | $ | (149,008 | ) | | $ | — | | | $ | — | |
| (a) | | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of NAV. Security valuations are based on the principal 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 certain international equity securities, resulting in a Level 2 classification. |
| (b) | | Amount shown represents unrealized gain (loss) at period end. |
The following is a reconciliation of Level 3 investments for the period ended April 30, 2016:
| | | | |
| Emerging Markets Equity Insights | | Common Stock
and/or Other
Equity
Investments | |
Beginning Balance as of October 31, 2015 | | $ | 6,714,232 | |
Realized gain (loss) | | | (2,526,096 | ) |
Net Change in unrealized gain (loss) relating to instruments still held at reporting date | | | (443,853 | ) |
Sales | | | (3,744,283 | ) |
Ending Balance as of April 30, 2016 | | $ | — | |
For further information regarding security characteristics, see the Schedules of Investments.
59
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 4. INVESTMENTS IN DERIVATIVES |
The following table sets forth, by certain risk types, the gross value of derivative contracts as of April 30, 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 table 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:
| | | | | | | | | | | | | | |
| Fund | | Risk | | Statements of Assets and Liabilities | | Assets(a) | | | Statements of Assets and Liabilities | | Liabilities(a) | |
International Equity Insights | | Equity | | Receivable for unrealized gain on futures variation margin | | $ | 75,282 | | | Payable for unrealized loss on futures variation margin | | $ | (142,130) | |
International Small Cap Insights | | Equity | | Receivable for unrealized gain on futures variation margin | | | 214,777 | | | Payable for unrealized loss on futures variation margin | | | (149,008) | |
| (a) | | Includes unrealized gain (loss) on futures contracts 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. |
The following table sets forth, by certain risk types, the Funds’ gains (losses) related to these derivatives and their indicative volumes for the six months ended April 30, 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:
| | | | | | | | | | | | | | | | |
| Fund | | Risk | | Statements of Operations | | Net Realized
Gain (Loss) | | | Net Change in
Unrealized
Gain (Loss) | | | Average
Number of
Contracts(a) | |
International Equity Insights | | Equity | | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | | | (1,433,941 | ) | | | (490,974 | ) | | | 334 | |
International Small Cap Insights | | Equity | | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | | | (1,593,951 | ) | | | (1,688,234) | | | | 472 | |
| (a) | | Average number of contracts is based on the average of month end balances for the six months ended April 30, 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.
60
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the six months ended April 30, 2016, contractual and effective net management fees with GSAM were at the following rates:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Contractual Management Rate | | | Effective Net
Management Rate^ | |
| Fund | | | | First $1 billion | | | Next $1 billion | | | Next $3 billion | | | Next $3 billion | | | Over $8 billion | | | Effective
Rate | | |
Emerging Markets Equity Insights | | | | | 1.00 | % | | | 1.00 | % | | | 0.90 | % | | | 0.86 | % | | | 0.84 | % | | | 1.00 | % | | | 1.00 | % |
International Equity Insights | | | | | 0.85 | | | | 0.77 | | | | 0.73 | | | | 0.72 | | | | 0.71 | | | | 0.85 | | | | 0.81 | (1) |
International Small Cap Insights | | | | | 0.85 | | | | 0.85 | | | | 0.77 | | | | 0.73 | | | | 0.72 | | | | 0.85 | | | | 0.85 | |
| ^ | | Effective Net Management Rate includes the impact of management fee waivers of affiliated underlying funds, if any. |
| (1) | | GSAM agreed to waive a portion of its management fee in order to achieve a net management rate, as defined in the Fund’s most recent prospectus. This waiver will be effective through at least February 26, 2017, and prior to such date GSAM may not terminate the arrangement without the approval of the Trustees. |
The International Small Cap Insights Fund invests in the FST Institutional Shares of Goldman Sachs Financial Square Government Fund, which is an affiliated Underlying Fund. GSAM has agreed to waive a portion of its management fee payable by the Fund in an amount equal to the management fee it earns as an investment adviser to any of the affiliated Underlying Funds in which the Fund invests. For the six months ended April 30, 2016, GSAM waived $12,247 of the Fund’s management fees.
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. |
C. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Funds pursuant to a Distribution Agreement, may retain a portion of the Class A Shares front end sales charge and Class C Shares’ CDSC. During the six months ended April 30, 2016, Goldman Sachs advised that it retained the following amounts:
| | | | | | |
| | | | | Front End
Sales Charge | |
| Fund | | | | Class A | |
Emerging Markets Equity Insights | | | | $ | 521 | |
International Equity Insights | | | | | 2,829 | |
International Small Cap Insights | | | | | 18,299 | |
For the period ended April 30, 2016, Goldman Sachs did not retain any CDSC charges on Class C Shares.
61
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
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: 0.19% 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 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, 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 Emerging Markets Equity Insights, International Equity Insights and International Small Cap Insights Funds are 0.114%, 0.004% and 0.014%, respectively. Prior to February 26, 2016, the Other Expense limitation was 0.144% for the Emerging Markets Equity Insights Fund. These Other Expense limitations will remain in place through at least February 26, 2017, 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.
For the six months ended April 30, 2016, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
| | | | | | | | | | | | | | | | | | |
| Fund | | | | Management
Fee Waiver | | | Custody Fee
Credits | | | Other Expense
Reimbursement | | | Total
Expense
Reductions | |
Emerging Markets Equity Insights | | | | $ | — | | | $ | 2,307 | | | $ | 245,977 | | | $ | 248,284 | |
International Equity Insights | | | | | 141,304 | | | | 4,545 | | | | 341,578 | | | | 487,427 | |
International Small Cap Insights | | | | | 12,247 | | | | 298 | | | | 647,393 | | | | 659,938 | |
G. Line of Credit Facility — As of April 30, 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”). This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the six months ended April 30, 2016, the Funds did not have any borrowings under the facility. The facility was renewed in the amount of $1,100,000,000 effective May 3, 2016.
H. Other Transactions with Affiliates — For the six months ended April 30, 2016, Goldman Sachs earned $3,014 in brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant, on behalf of the International Equity Insights Fund.
62
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
The following table provides information about the International Small Cap Insights Fund’s investment in the Goldman Sachs Financial Square Government Fund as of and for the six months ended April 30, 2016:
| | | | | | | | | | | | | | | | | | | | | | |
| Fund | | | | Market Value
10/31/2015 | | | Purchases at
Cost | | | Proceeds from Sales | | | Market
Value
4/30/2016 | | | Dividend
Income | |
International Small Cap Insights | | | | $ | 29,164,962 | | | $ | 225,251,093 | | | $ | (252,715,917 | ) | | $ | 1,700,138 | | | $ | 11,521 | |
As of April 30, 2016, the following Goldman Sachs Fund of Funds Portfolios and Goldman Sachs Global Tax-Aware Equity Portfolios were beneficial owners of 5% or more of total outstanding shares of the following Funds:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | | | Goldman Sachs
Balanced Strategy
Portfolio | | | Goldman Sachs
Enhanced Dividend
Global Equity
Portfolio | | | Goldman Sachs Equity Growth
Strategy
Portfolio | | | Goldman Sachs
Growth
Strategy
Portfolio | | | Goldman Sachs
Growth and
Income
Strategy
Portfolio | | | Goldman Sachs
Satellite
Strategies
Portfolio | | | Goldman Sachs
Tax-Advantaged
Global Equity
Portfolio | |
Emerging Markets Equity Insights | | | | | — | % | | | — | % | | | — | % | | | 9 | % | | | 7 | % | | | 6 | % | | | 13 | % |
International Equity Insights | | | | | 5 | | | | — | | | | 13 | | | | 24 | | | | 19 | | | | — | | | | — | |
International Small Cap Insights | | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 8 | | | | — | |
As of April 30, 2016, the Goldman Sachs Group, Inc. was the beneficial owner of approximately 8% of the Class R6 Shares of the Emerging Markets Equity Insights Fund and approximately 100% of the Class R6 Shares of the International Equity Insights Fund.
|
| 6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended April 30, 2016, were as follows:
| | | | | | | | | | |
| Fund | | | | Purchases | | | Sales and Maturities | |
Emerging Markets Equity Insights | | | | $ | 835,253,393 | | | $ | 639,984,139 | |
International Equity Insights | | | | | 615,935,092 | | | | 610,724,764 | |
International Small Cap Insights | | | | | 1,065,639,532 | | | | 863,625,585 | |
Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and the terms and conditions contained therein, the Emerging Markets Equity Insights, International Equity Insights and International Small Cap Insights Funds may lend their securities through a securities lending agent, Goldman Sachs Agency Lending (“GSAL”), a wholly-owned subsidiary of Goldman Sachs, to certain qualified borrowers including Goldman Sachs and affiliates. In accordance with the Funds’ securities lending procedures, the Funds receive cash collateral at least equal to the market value of the securities on loan. The market value of the loaned securities is determined at the close of business of the Funds, at their last sale price or official closing price on the principal exchange or system on which they are traded, and any additional required collateral is delivered to the Funds on the next
63
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 7. SECURITIES LENDING (continued) |
business day. As with other extensions of credit, the Funds may experience delay in the recovery of their securities or incur a loss should the borrower of the securities breach its agreement with the Funds or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan. Dividend income received from securities on loan may not be subject to withholding taxes and therefore withholding taxes paid may differ from the amounts listed in the Statements of Operations. Loans of securities are terminable at any time and as such 1) the remaining contractual maturities of the outstanding securities lending transactions are considered to be overnight and continuous and 2) the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
The Emerging Markets Equity Insights, International Equity Insights and International Small Cap Insights Funds invest the cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Money Market Fund (“Money Market Fund”), an affiliated series of the Trust. The Money Market Fund is registered under the Act as an open end investment company, is subject to Rule 2a-7 under the Act, and is managed by GSAM, for which GSAM may receive an investment advisory fee of up to 0.205% on an annualized basis of the average daily net assets of the Money Market Fund.
In the event of a default by a borrower with respect to any loan, GSAL will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If, despite such efforts by GSAL to exercise these remedies, the Funds sustain losses as a result of a borrower’s default, GSAL indemnifies the Funds by purchasing replacement securities at GSAL’s expense, or paying the Funds an amount equal to the market value of the replacement securities, subject to an exclusion for any shortfalls resulting from a loss of value in the cash collateral pool due to reinvestment risk and a requirement that the Funds agree to assign rights to the collateral to GSAL for purpose of using the collateral to cover purchase of replacement securities as more fully described in the Securities Lending Agency Agreement. The Funds’ loaned securities were all subject to enforceable Securities Lending Agreements and the value of the collateral is at least equal to the value of the cash received. The value of loaned securities and cash collateral at period end are disclosed in the Funds’ Statements of Assets and Liabilities.
Both the Emerging Markets Equity Insights, International Equity Insights and International Small Cap Insights Funds and GSAL received compensation relating to the lending of the Funds’ securities. The amounts earned by the Funds for the six months ended April 30, 2016, are reported under Investment Income on the Statements of Operations.
The table below details securities lending activity with affiliates of Goldman Sachs:
| | | | | | | | | | | | | | |
| | | | | For the Six Months ended April 30, 2016 | | | Amounts Payable to
Goldman Sachs upon Return of
Securities Loaned as of
April 30, 2016 | |
| Fund | | | | Earnings of GSAL
Relating to Securities Loaned | | | Amounts Received
by the Funds from Lending to
Goldman Sachs | | |
Emerging Markets Equity Insights | | | | $ | 10,647 | | | $ | 7,102 | | | $ | — | |
International Equity Insights | | | | | 22,043 | | | | 37,383 | | | | 2,511,824 | |
International Small Cap Insights | | | | | 73,904 | | | | 138,703 | | | | 16,113,712 | |
The following table provides information about the Funds’ investment in the Money Market Fund for the six months ended April 30, 2016:
| | | | | | | | | | | | | | | | | | |
| Fund | | | | Market Value 10/31/2015 | | | Purchases at Cost | | | Proceeds from Sales | | | Market Value
4/30/2016 | |
Emerging Markets Equity Insights | | | | $ | 31,533,953 | | | $ | 78,515,077 | | | $ | (107,320,230 | ) | | $ | 2,728,800 | |
International Equity Insights | | | | | 26,299,180 | | | | 117,156,167 | | | | (118,658,268 | ) | | | 24,797,079 | |
International Small Cap Insights | | | | | 49,255,589 | | | | 159,947,644 | | | | (117,423,806 | ) | | | 91,779,427 | |
64
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
As of the Funds’ most recent fiscal year end, October 31, 2015, the Funds’ capital loss carryforwards on a tax-basis were as follows:
| | | | | | | | | | | | |
| | | Emerging Markets
Equity Insights | | | International Equity Insights | | | International
Small Cap Insights | |
Capital loss carryforwards:(1) | | | | | | | | | | | | |
Expiring 2016 | | $ | — | | | $ | (392,271,823 | ) | | $ | — | |
Expiring 2017 | | | — | | | | (940,883,655 | ) | | | — | |
Expiring 2019 | | | — | | | | (2,867,280 | ) | | | — | |
Perpetual short-term | | | (42,463,393 | ) | | | (19,095,448 | ) | | | (5,290,806 | ) |
Total capital loss carryforwards | | $ | (42,463,393 | ) | | $ | (1,355,118,206 | ) | | $ | (5,290,806 | ) |
| (1) | | With the exception of perpetual capital loss carryforwards, expiration occurs on October 31 of the year indicated. |
As of April 30, 2016, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
| | | | | | | | | | | | |
| | | Emerging Markets
Equity Insights | | | International
Equity Insights | | | International
Small Cap Insights | |
Tax cost | | $ | 705,150,139 | | | $ | 696,338,985 | | | $ | 1,501,441,499 | |
Gross unrealized gain | | | 67,079,600 | | | | 58,175,465 | | | | 138,221,151 | |
Gross unrealized loss | | | (33,497,552 | ) | | | (26,610,196 | ) | | | (56,114,479 | ) |
Net unrealized security gain (loss) | | $ | 33,582,048 | | | $ | 31,565,269 | | | $ | 82,106,672 | |
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, net mark to market gains (losses) on foreign currency contracts and differences in the tax treatment of passive foreign investment company investments.
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.
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 also can result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.
Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of more or less foreign government regulation, less public information and less economic, political and social stability in the countries in which the Fund
65
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 9. OTHER RISKS (continued) |
invests. Loss may also result from the imposition of exchange controls, confiscations and other government restrictions by the U.S. 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 a 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 a fund also invests in securities of issuers located in emerging markets, these risks may be more pronounced.
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.
Investments in Other Investment Companies — As a shareholder of another investment company, including an ETF, a Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund. ETFs are subject to risks that do not apply to conventional mutual funds, including but not limited to the following: (i) the market price of the ETF’s shares may trade at a premium or a discount to their NAV; and (ii) an active trading market for an ETF’s shares may not develop or be maintained.
Large Shareholder Transactions Risk — 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 the 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 a Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact a Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in a Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect a Fund’s performance to the extent that a Fund is delayed in investing new cash and is required to maintain a larger cash position than it ordinarily would.
Liquidity Risk — A Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk 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.
Market and Credit Risks — In the normal course of business, a Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, a Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
66
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
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.
Mergers and Reorganizations — At a meeting held on October 14-15, 2015, the Trustees approved an Agreement and Plan of Reorganization (the “Reorganization Agreement”) providing for the tax-free acquisition of the Goldman Sachs International Small Cap Fund (the “Acquired Fund”) by the Goldman Sachs International Small Cap Insights Fund (the “Survivor Fund”). The acquisition was completed on February 5, 2016.
Pursuant to the Reorganization Agreement, the assets and liabilities of the Acquired Fund’s Shares were transferred in exchange for the Survivor Fund’s Shares, in a tax-free exchange as follows:
| | | | | | | | | | | | | | |
| Survivor/Acquired Fund | | | | Exchanged Shares
of Survivor Fund | | | Value of
Exchanged Shares | | | Acquired Fund’s
Shares
Outstanding as of
February 5, 2016 | |
International Small Cap Insights Class A/International Small Cap Class A | | | | | 1,319,500 | | | $ | 12,667,203 | | | | 735,704 | |
International Small Cap Insights Class C/International Small Cap Class C | | | | | 336,631 | | | | 3,144,130 | | | | 189,506 | |
International Small Cap Insights Institutional Class/International Small Cap Institutional Class | | | | | 11,039,313 | | | | 105,977,401 | | | | 5,993,654 | |
International Small Cap Insights Class A/International Small Cap Service Class | | | | | 123,678 | | | | 1,187,304 | | | | 69,907 | |
International Small Cap Insights Class IR/International Small Cap Class IR | | | | | 144,014 | | | | 1,376,771 | | | | 77,777 | |
The financial statements reflect the operations of the Survivor Fund for the period prior to the acquisition and for the period subsequent to the acquisition. Assuming the acquisition had been completed on November 1, 2015, the Fund’s pro forma results of operations for the six months ended April 30, 2016, would be as follows:
| | | | |
Net investment income | | $ | 11,579,147 | |
Net loss on investments | | $ | (10,577,143 | ) |
Net increase in net assets resulting from operations | | $ | 1,002,004 | |
Because the combined investment portfolios have been managed as a single integrated Fund since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of International Small Cap Fund that have been included in the Fund’s Statement of Operations since February 5, 2016.
67
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 11. OTHER MATTERS (continued) |
The following chart shows the Survivor Fund’s and Acquired Fund’s aggregate net assets (immediately before and after the completion of the acquisition) and the Acquired Fund’s unrealized appreciation:
| | | | | | | | | | | | | | | | | | | | | | |
| Survivor/Acquired Fund | | | | Survivor Fund’s Aggregate Net Assets before acquisition | | | Acquired Fund’s Aggregate Net Assets before acquisition | | | Survivor Fund’s Aggregate Net Assets immediately after acquisition | | | Acquired Fund’s Unrealized Depreciation | | | Acquired Fund’s Capital Loss Carryforward* | |
International Small Cap Insights/International Small Cap | | | | $ | 1,261,539,102.00 | | | $ | 124,352,810.00 | | | $ | 1,385,892,154.00 | | | $ | (1,092,050.00 | ) | | $ | (17,180,096 | ) |
| * | | Due to Fund reorganizations, utilization of acquired losses may be substantially limited under the Code. |
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.
68
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
|
| 13. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | Emerging Markets Equity Insights Fund | |
| | | | |
| | | For the Six Months Ended April 30, 2016 (Unaudited) | | | For the Fiscal Year Ended
October 31, 2015 | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 1,624,295 | | | $ | 11,996,492 | | | | 1,831,857 | | | $ | 15,491,486 | |
Reinvestment of distributions | | | 43,777 | | | | 331,829 | | | | 97,926 | | | | 827,477 | |
Shares redeemed | | | (1,215,859 | ) | | | (8,942,520 | ) | | | (1,434,964 | ) | | | (12,316,990 | ) |
| | | | 452,213 | | | | 3,385,801 | | | | 494,819 | | | | 4,001,973 | |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 33,045 | | | | 247,719 | | | | 72,805 | | | | 621,855 | |
Reinvestment of distributions | | | 220 | | | | 1,663 | | | | 1,125 | | | | 9,472 | |
Shares redeemed | | | (37,274 | ) | | | (267,029 | ) | | | (45,881 | ) | | | (379,906 | ) |
| | | | (4,009 | ) | | | (17,647 | ) | | | 28,049 | | | | 251,421 | |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 46,969,051 | | | | 356,157,423 | | | | 25,344,354 | | | | 212,286,064 | |
Reinvestment of distributions | | | 751,192 | | | | 5,679,011 | | | | 1,976,076 | | | | 16,638,558 | |
Shares redeemed | | | (23,084,351 | ) | | | (167,455,186 | ) | | | (36,627,575 | ) | | | (300,150,389 | ) |
| | | | 24,635,892 | | | | 194,381,248 | | | | (9,307,145 | ) | | | (71,225,767 | ) |
| Class IR Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 157,520 | | | | 1,150,424 | | | | 101,302 | | | | 856,635 | |
Reinvestment of distributions | | | 1,811 | | | | 13,689 | | | | 2,036 | | | | 17,142 | |
Shares redeemed | | | (24,640 | ) | | | (185,563 | ) | | | (100,019 | ) | | | (814,815 | ) |
| | | | 134,691 | | | | 978,550 | | | | 3,319 | | | | 58,962 | |
| Class R | | | | | | | | | | | | | | | | |
Shares sold | | | 417,887 | | | | 2,959,086 | | | | 511,434 | | | | 4,309,387 | |
Reinvestment of distributions | | | 5,611 | | | | 42,141 | | | | 3,766 | | | | 31,596 | |
Shares redeemed | | | (99,619 | ) | | | (716,074 | ) | | | (47,012 | ) | | | (386,625 | ) |
| | | | 323,879 | | | | 2,285,153 | | | | 468,188 | | | | 3,954,358 | |
| Class R6(a) | | | | | | | | | | | | | | | | |
Shares sold | | | 13,315 | | | | 97,934 | | | | 1,191 | | | | 10,005 | |
Reinvestment of distributions | | | 16 | | | | 121 | | | | — | | | | — | |
Shares redeemed | | | (88 | ) | | | (694 | ) | | | (1 | ) | | | (5 | ) |
| | | | 13,243 | | | | 97,361 | | | | 1,190 | | | | 10,000 | |
NET INCREASE (DECREASE) | | | 25,555,909 | | | $ | 201,110,466 | | | | (8,311,580 | ) | | $ | (62,949,053 | ) |
| (a) | | Commenced operations on July 31, 2015. |
69
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 13. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | International Equity Insights Fund | |
| | | | |
| | | For the Six Months Ended April 30, 2016 (Unaudited) | | | For the Fiscal Year Ended October 31, 2015 | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 1,864,293 | | | $ | 18,714,669 | | | | 1,868,895 | | | $ | 19,519,895 | |
Shares converted from Class B(a) | | | — | | | | — | | | | 24,889 | | | | 263,075 | |
Reinvestment of distributions | | | 80,129 | | | | 829,331 | | | | 291,811 | | | | 2,932,700 | |
Shares redeemed | | | (1,060,400 | ) | | | (10,717,548 | ) | | | (2,146,266 | ) | | | (22,454,171 | ) |
| | | | 884,022 | | | | 8,826,452 | | | | 39,329 | | | | 261,499 | |
| Class B Shares(a) | | | | | | | | | | | | | | | | |
Shares converted to Class A | | | — | | | | — | | | | (25,175 | ) | | | (263,075 | ) |
Shares redeemed | | | — | | | | — | | | | (88,787 | ) | | | (927,959 | ) |
| | | | — | | | | — | | | | (113,962 | ) | | | (1,191,034 | ) |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 201,673 | | | | 2,026,558 | | | | 185,882 | | | | 1,949,987 | |
Reinvestment of distributions | | | 2,542 | | | | 25,930 | | | | 8,739 | | | | 86,865 | |
Shares redeemed | | | (96,029 | ) | | | (932,886 | ) | | | (59,564 | ) | | | (610,073 | ) |
| | | | 108,186 | | | | 1,119,602 | | | | 135,057 | | | | 1,426,779 | |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 16,898,891 | | | | 172,594,426 | | | | 17,109,923 | | | | 180,629,424 | |
Reinvestment of distributions | | | 790,870 | | | | 8,383,219 | | | | 2,889,476 | | | | 29,732,706 | |
Shares redeemed | | | (17,431,285 | ) | | | (182,418,210 | ) | | | (28,291,881 | ) | | | (294,640,896 | ) |
| | | | 258,476 | | | | (1,440,565 | ) | | | (8,292,482 | ) | | | (84,278,766 | ) |
| Service Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 26,115 | | | | 270,393 | | | | 24,694 | | | | 262,287 | |
Reinvestment of distributions | | | 1,373 | | | | 14,350 | | | | 5,162 | | | | 52,390 | |
Shares redeemed | | | (22,732 | ) | | | (226,602 | ) | | | (133,921 | ) | | | (1,372,691 | ) |
| | | | 4,756 | | | | 58,141 | | | | (104,065 | ) | | | (1,058,014 | ) |
| Class IR Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 101,902 | | | | 1,002,828 | | | | 164,932 | | | | 1,769,692 | |
Reinvestment of distributions | | | 1,745 | | | | 17,727 | | | | 1,163 | | | | 11,495 | |
Shares redeemed | | | (149,509 | ) | | | (1,528,403 | ) | | | (32,061 | ) | | | (324,237 | ) |
| | | | (45,862 | ) | | | (507,848 | ) | | | 134,034 | | | | 1,456,950 | |
| Class R Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 38,680 | | | | 382,470 | | | | 6,876 | | | | 69,735 | |
Reinvestment of distributions | | | 130 | | | | 1,319 | | | | 447 | | | | 4,419 | |
Shares redeemed | | | (7,259 | ) | | | (68,983 | ) | | | (4,582 | ) | | | (44,808 | ) |
| | | | 31,551 | | | | 314,806 | | | | 2,741 | | | | 29,346 | |
| Class R6 Shares(b) | | | | | | | | | | | | | | | | |
Shares sold | | | — | | | | — | | | | 891 | | | | 10,006 | |
Reinvestment of distributions | | | 12 | | | | 138 | | | | — | | | | — | |
Shares redeemed | | | — | | | | — | | | | — | | | | (5 | ) |
| | | | 12 | | | | 138 | | | | 891 | | | | 10,001 | |
NET INCREASE (DECREASE) | | | 1,241,141 | | | $ | 8,370,726 | | | | (8,198,457 | ) | | $ | (83,343,239 | ) |
| (a) | | Class B Shares converted into Class A Shares at the close of business on November 14, 2014. |
| (b) | | Commenced operations on July 31, 2015. |
70
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
|
| 13. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | International Small Cap Insights Fund | |
| | | | |
| | | For the Six Months Ended April 30, 2016 (Unaudited) | | | For the Fiscal Year Ended October 31, 2015 | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 6,775,392 | | | $ | 68,745,937 | | | | 10,164,659 | | | $ | 105,767,772 | |
Shares issued in connection with merger | | | 1,443,178 | | | | 13,854,507 | | | | — | | | | — | |
Reinvestment of distributions | | | 265,744 | | | | 2,771,715 | | | | 377,041 | | | | 3,661,067 | |
Shares redeemed | | | (4,746,850 | ) | | | (47,828,880 | ) | | | (5,368,860 | ) | | | (55,033,086 | ) |
| | | | 3,737,464 | | | | 37,543,279 | | | | 5,172,840 | | | | 54,395,753 | |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 1,235,621 | | | | 12,184,690 | | | | 2,593,933 | | | | 26,548,629 | |
Shares issued in connection with merger | | | 336,631 | | | | 3,144,130 | | | | — | | | | — | |
Reinvestment of distributions | | | 28,258 | | | | 286,821 | | | | 39,196 | | | | 371,581 | |
Shares redeemed | | | (597,007 | ) | | | (5,791,384 | ) | | | (758,657 | ) | | | (7,530,969 | ) |
| | | | 1,003,503 | | | | 9,824,257 | | | | 1,874,472 | | | | 19,389,241 | |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 32,789,560 | | | | 330,392,557 | | | | 43,990,057 | | | | 456,097,807 | |
Shares issued in connection with merger | | | 11,039,312 | | | | 105,977,401 | | | | — | | | | — | |
Reinvestment of distributions | | | 1,269,392 | | | | 13,227,063 | | | | 1,626,828 | | | | 15,763,967 | |
Shares redeemed | | | (19,234,158 | ) | | | (193,817,005 | ) | | | (27,091,726 | ) | | | (273,799,729 | ) |
| | | | 25,864,106 | | | | 255,780,016 | | | | 18,525,159 | | | | 198,062,045 | |
| Class IR Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 4,293,475 | | | | 43,064,767 | | | | 2,889,011 | | | | 30,097,553 | |
Shares issued in connection with merger | | | 144,014 | | | | 1,376,771 | | | | — | | | | — | |
Reinvestment of distributions | | | 81,550 | | | | 847,302 | | | | 63,030 | | | | 608,866 | |
Shares redeemed | | | (1,407,275 | ) | | | (13,843,941 | ) | | | (930,661 | ) | | | (9,482,125 | ) |
| | | | 3,111,764 | | | | 31,444,899 | | | | 2,021,380 | | | | 21,224,294 | |
| Class R6 Shares(a) | | | | | | | | | | | | | | | | |
Shares sold | | | 285,624 | | | | 2,785,117 | | | | 930 | | | | 10,005 | |
Reinvestment of distributions | | | 354 | | | | 3,693 | | | | | | | | | |
Shares redeemed | | | (1,642 | ) | | | (16,397 | ) | | | — | | | | (5 | ) |
| | | | 284,336 | | | | 2,772,413 | | | | 930 | | | | 10,000 | |
NET INCREASE | | | 34,001,173 | | | $ | 337,364,864 | | | | 27,594,781 | | | $ | 293,081,333 | |
| (a) | | Commenced operations on July 31, 2015. |
71
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Fund Expenses — Six Month Period Ended April 30, 2016 (Unaudited)
As a shareholder of Class A, Class C, Institutional, Service, Class IR, Class R or 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) and 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, Class IR, Class R and 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 November 1, 2015 through April 30, 2016, which represents a period of 182 days of 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 ratio 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.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Emerging Markets Equity Insights Fund | | | International Equity Insights Fund | | | International Small Cap Insights Fund | |
| Share Class | | Beginning Account Value 11/30/15 | | | Ending Account Value 4/30/16 | | | Expenses Paid for the 6 Month Ended 4/30/16* | | | Beginning Account Value 11/30/15 | | | Ending Account Value 4/30/16 | | | Expenses Paid for the 6 Month Ended
4/30/16* | | | Beginning Account Value 11/30/15 | | | Ending Account Value 4/30/16 | | | Expenses Paid for the 6 Month Ended 4/30/16* | |
| Class A | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 996.40 | | | $ | 7.79 | | | $ | 1,000 | | | $ | 995.40 | | | $ | 6.20 | | | $ | 1,000 | | | $ | 1,020.50 | | | $ | 6.53 | |
Hypothetical 5% return | | | 1,000 | | | | 1,017.06 | + | | | 7.87 | | | | 1,000 | | | | 1,018.65 | + | | | 6.27 | | | | 1,000 | | | | 1,018.40 | + | | | 6.52 | |
| Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000 | | | | 993.00 | | | | 11.50 | | | | 1,000 | | | | 990.50 | | | | 9.90 | | | | 1,000 | | | | 1,015.80 | | | | 10.27 | |
Hypothetical 5% return | | | 1,000 | | | | 1,013.33 | + | | | 11.61 | | | | 1,000 | | | | 1,014.92 | + | | | 10.02 | | | | 1,000 | | | | 1,014.67 | + | | | 10.27 | |
| Institutional | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000 | | | | 999.00 | | | | 5.82 | | | | 1,000 | | | | 996.60 | | | | 4.22 | | | | 1,000 | | | | 1,021.80 | | | | 4.52 | |
Hypothetical 5% return | | | 1,000 | | | | 1,019.05 | + | | | 5.87 | | | | 1,000 | | | | 1,020.64 | + | | | 4.27 | | | | 1,000 | | | | 1,020.39 | + | | | 4.52 | |
| Service | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | N/A | | | | N/A | | | | N/A | | | | 1,000 | | | | 993.50 | | | | 6.69 | | | | N/A | | | | N/A | | | | N/A | |
Hypothetical 5% return | | | N/A | | | | N/A | | | | N/A | | | | 1,000 | | | | 1,018.15 | + | | | 6.77 | | | | N/A | | | | N/A | | | | N/A | |
| Class IR | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000 | | | | 998.10 | | | | 6.56 | | | | 1,000 | | | | 996.60 | | | | 4.96 | | | | 1,000 | | | | 1,021.00 | | | | 5.28 | |
Hypothetical 5% return | | | 1,000 | | | | 1,018.30 | + | | | 6.62 | | | | 1,000 | | | | 1,019.89 | + | | | 5.02 | | | | 1,000 | | | | 1,019.64 | + | | | 5.27 | |
| Class R | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000 | | | | 995.90 | | | | 9.03 | | | | 1,000 | | | | 993.00 | | | | 7.43 | | | | N/A | | | | N/A | | | | N/A | |
Hypothetical 5% return | | | 1,000 | | | | 1,015.81 | + | | | 9.12 | | | | 1,000 | | | | 1,017.40 | + | | | 7.52 | | | | N/A | | | | N/A | | | | N/A | |
| Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000 | | | | 999.40 | | | | 5.67 | | | | 1,000 | | | | 996.90 | | | | 4.17 | | | | 1,000 | | | | 1,024.00 | | | | 4.43 | |
Hypothetical 5% return | | | 1,000 | | | | 1,019.19 | + | | | 5.72 | | | | 1,000 | | | | 1,020.69 | + | | | 4.22 | | | | 1,000 | | | | 1,020.49 | + | | | 4.42 | |
| * | | Expenses 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 April 30, 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 | | | Class IR | | | Class R | | | Class R6 | |
Emerging Markets Equity Insights | | | 1.57 | % | | | 2.32 | % | | | 1.17 | % | | | N/A | | | | 1.32 | % | | | 1.82 | % | | | 1.14 | % |
International Equity Insights | | | 1.25 | | | | 2.00 | | | | 0.85 | | | | 1.35 | % | | | 1.00 | | | | 1.50 | | | | 0.84 | |
International Small Cap Insights | | | 1.30 | | | | 2.05 | | | | 0.90 | | | | N/A | | | | 1.05 | | | | N/A | | | | 0.88 | |
| + | | 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. |
72
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 FundsSM
| 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 FundsSM
| n | | Investor Money Market Fund |
| n | | Investor Tax-Exempt Money Market Fund3 |
Fixed Income
Short Duration and Government
| n | | High Quality Floating Rate Fund |
| n | | Limited Maturity Obligations Fund |
| n | | Short Duration Government Fund |
| n | | Short Duration Income Fund |
| n | | Inflation Protected Securities Fund |
Multi-Sector
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 | | 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 | | Small/Mid Cap Value 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 |
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 | | Emerging Markets Equity Fund6 |
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 | | 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 Overlay Fund8 |
| 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 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. |
| 8 | | Effective on June 1, 2016, the Goldman Sachs Tactical Tilt Implementation Fund was renamed the Goldman Sachs Tactical Tilt Overlay Fund. |
Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman, Sachs & Co.
| * | | This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds. |
| | |
TRUSTEES Ashok N. Bakhru, Chairman Kathryn A. Cassidy 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, Principal Financial Officer, Senior Vice President and Treasurer,
Caroline L. Kraus, Secretary |
| |
GOLDMAN, SACHS & CO. Distributor and Transfer Agent | | GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser |
Visit our Website 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 web site at http://www.sec.gov.
Economic and market forecasts presented herein reflect a series of assumptions and judgments as of the date of this presentation 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.
The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission (“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).
Fund holdings and allocations shown are as of April 30, 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.
The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk. Diversification does not protect an investor from market risk and does not ensure a profit.
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).
© 2016 Goldman Sachs. All rights reserved. 50708-TMPL-06/2016 INTINSSAR-16/30.2K
Goldman Sachs Funds
| | | | |
| | |
| Semi-Annual Report | | | | April 30, 2016 |
| | |
| | | | Multi-Asset Class Funds |
| | | | Absolute Return Multi-Asset |
| | | | Multi-Asset Real Return |
Goldman Sachs Multi-Asset Class Funds
| n | | ABSOLUTE RETURN MULTI-ASSET |
| n | | MULTI-ASSET REAL RETURN |
| | | | |
TABLE OF CONTENTS | | | | |
| |
Investment Process | | | 1 | |
| |
Portfolio Management Discussion and Performance Summary | | | 2 | |
| |
Schedules of Investments | | | 19 | |
| |
Financial Statements | | | 34 | |
| |
Financial Highlights | | | 38 | |
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Notes to the Financial Statements | | | 42 | |
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Other Information | | | 60 | |
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| NOT FDIC-INSURED | | May Lose Value | | No Bank Guarantee |
GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
What Differentiates Goldman Sachs Absolute Return Multi-Asset Fund’s Investment Process?
The Goldman Sachs Absolute Return Multi-Asset Fund (the “Fund”) seeks to deliver consistent returns in all market environments through broad diversification and dynamic management. The Fund aims to provide exposure beyond traditional asset classes, with less dependence on the direction of stock and bond markets, and thoughtfully combines the investment capabilities across Goldman Sachs Asset Management (GSAM).
| n | | By investing across asset classes using less-traditional strategies and techniques, we aim to incorporate distinct sources of return into the portfolio that are different from traditional core equities and bond returns |
| n | | We use a proprietary, factor-based risk-budgeting framework that seeks to balance risk across unique return drivers and active strategies |
| n | | The Fund capitalizes on the changing economic cycle and tactically adjusts for dislocations in the current environment, with the aim of enhancing returns and mitigating portfolio losses |
| n | | We seek to profit from opportunities across medium- to shorter-term time horizons and multiple geographies |
| n | | For over two decades, we have managed multi-asset class solutions for clients including sovereign wealth funds, pension plans, endowments, and foundations |
| n | | We leverage the insights and alpha generation of GSAM’s 800+ investment professionals in 33 offices around the globe (as of March 31, 2016) |
| n | | We monitor portfolio risk daily and have a robust risk management framework with multiple layers of oversight at the strategic allocation, security selection and firm levels |
Diversification does not protect an investor from market risk and does not ensure a profit. The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.
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PORTFOLIO RESULTS
Goldman Sachs Absolute Return Multi-Asset Fund
Investment Objective
The Fund seeks to achieve long-term absolute return.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Global Portfolio Solutions Team discusses the Goldman Sachs Absolute Return Multi-Asset Fund’s (the “Fund”) performance and positioning for the six-month period ended April 30, 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, R and R6 Shares generated cumulative total returns, without sales charges, of -1.97%, -2.32%, -1.74%, -1.89%, -2.05% and -1.73%, respectively. These returns compare to the 0.22% cumulative total return of the Fund’s benchmark, the Bank of America Merrill Lynch U.S. Dollar Three-Month LIBOR Constant Maturity Index (the “Index”), during the same time period. |
| | | References to the Fund’s benchmark and to other indices mentioned herein are for informational purposes only, and unless otherwise noted, are not an indication of how the Fund is managed. The use of the Index as the Fund’s benchmark does not imply the Fund is being managed like cash and does not imply low risk or low volatility. |
| Q | | What economic and market factors most influenced the Fund during the Reporting Period? |
| A | | Divergence in central bank monetary policy across countries and global regions — particularly in the developed markets where low inflation persisted — continued to unfold during the Reporting Period. In December 2015, the U.S. Federal Reserve (the “Fed”) announced its first interest rate hike since 2006, raising the targeted federal funds rate to a range of 0.25% to 0.50%. The Fed subsequently adopted a more dovish tone due to global economic growth concerns and market volatility. (A dovish tone tends to indicate lower interest rates.) However, following its April 2016 policy meeting at which interest rates were left unchanged, the Fed expressed less concern about these factors. Outside the U.S., accommodative monetary policies were reinforced in many developed markets, including Europe and Japan. In December 2015, the European Central Bank (“ECB”) lowered interest rates into negative territory and expanded its stimulus program. In January 2016, it increased its asset purchase program to include purchases of non-financial corporate credit and announced a new series of easing measures. The Bank of Japan introduced a negative interest rate at its January 2016 policy meeting, reaffirming its commitment to achieving a 2% inflation target. Later in the Reporting Period, it chose to leave monetary policy unchanged, surprising markets. |
| | | Investor sentiment was dominated during the Reporting Period overall by this divergent central bank monetary policy as well as by concerns about China and global economic growth. In this environment, the financial markets experienced bouts of heightened volatility, with varied performance across regions and asset classes around the world. Early in 2016, equity markets struggled to gain traction amid concerns about global economic growth, political instability, oil price volatility and currency fluctuations. The U.S. dollar weakened against most major world currencies, reversing course after a strong rally in 2015 to reach its low of the Reporting Period in March 2016. Meanwhile, commodity prices were volatile. The price of West Texas Intermediate (“WTI”) crude oil, for example, which continued to decline at the beginning of the Reporting Period, hit a 12-year low in mid-January 2016 before rising significantly through the end of the Reporting Period. The turbulence in the commodity markets had a substantial impact on energy-related sectors in both the equities and fixed income markets, most notably among high yield corporate bonds that managed nevertheless to eke out a small gain during the Reporting Period. Broadly speaking, fixed income securities and less risky asset classes provided the best returns during the Reporting Period overall. |
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PORTFOLIO RESULTS
| Q | | What key factors were responsible for the Fund’s performance during the Reporting Period? |
| A | | The Fund seeks to achieve its investment objective through investments in different asset classes, geographic regions and security selection strategies in a portfolio primarily of equity, fixed income, real assets and currency asset classes. During the Reporting Period overall, the Fund posted negative absolute returns. At the asset class level, the Fund’s exposures to equity and real assets detracted from performance, while its exposures to fixed income and currencies contributed positively for the Reporting Period as a whole. |
| | | The Fund’s negative performance within equities was due largely to underlying security selection in certain active equity strategies as well as tactical country selection. Specifically, the long/short equity strategy was the largest detractor from performance, mainly due to substantial selloffs in several of the strategy’s largest long positions in the health care and financials sectors. Additionally, tactical long positions in European and Japanese equities detracted from performance as these regions lagged the broader market and did not fully participate in a March 2016 rally, led by U.S. stocks. On the other hand, the Fund benefited from gains in the U.S. and European equity volatility-selling strategies, which seek to benefit from the difference between implied volatility (i.e., expectations of future volatility) and realized volatility (i.e., historical volatility) in equity markets, as market volatility remained elevated throughout the Reporting Period. |
| | | The Fund’s positions in real assets also detracted overall during the Reporting Period. As commodity prices rose in the latter part of the Reporting Period, tactical short positions in copper and crude oil hampered performance. However, a long position in gold was advantageous amid safe haven buying early in 2016. The Fund’s results were also bolstered by the strong performance of its holdings of U.S. real estate equities, which benefited from investors’ improved appetite for both risk and yield between mid-February 2016 and the end of the Reporting Period. |
| | | Fixed income positions contributed positively to the Fund’s overall results during the Reporting Period. A tactical breakeven inflation position, in which the Fund held a long position in Treasury inflation protected securities (“TIPS”) and a short position in U.S. Treasury futures, contributed positively amid market expectations for increased inflation. (The breakeven inflation rate is the difference between the nominal yield on a fixed-rate investment and the real yield on an inflation-linked investment of similar maturity and credit quality. If inflation averages more than the breakeven, the inflation-linked investment will outperform the fixed-rate. Conversely, if inflation averages below the breakeven, the fixed-rate will outperform the inflation-linked.) In addition, a strategy that purchases options on short-dated U.S. Treasury futures helped performance, particularly in early 2016 when interest rates fell during a broad flight to safety. |
| | | The Fund’s currency positions helped performance overall during the Reporting Period, driven by long exposure to appreciating currencies and short exposure to depreciating currencies. |
| Q | | How was the Fund positioned at the beginning of the Reporting Period? |
| A | | At the beginning of the Reporting Period, the Fund had approximately 30% of its total net assets in long equity- related positions; approximately 35% of its total net assets in long fixed income-related investments; approximately 14% of its total net assets in long real assets investments; and approximately 17% in long currency-related investments. It had short positions of approximately -13% of its total net assets in equity-related positions; approximately -34% of its total net assets in fixed income-related assets; approximately -6% of its total net assets in real asset investments; and approximately -17% of its total net assets in currency-related investments. These short positions were accomplished through the use of equity index futures, equity options, interest rates futures, commodity futures and currency forwards. |
| Q | | How did you tactically manage the Fund’s allocations during the Reporting Period? |
| A | | Throughout the Reporting Period, the Fund’s positioning reflected our expectation of continued, albeit muted, global economic expansion and divergent monetary policy across the world. Tactically, this was expressed by the Fund’s exposure to the interest rates of various countries. In February 2016, the Fund initiated a breakeven inflation position, through a long position in TIPS and a short position in U.S. Treasury futures, as we sought to take advantage of increased inflation expectations. We had identified a number of factors, including a tighter U.S. labor market and the Fed’s continued accommodative monetary policy, that we believed could lift inflation expectations in the near term. Early in March 2016, we implemented a short position in 30-year German government bonds to express our view that interest rates would rise, causing fixed income asset prices to fall, as the longer-term economic growth outlook improved. In |
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PORTFOLIO RESULTS
| | addition, during the latter part of the first quarter of 2016, the Fund adopted a steepening position on the U.S. yield curve, in which it was long September 2016 Eurodollar futures and short September 2017 Eurodollar futures. We implemented this positioning based on our belief that markets had overreacted to volatility in early 2016 and were underestimating the speed at which the Fed could raise rates. Yield curve is a spectrum of maturities. |
| | | Additionally, during the Reporting Period, we tactically adjusted the Fund’s exposure to U.S. and international developed equities. Near the end of 2015, we reduced the Fund’s U.S. equities exposure based on our belief that the late calendar year rally was over and that there was limited room for further gains. In late January 2016, we increased the Fund’s exposure to the U.S. equity market through a combination of equity index options on the S&P 500® Index. U.S. equities had experienced a large decline early in January 2016, and we believed the losses were driven by market technicals, or supply/demand factors, not fundamentals. By adding exposure to U.S. equities through equity index options, we sought to allow the Fund to participate in a portion of the upside if the U.S. equity market rallied and to mitigate a portion of the downside if the market retreated. Furthermore, we increased the Fund’s exposure to global equities as energy prices stabilized and global monetary policy remained accommodative. Near the end of the Reporting Period, we reduced the Fund’s exposure to global equities because we believed the first quarter 2016 rally had run its course and the market might retrace some of its gains. |
| | | Additionally, within equities, we sought to tactically deploy capital in select countries and sectors to express our macro views. In January 2016, for example, the Fund added exposure to European equities. European equities had sold off significantly since December 2015 on concerns about China’s economic growth and the failure of the ECB to satisfy investor expectations for additional easing. After the ECB reaffirmed its commitment to monetary policy support, we believed European equities would respond positively to expected quantitative easing measures. We also added a long position in U.S. banks, which had underperformed the broader U.S. equity market at the beginning of 2016 as yields fell on decreased expectations of a Fed rate hike. In our view, the market had overly punished the banking sector, and we believed loan growth fundamentals remained strong. |
| | | We also expressed our macro views during the Reporting Period by tactically managing a basket of currencies. In particular, we used the basket of currencies to express our views on the monetary and inflationary environment across developed and emerging markets countries and on slowing economic growth in China and other emerging markets countries. We also believed that lower commodity prices should have a positive impact on the currencies of commodity importers, such as India, and a negative impact on the currencies of commodity exporters, such as Australia. |
| | | Throughout the Reporting Period, we also tactically shifted the Fund’s exposure among equity, fixed income, commodities and currency asset classes using systematic trend-following strategies, which seek to profit from price trends across and within asset classes as investors react to new information. |
| | | Finally, we sought to manage the Fund’s risk exposure and to add a number of diversifying positions with the aim of protecting the Fund in “risk-off” environments. To this end, we added a long position in gold during December 2015 to express our belief in longer-term global economic growth and our view that the U.S. equity market was unlikely to appreciate further in the near term. At the end of January 2016, we implemented a tactical long position in WTI crude oil based on our belief that the market was overly pessimistic about the direction of oil prices. We also initiated a short position in copper as we sought to hedge against the potential of Chinese economic growth disappointments. |
| Q | | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | | During the Reporting Period, the Fund used exchange-traded index futures contracts to gain exposure to the following markets, all contributing negatively to performance: U.S. large-cap and small-cap equities; non-U.S. developed markets equities, including Europe; and emerging markets equities, including Taiwan and India. Interest rate futures, which were used to hedge interest rate exposure in order to manage exposure to fluctuations in interest rates and to facilitate specific duration and yield curve strategies, added to performance. The Fund’s use of U.S. Treasury futures, employed as part of its breakeven inflation position during the Reporting Period, detracted from results. The Fund’s use of U.S. Treasury futures and German Bund futures to gain access to U.S. and German government bonds did not have a meaningful impact on performance. In addition, the Fund used Eurodollar futures to take tactical positions on the U.S. interest rate yield curve, which had no impact on performance during the Reporting Period. (Different positions may be taken within the Fund based on expectations of changes in interest rates and expectations of changes in the yield |
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PORTFOLIO RESULTS
| | curve. Changes in the shape of the yield curve will change the relative price of bonds represented by the curve.) Equity and commodity futures, which were used to implement our directional views or to mitigate the Fund’s exposure to market volatility, detracted from performance during the Reporting Period overall. In addition, the Fund used listed equity options to gain or reduce exposure to commodities and the fixed income and equity markets of certain countries. Overall, the Fund’s use of listed equity options had negative impact on performance. More specifically, the Fund was hurt by its use of listed equity options to control exposure to U.S. and European large-cap equities and to gain exposure to oil. This was offset somewhat by the use of listed equity options to obtain exposure to gold and short-term U.S. interest rates. In addition, the Fund used foreign exchange currency forward contracts to take long and short positions in select non-U.S. developed markets and in emerging markets as well as to take advantage of relative-value, momentum- based investment opportunities. These instruments added to the Fund’s performance during the Reporting Period overall. The Fund utilized commodity swaps to implement tactical short positions in copper and WTI oil. Both positions detracted from the Fund’s returns, driven by an uptick in the prices of both commodities during the Reporting Period. Also, a specialized index of credit default swaps (“CDX”) was employed during the Reporting Period to modulate the Fund’s exposure to U.S. investment grade credit, which had a positive impact on performance overall. Lastly, the Fund obtained exposure to the underlying asset classes through the use of underlying funds, which may also invest in derivatives to provide exposure to equity, fixed income and commodity asset classes. Derivatives and similar instruments allow us to manage interest rate, credit and currency risks more effectively by allowing us both to apply active investment views with greater versatility and to afford greater risk management precision than we would otherwise be able to implement. |
| Q | | How was the Fund positioned at the end of the Reporting Period? |
| A | | At the end of the Reporting Period, the Fund had approximately 33% of its total net assets in long equity- related investments; approximately 33% of its total net assets in long fixed income-related investments; approximately 14% of its total net assets in long real assets investments; and approximately 19% of its total net assets in long currency- related investments. It had short positions of approximately -15% of its total net assets in equity-related investments; approximately -20% of its total net assets in fixed income-related assets; approximately -5% of its total net assets in real asset investments; and approximately -19% of its total net assets in currency-related investments. These short positions were accomplished through the use of equity index futures, equity options, interest rates futures, commodity futures and currency forwards. |
| Q | | What is the Fund’s tactical asset allocation view and strategy for the months ahead? |
| A | | At the end of the Reporting Period, we believed the macro environment remained highly uncertain and that the returns of many asset classes, most notably equities, would remain capped on both the upside and downside. We expected idiosyncratic geopolitical and economic risks to cause substantial volatility. Some of these risks might include “Brexit” (the upcoming referendum about the withdrawal of the U.K. from the European Union), an economic hard landing in China, an inflation scare, lack of clarity about oil prices and a crisis in the Eurozone. That said, we believed at the end of the Reporting Period that risk/reward dynamics were attractive, and we held a broadly positive view of riskier asset classes. As longer-term trends struggle to materialize, we plan to continue emphasizing our relative value views that seek to take advantage of what we consider to be asset mispricings. |
| | | Looking ahead, we think global equities overall should remain supported by slowly improving conditions in developed markets, low levels of inflation and supportive central bank monetary policy. However, we believed the broad equity rally, which had begun after a difficult start to 2016, had played out, as valuations at the end of the Reporting Period were near previous highs. As a result, we tactically positioned the Fund in a more defensive stance. In our view, a more tactical and selective approach to equity selection is required in this environment. We plan to focus on equity markets where we see scope for an improvement in fundamentals, such as in the developed markets where there is ample monetary policy support or in places where there may be opportunity for secular improvement. |
| | | In terms of global fixed income, we note that interest rates remained rather range-bound during the Reporting Period, after moving broadly lower since the middle of 2015. In our opinion, the markets have underestimated the pace of rate hikes and have priced in more dovish sentiment by the Fed than is supported by recent statements by policymakers. Although the Fund was positioned at the end of the Reporting Period for a Fed rate hike in the near term, we were more focused on the potential pace of rate increases, rather than |
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PORTFOLIO RESULTS
| | on the timing of them. At the end of the Reporting Period, the Fund maintained long positions in a number of income-producing assets, such as global public real estate securities and U.S. high yield corporate credit. In particular, the Fund held a position in international real estate securities, which may benefit from continued low global interest rates. Relative to corporate credit in general, we believe the U.S. is at the point in the credit cycle when corporate bond spreads (yield differentials versus U.S. Treasuries) typically imply a market bottom. Overall, we believe the balance between deteriorating credit fundamentals, continued macroeconomic expansion and policy support may keep spreads range-bound, broadly supporting corporate bonds. |
| | | At the end of the Reporting Period, we saw some tenuous signs of commodity price stabilization, though we maintained the Fund’s short positions in the industrial metals and energy sectors via our systematic trend-following strategy. In the near term, we expect oil to be highly sentiment-driven, which skews risks to the downside. However, we see potential for more sustainable rallies starting later in 2016 and plan to look for tactical opportunities to invest. In terms of currencies, we plan to focus on positive risk/return opportunities with a focus on two main themes. First, we believe economies with significant export dependence, slowing economic growth and disinflation may need to ease monetary policy and depreciate their currency to boost economic growth and inflation. Second, we think certain economies are likely to be supported by lower commodity prices and improving fundamentals, while others may face headwinds if their economies are dominated by commodity exports. |
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FUND BASICS
Goldman Sachs Absolute Return Multi-Asset Fund
as of April 30, 2016
| | | | | | | | | | |
| | PERFORMANCE REVIEW | |
| | | November 1, 2015–April 30, 2016 | | Fund Total Return (based on NAV)1 | | | BofA ML U.S. Dollar 3-Month LIBOR Constant Maturity Index2 | |
| | Class A | | | -1.97 | % | | | 0.22 | % |
| | Class C | | | -2.32 | | | | 0.22 | |
| | Institutional | | | -1.74 | | | | 0.22 | |
| | Class IR | | | -1.89 | | | | 0.22 | |
| | Class R | | | -2.05 | | | | 0.22 | |
| | | Class R6 | | | -1.73 | | | | 0.22 | |
| | 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 Fund’s benchmark index is the Bank of America Merrill Lynch U.S. Dollar Three-Month LIBOR Constant Maturity Index (the “Index”). The Index tracks the performance of a synthetic asset paying LIBOR to a stated maturity. |
| | | | | | | | |
| | STANDARDIZED TOTAL RETURNS3 |
| | | For the period ended 3/31/16 | | Since Inception | | | Inception Date |
| | Class A | | | -7.52 | % | | 9/2/15 |
| | Class C | | | -3.57 | | | 9/2/15 |
| | Institutional | | | -1.92 | | | 9/2/15 |
| | Class IR | | | -2.07 | | | 9/2/15 |
| | Class R | | | -2.34 | | | 9/2/15 |
| | | Class R6 | | | -1.92 | | | 9/2/15 |
| | 3 | | The Standardized Total Returns are cumulative total returns 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 5.50% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Class IR, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
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FUND BASICS
| | | | | | | | | | |
| | EXPENSE RATIOS4 | |
| | | | | Net Expense Ratio (Current) | | | Gross Expense Ratio (Before Waivers) | |
| | Class A | | | 1.48 | % | | | 3.88 | % |
| | Class C | | | 2.23 | | | | 4.63 | |
| | Institutional | | | 1.08 | | | | 3.48 | |
| | Class IR | | | 1.23 | | | | 3.63 | |
| | Class R | | | 1.73 | | | | 4.13 | |
| | | Class R6 | | | 1.06 | | | | 3.46 | |
| | 4 | | 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 February 26, 2017, 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 HOLDINGS AS OF 4/30/165 |
| | | Holding | | % of Net Assets | | | Line of Business |
| | Goldman Sachs Financial Square Government Fund | | | 40.1 | % | | Investment Companies |
| | Goldman Sachs Fixed Income Macro Strategies Fund | | | 9.9 | | | Investment Companies |
| | Goldman Sachs Long Short Fund | | | 9.8 | | | Investment Companies |
| | Goldman Sachs High Yield Fund | | | 8.8 | | | Investment Companies |
| | Goldman Sachs Inflation Protected Securities Fund | | | 6.3 | | | Investment Companies |
| | Goldman Sachs Real Estate Securities Fund | | | 3.6 | | | Investment Companies |
| | Goldman Sachs International Real Estate Securities Fund | | | 3.6 | | | Investment Companies |
| | SPDR S&P Bank ETF | | | 1.4 | | | Exchange Traded Funds |
| | Yum! Brands, Inc. | | | 0.5 | | | Hotels, Restaurants & Leisure |
| | | Mitsubishi Estate Co. Ltd. | | | 0.5 | | | Real Estate Management &
Development |
| | 5 | | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. 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. |
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FUND BASICS
| | |
| | SECTOR ALLOCATION6 |
| | | As of April 30, 2016 |
| |
| | |  |
| | 6 | | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. Underlying sector allocations of Exchange Traded Funds and Investment Companies held by the Fund are not reflected in the graph above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. 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. |
9
GOLDMAN SACHS MULTI-ASSET REAL RETURN FUND
What Differentiates Goldman Sachs Multi-Asset Real Return Fund’s Investment Process?
The Goldman Sachs Multi-Asset Real Return Fund (the “Fund”) seeks to achieve long-term real return. The Fund invests primarily in a portfolio of equity, fixed income and commodity securities in an attempt to perform favorably in rising or high inflationary environments. The Fund seeks to provide exposure beyond traditional asset classes to protect against a broader set of inflation catalysts in various market environments.
| n | | Inflation-sensitive assets tend to move in the same direction as inflation which may preserve real portfolio returns. |
| n | | We seek to provide access to investments that have historically provided the necessary growth to protect purchasing power in periods of high or rising inflation. |
| n | | Traditional stocks and bonds may not be able to provide the necessary diversification to improve portfolio returns across changing market environments. |
| n | | The Fund invests in a diversified portfolio in an attempt to provide investors with lower volatility over the long-term. |
| n | | We utilize a comprehensive investment process that opportunistically shifts portfolio assets through long-term strategic allocation, tactical adjustments, underlying security selection and active risk management. |
| n | | The flexibility in our investment process helps us to respond to ever-changing markets and to balance the portfolio’s risk and potential return. |
| n | | We have a robust risk management framework, with multiple layers of oversight at the strategic allocation, security selection and firm levels. |
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PORTFOLIO RESULTS
Goldman Sachs Multi-Asset Real Return Fund
Investment Objective
The Fund seeks to achieve long-term real return.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Global Portfolio Solutions Team discusses the Goldman Sachs Multi-Asset Real Return Fund’s (the “Fund”) performance and positioning for the six-month period ended April 30, 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 cumulative total returns, without sales charges, of -0.74%, -0.95%, -0.50%, -0.54% and -0.74%, respectively. These returns compare to the 3.12% cumulative total return of the Fund’s benchmark, the Barclays 1-10 Year U.S. TIPS Index (the “Index”), during the same time period. |
| | | During the period from their inception on February 26, 2016 through April 30, 2016, the Fund’s Class R6 Shares generated a cumulative total return, without sales charges, of -6.33% compared to the 1.94% cumulative total return of the Index. |
| Q | | What economic and market factors most influenced the Fund during the Reporting Period? |
| A | | Continued accommodative monetary policies by many global central banks, including the European Central Bank (“ECB”), Bank of Japan (“BoJ”) and People’s Bank of China, as well as falling energy prices and muted global economic growth combined to keep inflation low throughout the Reporting Period. U.S. monetary policy diverged from those of other global central banks, as the Federal Reserve (the “Fed”) hiked interest rates in December 2015 for the first time since 2006. Market expectations for further rate increases remained low thereafter and through the end of the Reporting Period. |
| | | Global equity market volatility increased during the Reporting Period on concerns about global economic growth (particularly in China), negative sentiment about oil prices and signs the U.S. economy was entering the later stages of the credit cycle. In January 2016, the S&P 500® Index (a measure of U.S. stock market performance) suffered its worst single month decline since 1933. Despite this rocky start, U.S. equities rebounded to end the first calendar quarter in positive territory. For the Reporting Period overall, U.S. stocks eked out a small gain, while other developed markets stocks retreated. Political instability in Europe surrounding the potential of “Brexit” (the upcoming referendum about the withdrawal of the U.K. from the European Union) and the trajectory of BoJ monetary policy concerned investors within the developed markets. |
| | | Global fixed income generated positive returns during the Reporting Period, as global yields remained low and investors sought safe-haven assets amid increased global market volatility. Although U.S. inflation expectations stayed low during the Reporting Period overall, U.S. inflation indicators appeared to pick up. This trend contributed to a rally in Treasury inflation protected securities (“TIPS”), which are generally perceived as a hedge against inflation risk. |
| | | Within currencies during late 2015 and early 2016, the U.S. dollar was strong compared to other developed markets currencies. However, later in the Reporting Period, the U.S. dollar weakened, providing a currency tailwind to the emerging markets. Meanwhile, commodity prices, including energy, rallied during the first quarter of 2016 after several consecutive quarters of losses. At the end of the Reporting Period, commodity prices remained volatile, with oil prices still well below their historic average. |
| Q | | What key factors were responsible for the Fund’s performance during the Reporting Period? |
| A | | In seeking its objective to achieve long-term real return, the Fund invests in a diversified portfolio of inflation- sensitive equity, fixed income and commodity securities and exposures. (Real return is the return on an investment in excess of inflation.) The Fund’s portfolio managers seek to address the multiple potential drivers of inflation by allocating across these diversified exposures in what we |
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PORTFOLIO RESULTS
| | determine to be a balanced way. This sets the Fund’s strategic asset allocation, which was the primary source of the Fund’s underperformance relative to the Index during the Reporting Period. |
| | | The underperformance of the Fund’s strategic asset allocation was due primarily to its exposure to real assets, particularly commodities and master limited partnerships (“MLPs”), which weakened as energy prices remained below their longer term levels. MLPs were also pressured by a number of structural headwinds. In addition, the Fund was hurt by its underweight relative to the Index in TIPS. TIPS rallied during the first quarter of 2016, outpacing conventional U.S. Treasury securities, as breakeven inflation levels were positively impacted by the rally in energy prices and positive economic indicators. (The breakeven inflation rate is the difference between the nominal yield on a fixed-rate investment and the real yield on an inflation-linked investment of similar maturity and credit quality. If inflation averages more than the breakeven, the inflation-linked investment will outperform the fixed-rate. Conversely, if inflation averages below the breakeven, the fixed-rate will outperform the inflation-linked.) In addition, the Fund’s strategic allocation to specific sectors, such as health care, weighed on relative returns. During the Reporting Period, health care companies faced increased scrutiny about drug pricing policies. On the positive side, the Fund benefited from strategic allocations to U.S. equities, local emerging markets debt, global infrastructure securities and U.S. real estate securities, all of which benefited from low interest rates and accommodative monetary policy. These securities, like many other riskier asset classes, also performed well after a difficult start to 2016 as the equity market rebounded strongly and oil prices stabilized. |
| | | Tactical asset allocation overall slightly hampered the Fund’s results during the Reporting Period. As mentioned earlier, in seeking its objective to achieve long-term real return, the Fund will allocate to a set of asset classes that we believe are sensitive to different sources of inflation. We then adjust the relative sizing of these exposures based on a shorter investment horizon that reflects tactical market views. Relative to the strategic asset allocation set during the Reporting Period, the Fund was tactically overweight equities and riskier asset classes in general. It was underweight commodities, infrastructure securities and fixed income. More specifically, overweight positions in Japanese, European and U.S. large-cap equities, especially during the first quarter of 2016, detracted from performance. Underweights in local emerging markets debt and infrastructure securities dampened Fund returns during the Reporting Period overall. Conversely, the Fund’s allocation to gold was advantageous amid a broad flight to safety during the first six weeks of the first quarter of 2016. The Fund also benefited from an overweight in U.S. bank stocks, an overweight in MLPs and an underweight in commodities between mid-February 2016 and the end of the Reporting Period. |
| | | Underlying fund implementation and security selection overall detracted modestly from the Fund’s returns. Detractors were broad based, led by bottom-up stock selection within U.S. real estate securities and MLPs as well as by the Fund’s unconstrained fixed income strategy. |
| Q | | How was the Fund positioned during the Reporting Period? |
| A | | At the start of the Reporting Period, the Fund had approximately 8.0% of its total net assets invested in commodity-related investments; approximately 47.9% of its total net assets invested in equity-related investments; approximately 31.5% of its total net assets invested in fixed income-related investments; and approximately 12.6% of its total net assets invested in cash and cash equivalents. The strategic asset allocation of the Fund reflects a risk-based allocation approach to increase diversification across the portfolio. |
| Q | | How did you tactically manage the Fund’s allocations during the Reporting Period? |
| A | | During the Reporting Period, positioning within the Fund was adjusted to reflect our expectations that moderately positive global economic growth would continue, led by the U.S. and to a lesser extent, other developed markets. Strategically, this positioning translated into a positive view on riskier asset classes, maintained through the Fund’s broad tilt toward U.S. and other developed markets equities, which was modulated based on regional and sector exposure views. During the Reporting Period, we expressed our view that U.S. interest rates would rise by positioning the Fund in the front, or short-term, end of the yield curve, which is more sensitive than the longer-term end to changes in interest rates. Yield curve is a spectrum of maturities. |
| | | In terms of our tactical positioning, we maintained Fund’s allocation to MLPs during the Reporting Period. In our view, MLPs had declined more than fundamentally warranted, primarily due to negative investor sentiment. To diversify the Fund’s exposure to the energy sector, we shifted the Fund to an underweight in commodities during March 2016. West Texas Intermediate crude oil prices had rallied approximately 27% during the course of the month on the |
12
PORTFOLIO RESULTS
| | back of positive investor sentiment, which we believed was not fully supported by fundamentals. We thought the oil price rally was unsustainable and would lead to additional supply, limiting price increases. Also within the Fund’s commodities allocation, we implemented a long position in gold during December 2015 in order to diversify the Fund’s sensitivity to global economic growth. The Fund exited the position in gold in March 2016. |
| | | During the Reporting Period, we increased the size of the Fund’s breakeven inflation position, wherein the Fund was long TIPS and short U.S. Treasury futures, to take advantage of any increase in inflation expectations. In our opinion, base effects might lift U.S. inflation meaningfully in the near term, which — combined with a tighter U.S. labor market and continued accommodative monetary policy from the Fed — could lead to an inflation scare. (Base effects are the consequence of abnormally high or low levels of inflation in a previous month that distort headline inflation numbers for the most recent month. A base effect can make it difficult to accurately assess inflation levels over time.) |
| | | We continued to tactically manage a basket of currencies to express our views on the monetary and inflationary environment across developed and emerging markets countries and on slowing economic growth in China and other emerging markets countries. We also believed that lower commodity prices should have a positive impact on the currencies of commodity importers, such as India, and a negative impact on the currencies of commodity exporters, such as Australia. |
| | | Within the Fund’s allocation to equities, we adopted a long position in Japanese stocks during February 2016 on the belief they would perform well in the near to medium term because of the BoJ’s monetary policy support and Japan’s improving corporate fundamentals. Also in February 2016, we implemented a long position in U.S. bank stocks as the sector had underperformed the broad global stock market on concerns around European banks. We believed the selloff had been excessive and that fundamentals, such as loan growth, a focus on expense controls, and adequate capital support, buttressed the sector. Within fixed income during April 2016, we established a short position in 30-year U.S. investment grade corporate bonds because we believed the U.S. credit cycle had reached the later stage. |
| Q | | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | | During the Reporting Period, the Fund used Eurodollar futures to take tactical positions on the U.S. interest rate yield curve, which detracted from performance. (Different positions may be taken within the Fund based on expectations of changes in interest rates and expectations of changes in the yield curve. Changes in the shape of the yield curve will change the relative price of bonds represented by the curve.) The Fund employed equity index futures during the Reporting Period to tactically adjust the amount of risk incurred from exposure to equities in three markets — the U.S., Europe and Japan — all of which had a negative impact on performance. The Fund also sold U.S. Treasury futures to hedge duration as part of a breakeven inflation position, as we sought to take advantage of an increase in U.S. inflation expectations. These instruments had a negative impact on performance during the Reporting Period. Furthermore, the Fund employed forward foreign currency contracts to take long and short positions in developed and emerging markets currencies. The use of forward foreign currency contracts contributed positively to the Fund’s performance during the Reporting Period. In addition, some of the Fund’s underlying fund investments used derivatives during the Reporting Period to manage duration along the yield curve, to apply their active investment views with greater versatility, to seek greater risk management precision and to gain exposure to equity, fixed income and commodity asset classes. |
| Q | | How was the Fund positioned at the end of the Reporting Period? |
| A | | At the end of the Reporting Period, the Fund had approximately 4.5% of its total net assets invested in commodity-related investments; approximately 46.6% of its total net assets invested in equity-related investments; approximately 33.7% of its total net assets invested in fixed income-related investments; and approximately 15.2% of its total net assets invested in cash and cash equivalents. |
| Q | | What is the Fund’s tactical asset allocation view and strategy for the months ahead? |
| A | | At the end of the Reporting Period, we remained aware of latent inflation risks. More specifically, we noted that tighter labor markets and rising wage growth could increase inflationary pressures, particularly if commodity prices or global demand stabilized further. In our opinion, these risks were not priced into the markets at the end of the Reporting Period, partly because of the market’s persistent belief that structural headwinds in the commodities complex and short- term volatility spikes would result in ongoing risk aversion. |
| | | Overall, at the end of the Reporting Period, we were broadly positive on riskier asset classes given the generally supportive monetary policies of global central banks and low inflation |
13
PORTFOLIO RESULTS
| | expectations around the world. That said, we believed the global equity rally, which began after a difficult start to 2016, had played out and that valuations at the end of the Reporting Period were near previous highs. This view, coupled with rising inflationary pressures in the U.S., led us to tactically position the Fund in a more defensive stance. In our view, a more tactical and selective approach to equity selection is required in this environment. We plan to focus on equity markets where we see scope for an improvement in fundamentals, such as in the developed markets where there is ample monetary policy support or in places where there may be opportunity for secular improvement. We remain bullish on prospects in Europe and Japan given the accommodative monetary policies of their central banks but remain cautious on deploying additional assets in those economies that are in the mid-cycle expansion phase. Within the emerging markets, we believe ongoing monetary and fiscal policy stimulus has helped stabilize the Chinese economy, but we also believe China faces structural headwinds and represents a meaningful risk to the trajectory of the global equity markets in the near term. On the other hand, given the market’s muted expectations, any additional stabilization in China could assuage concerns about the emerging markets overall and, in turn, the export sectors of developed economies. |
| | | In terms of global fixed income, we believe the markets have underestimated the pace of rate hikes and have priced in more dovish sentiment by the Fed than is supported by recent statements by policymakers. (Dovish sentiment tends to indicate lower interest rates.) Accordingly, at the end of the Reporting Period, we favored equities over corporate credit, maintained the Fund’s position in the front end of the yield curve and held a marginally positive view on emerging markets debt. |
| | | Given our views, we believed the Fund was well positioned at the end of the Reporting Period to perform well in a variety of inflationary environments. We continue to seek opportunities to incorporate our tactical market views on a shorter-term basis. |
14
FUND BASICS
Goldman Sachs Multi-Asset Real Return Fund
as of April 30, 2016
| | | | | | | | | | |
| | PERFORMANCE REVIEW | |
| | | November 1, 2015–April 30, 2016 | | Fund Total Return (based on NAV)1 | | | Barclays 1-10 Year U.S. TIPS Index2 | |
| | Class A | | | -0.74 | % | | | 3.12 | % |
| | Class C | | | -0.95 | | | | 3.12 | |
| | Institutional | | | -0.50 | | | | 3.12 | |
| | Class IR | | | -0.54 | | | | 3.12 | |
| | | Class R | | | -0.74 | | | | 3.12 | |
| | | |
| | | | | | | | | | | |
| | | February 26, 2016–April 30, 2016 | | | | | | |
| | | Class R6 | | | 6.81 | % | | | 1.94 | % |
| | 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 1-10 Year U.S. TIPS Index is an unmanaged index comprised of U.S. Treasury Inflation Protected securities having a maturity of at least 1 year and less than 10 years. It is not possible to invest in an unmanaged index. |
| | | | | | | | | | | | |
| | STANDARDIZED TOTAL RETURNS3 |
| | | For the period ended 3/31/16 | | One Year | | | Since Inception | | | Inception Date |
| | Class A | | | -12.37 | % | | | -3.57 | % | | 8/30/13 |
| | Class C | | | -8.86 | | | | -2.19 | | | 8/30/13 |
| | Institutional | | | -6.86 | | | | -1.05 | | | 8/30/13 |
| | Class IR | | | -6.98 | | | | -1.18 | | | 8/30/13 |
| | Class R | | | -7.40 | | | | -1.68 | | | 8/30/13 |
| | | Class R6 | | | N/A | | | | 6.81 | | | 2/26/16 |
| | 3 | | The Standardized Total Returns are average annual or cumulative total returns for periods less than 1 year 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 5.50% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Class IR, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
15
FUND BASICS
| | | | | | | | | | |
| | EXPENSE RATIOS4 | |
| | | | | Net Expense Ratio (Current) | | | Gross Expense Ratio (Before Waivers) | |
| | Class A | | | 1.12 | % | | | 4.16 | % |
| | Class C | | | 1.87 | | | | 4.90 | |
| | Institutional | | | 0.72 | | | | 3.77 | |
| | Class IR | | | 0.87 | | | | 3.91 | |
| | Class R | | | 1.37 | | | | 4.41 | |
| | | Class R6 | | | 0.70 | | | | 3.75 | |
| | 4 | | 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 February 26, 2017, 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 HOLDINGS AS OF 4/30/165 |
| | | Holding | | % of Net Assets | | | Line of Business |
| | | |
| | Goldman Sachs Inflation Protected Securities Fund | | | 35.4 | % | | Investment Company |
| | Goldman Sachs Strategic Income Fund | | | 10.4 | | | Investment Company |
| | Goldman Sachs Commodity Strategy Fund | | | 5.1 | | | Investment Company |
| | iShares Global Infrastructure ETF | | | 2.2 | | | Exchange Traded Funds |
| | Enterprise Products Partners LP | | | 1.2 | | | Oil, Gas & Consumable Fuels |
| | Magellan Midstream Partners LP | | | 1.1 | | | Oil, Gas & Consumable Fuels |
| | Exxon Mobil Corp. | | | 0.9 | | | Oil, Gas & Consumable Fuels |
| | Energy Transfer Partners LP | | | 0.9 | | | Oil, Gas & Consumable Fuels |
| | Simon Property Group, Inc. | | | 0.9 | | | Real Estate Investment Trusts |
| | | SPDR S&P Bank ETF | | | 0.8 | | | Exchange Traded Funds |
| | 5 | | The top 10 holdings may not be representative of the Fund’s future investments. |
16
FUND BASICS
| | |
| | SECTOR ALLOCATION (%)6 |
| | | As of April 30, 2016 |
| |
| | |  |
| | 6 | | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. Underlying sector allocations of Exchange Traded Funds and Investment Companies held by the Fund are not reflected in the graph above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. Short-term investments represent repurchase agreements. 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. |
17
FUND BASICS
Index Definitions
The S&P 500® Index is a U.S. stock market index based on the market capitalizations of 500 large companies having common stock listed on the New York Stock Exchange or NASDAQ. The S&P 500® Index components and their weightings are determined by S&P Dow Jones Indices.
18
GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
Consolidated Schedule of Investments
April 30, 2016 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| | Common Stocks – 9.5% | |
| | Denmark – 0.2% | |
| | 911 | | | Novo Nordisk A/S Class B (Pharmaceuticals) | | $ | 50,865 | |
| | |
| | France – 0.6% | |
| | 671 | | | Air Liquide SA (Chemicals) | | | 76,103 | |
| | 985 | | | Safran SA (Aerospace & Defense) | | | 67,905 | |
| | | | | | | | |
| | | | | | | 144,008 | |
| | |
| | Germany – 0.6% | |
| | 524 | | | Bayer AG (Pharmaceuticals) | | | 60,557 | |
| | 909 | | | Beiersdorf AG (Personal Products) | | | 81,624 | |
| | | | | | | | |
| | | | | | | 142,181 | |
| | |
| | Japan – 1.1% | |
| | 1,600 | | | Hoya Corp. (Health Care Equipment & Supplies) | | | 61,271 | |
| | 1,800 | | | Kubota Corp. (Machinery) | | | 26,220 | |
| | 6,000 | | | Mitsubishi Estate Co. Ltd. (Real Estate Management & Development) | | | 114,016 | |
| | 1,000 | | | Nidec Corp. (Electrical Equipment) | | | 73,274 | |
| | | | | | | | |
| | | | | | | 274,781 | |
| | |
| | Netherlands* – 0.2% | |
| | 1,359 | | | Mylan NV (Pharmaceuticals) | | | 56,684 | |
| | |
| | Sweden – 0.3% | |
| | 2,434 | | | Svenska Cellulosa AB SCA Class B (Household Products) | | | 76,797 | |
| | |
| | Switzerland – 0.8% | |
| | 637 | | | Novartis AG (Pharmaceuticals) | | | 48,477 | |
| | 230 | | | Syngenta AG (Chemicals) | | | 92,268 | |
| | 3,558 | | | UBS Group AG (Capital Markets) | | | 61,679 | |
| | | | | | | | |
| | | | | | | 202,424 | |
| | |
| | United Kingdom – 0.7% | |
| | 2,315 | | | Royal Dutch Shell PLC (Oil, Gas & Consumable Fuels) | | | 60,637 | |
| | 1,862 | | | Wolseley PLC (Trading Companies & Distributors) | | | 104,295 | |
| | | | | | | | |
| | | | | | | 164,932 | |
| | |
| | United States – 5.0% | |
| | 1,971 | | | Abbott Laboratories (Health Care Equipment & Supplies) | | | 76,672 | |
| | 389 | | | Affiliated Managers Group, Inc.* (Capital Markets) | | | 66,254 | |
| | 137 | | | Alphabet, Inc. Class A* (Internet Software & Services) | | | 96,980 | |
| | 1,052 | | | American Tower Corp. (Real Estate Investment Trusts) | | | 110,334 | |
| | 129 | | | Biogen, Inc.* (Biotechnology) | | | 35,474 | |
| | 593 | | | Celgene Corp.* (Biotechnology) | | | 61,322 | |
| | 2,699 | | | EMC Corp. (Computers & Peripherals) | | | 70,471 | |
| | 410 | | | FedEx Corp. (Air Freight & Logistics) | | | 67,695 | |
| | 643 | | | Honeywell International, Inc. (Aerospace & Defense) | | | 73,476 | |
| | |
| | Common Stocks – (continued) | |
| | United States – (continued) | |
| | 409 | | | Intercontinental Exchange, Inc. (Diversified Financial Services) | | $ | 98,172 | |
| | 625 | | | Intuit, Inc. (Software) | | | 63,056 | |
| | 570 | | | NIKE, Inc. Class B (Textiles, Apparel & Luxury Goods) | | | 33,596 | |
| | 1,365 | | | Northern Trust Corp. (Capital Markets) | | | 97,024 | |
| | 876 | | | PVH Corp. (Textiles, Apparel & Luxury Goods) | | | 83,746 | |
| | 1,314 | | | QUALCOMM, Inc. (Semiconductors & Semiconductor Equipment) | | | 66,383 | |
| | 1,504 | | | Yum! Brands, Inc. (Hotels, Restaurants & Leisure) | | | 119,658 | |
| | | | | | | | |
| | | | | | | 1,220,313 | |
| | |
| | TOTAL COMMON STOCKS | | | | |
| | (Cost $2,358,320) | | $ | 2,332,985 | |
| | |
| | | | | | | | | | | | | | |
| Contracts | | | Exercise Price | | | Expiration
Date | | | Value | |
| | Option Contracts Purchased – 1.8% | |
| | Options on Equities – 0.4% | |
| Morgan Stanley Capital Services, Inc. Call – EQO Stox Indices | |
| | 374 | | | EUR | 2,931.380 | | | | 05/23/16 | | | $ | 42,528 | |
| Morgan Stanley Capital Services, Inc. Call – Topix Index | |
| | 39,024 | | | JPY | 1,400.000 | | | | 07/20/16 | | | | 10,918 | |
| Barclays Bank PLC Call – iShares China Large Cap ETF | |
| | 13,300 | | | $ | 36.140 | | | | 07/27/16 | | | | 7,640 | |
| Morgan Stanley Capital Services, Inc. Put – EQO USO | |
| | 21,850 | | | | 10.393 | | | | 08/29/16 | | | | 13,643 | |
| Barclays Bank PLC Put – iShares iBoxx $ High Yield Corporate
Bond ETF |
|
| | 18,060 | | | | 75.680 | | | | 09/30/16 | | | | 14,225 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 88,954 | |
| | |
| | Options on Futures – 1.4% | |
| Barclays Bank PLC Call – Eurodollar Futures | |
| | 18 | | | | 98.875 | | | | 06/13/16 | | | | 20,250 | |
| Barclays Bank PLC Call – Eurodollar Futures | |
| | 10 | | | | 99.000 | | | | 09/19/16 | | | | 5,812 | |
| Barclays Bank PLC Call – Eurodollar Futures | |
| | 5 | | | | 98.625 | | | | 09/19/16 | | | | 7,469 | |
| Barclays Bank PLC Call – Eurodollar Futures | |
| | 10 | | | | 99.000 | | | | 12/19/16 | | | | 5,000 | |
| Barclays Bank PLC Call – Eurodollar Futures | |
| | 8 | | | | 98.375 | | | | 06/19/17 | | | | 13,450 | |
| Credit Suisse International (London) Call – Eurodollar Futures | |
| | 15 | | | | 99.000 | | | | 06/13/16 | | | | 12,187 | |
| Credit Suisse International (London) Call – Eurodollar Futures | |
| | 21 | | | | 98.500 | | | | 06/13/16 | | | | 43,312 | |
| Credit Suisse International (London) Call – Eurodollar Futures | |
| | 111 | | | | 99.375 | | | | 09/19/16 | | | | 3,469 | |
| Credit Suisse International (London) Call – Eurodollar Futures | |
| | 10 | | | | 98.875 | | | | 09/19/16 | | | | 8,750 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 19 |
GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
Consolidated Schedule of Investments (continued)
April 30, 2016 (Unaudited)
| | | | | | | | | | | | | | |
| Contracts | | | Exercise Price | | | Expiration
Date | | | Value | |
| | Option Contracts Purchased – (continued) | |
| | Options on Futures – (continued) | |
| Credit Suisse International (London) Call – Eurodollar Futures | |
| | 4 | | | $ | 98.750 | | | | 12/19/16 | | | $ | 4,025 | |
| Credit Suisse International (London) Call – Eurodollar Futures | |
| | 6 | | | | 98.750 | | | | 03/13/17 | | | | 5,738 | |
| Credit Suisse International (London) Call – Eurodollar Futures | |
| | 1 | | | | 98.625 | | | | 03/13/17 | | | | 1,213 | |
| Credit Suisse International (London) Call – Eurodollar Futures | |
| | 56 | | | | 99.125 | | | | 06/19/17 | | | | 23,450 | |
| Credit Suisse International (London) Call – Eurodollar Futures | |
| | 52 | | | | 99.000 | | | | 09/18/17 | | | | 32,175 | |
| Credit Suisse International (London) Call – Eurodollar Futures | |
| | 41 | | | | 98.875 | | | | 12/18/17 | | | | 33,056 | |
| Credit Suisse International (London) Call – Eurodollar Futures | |
| | 8 | | | | 98.375 | | | | 03/19/18 | | | | 12,700 | |
| Credit Suisse International (London) Call – Eurodollar Futures | |
| | 16 | | | | 98.375 | | | | 06/18/18 | | | | 25,600 | |
| Credit Suisse International (London) Call – Eurodollar Futures | |
| | 22 | | | | 98.250 | | | | 09/17/18 | | | | 39,875 | |
| Credit Suisse International (London) Call – Eurodollar Futures | |
| | 28 | | | | 98.125 | | | | 12/17/18 | | | | 55,825 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 353,356 | |
| | |
| | TOTAL OPTION CONTRACTS PURCHASED | |
| | (Cost $531,300) | | | $ | 442,310 | |
| | |
| | | | | | | | |
Shares | | Distribution Rate | | | Value | |
| Investment Companies(a) – 82.0% | |
| United States – 82.0% | |
Goldman Sachs Financial Square Government Fund – FST Institutional Shares(b) | |
| 9,817,350 | | | 0.250 | % | | $ | 9,817,350 | |
Goldman Sachs Fixed Income Macro Strategies Fund – Institutional Shares | |
| 275,425 | | | 0.000 | | | | 2,420,986 | |
Goldman Sachs High Yield Fund – Institutional Shares | |
| 348,760 | | | 0.060 | | | | 2,165,802 | |
Goldman Sachs Inflation Protected Securities Fund – Institutional Shares | |
| 144,841 | | | 0.006 | | | | 1,532,421 | |
Goldman Sachs International Real Estate Securities Fund – Institutional Shares | |
| 140,397 | | | 0.015 | | | | 869,055 | |
Goldman Sachs Long Short Fund – Institutional Shares | |
| 284,925 | | | 0.000 | | | | 2,393,365 | |
Goldman Sachs Real Estate Securities Fund – Institutional Shares | |
| 42,980 | | | 0.017 | | | | 874,214 | |
| |
| TOTAL INVESTMENT COMPANIES | |
| (Cost $20,594,436) | | | $ | 20,073,193 | |
| |
| | | | | | | | |
Shares | | | Description | | Value | |
| | Exchange Traded Fund – 1.5% | |
| | United States – 1.5% | |
| | 10,849 | | | SPDR S&P Bank ETF (Cost $314,816) | | $ | 352,050 | |
| | |
| | TOTAL INVESTMENTS – 94.8% | | | | |
| | (Cost $23,798,872) | | $ | 23,200,538 | |
| | |
| OTHER ASSETS IN EXCESS OF
LIABILITIES – 5.2% | | | 1,273,764 | |
| | |
| | NET ASSETS – 100.0% | | $ | 24,474,302 | |
| | |
| | |
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | | Non-income producing security. |
(a) | | Represents Affiliated Funds. |
(b) | | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on April 30, 2016. |
| | |
|
Currency Abbreviations: |
AUD | | —Australian Dollar |
BRL | | —Brazilian Real |
CAD | | —Canadian Dollar |
CHF | | —Swiss Franc |
CLP | | —Chilean Peso |
CNY | | —Chinese Yuan Renminbi |
COP | | —Colombian Peso |
CZK | | —Czech Koruna |
DKK | | —Danish Krone |
EUR | | —Euro |
GBP | | —British Pound |
HKD | | —Hong Kong Dollar |
HUF | | —Hungarian Forint |
IDR | | —Indonesian Rupiah |
ILS | | —Israeli Shekel |
INR | | —Indian Rupee |
JPY | | —Japanese Yen |
KRW | | —South Korean Won |
MXN | | —Mexican Peso |
MYR | | —Malaysian Ringgit |
NOK | | —Norwegian Krone |
NZD | | —New Zealand Dollar |
PHP | | —Philippine Peso |
PLN | | —Polish Zloty |
RUB | | —Russian Ruble |
SEK | | —Swedish Krona |
SGD | | —Singapore Dollar |
TRY | | —Turkish Lira |
TWD | | —Taiwan Dollar |
ZAR | | —South African Rand |
| | |
Investment Abbreviations: |
ETF | | —Exchange Traded Fund |
LIBOR | | —London Interbank Offered Rate |
LLC | | —Limited Liability Company |
PLC | | —Public Limited Company |
|
| | |
| 20 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
|
| ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At April 30, 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 | |
Morgan Stanley & Co. International PLC | | AUD | | | 20,000 | | | USD | | | 14,835 | | | $ | 15,178 | | | | 06/15/16 | | | $ | 343 | |
| | CAD | | | 250,000 | | | USD | | | 185,924 | | | | 199,252 | | | | 06/15/16 | | | | 13,328 | |
| | CHF | | | 10,000 | | | USD | | | 10,307 | | | | 10,445 | | | | 06/15/16 | | | | 138 | |
| | CLP | | | 130,000,000 | | | USD | | | 187,807 | | | | 195,955 | | | | 06/15/16 | | | | 8,148 | |
| | CNY | | | 40,000 | | | USD | | | 6,136 | | | | 6,155 | | | | 06/15/16 | | | | 20 | |
| | EUR | | | 170,000 | | | USD | | | 191,091 | | | | 194,935 | | | | 06/15/16 | | | | 3,844 | |
| | HUF | | | 2,000,000 | | | USD | | | 7,162 | | | | 7,337 | | | | 06/15/16 | | | | 175 | |
| | IDR | | | 4,860,000,000 | | | USD | | | 356,096 | | | | 365,304 | | | | 06/15/16 | | | | 9,208 | |
| | INR | | | 37,500,000 | | | USD | | | 539,968 | | | | 559,826 | | | | 06/15/16 | | | | 19,860 | |
| | JPY | | | 1,000,000 | | | USD | | | 9,134 | | | | 9,410 | | | | 06/15/16 | | | | 276 | |
| | KRW | | | 360,000,000 | | | USD | | | 312,500 | | | | 313,794 | | | | 06/15/16 | | | | 1,294 | |
| | NZD | | | 20,000 | | | USD | | | 13,568 | | | | 13,930 | | | | 06/15/16 | | | | 363 | |
| | PLN | | | 1,410,000 | | | USD | | | 359,227 | | | | 369,063 | | | | 06/15/16 | | | | 9,836 | |
| | RUB | | | 24,000,000 | | | USD | | | 351,335 | | | | 366,031 | | | | 06/15/16 | | | | 14,696 | |
| | SEK | | | 1,500,000 | | | USD | | | 174,779 | | | | 187,102 | | | | 06/15/16 | | | | 12,324 | |
| | TRY | | | 1,040,000 | | | USD | | | 356,380 | | | | 366,963 | | | | 06/15/16 | | | | 10,583 | |
| | USD | | | 7,875 | | | PLN | | | 30,000 | | | | 7,852 | | | | 06/15/16 | | | | 23 | |
UBS AG (London) | | BRL | | | 1,520,000 | | | USD | | | 424,749 | | | | 438,216 | | | | 05/25/16 | | | | 13,467 | |
| | CAD | | | 50,000 | | | USD | | | 39,437 | | | | 39,850 | | | | 05/25/16 | | | | 414 | |
| | EUR | | | 10,000 | | | USD | | | 11,443 | | | | 11,459 | | | | 05/24/16 | | | | 16 | |
| | GBP | | | 30,000 | | | USD | | | 43,646 | | | | 43,836 | | | | 05/24/16 | | | | 190 | |
| | JPY | | | 9,280,000 | | | USD | | | 84,821 | | | | 87,267 | | | | 05/24/16 | | | | 2,446 | |
| | MXN | | | 710,000 | | | USD | | | 40,621 | | | | 41,167 | | | | 05/24/16 | | | | 546 | |
| | NZD | | | 90,000 | | | USD | | | 62,290 | | | | 62,758 | | | | 05/24/16 | | | | 467 | |
| | RUB | | | 21,750,000 | | | USD | | | 330,497 | | | | 333,438 | | | | 05/25/16 | | | | 2,941 | |
| | SGD | | | 100,000 | | | USD | | | 74,188 | | | | 74,307 | | | | 05/24/16 | | | | 119 | |
| | TRY | | | 1,140,000 | | | USD | | | 399,640 | | | | 404,744 | | | | 05/24/16 | | | | 5,105 | |
| | USD | | | 7,610 | | | AUD | | | 10,000 | | | | 7,596 | | | | 05/24/16 | | | | 14 | |
| | USD | | | 5,157 | | | MYR | | | 20,000 | | | | 5,102 | | | | 05/25/16 | | | | 54 | |
| | USD | | | 52,738 | | | PHP | | | 2,450,000 | | | | 51,992 | | | | 05/25/16 | | | | 746 | |
| | | ZAR | | | 4,100,000 | | | USD | | | 284,872 | | | | 286,501 | | | | 05/24/16 | | | | 1,628 | |
| TOTAL | | | | | | $ | 132,612 | |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency
Purchased | | | Currency
Sold | | | Current
Value | | | Settlement
Date | | | Unrealized
Loss | |
Morgan Stanley & Co. International PLC | | AUD | | | 250,000 | | | USD | | | 190,152 | | | $ | 189,720 | | | | 06/15/16 | | | $ | (432 | ) |
| | MYR | | | 30,000 | | | USD | | | 7,674 | | | | 7,650 | | | | 06/15/16 | | | | (24 | ) |
| | TWD | | | 300,000 | | | USD | | | 9,286 | | | | 9,286 | | | | 06/15/16 | | | | — | |
| | USD | | | 370,648 | | | AUD | | | 510,000 | | | | 387,029 | | | | 06/15/16 | | | | (16,381 | ) |
| | USD | | | 15,449 | | | CAD | | | 20,000 | | | | 15,940 | | | | 06/15/16 | | | | (491 | ) |
| | USD | | | 434,013 | | | CHF | | | 430,000 | | | | 449,149 | | | | 06/15/16 | | | | (15,136 | ) |
| | USD | | | 185,463 | | | CLP | | | 130,000,000 | | | | 195,955 | | | | 06/15/16 | | | | (10,492 | ) |
| | USD | | | 363,764 | | | CNY | | | 2,400,000 | | | | 369,314 | | | | 06/15/16 | | | | (5,548 | ) |
| | USD | | | 181,458 | | | COP | | | 550,000,000 | | | | 191,722 | | | | 06/15/16 | | | | (10,263 | ) |
| | USD | | | 185,179 | | | EUR | | | 170,000 | | | | 194,935 | | | | 06/15/16 | | | | (9,755 | ) |
| | USD | | | 362,303 | | | GBP | | | 255,000 | | | | 372,643 | | | | 06/15/16 | | | | (10,340 | ) |
| | |
| The accompanying notes are an integral part of these financial statements. | | 21 |
GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
Consolidated Schedule of Investments (continued)
April 30, 2016 (Unaudited)
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency
Purchased | | | Currency
Sold | | | Current
Value | | | Settlement
Date | | | Unrealized
Loss | |
Morgan Stanley & Co. International PLC (continued) | | USD | | | 185,603 | | | HUF | | | 52,000,000 | | | $ | 190,759 | | | | 06/15/16 | | | $ | (5,156 | ) |
| | USD | | | 6,743 | | | IDR | | | 90,000,000 | | | | 6,765 | | | | 06/15/16 | | | | (22 | ) |
| | USD | | | 7,375 | | | INR | | | 500,000 | | | | 7,464 | | | | 06/15/16 | | | | (90 | ) |
| | USD | | | 187,459 | | | JPY | | | 21,000,000 | | | | 197,616 | | | | 06/15/16 | | | | (10,157 | ) |
| | USD | | | 291,003 | | | KRW | | | 360,000,000 | | | | 313,794 | | | | 06/15/16 | | | | (22,791 | ) |
| | USD | | | 178,835 | | | MYR | | | 750,000 | | | | 191,252 | | | | 06/15/16 | | | | (12,417 | ) |
| | USD | | | 185,281 | | | NZD | | | 280,000 | | | | 195,025 | | | | 06/15/16 | | | | (9,745 | ) |
| | USD | | | 243,075 | | | TWD | | | 8,100,000 | | | | 250,712 | | | | 06/15/16 | | | | (7,637 | ) |
UBS AG (London) | | AUD | | | 190,000 | | | USD | | | 147,382 | | | | 144,320 | | | | 05/24/16 | | | | (3,064 | ) |
| | CLP | | | 33,910,000 | | | USD | | | 51,344 | | | | 51,205 | | | | 05/25/16 | | | | (138 | ) |
| | INR | | | 7,810,000 | | | USD | | | 117,331 | | | | 116,978 | | | | 05/25/16 | | | | (353 | ) |
| | KRW | | | 16,730,000 | | | USD | | | 14,646 | | | | 14,589 | | | | 05/25/16 | | | | (59 | ) |
| | PLN | | | 80,000 | | | USD | | | 21,033 | | | | 20,947 | | | | 05/24/16 | | | | (86 | ) |
| | USD | | | 175,274 | | | CHF | | | 170,000 | | | | 177,395 | | | | 05/24/16 | | | | (2,120 | ) |
| | USD | | | 50,832 | | | CNY | | | 330,000 | | | | 50,870 | | | | 05/25/16 | | | | (38 | ) |
| | USD | | | 45,962 | | | CZK | | | 1,100,000 | | | | 46,595 | | | | 05/24/16 | | | | (636 | ) |
| | USD | | | 56,512 | | | EUR | | | 50,000 | | | | 57,293 | | | | 05/24/16 | | | | (780 | ) |
| | USD | | | 229,447 | | | GBP | | | 160,000 | | | | 233,798 | | | | 05/24/16 | | | | (4,351 | ) |
| | USD | | | 12,528 | | | HUF | | | 3,450,000 | | | | 12,659 | | | | 05/24/16 | | | | (132 | ) |
| | USD | | | 101,066 | | | ILS | | | 380,000 | | | | 101,735 | | | | 05/24/16 | | | | (669 | ) |
| | USD | | | 53,931 | | | JPY | | | 5,960,000 | | | | 56,047 | | | | 05/24/16 | | | | (2,114 | ) |
| | USD | | | 9,780 | | | NOK | | | 80,000 | | | | 9,935 | | | | 05/24/16 | | | | (155 | ) |
| | USD | | | 46,378 | | | PLN | | | 180,000 | | | | 47,131 | | | | 05/24/16 | | | | (754 | ) |
| | USD | | | 32,086 | | | SEK | | | 260,000 | | | | 32,405 | | | | 05/24/16 | | | | (318 | ) |
| | | USD | | | 6,799 | | | TWD | | | 220,000 | | | | 6,810 | | | | 05/25/16 | | | | (12 | ) |
| TOTAL | | | $ | (162,656 | ) |
FUTURES CONTRACTS — At April 30, 2016, the Fund had the following futures contracts:
| | | | | | | | | | | | | | |
| Type | | Number of
Contracts
Long (Short) | | | Expiration
Date | | Current
Value | | | Unrealized
Gain (Loss) | |
10 Year German Euro-Bund | | | 2 | | | June 2016 | | $ | 370,722 | | | $ | 96 | |
10 Year U.S. Treasury Notes | | | (14 | ) | | June 2016 | | | (1,820,875 | ) | | | (5,598 | ) |
2 Year German Euro-Schatz | | | 3 | | | June 2016 | | | 383,930 | | | | (159 | ) |
2 Year U.S. Treasury Notes | | | (5 | ) | | June 2016 | | | (1,093,125 | ) | | | 101 | |
20 Year U.S. Treasury Bonds | | | 3 | | | June 2016 | | | 489,938 | | | | (5,128 | ) |
20 Year U.S. Treasury Bonds | | | (4 | ) | | June 2016 | | | (653,250 | ) | | | 11,243 | |
3 Month Bank Bills | | | (2 | ) | | September 2016 | | | (1,513,163 | ) | | | (543 | ) |
3 Month Bank Bills | | | (2 | ) | | December 2016 | | | (1,513,311 | ) | | | (283 | ) |
3 Month Bank Bills | | | (1 | ) | | March 2017 | | | (756,674 | ) | | | (39 | ) |
3 Month Sterling Interest Rate | | | 1 | | | September 2016 | | | 181,511 | | | | (2 | ) |
3 Month Sterling Interest Rate | | | 1 | | | December 2016 | | | 181,420 | | | | 236 | |
3 Month Sterling Interest Rate | | | 1 | | | March 2017 | | | 181,329 | | | | (203 | ) |
3 Month Sterling Interest Rate | | | 1 | | | June 2017 | | | 181,201 | | | | (276 | ) |
3 Month Sterling Interest Rate | | | 1 | | | September 2017 | | | 181,091 | | | | (221 | ) |
3 Month Sterling Interest Rate | | | 1 | | | December 2017 | | | 180,982 | | | | (166 | ) |
3 Month Sterling Interest Rate | | | 1 | | | March 2018 | | | 180,890 | | | | (311 | ) |
3 Month Sterling Interest Rate | | | 1 | | | June 2018 | | | 180,799 | | | | 35 | |
5 Year German Euro-Bobl | | | 3 | | | June 2016 | | | 449,490 | | | | (633 | ) |
| | |
| 22 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS (continued)
| | | | | | | | | | | | | | |
| Type | | Number of
Contracts
Long (Short) | | | Expiration
Date | | Current
Value | | | Unrealized
Gain (Loss) | |
5 Year U.S. Treasury Notes | | | (3 | ) | | June 2016 | | $ | (362,742 | ) | | $ | (341 | ) |
Cattle Feeder | | | (2 | ) | | August 2016 | | | (140,375 | ) | | | 10,707 | |
Cocoa | | | 5 | | | July 2016 | | | 161,650 | | | | 18,035 | |
Coffee | | | (1 | ) | | July 2016 | | | (45,563 | ) | | | 166 | |
Copper | | | (1 | ) | | July 2016 | | | (57,088 | ) | | | (4,653 | ) |
Cotton No. 2 | | | 4 | | | July 2016 | | | 127,540 | | | | 643 | |
Crude Oil | | | (2 | ) | | May 2016 | | | (91,840 | ) | | | (8,026 | ) |
Euro Buxl 30 Year Bonds | | | (3 | ) | | June 2016 | | | (561,579 | ) | | | (1 | ) |
Euro Stoxx 50 Index | | | 11 | | | June 2016 | | | 374,970 | | | | (1,197 | ) |
Euro Stoxx 50 Index | | | (1 | ) | | June 2016 | | | (34,088 | ) | | | (1,651 | ) |
Eurodollars | | | 12 | | | September 2016 | | | 2,976,600 | | | | 1,036 | |
Eurodollars | | | 2 | | | December 2016 | | | 495,675 | | | | (92 | ) |
Eurodollars | | | (1 | ) | | December 2016 | | | (262,770 | ) | | | (27 | ) |
Eurodollars | | | 2 | | | March 2017 | | | 495,400 | | | | (305 | ) |
Eurodollars | | | 2 | | | June 2017 | | | 495,100 | | | | (342 | ) |
Eurodollars | | | 2 | | | September 2017 | | | 494,775 | | | | 483 | |
Eurodollars | | | (9 | ) | | September 2017 | | | (2,226,488 | ) | | | (1,258 | ) |
Eurodollars | | | 2 | | | December 2017 | | | 494,425 | | | | 533 | |
Eurodollars | | | 2 | | | March 2018 | | | 494,150 | | | | 404 | |
Eurodollars | | | 2 | | | June 2018 | | | 493,825 | | | | 508 | |
FTSE 100 Index | | | 1 | | | June 2016 | | | 90,767 | | | | (572 | ) |
Gold 100 Oz | | | 3 | | | June 2016 | | | 387,150 | | | | 8,032 | |
Hang Seng Index | | | (2 | ) | | May 2016 | | | (268,845 | ) | | | 6,286 | |
Hard Red Winter Wheat | | | (2 | ) | | July 2016 | | | (47,850 | ) | | | (1,331 | ) |
iShares MSCI Taiwan ETF | | | 10 | | | May 2016 | | | 304,400 | | | | (9,795 | ) |
Lead | | | 4 | | | May 2016 | | | 180,200 | | | | (6,909 | ) |
Lead | | | (4 | ) | | May 2016 | | | (180,200 | ) | | | (8,021 | ) |
Lead | | | 3 | | | June 2016 | | | 135,319 | | | | 5,362 | |
Lead | | | (3 | ) | | June 2016 | | | (135,319 | ) | | | (3,876 | ) |
Lean Hogs | | | 3 | | | June 2016 | | | 98,040 | | | | 692 | |
Live Cattle | | | (3 | ) | | June 2016 | | | (137,910 | ) | | | 7,091 | |
Low Sulphur Gas Oil | | | (1 | ) | | June 2016 | | | (41,400 | ) | | | (8,077 | ) |
Mini MSCI Emerging Market | | | (14 | ) | | June 2016 | | | (1,163,330 | ) | | | (22,448 | ) |
MSCI Singapore Index | | | 14 | | | May 2016 | | | 330,937 | | | | (7,547 | ) |
Nasdaq 100 E-Mini Index | | | 1 | | | June 2016 | | | 86,630 | | | | (3,437 | ) |
Natural Gas | | | (4 | ) | | May 2016 | | | (87,120 | ) | | | (3,091 | ) |
Nickel | | | 4 | | | May 2016 | | | 226,008 | | | | 18,984 | |
Nickel | | | (4 | ) | | May 2016 | | | (226,008 | ) | | | (10,631 | ) |
Nickel | | | 1 | | | June 2016 | | | 56,571 | | | | 1,555 | |
Nickel | | | (1 | ) | | June 2016 | | | (56,571 | ) | | | (6,103 | ) |
NY Harbor ULSD | | | (1 | ) | | May 2016 | | | (58,212 | ) | | | (2,006 | ) |
Primary Aluminum | | | 9 | | | May 2016 | | | 376,594 | | | | 36,385 | |
Primary Aluminum | | | (9 | ) | | May 2016 | | | (376,594 | ) | | | (35,471 | ) |
Primary Aluminum | | | 4 | | | June 2016 | | | 167,975 | | | | 7,928 | |
Primary Aluminum | | | (6 | ) | | June 2016 | | | (251,963 | ) | | | (27,164 | ) |
Russell 2000 Mini Index | | | 3 | | | June 2016 | | | 338,280 | | | | 17,757 | |
S&P 500 E-Mini Index | | | 3 | | | June 2016 | | | 308,865 | | | | 2,572 | |
S&P 500 E-Mini Index | | | (17 | ) | | June 2016 | | | (1,750,235 | ) | | | (52,387 | ) |
S&P 500 E-Mini Index | | | (1 | ) | | September 2016 | | | (262,718 | ) | | | (1 | ) |
S&P Toronto Stock Exchange 60 Index | | | 1 | | | June 2016 | | | 129,704 | | | | 348 | |
SGX Nifty 50 Index | | | 20 | | | May 2016 | | | 315,700 | | | | (322 | ) |
Silver | | | 2 | | | July 2016 | | | 178,190 | | | | 16,235 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 23 |
GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
Consolidated Schedule of Investments (continued)
April 30, 2016 (Unaudited)
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS (continued)
| | | | | | | | | | | | | | |
| Type | | Number of
Contracts
Long (Short) | | | Expiration
Date | | Current
Value | | | Unrealized
Gain (Loss) | |
Soybean | | | 5 | | | July 2016 | | $ | 257,438 | | | $ | 16,022 | |
Sugar No. 11 | | | 7 | | | June 2016 | | | 127,949 | | | | 9,376 | |
U.K. Long Gilt | | | 1 | | | June 2016 | | | 174,754 | | | | (2,106 | ) |
Wheat | | | 3 | | | July 2016 | | | 73,275 | | | | 741 | |
Zinc | | | 3 | | | May 2016 | | | 145,050 | | | | 8,343 | |
Zinc | | | (3 | ) | | May 2016 | | | (145,050 | ) | | | (12,568 | ) |
Zinc | | | 2 | | | June 2016 | | | 96,750 | | | | 8,959 | |
Zinc | | | (1 | ) | | June 2016 | | | (48,375 | ) | | | (1,287 | ) |
| TOTAL | | | $ | (39,711 | ) |
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACT
| | | | | | | | | | | | | | | | | | | | | | |
| | | | Market Value | |
| Referenced Obligation | | Notional
Amount
(000s) | | Rates Received
(Paid) | | | Termination
Date | | | Credit
Spread at
April 30,
2016(a) | | | Upfront
Payments
Made (Received) | | | Unrealized
Gain (Loss) | |
Protection Purchased: | | | | | | | | | | | | | | | | | | | | | | |
CDX North American Investment Grade Index 26 | | $910 | | | (1.000 | )% | | | 06/20/21 | | | | 0.779 | % | | $ | (9,097 | ) | | $ | (1,797 | ) |
| | (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. |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS ON COMMODITY INDICES
| | | | | | | | | | | | | | | | | | |
| Counterparty | | Referenced Obligation(b) | | Notional
Amount
(000s) | | | Paid
Rate | | | Termination
Date | | | Unrealized Gain (Loss)* | |
| | | | | |
| Morgan Stanley & Co. International PLC | | S&P GSCI 3 Month Forward Copper Index | | $ | 310 | | | | 0.000 | % | | | 06/30/16 | | | $ | (13,256 | ) |
| | (b) | | The Fund receives quarterly payments based on any positive monthly return of the Referenced Obligation. The Fund makes payments on any negative monthly return of such referenced obligation. |
| | * | | There are no upfront payments on the swap contracts, therefore the unrealized gain/loss of the swap contracts is equal to their market value. |
| | |
| 24 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
WRITTEN OPTIONS CONTRACTS — For the period ended April 30, 2016 the Fund had written the following option contracts:
OPTIONS ON EQUITIES CONTRACTS
| | | | | | | | | | | | | | | | | | |
| Counterparty | | Description | | Contracts | | | Expiration
Date | | | Strike
Price | | | Value | |
Barclays Bank PLC | | Put – iShares iBoxx $ High Yield Corporate Bond ETF | | | 18,060 | | | | 09/30/16 | | | $ | 70.77 | | | $ | (7,305 | ) |
Deutsche Bank AG | | Call – S&P 500 Index | | | 9 | | | | 05/31/16 | | | | 2,100 | | | | (13,689 | ) |
| | Put – S&P 500 Index | | | 9 | | | | 05/31/16 | | | | 2,014 | | | | (18,000 | ) |
Morgan Stanley Capital Services, Inc. | | Call – EQO Stox Indices | | | 374 | | | | 05/23/16 | | | EUR | 3,186 | | | | (2,221 | ) |
| | Put – EQO Stox Indices | | | 187 | | | | 05/23/16 | | | | 2,859 | | | | (5,507 | ) |
| | Call – Topix Index | | | 39,024 | | | | 07/20/16 | | | JPY | 1,500 | | | | (2,874 | ) |
| | | Call – EQO USO | | | 21,850 | | | | 08/29/16 | | | $ | 13.329 | | | | (8,005 | ) |
| TOTAL (Premium Received $102,701) | | | 79,513 | | | | | | | | | | | $ | (57,601 | ) |
For the period ended April 30, 2016, the Fund had the following written option activities:
OPTIONS ON EQUITIES CONTRACTS
| | | | | | |
| | | Contracts | | Premiums
Received | |
Contracts Outstanding October 31, 2015 | | 148 | | $ | 70,913 | |
Contracts Written | | 113,742 | | | 355,697 | |
Contracts Bought to Close | | (6,687) | | | (91,229 | ) |
Contracts Expired | | (27,690) | | | (232,680 | ) |
Contracts Outstanding April 30, 2016 | | 79,513 | | $ | 102,701 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 25 |
GOLDMAN SACHS MULTI-ASSET REAL RETURN FUND
Schedule of Investments
April 30, 2016 (Unaudited)
| | | | | | | | |
| Shares | | | Description | | Value | |
| | Common Stocks – 36.9% | |
| | Beverages – 0.9% | | | | |
| | 22 | | | Brown-Forman Corp. Class B | | $ | 2,119 | |
| | 47 | | | Coca-Cola Enterprises, Inc. | | | 2,467 | |
| | 39 | | | Constellation Brands, Inc. Class A | | | 6,086 | |
| | 44 | | | Dr. Pepper Snapple Group, Inc. | | | 4,000 | |
| | 40 | | | Molson Coors Brewing Co. Class B | | | 3,825 | |
| | 34 | | | Monster Beverage Corp.* | | | 4,904 | |
| | 320 | | | PepsiCo., Inc. | | | 32,947 | |
| | 3 | | | The Boston Beer Co., Inc. Class A* | | | 468 | |
| | 853 | | | The Coca-Cola Co. | | | 38,215 | |
| | | | | | | | |
| | | | | | | 95,031 | |
| | |
| | Biotechnology – 1.1% | | | | |
| | 302 | | | AbbVie, Inc. | | | 18,422 | |
| | 46 | | | Alexion Pharmaceuticals, Inc.* | | | 6,407 | |
| | 141 | | | Amgen, Inc. | | | 22,320 | |
| | 128 | | | Baxalta, Inc. | | | 5,370 | |
| | 41 | | | Biogen, Inc.* | | | 11,274 | |
| | 148 | | | Celgene Corp.* | | | 15,305 | |
| | 256 | | | Gilead Sciences, Inc. | | | 22,582 | |
| | 5 | | | Ligand Pharmaceuticals, Inc.* | | | 604 | |
| | 15 | | | Regeneron Pharmaceuticals, Inc.* | | | 5,651 | |
| | 9 | | | United Therapeutics Corp.* | | | 947 | |
| | 51 | | | Vertex Pharmaceuticals, Inc.* | | | 4,301 | |
| | | | | | | | |
| | | | | | | 113,183 | |
| | |
| | Chemicals – 2.9% | | | | |
| | 23 | | | A. Schulman, Inc. | | | 641 | |
| | 129 | | | Air Products & Chemicals, Inc. | | | 18,820 | |
| | 42 | | | Airgas, Inc. | | | 5,982 | |
| | 79 | | | Albemarle Corp. | | | 5,227 | |
| | 41 | | | Ashland, Inc. | | | 4,576 | |
| | 26 | | | Balchem Corp. | | | 1,595 | |
| | 41 | | | Cabot Corp. | | | 2,000 | |
| | 56 | | | Calgon Carbon Corp. | | | 918 | |
| | 165 | | | CF Industries Holdings, Inc. | | | 5,457 | |
| | 580 | | | E.I. du Pont de Nemours & Co. | | | 38,228 | |
| | 102 | | | Eastman Chemical Co. | | | 7,791 | |
| | 178 | | | Ecolab, Inc. | | | 20,466 | |
| | 95 | | | FMC Corp. | | | 4,110 | |
| | 42 | | | H.B. Fuller Co. | | | 1,878 | |
| | 22 | | | Innophos Holdings, Inc. | | | 813 | |
| | 20 | | | Innospec, Inc. | | | 967 | |
| | 54 | | | International Flavors & Fragrances, Inc. | | | 6,451 | |
| | 28 | | | Koppers Holdings, Inc.* | | | 704 | |
| | 24 | | | Kraton Performance Polymers, Inc.* | | | 545 | |
| | 233 | | | LyondellBasell Industries NV Class A | | | 19,262 | |
| | 29 | | | Minerals Technologies, Inc. | | | 1,737 | |
| | 291 | | | Monsanto Co. | | | 27,261 | |
| | 7 | | | NewMarket Corp. | | | 2,842 | |
| | 109 | | | Olin Corp. | | | 2,375 | |
| | 58 | | | PolyOne Corp. | | | 2,087 | |
| | 178 | | | PPG Industries, Inc. | | | 19,649 | |
| | 188 | | | Praxair, Inc. | | | 22,083 | |
| | 12 | | | Quaker Chemical Corp. | | | 1,069 | |
| | 86 | | | RPM International, Inc. | | | 4,346 | |
| | 31 | | | Sensient Technologies Corp. | | | 2,085 | |
| | |
| | Common Stocks – (continued) | |
| | Chemicals – (continued) | | | | |
| | 18 | | | Stepan Co. | | $ | 1,103 | |
| | 116 | | | The Chemours Co. | | | 1,058 | |
| | 743 | | | The Dow Chemical Co. | | | 39,089 | |
| | 241 | | | The Mosaic Co. | | | 6,746 | |
| | 31 | | | The Scotts Miracle-Gro Co. Class A | | | 2,194 | |
| | 52 | | | The Sherwin-Williams Co. | | | 14,940 | |
| | 50 | | | The Valspar Corp. | | | 5,335 | |
| | | | | | | | |
| | | | | | | 302,430 | |
| | |
| | Construction Materials – 0.2% | | | | |
| | 32 | | | Eagle Materials, Inc. | | | 2,372 | |
| | 62 | | | Headwaters, Inc.* | | | 1,241 | |
| | 43 | | | Martin Marietta Materials, Inc. | | | 7,277 | |
| | 10 | | | US Concrete, Inc.* | | | 617 | |
| | 89 | | | Vulcan Materials Co. | | | 9,579 | |
| | | | | | | | |
| | | | | | | 21,086 | |
| | |
| | Containers & Packaging – 0.5% | | | | |
| | 42 | | | AptarGroup, Inc. | | | 3,192 | |
| | 62 | | | Avery Dennison Corp. | | | 4,502 | |
| | 95 | | | Ball Corp. | | | 6,781 | |
| | 66 | | | Bemis Co., Inc. | | | 3,312 | |
| | 21 | | | Greif, Inc. Class A | | | 729 | |
| | 272 | | | International Paper Co. | | | 11,769 | |
| | 111 | | | Owens-Illinois, Inc.* | | | 2,049 | |
| | 62 | | | Packaging Corp. of America | | | 4,023 | |
| | 129 | | | Sealed Air Corp. | | | 6,109 | |
| | 27 | | | Silgan Holdings, Inc. | | | 1,370 | |
| | 68 | | | Sonoco Products Co. | | | 3,188 | |
| | 169 | | | WestRock Co. | | | 7,073 | |
| | | | | | | | |
| | | | | | | 54,097 | |
| | |
| | Energy Equipment & Services – 0.6% | | | | |
| | 123 | | | Baker Hughes, Inc. | | | 5,948 | |
| | 30 | | | Diamond Offshore Drilling, Inc. | | | 728 | |
| | 14 | | | Dril-Quip, Inc.* | | | 907 | |
| | 53 | | | Ensco PLC Class A | | | 634 | |
| | 62 | | | FMC Technologies, Inc.* | | | 1,890 | |
| | 235 | | | Halliburton Co. | | | 9,708 | |
| | 36 | | | Helmerich & Payne, Inc. | | | 2,380 | |
| | 98 | | | Nabors Industries Ltd. | | | 960 | |
| | 97 | | | National Oilwell Varco, Inc. | | | 3,496 | |
| | 64 | | | Noble Corp. PLC | | | 719 | |
| | 30 | | | Oceaneering International, Inc. | | | 1,100 | |
| | 16 | | | Oil States International, Inc.* | | | 554 | |
| | 36 | | | Patterson-UTI Energy, Inc. | | | 711 | |
| | 65 | | | Rowan Cos. PLC Class A | | | 1,223 | |
| | 376 | | | Schlumberger Ltd. | | | 30,208 | |
| | 43 | | | Superior Energy Services, Inc. | | | 725 | |
| | 63 | | | Tidewater, Inc. | | | 552 | |
| | 92 | | | Transocean Ltd. | | | 1,019 | |
| | 18 | | | US Silica Holdings, Inc. | | | 460 | |
| | | | | | | | |
| | | | | | | 63,922 | |
| | |
| | |
| 26 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-ASSET REAL RETURN FUND
| | | | | | | | |
| Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Food & Staples Retailing – 0.9% | | | | |
| | 11 | | | Casey’s General Stores, Inc. | | $ | 1,232 | |
| | 98 | | | Costco Wholesale Corp. | | | 14,517 | |
| | 242 | | | CVS Health Corp. | | | 24,321 | |
| | 73 | | | Safeway Casa Ley | | | 74 | |
| | 73 | | | Safeway PDC, LLC | | | 3 | |
| | 32 | | | Sprouts Farmers Market, Inc.* | | | 898 | |
| | 111 | | | Sysco Corp. | | | 5,114 | |
| | 220 | | | The Kroger Co. | | | 7,786 | |
| | 15 | | | United Natural Foods, Inc.* | | | 535 | |
| | 348 | | | Wal-Mart Stores, Inc. | | | 23,271 | |
| | 192 | | | Walgreens Boots Alliance, Inc. | | | 15,222 | |
| | 70 | | | Whole Foods Market, Inc. | | | 2,035 | |
| | | | | | | | |
| | | | | | | 95,008 | |
| | |
| | Food Products – 0.8% | | | | |
| | 132 | | | Archer-Daniels-Midland Co. | | | 5,272 | |
| | 7 | | | Cal-Maine Foods, Inc. | | | 355 | |
| | 40 | | | Campbell Soup Co. | | | 2,468 | |
| | 95 | | | ConAgra Foods, Inc. | | | 4,233 | |
| | 35 | | | Darling Ingredients, Inc.* | | | 507 | |
| | 45 | | | Flowers Foods, Inc. | | | 862 | |
| | 132 | | | General Mills, Inc. | | | 8,097 | |
| | 68 | | | Hormel Foods Corp. | | | 2,621 | |
| | 18 | | | Ingredion, Inc. | | | 2,072 | |
| | 56 | | | Kellogg Co. | | | 4,301 | |
| | 6 | | | Lancaster Colony Corp. | | | 699 | |
| | 31 | | | McCormick & Co., Inc. | | | 2,907 | |
| | 44 | | | Mead Johnson Nutrition Co. | | | 3,835 | |
| | 348 | | | Mondelez International, Inc. Class A | | | 14,950 | |
| | 14 | | | Post Holdings, Inc.* | | | 1,006 | |
| | 8 | | | Sanderson Farms, Inc. | | | 734 | |
| | 13 | | | Snyder’s-Lance, Inc. | | | 416 | |
| | 26 | | | The Hain Celestial Group, Inc.* | | | 1,088 | |
| | 34 | | | The Hershey Co. | | | 3,166 | |
| | 22 | | | The J.M. Smucker Co. | | | 2,794 | |
| | 133 | | | The Kraft Heinz Co. | | | 10,383 | |
| | 15 | | | TreeHouse Foods, Inc.* | | | 1,326 | |
| | 64 | | | Tyson Foods, Inc. Class A | | | 4,213 | |
| | 42 | | | WhiteWave Foods Co. Class A* | | | 1,689 | |
| | | | | | | | |
| | | | | | | 79,994 | |
| | |
| | Health Care Equipment & Supplies – 0.9% | | | | |
| | 274 | | | Abbott Laboratories | | | 10,659 | |
| | 8 | | | ABIOMED, Inc.* | | | 777 | |
| | 16 | | | Align Technology, Inc.* | | | 1,155 | |
| | 98 | | | Baxter International, Inc. | | | 4,334 | |
| | 42 | | | Becton Dickinson & Co. | | | 6,773 | |
| | 253 | | | Boston Scientific Corp.* | | | 5,546 | |
| | 15 | | | C.R. Bard, Inc. | | | 3,182 | |
| | 6 | | | Cantel Medical Corp. | | | 402 | |
| | 46 | | | DENTSPLY SIRONA, Inc. | | | 2,742 | |
| | 40 | | | Edwards Lifesciences Corp.* | | | 4,248 | |
| | 13 | | | Greatbatch, Inc.* | | | 452 | |
| | 11 | | | Haemonetics Corp.* | | | 357 | |
| | 12 | | | Halyard Health, Inc.* | | | 338 | |
| | |
| | Common Stocks – (continued) | |
| | Health Care Equipment & Supplies – (continued) | | | | |
| | 13 | | | Hill-Rom Holdings, Inc. | | $ | 629 | |
| | 53 | | | Hologic, Inc.* | | | 1,780 | |
| | 4 | | | ICU Medical, Inc.* | | | 397 | |
| | 20 | | | IDEXX Laboratories, Inc.* | | | 1,687 | |
| | 7 | | | Integra LifeSciences Holdings Corp.* | | | 496 | |
| | 7 | | | Intuitive Surgical, Inc.* | | | 4,384 | |
| | 10 | | | LivaNova PLC* | | | 527 | |
| | 13 | | | Masimo Corp.* | | | 564 | |
| | 260 | | | Medtronic PLC | | | 20,579 | |
| | 10 | | | Natus Medical, Inc.* | | | 319 | |
| | 10 | | | Neogen Corp.* | | | 472 | |
| | 12 | | | NuVasive, Inc.* | | | 635 | |
| | 23 | | | ResMed, Inc. | | | 1,283 | |
| | 53 | | | St. Jude Medical, Inc. | | | 4,039 | |
| | 16 | | | STERIS PLC | | | 1,131 | |
| | 58 | | | Stryker Corp. | | | 6,323 | |
| | 8 | | | Teleflex, Inc. | | | 1,246 | |
| | 11 | | | The Cooper Cos., Inc. | | | 1,684 | |
| | 17 | | | Varian Medical Systems, Inc.* | | | 1,380 | |
| | 15 | | | West Pharmaceutical Services, Inc. | | | 1,068 | |
| | 30 | | | Zimmer Biomet Holdings, Inc. | | | 3,473 | |
| | | | | | | | |
| | | | | | | 95,061 | |
| | |
| | Health Care Providers & Services – 1.0% | | | | |
| | 64 | | | Aetna, Inc. | | | 7,185 | |
| | 11 | | | Air Methods Corp.* | | | 407 | |
| | 32 | | | AmerisourceBergen Corp. | | | 2,723 | |
| | 14 | | | AMN Healthcare Services, Inc.* | | | 497 | |
| | 13 | | | Amsurg Corp.* | | | 1,053 | |
| | 50 | | | Anthem, Inc. | | | 7,038 | |
| | 58 | | | Cardinal Health, Inc. | | | 4,551 | |
| | 37 | | | Centene Corp.* | | | 2,293 | |
| | 4 | | | Chemed Corp. | | | 519 | |
| | 47 | | | CIGNA Corp. | | | 6,511 | |
| | 28 | | | Community Health Systems, Inc.* | | | 534 | |
| | 32 | | | DaVita HealthCare Partners, Inc.* | | | 2,365 | |
| | 116 | | | Express Scripts Holding Co.* | | | 8,553 | |
| | 58 | | | HCA Holdings, Inc.* | | | 4,676 | |
| | 17 | | | Henry Schein, Inc.* | | | 2,868 | |
| | 30 | | | Humana, Inc. | | | 5,312 | |
| | 19 | | | Laboratory Corp. of America Holdings* | | | 2,381 | |
| | 10 | | | LifePoint Health, Inc.* | | | 676 | |
| | 8 | | | Magellan Health, Inc.* | | | 564 | |
| | 44 | | | McKesson Corp. | | | 7,384 | |
| | 22 | | | MEDNAX, Inc.* | | | 1,568 | |
| | 9 | | | Molina Healthcare, Inc.* | | | 466 | |
| | 20 | | | Owens & Minor, Inc. | | | 728 | |
| | 18 | | | Patterson Cos., Inc. | | | 780 | |
| | 24 | | | Quest Diagnostics, Inc. | | | 1,804 | |
| | 34 | | | Select Medical Holdings Corp. | | | 455 | |
| | 24 | | | Tenet Healthcare Corp.* | | | 761 | |
| | 177 | | | UnitedHealth Group, Inc. | | | 23,307 | |
| | 18 | | | Universal Health Services, Inc. Class B | | | 2,406 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 27 |
GOLDMAN SACHS MULTI-ASSET REAL RETURN FUND
Schedule of Investments (continued)
April 30, 2016 (Unaudited)
| | | | | | | | |
| Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Health Care Providers & Services – (continued) | | | | |
| | 20 | | | VCA, Inc.* | | $ | 1,259 | |
| | 11 | | | WellCare Health Plans, Inc.* | | | 990 | |
| | | | | | | | |
| | | | | | | 102,614 | |
| | |
| | Health Care Technology* – 0.0% | | | | |
| | 49 | | | Allscripts Healthcare Solutions, Inc. | | | 657 | |
| | 59 | | | Cerner Corp. | | | 3,312 | |
| | 14 | | | Medidata Solutions, Inc. | | | 611 | |
| | | | | | | | |
| | | | | | | 4,580 | |
| | |
| | Household Durables* – 0.1% | | | | |
| | 233 | | | Toll Brothers, Inc. | | | 6,361 | |
| | |
| | Household Products – 0.7% | | | | |
| | 28 | | | Church & Dwight Co., Inc. | | | 2,596 | |
| | 196 | | | Colgate-Palmolive Co. | | | 13,900 | |
| | 19 | | | Energizer Holdings, Inc. | | | 826 | |
| | 80 | | | Kimberly-Clark Corp. | | | 10,015 | |
| | 27 | | | The Clorox Co. | | | 3,381 | |
| | 582 | | | The Procter & Gamble Co. | | | 46,630 | |
| | | | | | | | |
| | | | | | | 77,348 | |
| | |
| | Life Sciences Tools & Services – 0.2% | | | | |
| | 54 | | | Agilent Technologies, Inc. | | | 2,210 | |
| | 7 | | | Bio-Techne Corp. | | | 652 | |
| | 11 | | | Charles River Laboratories International, Inc.* | | | 872 | |
| | 30 | | | Illumina, Inc.* | | | 4,050 | |
| | 6 | | | Mettler-Toledo International, Inc.* | | | 2,148 | |
| | 11 | | | PAREXEL International Corp.* | | | 672 | |
| | 26 | | | PerkinElmer, Inc. | | | 1,311 | |
| | 77 | | | Thermo Fisher Scientific, Inc. | | | 11,107 | |
| | 16 | | | Waters Corp.* | | | 2,082 | |
| | | | | | | | |
| | | | | | | 25,104 | |
| | |
| | Metals & Mining – 0.7% | | | | |
| | 151 | | | AK Steel Holding Corp.* | | | 707 | |
| | 886 | | | Alcoa, Inc. | | | 9,897 | |
| | 83 | | | Allegheny Technologies, Inc. | | | 1,356 | |
| | 39 | | | Carpenter Technology Corp. | | | 1,381 | |
| | 102 | | | Commercial Metals Co. | | | 1,828 | |
| | 24 | | | Compass Minerals International, Inc. | | | 1,799 | |
| | 851 | | | Freeport-McMoRan, Inc. | | | 11,914 | |
| | 10 | | | Kaiser Aluminum Corp. | | | 948 | |
| | 356 | | | Newmont Mining Corp. | | | 12,449 | |
| | 215 | | | Nucor Corp. | | | 10,703 | |
| | 53 | | | Reliance Steel & Aluminum Co. | | | 3,920 | |
| | 46 | | | Royal Gold, Inc. | | | 2,881 | |
| | 177 | | | Steel Dynamics, Inc. | | | 4,462 | |
| | 92 | | | Stillwater Mining Co.* | | | 1,122 | |
| | 108 | | | United States Steel Corp. | | | 2,064 | |
| | 36 | | | Worthington Industries, Inc. | | | 1,359 | |
| | | | | | | | |
| | | | | | | 68,790 | |
| | |
| | Common Stocks – (continued) | |
| | Oil, Gas & Consumable Fuels – 15.1% | | | | |
| | 134 | | | Anadarko Petroleum Corp. | | $ | 7,070 | |
| | 1,682 | | | Antero Midstream Partners LP | | | 42,958 | |
| | 109 | | | Apache Corp. | | | 5,930 | |
| | 1,126 | | | Buckeye Partners LP | | | 81,072 | |
| | 126 | | | Cabot Oil & Gas Corp. | | | 2,948 | |
| | 14 | | | Carrizo Oil & Gas, Inc.* | | | 495 | |
| | 899 | | | Cheniere Energy Partners LP | | | 26,224 | |
| | 132 | | | Chesapeake Energy Corp. | | | 907 | |
| | 500 | | | Chevron Corp. | | | 51,090 | |
| | 26 | | | Cimarex Energy Co. | | | 2,831 | |
| | 113 | | | Columbia Pipeline Group, Inc. | | | 2,895 | |
| | 855 | | | Columbia Pipeline Partners LP | | | 12,423 | |
| | 37 | | | Concho Resources, Inc.* | | | 4,298 | |
| | 331 | | | ConocoPhillips | | | 15,818 | |
| | 62 | | | CONSOL Energy, Inc. | | | 933 | |
| | 259 | | | Denbury Resources, Inc. | | | 1,000 | |
| | 147 | | | Devon Energy Corp. | | | 5,098 | |
| | 26 | | | Energen Corp. | | | 1,105 | |
| | 2,597 | | | Energy Transfer Partners LP | | | 92,012 | |
| | 4,709 | | | Enterprise Products Partners LP | | | 125,683 | |
| | 146 | | | EOG Resources, Inc. | | | 12,063 | |
| | 40 | | | EQT Corp. | | | 2,804 | |
| | 1,131 | | | EQT GP Holdings LP | | | 29,926 | |
| | 812 | | | EQT Midstream Partners LP | | | 64,383 | |
| | 1,110 | | | Exxon Mobil Corp. | | | 98,124 | |
| | 1,008 | | | Genesis Energy LP | | | 32,679 | |
| | 20 | | | Gulfport Energy Corp.* | | | 626 | |
| | 71 | | | Hess Corp. | | | 4,233 | |
| | 785 | | | Holly Energy Partners LP | | | 26,863 | |
| | 54 | | | HollyFrontier Corp. | | | 1,922 | |
| | 491 | | | Kinder Morgan, Inc. | | | 8,720 | |
| | 1,543 | | | Magellan Midstream Partners LP | | | 111,204 | |
| | 253 | | | Marathon Oil Corp. | | | 3,565 | |
| | 148 | | | Marathon Petroleum Corp. | | | 5,784 | |
| | 2,266 | | | MPLX LP | | | 72,943 | |
| | 39 | | | Murphy Oil Corp. | | | 1,394 | |
| | 57 | | | Newfield Exploration Co.* | | | 2,066 | |
| | 111 | | | Noble Energy, Inc. | | | 4,008 | |
| | 203 | | | Occidental Petroleum Corp. | | | 15,560 | |
| | 1,300 | | | ONEOK Partners LP | | | 46,098 | |
| | 53 | | | ONEOK, Inc. | | | 1,916 | |
| | 13 | | | PDC Energy, Inc.* | | | 816 | |
| | 125 | | | Phillips 66 | | | 10,264 | |
| | 573 | | | Phillips 66 Partners LP | | | 32,799 | |
| | 45 | | | Pioneer Natural Resources Co. | | | 7,474 | |
| | 2,684 | | | Plains All American Pipeline LP | | | 61,571 | |
| | 60 | | | QEP Resources, Inc. | | | 1,076 | |
| | 41 | | | Range Resources Corp. | | | 1,808 | |
| | 454 | | | SemGroup Corp. Class A | | | 13,920 | |
| | 673 | | | Shell Midstream Partners LP | | | 25,419 | |
| | 22 | | | SM Energy Co. | | | 686 | |
| | 90 | | | Southwestern Energy Co.* | | | 1,209 | |
| | 182 | | | Spectra Energy Corp. | | | 5,691 | |
| | 708 | | | Spectra Energy Partners LP | | | 35,704 | |
| | 2,423 | | | Sunoco Logistics Partners LP | | | 70,945 | |
| | 1,003 | | | Targa Resources Corp. | | | 40,581 | |
| | |
| | |
| 28 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-ASSET REAL RETURN FUND
| | | | | | | | |
| Shares | | | Description | | Value | |
| | Common Stocks – (continued) | |
| | Oil, Gas & Consumable Fuels – (continued) | | | | |
| | 477 | | | TC Pipelines LP | | $ | 26,125 | |
| | 33 | | | Tesoro Corp. | | | 2,630 | |
| | 742 | | | Tesoro Logistics LP | | | 34,310 | |
| | 189 | | | The Williams Cos., Inc. | | | 3,665 | |
| | 124 | | | Valero Energy Corp. | | | 7,300 | |
| | 909 | | | Valero Energy Partners LP | | | 43,350 | |
| | 1,027 | | | Western Gas Partners LP | | | 50,179 | |
| | 457 | | | Western Refining Logistics LP | | | 12,042 | |
| | 17 | | | Western Refining, Inc. | | | 455 | |
| | 1,899 | | | Williams Partners LP | | | 57,407 | |
| | 24 | | | World Fuel Services Corp. | | | 1,122 | |
| | 83 | | | WPX Energy, Inc.* | | | 802 | |
| | | | | | | | |
| | | | | | | 1,579,021 | |
| | |
| | Paper & Forest Products – 0.1% | | | | |
| | 30 | | | Boise Cascade Co.* | | | 626 | |
| | 14 | | | Clearwater Paper Corp.* | | | 836 | |
| | 6 | | | Deltic Timber Corp. | | | 375 | |
| | 48 | | | Domtar Corp. | | | 1,855 | |
| | 58 | | | KapStone Paper and Packaging Corp. | | | 922 | |
| | 96 | | | Louisiana-Pacific Corp.* | | | 1,632 | |
| | 10 | | | Neenah Paper, Inc. | | | 651 | |
| | 41 | | | PH Glatfelter Co. | | | 940 | |
| | 24 | | | Schweitzer-Mauduit International, Inc. | | | 825 | |
| | | | | | | | |
| | | | | | | 8,662 | |
| | |
| | Personal Products – 0.1% | | | | |
| | 122 | | | Avon Products, Inc. | | | 575 | |
| | 15 | | | Edgewell Personal Care Co. | | | 1,231 | |
| | 52 | | | The Estee Lauder Cos., Inc. Class A | | | 4,985 | |
| | | | | | | | |
| | | | | | | 6,791 | |
| | |
| | Pharmaceuticals – 1.8% | | | | |
| | 16 | | | Akorn, Inc.* | | | 407 | |
| | 74 | | | Allergan PLC* | | | 16,025 | |
| | 314 | | | Bristol-Myers Squibb Co. | | | 22,665 | |
| | 25 | | | Catalent, Inc.* | | | 738 | |
| | 182 | | | Eli Lilly & Co. | | | 13,746 | |
| | 37 | | | Endo International PLC* | | | 999 | |
| | 16 | | | Impax Laboratories, Inc.* | | | 534 | |
| | 509 | | | Johnson & Johnson | | | 57,049 | |
| | 24 | | | Mallinckrodt PLC* | | | 1,500 | |
| | 513 | | | Merck & Co., Inc. | | | 28,133 | |
| | 86 | | | Mylan NV* | | | 3,587 | |
| | 39 | | | Nektar Therapeutics* | | | 612 | |
| | 27 | | | Perrigo Co. PLC | | | 2,610 | |
| | 1,117 | | | Pfizer, Inc. | | | 36,537 | |
| | 11 | | | Prestige Brands Holdings, Inc.* | | | 625 | |
| | 17 | | | The Medicines Co.* | | | 605 | |
| | 94 | | | Zoetis, Inc. | | | 4,421 | |
| | | | | | | | |
| | | | | | | 190,793 | |
| | |
| | Real Estate Investment Trusts – 7.6% | | | | |
| | 414 | | | Acadia Realty Trust | | | 13,952 | |
| | 149 | | | Alexandria Real Estate Equities, Inc. | | | 13,850 | |
| | 82 | | | American Tower Corp. | | | 8,600 | |
| | |
| | Common Stocks – (continued) | |
| | Real Estate Investment Trusts – (continued) | | | | |
| | 297 | | | AvalonBay Communities, Inc. | | $ | 52,507 | |
| | 343 | | | Boston Properties, Inc. | | | 44,199 | |
| | 1,232 | | | Brixmor Property Group, Inc. | | | 31,108 | |
| | 400 | | | Care Capital Properties, Inc. | | | 10,668 | |
| | 984 | | | Chesapeake Lodging Trust | | | 24,236 | |
| | 524 | | | Corporate Office Properties Trust | | | 13,456 | |
| | 593 | | | CyrusOne, Inc. | | | 26,169 | |
| | 1,438 | | | DDR Corp. | | | 25,165 | |
| | 182 | | | EastGroup Properties, Inc. | | | 10,875 | |
| | 52 | | | Equinix, Inc. | | | 17,178 | |
| | 190 | | | Equity Residential | | | 12,933 | |
| | 172 | | | Federal Realty Investment Trust | | | 26,158 | |
| | 465 | | | HCP, Inc. | | | 15,731 | |
| | 306 | | | Highwoods Properties, Inc. | | | 14,300 | |
| | 387 | | | Liberty Property Trust | | | 13,506 | |
| | 335 | | | Mid-America Apartment Communities, Inc. | | | 32,063 | |
| | 564 | | | Pebblebrook Hotel Trust | | | 15,589 | |
| | 484 | | | Post Properties, Inc. | | | 27,762 | |
| | 464 | | | ProLogis, Inc. | | | 21,070 | |
| | 241 | | | Public Storage | | | 58,999 | |
| | 967 | | | RLJ Lodging Trust | | | 20,375 | |
| | 455 | | | Simon Property Group, Inc. | | | 91,532 | |
| | 227 | | | Sovran Self Storage, Inc. | | | 24,112 | |
| | 123 | | | Taubman Centers, Inc. | | | 8,542 | |
| | 681 | | | Ventas, Inc. | | | 42,304 | |
| | 466 | | | Vornado Realty Trust | | | 44,610 | |
| | 362 | | | Welltower, Inc. | | | 25,130 | |
| | 700 | | | WP Glimcher, Inc. | | | 7,343 | |
| | | | | | | | |
| | | | | | | 794,022 | |
| | |
| | Tobacco – 0.7% | | | | |
| | 427 | | | Altria Group, Inc. | | | 26,777 | |
| | 340 | | | Philip Morris International, Inc. | | | 33,361 | |
| | 189 | | | Reynolds American, Inc. | | | 9,374 | |
| | 10 | | | Universal Corp. | | | 546 | |
| | | | | | | | |
| | | | | | | 70,058 | |
| | |
| | TOTAL COMMON STOCKS | | | | |
| | (Cost $3,469,007) | | $ | 3,853,956 | |
| | |
| | | | | | | | |
| | Exchange Traded Funds – 3.0% | |
| | 5,898 | | | iShares Global Infrastructure ETF | | $ | 235,743 | |
| | 2,542 | | | SPDR S&P Bank ETF | | | 82,488 | |
| | |
| | TOTAL EXCHANGE TRADED FUNDS | | | | |
| | (Cost $301,053) | | $ | 318,231 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 29 |
GOLDMAN SACHS MULTI-ASSET REAL RETURN FUND
Schedule of Investments (continued)
April 30, 2016 (Unaudited)
| | | | | | | | |
| Shares | | Distribution
Rate | | | Value | |
| | | | | | | | |
| Investment Companies(a) – 50.9% | |
Goldman Sachs Commodity Strategy Fund – Institutional Shares | |
| 46,486 | | | 0.002 | % | | $ | 530,400 | |
Goldman Sachs Inflation Protected Securities Fund – Institutional Shares | |
| 349,340 | | | 0.006 | | | | 3,696,015 | |
Goldman Sachs Strategic Income Fund – Institutional Shares | |
| 114,691 | | | 0.027 | | | | 1,084,974 | |
| |
| TOTAL INVESTMENT COMPANIES | |
| (Cost $5,676,529) | | | $ | 5,311,389 | |
| |
| | | | | | | | | | | | | | |
Principal
Amount | | | Interest
Rate | | | Maturity
Date | | | Value | |
| | | | | | | | | | | | | | |
| | Short-term Investment(b) – 6.7% | |
| | Repurchase Agreements – 6.7% | |
| Joint Repurchase Agreement Account II | |
| $ | 700,000 | | | | 0.290 | % | | | 05/02/16 | | | $ | 700,000 | |
| | (Cost $700,000) | | | | | |
| | |
| | TOTAL INVESTMENTS – 97.5% | |
| | (Cost $10,146,589) | | | $ | 10,183,576 | |
| | |
| OTHER ASSETS IN EXCESS OF
LIABILITIES – 2.5% |
| | | 257,338 | |
| | |
| | NET ASSETS – 100.0% | | | $ | 10,440,914 | |
| | |
| | |
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | | Non-income producing security. |
(a) | | Represents an affiliated fund. |
(b) | | Joint repurchase agreement was entered into on April 29, 2016. Additional information appears on page 33. |
| | |
|
Currency Abbreviations: |
AUD | | —Australian Dollar |
CAD | | —Canadian Dollar |
CHF | | —Swiss Franc |
CLP | | —Chilean Peso |
CNY | | —Chinese Yuan Renminbi |
COP | | —Colombian Peso |
EUR | | —Euro |
GBP | | —British Pound |
HUF | | —Hungarian Forint |
IDR | | —Indonesian Rupiah |
INR | | —Indian Rupee |
JPY | | —Japanese Yen |
KRW | | —South Korean Won |
MYR | | —Malaysian Ringgit |
NZD | | —New Zealand Dollar |
PLN | | —Polish Zloty |
RUB | | —Russian Ruble |
SEK | | —Swedish Krona |
TRY | | —Turkish Lira |
TWD | | —Taiwan Dollar |
| | |
Investment Abbreviations: |
ETF | | —Exchange Traded Fund |
GP | | —General Partnership |
LLC | | —Limited Liability Company |
LP | | —Limited Partnership |
PLC | | —Public Limited Company |
|
| | |
| 30 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-ASSET REAL RETURN FUND
|
| ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At April 30, 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 | |
Morgan Stanley & Co. International PLC | | CAD | | | 60,000 | | | USD | | | 44,622 | | | $ | 47,821 | | | | 06/15/16 | | | $ | 3,199 | |
| | CHF | | | 10,000 | | | USD | | | 10,307 | | | | 10,445 | | | | 06/15/16 | | | | 138 | |
| | CLP | | | 30,000,000 | | | USD | | | 43,183 | | | | 45,220 | | | | 06/15/16 | | | | 2,038 | |
| | EUR | | | 40,000 | | | USD | | | 44,962 | | | | 45,867 | | | | 06/15/16 | | | | 905 | |
| | IDR | | | 1,170,000,000 | | | USD | | | 85,727 | | | | 87,943 | | | | 06/15/16 | | | | 2,217 | |
| | INR | | | 9,500,000 | | | USD | | | 137,088 | | | | 141,822 | | | | 06/15/16 | | | | 4,736 | |
| | KRW | | | 90,000,000 | | | USD | | | 78,125 | | | | 78,448 | | | | 06/15/16 | | | | 323 | |
| | PLN | | | 360,000 | | | USD | | | 91,924 | | | | 94,229 | | | | 06/15/16 | | | | 2,305 | |
| | RUB | | | 6,000,000 | | | USD | | | 87,883 | | | | 91,508 | | | | 06/15/16 | | | | 3,625 | |
| | SEK | | | 375,000 | | | USD | | | 43,695 | | | | 46,776 | | | | 06/15/16 | | | | 3,081 | |
| | | TRY | | | 260,000 | | | USD | | | 89,108 | | | | 91,740 | | | | 06/15/16 | | | | 2,633 | |
| TOTAL | | | | | | $ | 25,200 | |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency
Purchased | | | Currency
Sold | | | Current
Value | | | Settlement
Date | | | Unrealized
Loss | |
Morgan Stanley & Co. International PLC | | AUD | | | 60,000 | | | USD | | | 45,637 | | | $ | 45,533 | | | | 06/15/16 | | | $ | (104 | ) |
| | USD | | | 87,211 | | | AUD | | | 120,000 | | | | 91,066 | | | | 06/15/16 | | | | (3,854 | ) |
| | USD | | | 121,376 | | | CHF | | | 120,000 | | | | 125,343 | | | | 06/15/16 | | | | (3,967 | ) |
| | USD | | | 42,799 | | | CLP | | | 30,000,000 | | | | 45,220 | | | | 06/15/16 | | | | (2,421 | ) |
| | USD | | | 90,989 | | | CNY | | | 600,000 | | | | 92,328 | | | | 06/15/16 | | | | (1,340 | ) |
| | USD | | | 43,550 | | | COP | | | 132,000,000 | | | | 46,013 | | | | 06/15/16 | | | | (2,463 | ) |
| | USD | | | 43,511 | | | EUR | | | 40,000 | | | | 45,867 | | | | 06/15/16 | | | | (2,356 | ) |
| | USD | | | 92,352 | | | GBP | | | 65,000 | | | | 94,987 | | | | 06/15/16 | | | | (2,636 | ) |
| | USD | | | 42,841 | | | HUF | | | 12,000,000 | | | | 44,021 | | | | 06/15/16 | | | | (1,181 | ) |
| | USD | | | 44,633 | | | JPY | | | 5,000,000 | | | | 47,051 | | | | 06/15/16 | | | | (2,418 | ) |
| | USD | | | 73,000 | | | KRW | | | 90,000,000 | | | | 78,449 | | | | 06/15/16 | | | | (5,448 | ) |
| | USD | | | 42,921 | | | MYR | | | 180,000 | | | | 45,901 | | | | 06/15/16 | | | | (2,980 | ) |
| | USD | | | 46,279 | | | NZD | | | 70,000 | | | | 48,756 | | | | 06/15/16 | | | | (2,478 | ) |
| | | USD | | | 63,140 | | | TWD | | | 2,100,000 | | | | 65,000 | | | | 06/15/16 | | | | (1,861 | ) |
| TOTAL | | | | | | $ | (35,507 | ) |
| | |
| The accompanying notes are an integral part of these financial statements. | | 31 |
GOLDMAN SACHS MULTI-ASSET REAL RETURN FUND
Schedule of Investments (continued)
April 30, 2016 (Unaudited)
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS — At April 30, 2016, the Fund had the following futures contracts:
| | | | | | | | | | | | | | |
| Type | | Number of
Contracts
Long (Short) | | | Expiration
Date | | Current
Value | | | Unrealized
Gain (Loss) | |
Eurodollar | | | (5 | ) | | December 2017 | | $ | (1,236,063 | ) | | $ | (19,121 | ) |
Euro Stoxx 50 Index | | | 13 | | | June 2016 | | | 443,146 | | | | (1,419 | ) |
S&P 500 E-Mini Index | | | 1 | | | June 2016 | | | 102,955 | | | | 803 | |
10 Year U.S. Treasury Notes | | | (18 | ) | | June 2016 | | | (2,341,125 | ) | | | 3,656 | |
U.S. Long Bonds | | | (1 | ) | | June 2016 | | | (163,312 | ) | | | 2,811 | |
| TOTAL | | | | | | | | | | | | $ | (13,270 | ) |
| | |
| 32 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
Schedule of Investments
April 30, 2016 (Unaudited)
|
| ADDITIONAL INVESTMENT INFORMATION |
JOINT REPURCHASE AGREEMENT ACCOUNT II — At April 30, 2016, the Multi-Asset Real Return Fund had undivided interests in the Joint Repurchase Agreement Account II, with a maturity date of May 2, 2016, as follows:
| | | | | | | | | | |
| Fund | | Principal
Amount | | | Maturity
Value | | | Collateral
Allocation
Value |
Multi-Asset Real Return Fund | | $ | 700,000 | | | $ | 700,011 | | | $714,699 |
REPURCHASE AGREEMENTS — At April 30, 2016, the Principal Amount of the Fund’s interest in the Joint Repurchase Agreement Account II was as follows:
| | | | | | |
| Counterparty | | Interest Rate | | Multi-Asset
Real Return
Fund | |
BNP Paribas Securities Co. | | 0.30% | | $ | 116,222 | |
Citigroup Global Markets, Inc. | | 0.30 | | | 146,987 | |
Merrill Lynch & Co., Inc. | | 0.30 | | | 98,379 | |
Merrill Lynch & Co., Inc. | | 0.28 | | | 338,412 | |
| TOTAL | | | | $ | 700,000 | |
At April 30, 2016, the Joint Repurchase Agreement Account II was fully collateralized by:
| | | | | | | | |
| Issuer | | Interest Rates | | | Maturity Dates | |
Federal Farm Credit Banks | | | 3.330 | % | | | 02/01/33 | |
Federal Home Loan Banks | | | 3.375 to 5.500 | | | | 09/01/28 to 07/15/36 | |
Federal Home Loan Mortgage Corp. | | | 4.000 to 7.500 | | | | 09/01/17 to 11/01/45 | |
Federal National Mortgage Association | | | 2.500 to 6.500 | | | | 03/01/19 to 08/01/45 | |
Government National Mortgage Association | | | 3.500 to 10.000 | | | | 02/15/18 to 04/20/46 | |
United States Treasury Floating Rate Note | | | 0.518 | | | | 10/31/17 | |
United States Treasury Inflation Protected Securities | | | 0.125 | | | | 07/15/22 | |
U.S. Treasury Notes | | | 1.625 to 2.500 | | | | 06/30/20 to 08/15/23 | |
United States Treasury Stripped Securities | | | 0.000 | | | | 11/15/31 to 02/15/44 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 33 |
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
Statements of Assets and Liabilities
April 30, 2016 (Unaudited)
| | | | | | | | | | |
| | | | | Absolute Return
Multi-Asset
Fund(a) | | | Multi-Asset Real
Return Fund | |
| | Assets: | | | | | | | | |
| | Investments, at value (cost $3,204,436 and $4,470,060) | | $ | 3,127,345 | | | $ | 4,872,187 | |
| | Foreign currencies, at value (cost $5,470 and $0, respectively) | | | 5,562 | | | | — | |
| | Investments of affiliated issuers, at value (cost $20,594,436 and $5,676,529) | | | 20,073,193 | | | | 5,311,389 | |
| | Cash | | | 393,012 | | | | 79,477 | |
| | Unrealized gain on forward foreign currency exchange contracts | | | 132,612 | | | | 25,200 | |
| | Variation margin on certain derivative contracts | | | 20,674 | | | | — | |
| | Receivables: | | | | | | | | |
| | Collateral on certain derivative contracts(b) | | | 908,442 | | | | 81,159 | |
| | Deferred offering costs | | | 58,705 | | | | — | |
| | Investments sold | | | 39,059 | | | | 142,641 | |
| | Reimbursement from investment adviser | | | 75,017 | | | | 24,261 | |
| | Dividends and interest | | | 16,794 | | | | 16,358 | |
| | Foreign tax reclaims | | | 1,171 | | | | — | |
| | Total assets | | | 24,851,586 | | | | 10,552,672 | |
| | | | | | | | | | |
| | Liabilities: | | | | | | | | |
| | Unrealized loss on forward foreign currency exchange contracts | | | 162,656 | | | | 35,507 | |
| | Written option contracts, at value (premium received $102,701 and $0, respectively) | | | 57,601 | | | | — | |
| | Unrealized loss on swap contracts | | | 13,256 | | | | — | |
| | Variation margin on certain derivative contracts | | | — | | | | 14,574 | |
| | Payables: | | | | | | | | |
| | Due to broker—upfront payment | | | 41,275 | | | | — | |
| | Investments purchased | | | 37,947 | | | | 11,350 | |
| | Management fees | | | 13,802 | | | | 3,764 | |
| | Distribution and service fees and transfer agency fees | | | 871 | | | | 379 | |
| | Fund shares redeemed | | | 820 | | | | — | |
| | Accrued expenses and other liabilities | | | 49,056 | | | | 46,184 | |
| | Total liabilities | | | 377,284 | | | | 111,758 | |
| | | | | | | | | | |
| | Net Assets: | | | | | | | | |
| | Paid-in capital | | | 25,188,160 | | | | 11,191,451 | |
| | Undistributed (distributions in excess of) net investment income | | | (53,873 | ) | | | (19,240 | ) |
| | Accumulated net realized loss | | | (22,147 | ) | | | (755,313 | ) |
| | Net unrealized loss | | | (637,838 | ) | | | 24,016 | |
| | | NET ASSETS | | $ | 24,474,302 | | | $ | 10,440,914 | |
| | | Net Assets: | | | | | | | | |
| | | Class A | | $ | 86,763 | | | $ | 52,240 | |
| | | Class C | | | 24,206 | | | | 9,658 | |
| | | Institutional | | | 24,290,292 | | | | 10,314,303 | |
| | | Class IR | | | 24,364 | | | | 29,559 | |
| | | Class R | | | 24,284 | | | | 24,468 | |
| | | Class R6 | | | 24,393 | | | | 10,686 | |
| | | Total Net Assets | | $ | 24,474,302 | | | $ | 10,440,914 | |
| | | Shares Outstanding $0.001 par value (unlimited number of shares authorized): | | | | | | | | |
| | | Class A | | | 8,956 | | | | 5,573 | |
| | | Class C | | | 2,505 | | | | 1,033 | |
| | | Institutional | | | 2,504,668 | | | | 1,102,883 | |
| | | Class IR | | | 2,514 | | | | 3,158 | |
| | | Class R | | | 2,509 | | | | 2,609 | |
| | | Class R6 | | | 2,515 | | | | 1,142 | |
| | | Net asset value, offering and redemption price per share:(c) | | | | | | | | |
| | | Class A | | | $9.69 | | | | $9.37 | |
| | | Class C | | | 9.66 | | | | 9.35 | |
| | | Institutional | | | 9.70 | | | | 9.35 | |
| | | Class IR | | | 9.69 | | | | 9.36 | |
| | | Class R | | | 9.68 | | | | 9.38 | |
| | | Class R6 | | | 9.70 | | | | 9.35 | |
| | (a) | | Statement of Assets and Liabilities for the Absolute Return Multi-Asset Fund is consolidated and includes the balances of a wholly-owned subsidiary, Cayman Commodity — ARM, Ltd. Accordingly, all interfund balances and transactions have been eliminated. |
| | (b) | | Includes amounts segregated for initial margin and/or collateral on futures transactions, options and swaps transactions of $354,845, $8,676 and $544,921, respectively for Absolute Return Multi-Asset Fund and $81,159, $0 and $0 respectively for Multi-Asset Real Return Fund. |
| | (c) | | Maximum public offering price per share for Class A Shares of the Absolute Return Multi-Asset Fund and the Multi-Asset Real Return Fund are $10.25 and $9.92. 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. |
| | |
| 34 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
Statements of Operations
For the Six Months Ended April 30, 2016 (Unaudited)
| | | | | | | | | | |
| | | | | Absolute Return
Multi-Asset
Fund(a) | | | Multi-Asset Real
Return Fund | |
| | Investment income: | | | | | | | | |
| | Dividends — unaffiliated issuers (net of foreign withholding taxes of $1,712 and $0) | | $ | 21,595 | | | $ | 59,073 | |
| | Dividends — affiliated issuers | | | 248,056 | | | | 18,359 | |
| | Interest | | | — | | | | 859 | |
| | Total investment income | | | 269,651 | | | | 78,291 | |
| | | | | | | | | | |
| | Expenses: | | | | | | | | |
| | Management fees | | | 91,540 | | | | 34,973 | |
| | Amortization of offering costs | | | 87,494 | | | | — | |
| | Professional fees | | | 42,524 | | | | 45,029 | |
| | Custody, accounting and administrative services | | | 28,859 | | | | 34,902 | |
| | Registration fees | | | 21,990 | | | | 25,187 | |
| | Printing and mailing costs | | | 9,360 | | | | 27,733 | |
| | Transfer Agency fees(b) | | | 4,969 | | | | 2,082 | |
| | Trustee fees | | | 2,817 | | | | 11,393 | |
| | Distribution and Service fees(b) | | | 239 | | | | 167 | |
| | Other | | | 1,205 | | | | 3,209 | |
| | Total expenses | | | 290,997 | | | | 184,675 | |
| | Less — expense reductions | | | (189,243 | ) | | | (154,948 | ) |
| | Net expenses | | | 101,754 | | | | 29,727 | |
| | NET INVESTMENT INCOME | | | 167,897 | | | | 48,564 | |
| | | | | | | | | | |
| | Realized and unrealized gain (loss): | | | | | | | | |
| | Capital gain distributions from Affiliated Underlying Funds | | | 26,359 | | | | — | |
| | Net realized gain (loss) from: | | | | | | | | |
| | Investments — unaffiliated issuers | | | 278,121 | | | | (48,312 | ) |
| | Investments — affiliated issuers | | | (121,650 | ) | | | (339,392 | ) |
| | Futures contracts | | | (254,733 | ) | | | (112,530 | ) |
| | Written option contracts | | | 41,305 | | | | — | |
| | Swap contracts | | | (49,291 | ) | | | — | |
| | Forward foreign currency exchange contracts | | | 69,348 | | | | 16,669 | |
| | Foreign currency transactions | | | 4,972 | | | | — | |
| | Net change in unrealized gain (loss) on: | | | | | | | | |
| | Investments — unaffiliated issuers | | | (161,548 | ) | | | 130,834 | |
| | Investments — affiliated issuers | | | (374,787 | ) | | | 306,521 | |
| | Futures contracts | | | (44,802 | ) | | | (34,713 | ) |
| | Written option contracts | | | 26,208 | | | | — | |
| | Swap contracts | | | (15,053 | ) | | | — | |
| | Forward foreign currency exchange contracts | | | (47,885 | ) | | | (14,629 | ) |
| | Foreign currency translation | | | 1,204 | | | | — | |
| | Net realized and unrealized loss | | | (622,232 | ) | | | (95,552 | ) |
| | NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | (454,335 | ) | | $ | (46,988 | ) |
| | (a) | | Statement of Operations for the Absolute Return Multi-Asset Fund is consolidated and includes the balances of a wholly-owned subsidiary, Cayman Commodity — ARM, Ltd. Accordingly, all interfund balances and transactions have been eliminated. |
| | (b) | | 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 | | | Class IR | | | Class R | | | Class R6 | |
Absolute Return Multi-Asset | | $ | 56 | | | $ | 122 | | | $ | 61 | | | $ | 43 | | | $ | 24 | | | $ | 4,852 | | | $ | 24 | | | $ | 24 | | | $ | 2 | |
Multi-Asset Real Return | | | 62 | | | | 46 | | | | 59 | | | | 47 | | | | 9 | | | | 1,976 | | | | 27 | | | | 22 | | | | 1 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 35 |
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
Consolidated Statements of Changes in Net Assets
| | | | | | | | | | |
| | | | | Absolute Return Multi-Asset Fund(a) | |
| | | | | For the
Six Months Ended
April 30, 2016
(Unaudited) | | | For the
Period Ended
October 31, 2015(b) | |
| | From operations: | | | | | | | | |
| | Net investment income | | $ | 167,897 | | | $ | 1,523 | |
| | Net realized loss | | | (5,569 | ) | | | (138,218 | ) |
| | Net change in unrealized loss | | | (616,663 | ) | | | (21,175 | ) |
| | Net decrease in net assets resulting from operations | | | (454,335 | ) | | | (157,870 | ) |
| | | | | | | | | | |
| | Distributions to shareholders: | | | | | | | | |
| | From net investment income | | | | | | | | |
| | Class A Shares | | | (112 | ) | | | — | |
| | Class C Shares | | | (50 | ) | | | — | |
| | Institutional Shares | | | (143,778 | ) | | | — | |
| | Class IR Shares | | | (132 | ) | | | — | |
| | Class R Shares | | | (91 | ) | | | — | |
| | Class R6 Shares | | | (147 | ) | | | — | |
| | Total distributions to shareholders | | | (144,310 | ) | | | — | |
| | | | | | | | | | |
| | From share transactions: | | | | | | | | |
| | Proceeds from sales of shares | | | 88,142 | | | | 25,001,156 | |
| | Reinvestment of distributions | | | 144,310 | | | | — | |
| | Cost of shares redeemed | | | (2,706 | ) | | | (85 | ) |
| | Net increase in net assets resulting from share transactions | | | 229,746 | | | | 25,001,071 | |
| | TOTAL INCREASE (DECREASE) | | | (368,899 | ) | | | 24,843,201 | |
| | | | | | | | | | |
| | Net assets: | | | | | | | | |
| | Beginning of period | | | 24,843,201 | | | | — | |
| | End of period | | $ | 24,474,302 | | | $ | 24,843,201 | |
| | Distributions in excess of net investment income | | $ | (53,873 | ) | | $ | (77,460 | ) |
| | (a) | | Statement of Changes in Net Assets for the Absolute Return Multi-Asset Fund is consolidated and includes the balances of a wholly-owned subsidiary, Cayman Commodity — ARM, Ltd. Accordingly, all interfund balances and transactions have been eliminated. |
| | (b) | | Commenced operations on September 2, 2015. |
| | |
| 36 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
Statements of Changes in Net Assets
| | | | | | | | | | |
| | | | | Multi-Asset Real Return Fund | |
| | | | | For the
Six Months Ended
April 30, 2016
(Unaudited) | | | For the Fiscal
Year Ended
October 31, 2015 | |
| | From operations: | | | | | | | | |
| | Net investment income | | $ | 48,564 | | | $ | 172,034 | |
| | Net realized loss | | | (483,565 | ) | | | (305,359 | ) |
| | Net change in unrealized gain (loss) | | | 388,013 | | | | (739,878 | ) |
| | Net decrease in net assets resulting from operations | | | (46,988 | ) | | | (873,203 | ) |
| | | | | | | | | | |
| | Distributions to shareholders: | | | | | | | | |
| | From net investment income | | | | | | | | |
| | Class A Shares | | | (162 | ) | | | (622 | ) |
| | Class C Shares | | | — | | | | (34 | ) |
| | Institutional Shares | | | (77,978 | ) | | | (159,243 | ) |
| | Class IR Shares | | | (179 | ) | | | (409 | ) |
| | Class R Shares | | | (25 | ) | | | (210 | ) |
| | Class R6 Shares(a) | | | (19 | ) | | | — | |
| | From net realized gains | | | | | | | | |
| | Class A Shares | | | — | | | | (1,311 | ) |
| | Class C Shares | | | — | | | | (219 | ) |
| | Institutional Shares | | | — | | | | (230,605 | ) |
| | Class IR Shares | | | — | | | | (660 | ) |
| | Class R Shares | | | — | | | | (551 | ) |
| | Class R6 Shares(a) | | | — | | | | — | |
| | Total distributions to shareholders | | | (78,363 | ) | | | (393,864 | ) |
| | | | | | | | | | |
| | From share transactions: | | | | | | | | |
| | Proceeds from sales of shares | | | 10,000 | | | | 75,412 | |
| | Reinvestment of distributions | | | 78,363 | | | | 386,425 | |
| | Cost of shares redeemed | | | (61,532 | ) | | | (40,691 | ) |
| | Net increase in net assets resulting from share transactions | | | 26,831 | | | | 421,146 | |
| | TOTAL DECREASE | | | (98,520 | ) | | | (845,921 | ) |
| | | | | | | | | | |
| | Net assets: | | | | | | | | |
| | Beginning of period | | | 10,539,434 | | | | 11,385,355 | |
| | End of period | | $ | 10,440,914 | | | $ | 10,539,434 | |
| | Undistributed net investment income | | $ | (19,240 | ) | | $ | 39,134 | |
| | (a) | | Commenced operations on February 26, 2016. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 37 |
GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
Consolidated Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Income (loss) from
investment operations | | | | |
| | | Year - Share Class | | Net asset
value,
beginning
of period | | | Net
investment
income (loss)(a) | | | Net realized
and unrealized
gain (loss) | | | Total from
investment
operations | | | Distributions
to shareholders
from net
investment
income | |
| | FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED) | |
| | 2016 - A | | $ | 9.93 | | | $ | 0.02 | | | $ | (0.22 | ) | | $ | (0.20 | ) | | $ | (0.04 | ) |
| | 2016 - C | | | 9.92 | | | | 0.01 | | | | (0.25 | ) | | | (0.24 | ) | | | (0.02 | ) |
| | 2016 - Institutional | | | 9.94 | | | | 0.07 | | | | (0.25 | ) | | | (0.18 | ) | | | (0.06 | ) |
| | 2016 - IR | | | 9.93 | | | | 0.06 | | | | (0.25 | ) | | | (0.19 | ) | | | (0.05 | ) |
| | 2016 - R | | | 9.93 | | | | 0.04 | | | | (0.25 | ) | | | (0.21 | ) | | | (0.04 | ) |
| | 2016 - R6 | | | 9.94 | | | | 0.07 | | | | (0.25 | ) | | | (0.18 | ) | | | (0.06 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | FOR THE PERIOD ENDED OCTOBER 31, | |
| | 2015 - A (Commenced September 2, 2015) | | | 10.00 | | | | (0.01 | ) | | | (0.06 | ) | | | (0.07 | ) | | | — | |
| | 2015 - C (Commenced September 2, 2015) | | | 10.00 | | | | (0.02 | ) | | | (0.06 | ) | | | (0.08 | ) | | | — | |
| | 2015 - Institutional (Commenced September 2, 2015) | | | 10.00 | | | | — | (f) | | | (0.06 | ) | | | (0.06 | ) | | | — | |
| | 2015 - IR (Commenced September 2, 2015) | | | 10.00 | | | | — | (g) | | | (0.07 | ) | | | (0.07 | ) | | | — | |
| | 2015 - R (Commenced September 2, 2015) | | | 10.00 | | | | (0.01 | ) | | | (0.06 | ) | | | (0.07 | ) | | | — | |
| | 2015 - R6 (Commenced September 2, 2015) | | | 10.00 | | | | — | (f) | | | (0.06 | ) | | | (0.06 | ) | | | — | |
| | (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) | | Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests. |
| | (e) | | 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. |
| | (f) | | Amount is less than $0.005 per share. |
| | (g) | | Amount is less than ($0.005) per share. |
| | |
| 38 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET 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(c)(d) | | | | | Ratio of
total expenses
to average
net assets(c)(d) | | | | | Ratio of
net investment
income (loss)
to average
net assets(d) | | | | | Portfolio
turnover
rate(e) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 9.69 | | | | | | (1.97 | )% | | | | $ | 87 | | | | | | 1.24 | % | | | | | 2.69 | % | | | | | 0.43 | % | | | | | 9 | % |
| | | 9.66 | | | | | | (2.32 | ) | | | | | 24 | | | | | | 1.98 | | | | | | 3.17 | | | | | | 0.23 | | | | | | 9 | |
| | | 9.70 | | | | | | (1.74 | ) | | | | | 24,290 | | | | | | 0.83 | | | | | | 2.02 | | | | | | 1.38 | | | | | | 9 | |
| | | 9.69 | | | | | | (1.89 | ) | | | | | 24 | | | | | | 0.99 | | | | | | 2.17 | | | | | | 1.23 | | | | | | 9 | |
| | | 9.68 | | | | | | (2.05 | ) | | | | | 24 | | | | | | 1.48 | | | | | | 2.67 | | | | | | 0.73 | | | | | | 9 | |
| | | 9.70 | | | | | | (1.73 | ) | | | | | 24 | | | | | | 0.80 | | | | | | 2.00 | | | | | | 1.41 | | | | | | 9 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 9.93 | | | | | | (0.70 | ) | | | | | 25 | | | | | | 1.23 | | | | | | 3.81 | | | | | | (0.36 | ) | | | | | 1 | |
| | | 9.92 | | | | | | (0.90 | ) | | | | | 26 | | | | | | 1.98 | | | | | | 4.55 | | | | | | (1.10 | ) | | | | | 1 | |
| | | 9.94 | | | | | | (0.70 | ) | | | | | 24,718 | | | | | | 0.82 | | | | | | 3.40 | | | | | | 0.04 | | | | | | 1 | |
| | | 9.93 | | | | | | (0.70 | ) | | | | | 25 | | | | | | 0.98 | | | | | | 3.57 | | | | | | (0.11 | ) | | | | | 1 | |
| | | 9.93 | | | | | | (0.80 | ) | | | | | 25 | | | | | | 1.48 | | | | | | 4.07 | | | | | | (0.62 | ) | | | | | 1 | |
| | | 9.94 | | | | | | (0.70 | ) | | | | | 25 | | | | | | 0.77 | | | | | | 3.35 | | | | | | 0.10 | | | | | | 1 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 39 |
GOLDMAN SACHS MULTI-ASSET REAL RETURN FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Income (loss) from
investment operations | | | Distributions
to shareholders | |
| | | Year - Share Class | |
Net asset
value,
beginning
of period | | | Net
investment
income(a) | | | Net realized
and unrealized
gain (loss) | | | Total from
investment
operations | | | From net
investment
income | | | From net
realized
gains | | | Total
distributions | |
| | FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED) | |
| | 2016 - A | | $ | 9.47 | | | $ | 0.03 | | | $ | (0.10 | ) | | $ | (0.07 | ) | | $ | (0.03 | ) | | $ | — | | | $ | (0.03 | ) |
| | 2016 - C | | | 9.44 | | | | (0.01 | ) | | | (0.08 | ) | | | (0.09 | ) | | | — | | | | — | | | | — | |
| | 2016 - Institutional | | | 9.47 | | | | 0.04 | | | | (0.09 | ) | | | (0.05 | ) | | | (0.07 | ) | | | — | | | | (0.07 | ) |
| | 2016 - IR | | | 9.47 | | | | 0.04 | | | | (0.09 | ) | | | (0.05 | ) | | | (0.06 | ) | | | — | | | | (0.06 | ) |
| | 2016 - R | | | 9.46 | | | | 0.02 | | | | (0.09 | ) | | | (0.07 | ) | | | (0.01 | ) | | | — | | | | (0.01 | ) |
| | 2016 - R6 (Commenced February 26, 2016) | | | 8.77 | | | | (0.01 | ) | | | 0.61 | | | | 0.60 | | | | (0.02 | ) | | | — | | | | (0.02 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | FOR THE FISCAL YEAR ENDED OCTOBER 31, | |
| | 2015 - A | | | 10.63 | | | | 0.11 | | | | (0.95 | ) | | | (0.84 | ) | | | (0.14 | ) | | | (0.18 | ) | | | (0.32 | ) |
| | 2015 - C | | | 10.61 | | | | 0.04 | | | | (0.96 | ) | | | (0.92 | ) | | | (0.07 | ) | | | (0.18 | ) | | | (0.25 | ) |
| | 2015 - Institutional | | | 10.64 | | | | 0.16 | | | | (0.97 | ) | | | (0.81 | ) | | | (0.18 | ) | | | (0.18 | ) | | | (0.36 | ) |
| | 2015 - IR | | | 10.63 | | | | 0.14 | | | | (0.95 | ) | | | (0.81 | ) | | | (0.17 | ) | | | (0.18 | ) | | | (0.35 | ) |
| | 2015 - R | | | 10.62 | | | | 0.09 | | | | (0.95 | ) | | | (0.86 | ) | | | (0.12 | ) | | | (0.18 | ) | | | (0.30 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | FOR THE FISCAL YEAR ENDED OCTOBER 31, | |
| | 2014 - A | | | 10.35 | | | | 0.11 | | | | 0.33 | | | | 0.44 | | | | (0.12 | ) | | | (0.04 | ) | | | (0.16 | ) |
| | 2014 - C | | | 10.34 | | | | 0.03 | | | | 0.33 | | | | 0.36 | | | | (0.05 | ) | | | (0.04 | ) | | | (0.09 | ) |
| | 2014 - Institutional | | | 10.35 | | | | 0.15 | | | | 0.34 | | | | 0.49 | | | | (0.16 | ) | | | (0.04 | ) | | | (0.20 | ) |
| | 2014 - IR | | | 10.35 | | | | 0.14 | | | | 0.32 | | | | 0.46 | | | | (0.14 | ) | | | (0.04 | ) | | | (0.18 | ) |
| | 2014 - R | | | 10.34 | | | | 0.08 | | | | 0.33 | | | | 0.41 | | | | (0.09 | ) | | | (0.04 | ) | | | (0.13 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD ENDED OCTOBER 31, | | | | | |
| | 2013 - A (Commenced August 30, 2013) | | | 10.00 | | | | 0.01 | | | | 0.34 | | | | 0.35 | | | | — | | | | — | | | | — | |
| | 2013 - C (Commenced August 30, 2013) | | | 10.00 | | | | — | (f) | | | 0.34 | | | | 0.34 | | | | — | | | | — | | | | — | |
| | 2013 - Institutional (Commenced August 30, 2013) | | | 10.00 | | | | 0.02 | | | | 0.33 | | | | 0.35 | | | | — | | | | — | | | | — | |
| | 2013 - IR (Commenced August 30, 2013) | | | 10.00 | | | | 0.02 | | | | 0.33 | | | | 0.35 | | | | — | | | | — | | | | — | |
| | 2013 - R (Commenced August 30, 2013) | | | 10.00 | | | | 0.01 | | | | 0.33 | | | | 0.34 | | | | — | | | | — | | | | — | |
| | (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) | | Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests. |
| | (d) | | 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. |
| | (f) | | Amount is less than $0.005 per share. |
| | |
| 40 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MULTI-ASSET REAL RETURN 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(c) | | | | | Ratio of
total expenses
to average
net assets(c) | | | | | Ratio of
net investment
income
to average
net assets | | | | | Portfolio
turnover
rate(d) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 9.37 | | | | | | (0.74 | )% | | | | $ | 52 | | | | | | 0.99 | %(e) | | | | | 4.09 | % | | | | | 0.58 | %(e) | | | | | 20 | % |
| | | 9.35 | | | | | | (0.95 | ) | | | | | 10 | | | | | | 1.76 | (e) | | | | | 4.87 | | | | | | (0.20 | )(e) | | | | | 20 | |
| | | 9.35 | | | | | | (0.50 | ) | | | | | 10,314 | | | | | | 0.59 | (e) | | | | | 3.69 | | | | | | 0.98 | (e) | | | | | 20 | |
| | | 9.36 | | | | | | (0.54 | ) | | | | | 30 | | | | | | 0.74 | (e) | | | | | 3.84 | | | | | | 0.83 | (e) | | | | | 20 | |
| | | 9.38 | | | | | | (0.74 | ) | | | | | 24 | | | | | | 1.23 | (e) | | | | | 4.34 | | | | | | 0.34 | (e) | | | | | 20 | |
| | | 9.35 | | | | | | 6.81 | | | | | | 11 | | | | | | 0.50 | (e) | | | | | 3.63 | | | | | | (0.62 | )(e) | | | | | 20 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 9.47 | | | | | | (8.04 | ) | | | | | 53 | | | | | | 0.96 | | | | | | 3.86 | | | | | | 1.15 | | | | | | 38 | |
| | | 9.44 | | | | | | (8.84 | ) | | | | | 10 | | | | | | 1.69 | | | | | | 4.60 | | | | | | 0.45 | | | | | | 38 | |
| | | 9.47 | | | | | | (7.75 | ) | | | | | 10,423 | | | | | | 0.56 | | | | | | 3.47 | | | | | | 1.58 | | | | | | 38 | |
| | | 9.47 | | | | | | (7.80 | ) | | | | | 30 | | | | | | 0.71 | | | | | | 3.61 | | | | | | 1.44 | | | | | | 38 | |
| | | 9.46 | | | | | | (8.28 | ) | | | | | 25 | | | | | | 1.21 | | | | | | 4.11 | | | | | | 0.94 | | | | | | 38 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 10.63 | | | | | | 4.28 | | | | | | 49 | | | | | | 0.99 | | | | | | 4.75 | | | | | | 1.00 | | | | | | 34 | |
| | | 10.61 | | | | | | 3.47 | | | | | | 11 | | | | | | 1.76 | | | | | | 5.86 | | | | | | 0.28 | | | | | | 34 | |
| | | 10.64 | | | | | | 4.77 | | | | | | 11,272 | | | | | | 0.59 | | | | | | 4.69 | | | | | | 1.45 | | | | | | 34 | |
| | | 10.63 | | | | | | 4.51 | | | | | | 27 | | | | | | 0.73 | | | | | | 4.83 | | | | | | 1.31 | | | | | | 34 | |
| | | 10.62 | | | | | | 4.00 | | | | | | 27 | | | | | | 1.24 | | | | | | 5.34 | | | | | | 0.80 | | | | | | 34 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 10.35 | | | | | | 3.50 | | | | | | 10 | | | | | | 0.97 | (e) | | | | | 5.91 | (e) | | | | | 0.80 | (e) | | | | | 4 | |
| | | 10.34 | | | | | | 3.40 | | | | | | 10 | | | | | | 1.72 | (e) | | | | | 6.66 | (e) | | | | | 0.06 | (e) | | | | | 4 | |
| | | 10.35 | | | | | | 3.50 | | | | | | 10,413 | | | | | | 0.61 | (e) | | | | | 5.54 | (e) | | | | | 1.16 | (e) | | | | | 4 | |
| | | 10.35 | | | | | | 3.50 | | | | | | 26 | | | | | | 0.79 | (e) | | | | | 5.71 | (e) | | | | | 0.98 | (e) | | | | | 4 | |
| | | 10.34 | | | | | | 3.40 | | | | | | 26 | | | | | | 1.25 | (e) | | | | | 6.18 | (e) | | | | | 0.52 | (e) | | | | | 4 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 41 |
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
Notes to Financial Statements
April 30, 2016 (Unaudited)
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 |
Absolute Return Multi-Asset | | A, C, Institutional, IR, R and R6 | | Diversified |
Multi-Asset Real Return | | A, C, Institutional, IR, R and R6* | | Diversified |
| * | | Class R6 commenced operations on February 26, 2016. |
Class A Shares are sold with a front-end sales charge of up to 5.50%. 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, Class IR, Class R and Class R6 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. Basis of Consolidation for Absolute Return Multi-Asset Fund — The Cayman Commodity — ARM, Ltd. (the “Subsidiary”), a Cayman Islands exempted company, was incorporated on May 14, 2015 and is currently a wholly-owned subsidiary of the Absolute Return Multi-Asset Fund (the “Fund”). The Subsidiary acts as an investment vehicle for the Fund to enable the Fund to gain exposure to certain types of commodity-linked derivative instruments. The Fund is the sole shareholder of the Subsidiary pursuant to a subscription agreement dated as of September 2, 2015, and it is intended that the Fund will remain the sole shareholder and will continue to control the Subsidiary. Under the Memorandum and Articles of Association of the Subsidiary, shares issued by the Subsidiary confer upon a shareholder the right to vote at general meetings of the Subsidiary and certain rights in connection with any winding-up or repayment of capital, as well as the right to participate in the profits or assets of the Subsidiary. All inter-fund balances and transactions have been eliminated in consolidation. As of April 30, 2016, the Fund’s net assets were $24,474,302, of which, $5,058,210, or 21%, represented the Subsidiary’s net assets.
B. Investment Valuation — The Funds’ valuation policy is to value investments at fair value.
C. 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.
Distributions from master limited partnerships (“MLPs”) are generally recorded based on the characterization reported on the MLP’s tax return. The Funds record their pro-rata share of the income/loss and capital gains/losses, allocated from the underlying partnerships and adjusts the cost basis of the underlying partnerships accordingly.
42
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
|
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
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.
D. 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.
E. Offering Costs — Offering costs paid in connection with the initial offering of shares of the Absolute Return Multi-Asset Fund are being amortized on a straight-line basis over 12 months from the date of commencement of operations.
F. Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Funds are not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared 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.
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.
|
| 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.
43
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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.
Underlying Funds (including Money Market Funds) — Underlying Funds (“Underlying Funds”) include other investment companies and exchange-traded funds (“ETFs”). Investments in the Underlying Funds (except ETFs) are valued at the NAV per share of the Institutional Share class (the FST Institutional 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.
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.
44
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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.
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.
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.
45
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
As a seller of protection, a Fund generally receives a payment stream throughout the term of the swap, provided that there is no credit event. In addition, if a Fund sells protection through a credit default swap, a Fund could suffer a loss because the value of the referenced obligation and the premium payments received may be less than the notional amount of the swap paid to the buyer of protection. Upon the occurrence of a specified credit event, a Fund, as a seller of credit protection, may be required to take possession of the defaulted reference obligation and pay the buyer an amount equal to the notional amount of the swap in a physically settled trade. A Fund may also pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in 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 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.
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
46
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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.
B. Fair Value Hierarchy — The following is a summary of the Funds’ investments and derivatives classified in the fair value hierarchy as of April 30, 2016:
| | | | | | | | | | | | |
| | | |
| ABSOLUTE RETURN MULTI-ASSET FUND | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| Assets | | | | | | | | | | | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
Europe | | $ | — | | | $ | 781,207 | | | $ | — | |
Asia | | | — | | | | 274,781 | | | | — | |
North America | | | 1,276,997 | | | | — | | | | — | |
Investment Companies | | | 20,073,193 | | | | — | | | | — | |
Exchange Traded Fund | | | 352,050 | | | | — | | | | — | |
| Total | | $ | 21,702,240 | | | $ | 1,055,988 | | | $ | — | |
| | | |
| Derivative Type | | Level 1 | | | Level 2 | | | Level 3 | |
| Assets | | | | | | | | | | | | |
Options Purchased | | $ | 353,356 | | | $ | 88,954 | | | $ | — | |
Forward Foreign Currency Exchange Contracts(b) | | | — | | | | 132,612 | | | | — | |
Futures Contracts(b) | | | 216,894 | | | | — | | | | — | |
| Total | | $ | 570,250 | | | $ | 221,566 | | | $ | — | |
| Liabilities | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts(b) | | $ | — | | | $ | (162,656 | ) | | $ | — | |
Futures Contracts(b) | | | (256,605 | ) | | | — | | | | — | |
Credit Default Swap Contracts(b) | | | — | | | | (1,797 | ) | | | — | |
Total Return Swap Contracts(b) | | | — | | | | (13,256 | ) | | | — | |
Written Options Contracts | | | — | | | | (57,601 | ) | | | — | |
| Total | | $ | (256,605 | ) | | $ | (235,310 | ) | | $ | — | |
47
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
| | | | | | | | | | | | |
| | | |
| MULTI-ASSET REAL RETURN FUND | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| Assets | | | | | | | | | | | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
North America | | $ | 3,824,438 | | | $ | 77 | | | $ | — | |
Europe | | | 29,441 | | | | — | | | | — | |
Exchange Traded Funds | | | 318,231 | | | | — | | | | — | |
Investment Companies | | | 5,311,389 | | | | — | | | | — | |
Short-term Investments | | | ��� | | | | 700,000 | | | | — | |
| Total | | $ | 9,483,499 | | | $ | 700,077 | | | $ | — | |
| | | |
| Derivative Type | | | | | | | | | |
| Assets(b) | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts | | $ | — | | | $ | 25,200 | | | $ | — | |
Futures Contracts | | | 7,270 | | | | — | | | | — | |
| Total | | $ | 7,270 | | | $ | 25,200 | | | $ | — | |
| Liabilities(b) | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts | | $ | — | | | $ | (35,507 | ) | | $ | — | |
Futures Contracts | | | (20,540 | ) | | | — | | | | — | |
| Total | | $ | (20,540 | ) | | $ | (35,507 | ) | | $ | — | |
| (a) | | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of NAV. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. |
| (b) | | Amount shown represents unrealized gain (loss) at period end. |
48
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
|
| 4. INVESTMENTS IN DERIVATIVES |
The following tables set forth, by certain risk types, the gross value of derivative contracts as of April 30, 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.
| | | | | | | | | | | | |
|
| Absolute Return Multi-Asset Fund | |
| Risk | | Consolidated Statements of Assets and Liabilities | | Assets | | | Consolidated Statements of Assets and Liabilities | | Liabilities | |
Interest rate | | Variation margin on certain derivative contracts; Investments, at value | | $ | 368,031 | (a) | | Variation margin on certain derivative contracts | | $ | (18,034) | (a) |
Commodity | | Variation margin on certain derivative contracts | | | 175,256 | (a) | | Variation margin on certain derivative Contracts; Payable for unrealized loss on swap contracts | | | (152,470) | (a)(b) |
Credit | | — | | | — | | | Payable for unrealized loss on swap contracts | | | (1,797) | (a) |
Currency | | Receivable for unrealized gain on forward foreign currency exchange contracts | | | 132,612 | | | Payable for unrealized loss on forward foreign currency exchange contracts | | | (162,656) | |
Equity | | Variation margin on certain derivative contracts; Investments, at value | | | 115,917 | (a) | | Variation margin on certain derivative Contracts; Investments, at value | | | (156,958) | (a) |
| Total | | | | $ | 791,816 | | | | | $ | (491,915) | |
| (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 Consolidated Statements of Assets and Liabilities. |
| (b) | | Aggregate of amounts include $13,256 for Absolute Return Multi-Asset Fund, 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, its failure to pay on its 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 Fund is entitled to a full return. |
| | | | | | | | | | | | |
| | |
| Multi-Asset Real Return Fund | | | | | | | |
| Risk | | Statements of Assets and Liabilities | | Assets | | | Statements of Assets and Liabilities | | Liabilities | |
Interest rate | | Variation margin on certain derivative contracts | | $ | 6,467 | (a) | | Variation margin on certain derivative contracts | | $ | (19,121) | (a) |
Currency | | Receivable for unrealized gain on forward foreign currency exchange contracts | | | 25,200 | | | Payable for unrealized loss on forward foreign currency exchange contracts | | | (35,507) | |
Equity | | Variation margin on certain derivative contracts | | | 803 | (a) | | Variation margin on certain derivative contracts | | | (1,419) | (a) |
| Total | | | | $ | 32,470 | | | | | $ | (56,047) | |
| (a) | | Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information sections of the Schedules of Investments. Only current day’s variation margin is reported within the Consolidated Statements of Assets and Liabilities. |
The following tables set forth, by certain risk types, the Funds’ gains (losses) related to these derivatives and their indicative volumes for the six months ended April 30, 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
49
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 4. INVESTMENTS IN DERIVATIVES (continued) |
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:
| | | | | | | | | | | | | | |
|
| Absolute Return Multi-Asset Fund | |
| Risk | | Consolidated 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 and futures contracts/Net change in unrealized gain (loss) on investments and futures contracts | | $ | 54,691 | | | $ | (75,304 | ) | | | 111 | |
| Commodity | | Net realized gain (loss) from future contracts and swap contracts/Net change in unrealized gain (loss) on futures contracts and swap contracts | | | 35,100 | | | | (43,110 | ) | | | 108 | |
| Credit | | Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts | | | 14,084 | | | | (1,797 | ) | | | 1 | |
| Currency | | Net realized gain (loss) from forward foreign currency exchange contracts /Net change in unrealized gain (loss) on forward foreign currency exchange contracts | | | 69,348 | | | | (47,885 | ) | | | 116 | |
| Equity | | Net realized gain (loss) from investments, futures contracts and written options contracts/Net change in unrealized gain (loss) on investment, futures contracts and written options contracts | | | (49,927 | ) | | | (52,978 | ) | | | 110 | |
| Total | | | | $ | 123,296 | | | $ | (221,074 | ) | | | 446 | |
| (a) | | Average number of contracts is based on the average of month end balances for the period ended April 30, 2016. |
| | | | | | | | | | | | | | |
|
| Multi-Asset Real Return Fund | |
| 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/Net change in unrealized gain (loss) on futures contracts | | $ | (101,024 | ) | | $ | 48,386 | | | | 27 | |
| Currency | | Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts | | | 16,669 | | | | (14,629 | ) | | | 41 | |
| Equity | | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | | | (11,506 | ) | | | (83,099 | ) | | | 16 | |
| Total | | | | $ | (95,861 | ) | | $ | (49,342 | ) | | | 84 | |
| (a) | | Average number of contracts is based on the average of month end balances for the period ended April 30, 2016. |
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
50
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
|
| 4. INVESTMENTS IN DERIVATIVES (continued) |
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 April 30, 2016:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
| Absolute Return Multi-Asset Fund | |
| | | Derivative Assets(1) | | | Derivative Liabilities(1) | | | | | | | | | | |
| Counterparty | | Options
Purchased | | | Forward
Currency
Contracts | | | Total | | | Swaps | | | Forward
Currency
Contracts | | | Options
Written | | | Total | | | Net Derivative
Asset
(Liabilities) | | | Collateral
(Received)
Pledged(1) | | | Net
Amount(2) | |
Barclays Bank PLC | | $ | 21,865 | | | $ | — | | | $ | 21,865 | | | $ | — | | | $ | — | | | $ | (7,305 | ) | | $ | (7,305 | ) | | $ | 14,560 | | | $ | — | | | $ | 14,560 | |
Deutsche Bank AG | | | — | | | | — | | | | — | | | | — | | | | — | | | | (31,689 | ) | | | (31,689 | ) | | | (31,689 | ) | | | — | | | | (31,689 | ) |
Morgan Stanley & Co. International PLC | | | — | | | | 104,459 | | | | 104,459 | | | | (13,256 | ) | | | (146,877 | ) | | | — | | | | (160,133 | ) | | | (55,674 | ) | | | 55,674 | | | | — | |
Morgan Stanley Capital Services, Inc. | | | 67,089 | | | | — | | | | 67,089 | | | | — | | | | — | | | | (18,607 | ) | | | (18,607 | ) | | | 48,482 | | | | — | | | | 48,482 | |
UBS AG (London) | | | — | | | | 28,153 | | | | 28,153 | | | | — | | | | (15,779 | ) | | | — | | | | (15,779 | ) | | | 12,374 | | | | — | | | | 12,374 | |
Total | | $ | 88,954 | | | $ | 132,612 | | | $ | 221,566 | | | $ | (13,256 | ) | | $ | (162,656 | ) | | $ | (57,601 | ) | | $ | (233,513 | ) | | $ | (11,947 | ) | | $ | 55,674 | | | $ | 43,727 | |
| (1) | | Gross amounts available for offset but not netted in the Consolidated Statement of Assets and Liabilities. |
| (2) | | Net amount represents the net amount due (to) from counterparty in the event of a default based on the contractual set-off rights under the agreement. Net amount excludes any over-collateralized amounts. |
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAM manages the Funds, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Funds’ business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of each Fund’s average daily net assets.
51
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the six months ended April 30, 2016, contractual and effective net management fees with GSAM were at the following rates:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Contractual Management Fee Rate | | | Effective Net
Management
Fee Rate*^ | |
| Fund | | | | First
$1 billion | | | Next
$1 billion | | | Next
$3 billion | | | Next
$3 billion | | | Over
$8 billion | | | Effective
Fee Rate | | |
Absolute Return Multi-Asset | | | | | 0.85 | % | | | 0.85 | % | | | 0.77 | % | | | 0.73 | % | | | 0.71 | % | | | 0.85 | % | | | 0.69 | %(a) |
Multi-Asset Real Return | | | | | 0.70 | | | | 0.63 | | | | 0.60 | | | | 0.59 | | | | 0.57 | | | | 0.70 | | | | 0.51 | |
| * | | GSAM agreed to waive a portion of its management fee rates, set forth in the Funds’ most recent prospectus. These waivers will be effective through at least February 26, 2017 for the funds, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. |
| ^ | | Effective Net Management Fee Rate includes the impact of management fee waivers of affiliated underlying funds, if any. |
| (a) | | Reflects combined management fees paid to GSAM under the Agreement and the Subsidiary Agreement as defined below after waivers. |
The Absolute Return Multi-Asset Fund invests in the Institutional Shares of the Goldman Sachs Fixed Income Macro Strategies, Goldman Sachs High Yield, Goldman Sachs Inflation Protected Securities, Goldman Sachs International Real Estate Securities, Goldman Sachs Long Short, Goldman Sachs Real Estate Securities and the FST Institutional Shares of the Financial Square Government Funds and the Multi-Asset Real Return Fund invests in the Institutional Shares of the Goldman Sachs Commodity Strategy, Goldman Sachs Inflation Protected Securities, and Goldman Sachs Strategic Income Funds, which are affiliated Underlying Funds. GSAM has agreed to waive a portion of its management fee payable by the Funds in an amount equal to the management fee it earns as an investment adviser to any of the affiliated Underlying Funds in which the Funds invest. For the six months ended April 30, 2016, GSAM waived $14,930 and $7,991 of the Absolute Return Multi-Asset and the Multi-Asset Real Return Funds’ management fees, respectively.
GSAM also provides management services to the Subsidiary pursuant to a Subsidiary Management Agreement (the “Subsidiary Agreement”) and is entitled to a management fee accrued daily and paid monthly, equal to an annual percentage rate of 0.42% of the Subsidiary’s average daily net assets. In consideration of the Subsidiary’s management fee, and for as long as the Subsidiary Agreement remains in effect, GSAM has contractually agreed to waive irrevocably a portion of the Absolute Return Multi-Asset Fund’s management fee in an amount equal to the management fee accrued and paid to GSAM by the Subsidiary under the Subsidiary Agreement. For the six months ended April 30, 2016 GSAM waived $10,687 of Absolute Return Multi-Asset Fund’s management fee. This waiver represents an inter-fund transaction and, accordingly, has been eliminated in consolidation.
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. |
52
GOLDMAN SACHS MULTI-ASSET CLASS 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 six months ended April 30, 2016, Goldman Sachs advised that it retained the following amounts:
| | | | | | | | | | |
| | | | | Front End
Sales Charge | | | Contingent Deferred
Sales Charge | |
| Fund | | | | Class A | | | Class C | |
Absolute Return Multi-Asset | | | | $ | — | | | $ | 11 | |
D. 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: 0.19% of the average daily net assets of Class A, Class C, Class IR and Class R Shares; 0.04% of the average daily net assets of Institutional Shares; and 0.02% of the average daily net assets of Class R6 Shares.
E. 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 Absolute Return Multi-Asset and the Multi-Asset Real Return are 0.104% and 0.004%, respectively. Prior to February 26, 2016, the Other Expenses limitation for the Multi-Asset Real Return Fund was 0.064%. These Other Expense limitations will remain in place through at least February 26, 2017 for the Funds, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Funds have entered into certain offset arrangements with the transfer agent, which may result in a reduction of the Funds’ expenses and are received irrespective of the application of the “Other Expense” limitations described above.
For the six months ended April 30, 2016, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
| | | | | | | | | | | | | | |
| Fund | | | | Management
fees | | | Other
Expense
Reimbursements | | | Total
Expense
Reimbursements | |
Absolute Return Multi-Asset | | | | $ | 8,111 | | | $ | 181,132 | | | $ | 189,243 | |
Multi-Asset Real Return | | | | | 9,612 | | | | 145,336 | | | | 154,948 | |
F. Line of Credit Facility — As of April 30, 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”). This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the six months ended April 30, 2016, the Funds did not have any borrowings under the facility. The facility was renewed in the amount of $1,100,000,000 effective May 3, 2016.
G. Other Transactions with Affiliates — For the six months ended April 30, 2016, Goldman Sachs earned $83 in brokerage commissions from portfolio transactions on behalf of the Multi-Asset Real Return Fund.
53
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
As of April 30, 2016, the Goldman Sachs Group, Inc. was the beneficial owner of 5% or more of outstanding shares of the following funds:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund | | | | Class A | | | Class C | | | Institutional | | | Class IR | | | Class R | | | Class R6 | |
Absolute Return Multi-Asset | | | | | 28 | % | | | 10 | % | | | 10 | % | | | 10 | % | | | 10 | % | | | 10 | % |
Multi-Asset Real Return | | | | | 19 | | | | 100 | | | | 96 | | | | 84 | | | | 100 | | | | 100 | |
The table below shows the transactions in and earnings from investments in the Underlying Funds for the six months ended April 30, 2016:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| Absolute Return Multi-Asset Fund | | | | | | | | | | | | | | | | | |
| Underlying Fund | | Market Value 10/31/2015 | | | Purchases at Cost | | | Proceeds from Sales | | | Net Realized Gain (Loss) | | | Net Change in Unrealized Gain (Loss) | | | Market Value 4/30/2016 | | | Dividend Income | |
Goldman Sachs Commodity Strategy Fund | | $ | 553,846 | | | $ | 1,419 | | | $ | (429,269 | ) | | $ | (134,650 | ) | | $ | 8,654 | | | $ | — | | | $ | 1,419 | |
Goldman Sachs Financial Square Government Fund | | | 10,987,309 | | | | 4,026,641 | | | | (5,196,600 | ) | | | — | | | | — | | | | 9,817,350 | | | | 52,401 | |
Goldman Sachs Fixed Income Macro Strategies Fund | | | 2,510,751 | | | | 146,667 | | | | (88,053 | ) | | | (4,792 | ) | | | (143,587 | ) | | | 2,420,986 | | | | 146,668 | |
Goldman Sachs High Yield Fund | | | 2,171,767 | | | | 63,450 | | | | — | | | | — | | | | (69,415 | ) | | | 2,165,802 | | | | 20,421 | |
Goldman Sachs Inflation Protected Securities Fund | | | — | | | | 1,460,000 | | | | — | | | | — | | | | 72,421 | | | | 1,532,421 | | | | — | |
Goldman Sachs International Real Estate Securities Fund | | | 932,740 | | | | 15,191 | | | | (60,803 | ) | | | 357 | | | | (18,430 | ) | | | 869,055 | | | | 15,190 | |
Goldman Sachs Long Short Fund | | | 2,392,439 | | | | 220,830 | | | | — | | | | — | | | | (219,904 | ) | | | 2,393,365 | | | | 6,621 | |
Goldman Sachs Real Estate Securities Fund | | | 958,819 | | | | 107,486 | | | | (205,000 | ) | | | 17,435 | | | | (4,526 | ) | | | 874,214 | | | | 5,336 | |
Total | | $ | 20,507,671 | | | $ | 6,041,684 | | | $ | (5,979,725 | ) | | $ | (121,650 | ) | | $ | (374,787 | ) | | $ | 20,073,193 | | | $ | 248,056 | |
| | | | | | | |
| Multi-Asset Real Return Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Underlying Fund | | Market Value 10/31/2015 | | | Purchases at Cost | | | Proceeds from Sales | | | Net Realized Gain (Loss) | | | Net Change in Unrealized Gain (Loss) | | | Market Value 4/30/2016 | | | Dividend Income | |
Goldman Sachs Commodity Strategy Fund | | $ | 851,672 | | | $ | 24,856 | | | $ | (222,866 | ) | | $ | (298,671 | ) | | $ | 175,409 | | | $ | 530,400 | | | $ | 2,182 | |
Goldman Sachs Inflation Protected Securities Fund | | | 3,366,315 | | | | 518,579 | | | | (325,000 | ) | | | (5,319 | ) | | | 141,440 | | | | 3,696,015 | | | | — | |
Goldman Sachs Strategic Income Fund | | | 1,243,219 | | | | 322,485 | | | | (435,000 | ) | | | (35,402 | ) | | | (10,328 | ) | | | 1,084,974 | | | | 16,177 | |
Total | | $ | 5,461,206 | | | $ | 865,920 | | | $ | (982,866 | ) | | $ | (339,392 | ) | | $ | 306,521 | | | $ | 5,311,389 | | | $ | 18,359 | |
54
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
|
| 6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended April 30, 2016, were as follows:
| | | | | | | | | | |
| Fund | | | | Purchases | | | Sales | |
Absolute Return Multi-Asset | | | | $ | 2,854,303 | | | $ | 1,130,753 | |
Multi-Asset Real Return | | | | | 1,885,542 | | | | 1,918,218 | |
As of the Funds’ most recent fiscal year end, October 31, 2015, the Funds’ capital loss carryforwards and certain timing differences on a tax basis were as follows:
| | | | | | | | |
| | | Absolute Return
Multi-Asset
Fund | | | Multi-Asset
Real Return
Fund | |
Capital loss carryforwards: | | | | | | | | |
Perpetual Short-term | | $ | (19,808 | ) | | $ | (223,666 | ) |
Perpetual Long-term | | | (23,745 | ) | | | (42,042 | ) |
Total capital loss carryforwards | | $ | (43,553 | ) | | $ | (265,708 | ) |
Timing differences (Passive Activity Losses Carryforward) | | $ | — | | | $ | (44,337 | ) |
As of April 30, 2016, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
| | | | | | | | |
| | | Absolute Return
Multi-Asset
Fund | | | Multi-Asset
Real Return
Fund | |
Tax Cost | | $ | 23,798,872 | | | $ | 10,094,797 | |
Gross unrealized gain | | | 338,502 | | | | 732,843 | |
Gross unrealized loss | | | (936,836 | ) | | | (644,064 | ) |
Net unrealized security gain (loss) | | $ | (598,334 | ) | | $ | 88,779 | |
The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales, differences related to the tax treatment of net mark to market gains/(losses) on regulated futures, partnership and other underlying fund investments, and foreign currency transactions.
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.
55
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
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 also can result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.
Foreign and Emerging Countries Risk — 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 a 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 a 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 a Fund also invests in securities of issuers located in emerging markets, these risks may be more pronounced.
Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by a 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 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 a 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 a 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. Borrowing and the use of derivatives may result in leverage and may make a Fund more volatile. When a Fund uses leverage, the sum of that Fund’s investment exposure may significantly exceed the amount of assets invested in the Fund, although these exposures may vary over time. Relatively small market movements may result in large changes in the value of a leveraged investment. A 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 a Fund to liquidate portfolio positions to satisfy its obligations or to meet segregation requirements when it may not be advantageous to do so. The use of leverage by a Fund can substantially increase the adverse impact to which the Fund’s investment portfolio may be subject.
56
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
|
| 8. OTHER RISKS (continued) |
Liquidity Risk — A Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk 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.
Market and Credit Risks — In the normal course of business, a Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, a Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
Master Limited Partnership Risk — Investments in securities of MLPs involve risks that differ from investments in common stock, including risks related to limited control and limited rights to vote on matters affecting the MLP, risks related to potential conflicts of interest between the MLP and the MLP’s general partner, cash flow risks, dilution risks, limited liquidity and risks related to the general partner’s right to require unit-holders to sell their common units at an undesirable time or price.
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.
Tax Risk — The Absolute Return Multi-Asset Fund seeks to gain exposure to the commodity markets primarily through investments in the Subsidiary and/or commodity index-linked structured notes, as applicable. Historically, the Internal Revenue Service (“IRS”) issued private letter rulings (“PLRs”) in which the IRS specifically concluded that income and gains from investments in commodity index-linked structured notes or a wholly-owned foreign subsidiary that invests in commodity-linked instruments are “qualifying income” for purposes of compliance with Subchapter M of the Code. The Fund has not received a PLR, and is not able to rely on PLRs issued to other taxpayers. Additionally, the IRS has suspended the granting of such PLRs, pending review of its position on this matter. In light of this, Absolute Return Multi-Asset Fund has obtained an opinion of counsel that the Fund’s income from such investments should constitute “qualifying income.” However, no assurances can be provided that the IRS would not be able to successfully assert that a Fund’s income from such investments was not “qualifying income”, in which case the Fund would fail to qualify as regulated investment company (“RIC”) under Subchapter M of the Code if over 10% of its gross income were derived from these investments. If the Fund failed to qualify as a RIC, it would be subject to federal and state income tax on all of its taxable income at regular corporate tax rates. This would significantly adversely affect the returns to, and could cause substantial losses for, Fund shareholders.
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.
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.
57
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 11. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | Absolute Return Multi-Asset Fund | |
| | | | |
| | | For the Six Months Ended April 30, 2016 (Unaudited) | | | For the Period Ended October 31, 2015(a) | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 6,614 | | | $ | 64,480 | | | | 2,501 | | | $ | 25,015 | |
Reinvestment of distributions | | | 11 | | | | 112 | | | | — | | | | — | |
Shares redeemed | | | (169 | ) | | | (1,640 | ) | | | (1 | ) | | | (10 | ) |
| | | | 6,456 | | | | 62,952 | | | | 2,500 | | | | 25,005 | |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | — | | | | — | | | | 2,609 | | | | 26,081 | |
Reinvestment of distributions | | | 5 | | | | 50 | | | | — | | | | — | |
Shares redeemed | | | (107 | ) | | | (1,066 | ) | | | (2 | ) | | | (15 | ) |
| | | | (102 | ) | | | (1,016 | ) | | | 2,607 | | | | 26,066 | |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 2,452 | | | | 23,662 | | | | 2,487,501 | | | | 24,875,015 | |
Reinvestment of distributions | | | 14,716 | | | | 143,778 | | | | — | | | | — | |
Shares redeemed | | | — | | | | — | | | | (1 | ) | | | (15 | ) |
| | | | 17,168 | | | | 167,440 | | | | 2,487,500 | | | | 24,875,000 | |
| Class IR Shares | | | | | | | | | | | | | | | | |
Shares sold | | | — | | | | — | | | | 2,502 | | | | 25,015 | |
Reinvestment of distributions | | | 14 | | | | 132 | | | | — | | | | — | |
Shares redeemed | | | — | | | | — | | | | (2 | ) | | | (15 | ) |
| | | | 14 | | | | 132 | | | | 2,500 | | | | 25,000 | |
| Class R Shares | | | | | | | | | | | | | | | | |
Shares sold | | | — | | | | — | | | | 2,501 | | | | 25,015 | |
Reinvestment of distributions | | | 9 | | | | 91 | | | | — | | | | — | |
Shares redeemed | | | — | | | | — | | | | (1 | ) | | | (15 | ) |
| | | | 9 | | | | 91 | | | | 2,500 | | | | 25,000 | |
| Class R6 | | | | | | | | | | | | | | | | |
Shares sold | | | — | | | | — | | | | 2,502 | | | | 25,015 | |
Reinvestment of distributions | | | 15 | | | | 147 | | | | — | | | | — | |
Shares redeemed | | | — | | | | — | | | | (2 | ) | | | (15 | ) |
| | | | 15 | | | | 147 | | | | 2,500 | | | | 25,000 | |
NET INCREASE | | | 23,560 | | | $ | 229,746 | | | | 2,500,107 | | | $ | 25,001,071 | |
| (a) | | Commenced operations September 2, 2015. |
58
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
|
| 11. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | Multi-Asset Real Return Fund | |
| | | | |
| | | For the Six Months Ended
April 30, 2016
(Unaudited) | | | For the Fiscal Year Ended
October 31, 2015 | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | |
Shares sold | | | — | | | $ | — | | | | 3,621 | | | $ | 37,152 | |
Reinvestment of distributions | | | 18 | | | | 162 | | | | 191 | | | | 1,933 | |
Shares redeemed | | | — | | | | — | | | | (2,849 | ) | | | (28,448 | ) |
| | | | 18 | | | | 162 | | | | 963 | | | | 10,637 | |
| Class C Shares | | | | | | | | | | | | | | | | |
Reinvestment of distributions | | | — | | | | — | | | | 24 | | | | 253 | |
| | | | — | | | | — | | | | 24 | | | | 253 | |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | — | | | | — | | | | 3,328 | | | | 33,060 | |
Reinvestment of distributions | | | 8,542 | | | | 77,978 | | | | 38,744 | | | | 382,409 | |
Shares redeemed | | | (6,372 | ) | | | (61,532 | ) | | | (1,218 | ) | | | (12,243 | ) |
| | | | 2,170 | | | | 16,446 | | | | 40,854 | | | | 403,226 | |
| Class IR Shares | | | | | | | | | | | | | | | | |
Shares sold | | | — | | | | — | | | | 489 | | | | 5,200 | |
Reinvestment of distributions | | | 19 | | | | 179 | | | | 106 | | | | 1,069 | |
| | | | 19 | | | | 179 | | | | 595 | | | | 6,269 | |
| Class R Shares | | | | | | | | | | | | | | | | |
Reinvestment of distributions | | | 2 | | | | 25 | | | | 76 | | | | 761 | |
| | | | 2 | | | | 25 | | | | 76 | | | | 761 | |
| Class R6 Shares(a) | | | | | | | | | | | | | | | | |
Shares sold | | | 1,140 | | | | 10,000 | | | | — | | | | — | |
Reinvestment of distributions | | | 2 | | | | 19 | | | | — | | | | — | |
| | | | 1,142 | | | | 10,019 | | | | — | | | | — | |
NET INCREASE | | | 3,351 | | | $ | 26,831 | | | | 42,512 | | | $ | 421,146 | |
| (a) | | Commenced operations February 26, 2016. |
59
GOLDMAN SACHS MULTI-ASSET CLASS FUNDS
|
Fund Expenses — Six Month Period Ended April 30, 2016 (Unaudited) |
As a shareholder of Class A, Class C, 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, 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 November 1, 2015 through April 30, 2016, which represents a period of 182 days in a 366-day year. The Class R6 Shares Example for Multi-Asset Real Return Fund is based on the period from February 26, 2016 through April 30, 2016, which represents a period of 65 days in 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.
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Absolute Return Multi-Asset Fund | | | Multi-Asset Real Return Fund | |
| Share Class | | Beginning
Account Value
11/1/15 | | | Ending
Account Value
4/30/16 | | | Expenses
Paid for the
6 months
ended
4/30/16* | | | Beginning
Account Value
11/1/15 | | | Ending
Account Value
4/30/16 | | | Expenses
Paid for the
6 months
ended
4/30/16* | |
| Class A | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 980.30 | | | $ | 6.11 | | | $ | 1,000.00 | | | $ | 992.60 | | | $ | 4.90 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,018.70 | + | | | 6.22 | | | | 1,000.00 | | | | 1,019.94 | + | | | 4.97 | |
| Class C | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 976.80 | | | | 9.73 | | | | 1,000.00 | | | | 990.50 | | | | 8.71 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,015.02 | + | | | 9.92 | | | | 1,000.00 | | | | 1,016.11 | + | | | 8.82 | |
| Institutional | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 982.60 | | | | 4.09 | | | | 1,000.00 | | | | 995.00 | | | | 2.93 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,020.74 | + | | | 4.17 | | | | 1,000.00 | | | | 1,021.93 | + | | | 2.97 | |
| Class IR | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 981.10 | | | | 4.88 | | | | 1,000.00 | | | | 994.60 | | | | 3.67 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,019.94 | | | | 4.97 | | | | 1,000.00 | | | | 1,021.18 | + | | | 3.72 | |
| Class R | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 979.50 | | | | 7.28 | | | | 1,000.00 | | | | 992.60 | | | | 6.09 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,017.50 | + | | | 7.42 | | | | 1,000.00 | | | | 1,018.75 | + | | | 6.17 | |
| Class R6(a) | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 982.70 | | | | 3.94 | | | | 1,000.00 | | | | 936.70 | | | | 0.82 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,020.88 | + | | | 4.02 | | | | 1,000.00 | | | | 1,007.62 | + | | | 0.85 | |
| | (a) | | Commenced operations on February 26, 2016 for Multi-Asset Real Return Fund. | |
| | * | | 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 April 30, 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 | | | Class IR | | | Class R | | | Class R6 | |
Absolute Return Multi-Asset | | | 1.24 | % | | | 1.98 | % | | | 0.83 | % | | | 0.99 | % | | | 1.48 | % | | | 0.80 | % |
Multi-Asset Real Return | | | 0.99 | | | | 1.76 | | | | 0.59 | | | | 0.74 | | | | 1.23 | | | | 0.50 | |
| | + | | 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. | |
60
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 FundsSM
| 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 FundsSM
| n | | Investor Money Market Fund |
| n | | Investor Tax-Exempt Money Market Fund3 |
Fixed Income
Short Duration and Government
| n | | High Quality Floating Rate Fund |
| n | | Limited Maturity Obligations Fund |
| n | | Short Duration Government Fund |
| n | | Short Duration Income Fund |
| n | | Inflation Protected Securities Fund |
Multi-Sector
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 | | 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 | | Small/Mid Cap Value 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 |
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 | | Emerging Markets Equity Fund6 |
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 | | 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 Overlay Fund8 |
| 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 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. |
| 8 | | Effective on June 1, 2016, the Goldman Sachs Tactical Tilt Implementation Fund was renamed the Goldman Sachs Tactical Tilt Overlay Fund. |
| | | Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman, Sachs & Co. |
| * | | This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds. |
| | |
TRUSTEES Ashok N. Bakhru, Chairman Kathryn A. Cassidy 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, Principal Financial Officer,
Senior Vice President and Treasurer 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 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.
The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
Holdings and allocations shown are as of April 30, 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.
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).
© 2016 Goldman Sachs. All rights reserved. 50852-TMPL-06/2016 MACSAR-16/130
Goldman Sachs Funds
| | | | |
| | |
| Semi-Annual Report | | | | April 30, 2016 |
| | |
| | | | Tactical Tilt Overlay Fund* |
*Effective on June 1, 2016, the Goldman Sachs Tactical Tilt Implementation Fund was renamed the Goldman Sachs Tactical Tilt Overlay Fund.
Goldman Sachs Tactical Tilt Overlay Fund
| | | | |
TABLE OF CONTENTS | | | | |
| |
Portfolio Management Discussions and Performance Summaries | | | 1 | |
| |
Schedule of Investments | | | 8 | |
| |
Financial Statements | | | 13 | |
| |
Financial Highlights | | | 16 | |
| |
Notes to the Financial Statements | | | 18 | |
| |
Other Information | | | 32 | |
| | | | |
| | | |
| NOT FDIC-INSURED | | May Lose Value | | No Bank Guarantee |
PORTFOLIO RESULTS
Goldman Sachs Tactical Tilt Overlay Fund
Investment Objective and Principal Strategy
The Fund seeks long-term total return.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Global Portfolio Solutions Team discusses the Goldman Sachs Tactical Tilt Overlay Fund’s (the “Portfolio”) performance and positioning for the six-month period ended April 30, 2016 (the “Reporting Period”).
| Q | | How did the Portfolio perform during the Reporting Period? |
| A | | During the Reporting Period, the Portfolio’s Institutional Shares generated a cumulative total return, without sales charges, of -4.19%. This return compares to the 0.22% cumulative total return of the Portfolio’s benchmark, the Bank of America Merrill Lynch U.S. Dollar Three-Month LIBOR Constant Maturity Index (the “Index”), during the same time period. |
| | References to the Portfolio’s benchmarks and to other indices mentioned herein are for informational purposes only, and unless otherwise noted, are not an indication of how the Portfolio is managed. The use of the Index as the Portfolio’s benchmark does not imply the Portfolio is being managed like cash and does not imply low risk or low volatility. |
| Q | | What economic and market factors most influenced the Portfolio during the Reporting Period? |
| A | | Central bank monetary policy across countries and global regions, as well as global economic growth concerns — particularly related to China — dominated financial markets during the Reporting Period, which was marked by periods of heightened volatility. |
| | Accommodative monetary policies were reinforced in many developed markets, notably Europe and Japan. In December 2015, the European Central Bank (“ECB”) lowered interest rates into negative territory and expanded its stimulus program. Then in January 2016, the ECB increased its asset purchase program to include purchases of non-financial corporate credit and announced a new series of easing measures. The Bank of Japan (“BoJ”) introduced a negative interest rate at its January 2016 policy meeting, reaffirming its commitment to achieving a 2% inflation target. In April 2016, it chose to leave monetary policy unchanged, surprising markets. In the U.S., during December 2015, the Federal Reserve (the “Fed”) announced its first interest rate hike since 2006, raising the targeted federal funds rate to a range between 0.25% and 0.50%. The Fed subsequently adopted a more dovish tone due to global economic growth concerns and market volatility. (A dovish tone tends to indicate lower interest rates.) However, following its April 2016 policy meeting at which rates were left unchanged, the Fed expressed less concern about these factors. |
| | Concerns about global economic growth, especially China’s, and volatile oil and commodity prices increased market turbulence during the Reporting Period. The price of West Texas Intermediate (“WTI”) crude oil, which continued to decline at the beginning of the Reporting Period, hit a 12-year low in mid-January 2016 before rising significantly through the end of the Reporting Period. The turmoil in the commodity markets had a substantial impact on energy-related sectors in both the equities and fixed income markets, most notably among high yield corporate bonds that managed nevertheless to eke out a small gain during the Reporting Period. |
| | Within developed markets equities, the first quarter of 2016 was particularly challenging. Japanese equities had a rough time due to Japan’s disappointing economic growth, negative interest rates and the ongoing strength of the Japanese yen. Meanwhile, European and U.S. equities experienced a turbulent start to the calendar year but found some footing in mid-February 2016. |
| | In terms of currencies, the U.S. dollar was strong compared to other developed markets currencies during late 2015 and early 2016. Near the end of the Reporting Period, however, the U.S. dollar softened, providing a currency tailwind to the emerging markets. The Chinese renminbi, which had weakened during 2015, stabilized in the closing months of the Reporting Period, largely because of the depreciation of the U.S. dollar and China’s tightening of capital controls. |
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PORTFOLIO RESULTS
| Q | | What key factors were responsible for the Portfolio’s performance during the Reporting Period? |
| A | | The Portfolio seeks to achieve its investment objective through the implementation of investment ideas that are generally derived from short-term or medium-term market views on a variety of asset classes and instruments. During the Reporting Period overall, the Portfolio’s exposure to riskier asset classes detracted from performance. Investors generally had a preference for perceived safe haven assets in the “risk off” environment that dominated much of the Reporting Period. The Portfolio was also hurt by its long position in the U.S. dollar and its short positions in the Japanese yen and Chinese renminbi, as the U.S. dollar weakened over the course of the Reporting Period. In addition, certain country-specific European equity exposures dampened performance during the Reporting Period overall. |
| | Within fixed income, the Portfolio was hampered by its holdings of high yield corporate bonds, which declined during the Reporting Period. Although energy-related high yield corporate bonds rebounded in April 2016 after what had otherwise been a steady decline, the broader high yield corporate bond market generated only a small gain. |
| | Within equities, the Portfolio’s exposure to European equities detracted, with its position in Italian equities hurting results the most amid market concerns about Italy’s financial companies. The Portfolio’s position in Spanish equities, which suffered due to geopolitical concerns, also detracted from returns. In addition, the Portfolio’s tactical long position in Japanese bank stocks hindered performance during the last four months of the Reporting Period. Japanese banks reacted adversely to the BoJ’s introduction of negative interest rates in January 2016. Separately, the Portfolio benefited modestly from a long position in master limited partnerships (“MLPs”). |
| | In terms of currencies, the Portfolio’s long position in the U.S. dollar versus its short position in the Japanese yen detracted from returns, as the yen strengthened relative to the U.S. dollar, driven by the BoJ’s decision in April 2016 to withhold additional monetary easing. The yen also benefited from investment inflows due to its use as a funding currency and its perceived safe haven status during times of market stress. (A funding currency is the currency exchanged in a currency carry trade. In a currency carry trade, investors borrow the funding currency, which generally has a low interest rate, and purchase a currency with a higher interest rate, seeking to profit from the difference.) On the positive side, the Portfolio benefited during the Reporting Period from its short position in the euro versus its long position in the U.S. dollar. The euro weakened relative to the U.S. dollar due to geopolitical risks and weak economic data during the last four months of the Reporting Period. |
| | Within commodities, a long position in the S&P GSCI® Crude Oil Enhanced Index versus a short position in the S&P GSCI® Crude Oil Index added most to the Portfolio’s returns, performing particularly well at the beginning of the Reporting Period when oil prices fell on the back of abundant supply. |
| Q | | How was the Portfolio positioned at the beginning of the Reporting Period? |
| A | | In terms of its allocations at the beginning of the Reporting Period, the Portfolio had 24.88% of its total net assets invested in equity-related investments; 27.70% of its total net assets invested in fixed income-related investments; 12.77% of its total net assets invested in currency-related investments; and 0.23% of its total net assets invested in commodity-related investments. The Portfolio’s allocation to cash and cash equivalents was 34.42% of its total net assets at the beginning of the Reporting Period. In addition, the Portfolio maintained a position in cash and cash equivalents to cover the exposure of various derivatives positions. This represented 24.09% of the Portfolio’s accounting balance of cash, which totaled 58.51% at the beginning of the Reporting Period. The above sector breakout is inclusive of derivative exposure across all asset classes. |
| Q | | How did you tactically manage the Portfolio’s allocations during the Reporting Period? |
| A | | During the Reporting Period, in response to shifting macroeconomic and market dynamics, we made a number of changes to the Portfolio’s exposures. Overall, the Portfolio expressed a number of views posited on a favorable outlook for U.S. economic fundamentals, attractive valuations in European and Japanese equities, and our belief that oil prices had fallen too low and would rise. In addition, the Portfolio expressed our view that the U.S. dollar would strengthen, particularly relative to the market’s rising concerns about muted global economic growth and weak economic data in a number of other developed markets. We also sought to reduce the Portfolio’s overall risk in light of heightened market volatility, particularly from the middle of February 2016 through the end of the Reporting Period. Our options-based implementations were modulated to reflect our views on equity markets and indices in certain regions and markets. |
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PORTFOLIO RESULTS
| | In terms of equity-related exposures, we adjusted the Portfolio’s allocation to the S&P 500® Index, as we sought to provide downside protection against unexpected risks and allowed the Portfolio to remain tactically long beta. (Beta refers to the component of returns that is attributable to market risk exposure, rather than manager skill.) Specifically, we bought index put options on the S&P 500® Index during November 2015, reducing the position thereafter and allowing it to expire at the end of 2015. We also bought index put options on the S&P 500® Index during February 2016 and allowed them to expire at the end of March 2016. Amid heightened market volatility in the European equity markets during the Reporting Period, we initiated a tactical long position in the EURO STOXX 50 using index options, which we funded by reducing the Portfolio’s allocation to Spanish equities. Additionally, we tactically decreased the Portfolio’s position in TOPIX Banks Index futures, transitioning to a broader position in the Japanese equity market during February 2016 because of our bullish view on Japanese equities, which we believed were undervalued. As greater risks emerged relative to our outlook on the Japanese economy and Japan’s financial sector, we continued to reduce the Portfolio’s position in TOPIX Banks Index futures and eliminated the position by the end of the Reporting Period. |
| | The Portfolio’s currency-related exposures were based on our views of global monetary policy and economic growth divergence. During the Reporting Period, we maintained the Portfolio’s long position in the U.S. dollar because of our positive view of U.S. economic growth and on our expectation of further accommodative monetary policy from the BoJ, ECB and the People’s Bank of China. At the end of 2015, we reduced the Portfolio’s long U.S. dollar relative value positions versus other developed market currencies, specifically those of Europe and Japan, taking profits. In February 2016, we expressed our bearish view on the Chinese renminbi through the purchase of longer-dated forward foreign exchange contracts on the renminbi versus the U.S. dollar. During March 2016, in our efforts to manage risk, we eliminated the Portfolio’s position in the Mexican peso versus the U.S. dollar. |
| | Separately, the Portfolio entered into positions to capture our views on the energy market based on our core view that oil prices would stabilize towards the end of 2016 and into 2017. In November 2015, we removed the Portfolio’s tactical long position in the S&P GSCI® Crude Oil Enhanced Index versus its tactical short position in the S&P GSCI® Crude Oil Index to take profits. In addition, we rolled the Portfolio’s tactical long position in S&P 500® Energy Index put options out to January 2017. Our investment thesis for Master Limited Partnerships (“MLPs”) remained unchanged during the Reporting Period, and therefore, the Portfolio maintained a long position in MLP securities. |
| Q | | How did the Portfolio use derivatives and similar instruments during the Reporting Period? |
| A | | The Portfolio used derivatives and similar instruments as part of its investment strategy to express views implemented in the Portfolio. Positions were mostly supported by cash held in the Portfolio specifically to cover its exposure to derivative instruments and any potential margin calls or future losses experienced. During the Reporting Period, the Portfolio employed equity futures, currency forwards and options to express active investment views with greater versatility across regional equity markets, global market sectors and the currency markets. The use of currency forwards detracted from performance, driven primarily by the Portfolio’s position in the Chinese renminbi versus the U.S. dollar. The impact of equity futures and options did not have a meaningful impact on performance during the Reporting Period. To afford greater risk management precision, options on equity indices were also utilized to tactically adjust the amount of equity risk and downside risk in the Portfolio. Options on equity indices had a slightly negative impact on the Portfolio’s performance, especially those we used to express our views on select European markets, such as Spain and Italy. While the options on equity indices that we used to hedge the Portfolio’s exposure to the U.S. equity market also detracted slightly, they served their intended purpose of mitigating potential downside risk in the Portfolio. Additionally, the Portfolio employed swaps to express our views on the shape of the WTI crude oil futures price curve, as we sought to profit when contango in the oil market steepened. (Contango is when the forward price continues to rise relative to the expected spot price.) The Portfolio’s use of these swaps had a strongly positive impact on performance during the Reporting Period. Also, during the Reporting Period, the Portfolio utilized interest rate swaptions (options on interest rate swap contracts) to adopt an underweight duration position in the front-end, or short-term segment, of the U.S. Treasury yield curve. The use of |
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PORTFOLIO RESULTS
| | interest rate swaptions had a negative impact on Portfolio performance during the Reporting Period. |
| Q | | How was the Portfolio positioned at the end of the Reporting Period? |
| A | | In terms of its allocations at the end of the Reporting Period, the Portfolio had 19.26% of its total net assets invested in equity-related investments; 20.21% of its total net assets invested in fixed income-related investments; and 11.47% of its total net assets invested in currency-related investments. The Portfolio did not have any of its total net assets invested in commodity-related investments at the end of the Reporting Period. The Portfolio’s allocation to cash and cash equivalents was 49.06% of its total net assets at the end of the Reporting Period. In addition, the Portfolio maintained a position in cash and cash equivalents to cover the exposure of various derivatives positions. This represented 26.14% of the Portfolio’s accounting balance of cash, which totaled 75.20% at the end of the Reporting Period. The above sector breakout is inclusive of derivative exposure across all asset classes. |
| Q | | What is the Portfolio’s tactical asset allocation view and strategy for the months ahead? |
| A | | At the end of the Reporting Period, we continued to position the Portfolio in line with our view that the U.S. and global economies would avoid recession. We expect continued global economic growth, with the world economy likely, in our view, to expand in 2016 at a pace similar to 2015. Nevertheless, we do acknowledge more downside risk because of deterioration in certain economic data; the potential risk, though we consider it low, of a U.S. recession; the risk of a large currency devaluation or economic hard landing in China; the collapse of oil prices; and the potential impact of negative interest rates on European and U.S. banks. That said, and while global economic growth was weak during the first quarter of 2016, we note that near the end of the Reporting Period, certain data started to beat expectations, particularly in the U.S. U.S. manufacturing activity picked up, lessening fears of a slowdown that could tip the overall economy into recession, and we believe U.S. labor markets remained strong. In addition, financial conditions eased as the U.S. dollar weakened and riskier asset classes recovered from their selloff in early 2016. |
| | Looking ahead, we believed, at the end of the Reporting Period, that continued market volatility was likely to offer attractive tactical opportunities, which should allow us to take advantage of different market, economic and geopolitical dynamics. At an asset class level, we believed the global equities markets, particularly those in select developed countries, may offer attractive earnings growth, an increasingly stable macro environment and continued monetary policy support. In keeping with this view, we plan to continue monitoring opportunities in the fixed income and currency markets as well. |
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PORTFOLIO RESULTS
Index Definitions
The S&P 500® Index is a U.S. stock market index based on the market capitalizations of 500 large companies having common stock listed on the New York Stock Exchange or NASDAQ. The S&P 500® Index components and their weightings are determined by S&P Dow Jones Indices.
The S&P GSCI® Enhanced Index measures the total return available to investors holding a modified version of the S&P GSCI® Index to which certain dynamic, timing, and seasonal rolling rules are applied. The index includes the same futures contracts as the S&P GSCI® Index although contract months vary and the return values differ.
The S&P GSCI® Crude Oil Index provides investors with a reliable and publicly available benchmark for investment performance in the crude oil market.
The EURO STOXX 50 provides a blue-chip representation of super-sector leaders in the Eurozone. The index covers 50 stocks from 12 Eurozone countries: Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain.
The TOPIX Banks Index is an index of bank stocks created by dividing the constituents of TOPIX (Tokyo Stock Price Index) into the industrial sectors defined by Japans’ Security Identification Code Committee.
The S&P 500® Energy Index comprises those companies included in the S&P 500 that are classified as members of the GICS® energy sector.
5
FUND BASICS
Tactical Tilt Overlay Fund
as of April 30, 2016
| | | | | | | | | | |
| | PERFORMANCE REVIEW | |
| | | November 1, 2015–April 30, 2016 | | Portfolio Total Return
(based on NAV)1 | | | The Bank of America
Merrill Lynch U.S. Dollar
Three-Month LIBOR
Constant Maturity Index2 | |
| | | Institutional | | | -4.19 | % | | | 0.22 | % |
| | 1 | | The net asset value (“NAV”) represents the net assets of the class of the Portfolio (ex-dividend) divided by the total number of shares of the class outstanding. The Portfolio’s performance assumes the reinvestment of dividends and other distributions. The Portfolio’s performance does not reflect the deduction of any applicable sales charges. |
| | 2 | | The Bank of America Merrill Lynch U.S. Dollar Three-Month LIBOR Constant Maturity Index (the “Index”) tracks the performance of a synthetic asset paying LIBOR to a stated maturity. The Index is based on the assumed purchase at par of a synthetic instrument having exactly its stated maturity and with a coupon equal to that day’s fixing rate. That issue is assumed to be sold the following day (priced at a yield equal to the current day fixing rate) and rolled into a new instrument. |
| | | | | | | | | | | | |
| | STANDARDIZED TOTAL RETURNS3 |
| | | For the period ended 3/31/16 | | One Year | | | Since Inception | | | Inception Date |
| | | Institutional | | | -7.30 | % | | | -1.06 | % | | 7/31/14 |
| | 3 | | The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. Because Institutional Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares.
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FUND BASICS
| | | | | | | | | | |
| | EXPENSE RATIOS4 | |
| | | | | Net Expense Ratio (Current) | | | Gross Expense Ratio (Before Waivers) | |
| | | Institutional | | | 0.86 | % | | | 1.15 | % |
| | 4 | | The expense ratios of the Portfolio, 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 Portfolio and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to a contractual arrangement, the Portfolio’s waivers and/or expense limitations will remain in place through at least February 26, 2017, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Portfolio’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
|
| PORTFOLIO COMPOSITION5 |
| As of April 30, 2016 |
| | 5 | | The percentage shown for each investment category reflects the value of investments in that category as a percentage of the Portfolio’s net assets. Short-term investments represent repurchase agreements. The graph depicts the Portfolio’s investments but may not represent the Portfolio’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. |
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GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Consolidated Schedule of Investments
April 30, 2016 (Unaudited)
| | | | | | | | | | | | | | |
Principal Amount | | | Interest
Rate | | | Maturity
Date | | | Value | |
| | | | | | | | | | | | | | |
| | Corporate Obligations – 10.4% | |
| | Energy – Exploration & Production – 6.2% | |
| Antero Resources Corp.(a) | |
| $ | 14,000,000 | | | | 5.375 | % | | | 11/01/21 | | | $ | 13,562,500 | |
| Berry Petroleum Co. LLC(a) | |
| | 15,024,000 | | | | 6.375 | | | | 09/15/22 | | | | 3,774,780 | |
| Bonanza Creek Energy, Inc.(a) | |
| | 7,250,000 | | | | 6.750 | | | | 04/15/21 | | | | 2,827,500 | |
| California Resources Corp.(a) | |
| | 17,229,000 | | | | 8.000 | (b) | | | 12/15/22 | | | | 11,758,792 | |
| | 2,013,000 | | | | 6.000 | | | | 11/15/24 | | | | 835,395 | |
| Carrizo Oil & Gas, Inc.(a) | |
| | 8,600,000 | | | | 7.500 | | | | 09/15/20 | | | | 8,675,250 | |
| | 6,950,000 | | | | 6.250 | | | | 04/15/23 | | | | 6,689,375 | |
| Chaparral Energy, Inc.(a)(c) | |
| | 11,500,000 | | | | 8.250 | | | | 09/01/21 | | | | 3,162,500 | |
| Concho Resources, Inc.(a) | |
| | 13,950,000 | | | | 5.500 | | | | 04/01/23 | | | | 14,054,625 | |
| Continental Resources, Inc.(a) | |
| | 4,550,000 | | | | 7.125 | | | | 04/01/21 | | | | 4,629,625 | |
| | 8,900,000 | | | | 3.800 | | | | 06/01/24 | | | | 7,565,000 | |
| CrownRock LP/CrownRock Finance, Inc.(a)(b) | |
| | 2,750,000 | | | | 7.125 | | | | 04/15/21 | | | | 2,791,250 | |
| | 7,450,000 | | | | 7.750 | | | | 02/15/23 | | | | 7,673,500 | |
| Denbury Resources, Inc.(a) | |
| | 17,950,000 | | | | 5.500 | | | | 05/01/22 | | | | 11,532,875 | |
| | 3,150,000 | | | | 4.625 | | | | 07/15/23 | | | | 1,842,750 | |
| Devon Energy Corp.(a) | |
| | 5,450,000 | | | | 2.250 | | | | 12/15/18 | | | | 5,243,445 | |
| Diamondback Energy, Inc.(a) | |
| | 7,500,000 | | | | 7.625 | | | | 10/01/21 | | | | 7,968,750 | |
| Endeavor Energy Resources LP/EER Finance, Inc.(a)(b) | |
| | 7,000,000 | | | | 8.125 | | | | 09/15/23 | | | | 6,895,000 | |
| EP Energy LLC/Everest Acquisition Finance, Inc.(a) | |
| | 9,050,000 | | | | 9.375 | | | | 05/01/20 | | | | 5,905,125 | |
| | 1,450,000 | | | | 6.375 | | | | 06/15/23 | | | | 804,750 | |
| Gulfport Energy Corp.(a) | |
| | 11,250,000 | | | | 7.750 | | | | 11/01/20 | | | | 11,362,500 | |
| Halcon Resources Corp.(a)(b) | |
| | 7,650,000 | | | | 8.625 | | | | 02/01/20 | | | | 6,349,500 | |
| Jones Energy Holdings LLC/Jones Energy Finance Corp.(a) | |
| | 13,850,000 | | | | 6.750 | | | | 04/01/22 | | | | 9,383,375 | |
| Laredo Petroleum, Inc.(a) | |
| | 10,750,000 | | | | 7.375 | | | | 05/01/22 | | | | 10,535,000 | |
| | 2,950,000 | | | | 6.250 | | | | 03/15/23 | | | | 2,750,875 | |
| Matador Resources Co.(a) | |
| | 8,500,000 | | | | 6.875 | | | | 04/15/23 | | | | 8,521,250 | |
| MEG Energy Corp.(a)(b) | |
| | 16,050,000 | | | | 6.500 | | | | 03/15/21 | | | | 12,599,250 | |
| Memorial Production Partners LP/Memorial Production Finance
Corp.(a) |
|
| | 7,650,000 | | | | 7.625 | | | | 05/01/21 | | | | 3,213,000 | |
| Newfield Exploration Co. | |
| | 4,050,000 | | | | 5.625 | | | | 07/01/24 | | | | 4,120,875 | |
| | 3,100,000 | | | | 5.375 | (a) | | | 01/01/26 | | | | 3,069,000 | |
| Oasis Petroleum, Inc.(a) | |
| | 21,100,000 | | | | 6.875 | | | | 03/15/22 | | | | 18,884,500 | |
| | |
| | | | | | | | | | | | | | |
| | Corporate Obligations – (continued) | |
| | Energy – Exploration & Production – (continued) | |
| Paramount Resources Ltd.(a)(b) | |
| $ | 10,650,000 | | | | 6.875 | % | | | 06/30/23 | | | $ | 8,253,750 | |
| Parsley Energy LLC/Parsley Finance Corp.(a)(b) | |
| | 7,550,000 | | | | 7.500 | | | | 02/15/22 | | | | 7,993,562 | |
| Range Resources Corp.(a) | |
| | 4,950,000 | | | | 5.000 | | | | 08/15/22 | | | | 4,603,500 | |
| | 4,850,000 | | | | 4.875 | | | | 05/15/25 | | | | 4,492,313 | |
| Rice Energy, Inc.(a) | |
| | 9,050,000 | | | | 6.250 | | | | 05/01/22 | | | | 8,925,562 | |
| Seven Generations Energy Ltd.(a)(b) | |
| | 2,750,000 | | | | 8.250 | | | | 05/15/20 | | | | 2,835,938 | |
| | 6,800,000 | | | | 6.750 | | | | 05/01/23 | | | | 6,698,000 | |
| SM Energy Co.(a) | |
| | 8,350,000 | | | | 6.500 | | | | 11/15/21 | | | | 7,682,000 | |
| | 7,850,000 | | | | 6.125 | | | | 11/15/22 | | | | 7,084,625 | |
| Vanguard Natural Resources LLC/VNR Finance Corp.(a)(b) | |
| | 3,645,000 | | | | 7.000 | | | | 02/15/23 | | | | 1,211,963 | |
| Whiting Petroleum Corp. | |
| | 2,100,000 | | | | 1.250 | (b) | | | 04/01/20 | | | | 1,585,500 | |
| | 10,800,000 | | | | 5.750 | (a) | | | 03/15/21 | | | | 9,018,000 | |
| | 13,000,000 | | | | 6.250 | (a) | | | 04/01/23 | | | | 10,855,000 | |
| WPX Energy, Inc.(a) | |
| | 15,450,000 | | | | 6.000 | | | | 01/15/22 | | | | 13,866,375 | |
| | 3,400,000 | | | | 8.250 | | | | 08/01/23 | | | | 3,230,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 317,318,000 | |
| | |
| | Energy – Services – 1.6% | |
| Atwood Oceanics, Inc.(a) | |
| | 2,900,000 | | | | 6.500 | | | | 02/01/20 | | | | 1,899,500 | |
| CVR Refining LLC/Coffeyville Finance, Inc.(a) | |
| | 5,386,000 | | | | 6.500 | | | | 11/01/22 | | | | 4,753,145 | |
| Forum Energy Technologies, Inc.(a) | |
| | 4,172,000 | | | | 6.250 | | | | 10/01/21 | | | | 3,806,950 | |
| FTS International, Inc.(a)(b)(d) | |
| | 600,000 | | | | 8.134 | | | | 06/15/20 | | | | 438,000 | |
| Noble Holding International Ltd. | |
| | 8,300,000 | | | | 4.625 | | | | 03/01/21 | | | | 6,702,250 | |
| Pride International, Inc. | |
| | 5,150,000 | | | | 8.500 | | | | 06/15/19 | | | | 5,175,750 | |
| | 1,550,000 | | | | 6.875 | | | | 08/15/20 | | | | 1,445,375 | |
| Rowan Cos., Inc. | |
| | 2,235,000 | | | | 7.875 | | | | 08/01/19 | | | | 2,270,898 | |
| | 7,350,000 | | | | 5.400 | (a) | | | 12/01/42 | | | | 4,814,250 | |
| Sunoco LP/Sunoco Finance Corp.(a)(b) | |
| | 7,500,000 | | | | 5.500 | | | | 08/01/20 | | | | 7,518,750 | |
| | 2,350,000 | | | | 6.375 | | | | 04/01/23 | | | | 2,391,125 | |
| Tesoro Corp.(a) | |
| | 1,200,000 | | | | 5.375 | | | | 10/01/22 | | | | 1,206,000 | |
| | 5,200,000 | | | | 5.125 | | | | 04/01/24 | | | | 5,200,000 | |
| Transocean, Inc. | |
| | 2,400,000 | | | | 3.750 | | | | 10/15/17 | | | | 2,316,000 | |
| | 23,350,000 | | | | 6.375 | | | | 12/15/21 | | | | 19,030,250 | |
| Weatherford International Ltd. | |
| | 4,100,000 | | | | 5.125 | | | | 09/15/20 | | | | 3,772,000 | |
| | 14,100,000 | | | | 4.500 | (a) | | | 04/15/22 | | | | 12,443,250 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 85,183,493 | |
| | |
| | |
| 8 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
| | | | | | | | | | | | | | |
Principal Amount | | | Interest
Rate | | | Maturity
Date | | | Value | |
| | | | | | | | | | | | | | |
| | Corporate Obligations – (continued) | |
| | Pipelines – 2.6% | |
| AmeriGas Finance LLC/AmeriGas Finance Corp.(a) | |
| $ | 11,950,000 | | | | 7.000 | % | | | 05/20/22 | | | $ | 12,547,500 | |
| Blue Racer Midstream LLC/Blue Racer Finance Corp.(a)(b) | |
| | 18,400,000 | | | | 6.125 | | | | 11/15/22 | | | | 16,284,000 | |
| EnLink Midstream Partners LP(a) | |
| | 2,350,000 | | | | 4.400 | | | | 04/01/24 | | | | 2,032,750 | |
| | 1,150,000 | | | | 4.150 | | | | 06/01/25 | | | | 983,250 | |
| Genesis Energy LP/Genesis Energy Finance Corp.(a) | |
| | 14,750,000 | | | | 6.000 | | | | 05/15/23 | | | | 13,643,750 | |
| MPLX LP(a)(b) | |
| | 12,800,000 | | | | 4.875 | | | | 06/01/25 | | | | 12,288,000 | |
| Sabine Pass Liquefaction LLC(a) | |
| | 26,400,000 | | | | 5.625 | | | | 04/15/23 | | | | 25,740,000 | |
| Targa Resources Partners LP/Targa Resources Partners Finance
Corp.(a) |
|
| | 15,050,000 | | | | 5.250 | | | | 05/01/23 | | | | 14,448,000 | |
| | 4,650,000 | | | | 6.750 | (b) | | | 03/15/24 | | | | 4,719,750 | |
| Tesoro Logistics LP/Tesoro Logistics Finance Corp.(a) | |
| | 10,600,000 | | | | 6.250 | | | | 10/15/22 | | | | 10,865,000 | |
| Williams Partners LP | |
| | 15,900,000 | | | | 5.250 | | | | 03/15/20 | | | | 15,820,500 | |
| | 4,000,000 | | | | 4.125 | (a) | | | 11/15/20 | | | | 3,760,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 133,132,500 | |
| | |
| | TOTAL CORPORATE OBLIGATIONS | | | | | |
| | (Cost $541,933,262) | | | $ | 535,633,993 | |
| | |
| | | | | | | | | | | | | | |
| | Bank Loans(e) – 0.1% | |
| | Energy – 0.1% | |
| American Energy – Marcellus LLC | |
| $ | 2,650,000 | | | | 8.500 | % | | | 08/04/21 | | | $ | 318,000 | |
| CITGO Holding, Inc. | |
| | 2,060,139 | | | | 9.500 | | | | 05/12/18 | | | | 2,060,139 | |
| Magnum Hunter Resources, Inc. | |
| | 760,121 | | | | 9.000 | | | | 09/16/16 | | | | 752,520 | |
| | 2,534,692 | | | | 0.000 | (c) | | | 10/22/19 | | | | 1,237,766 | |
| | |
| | TOTAL BANK LOANS | | | | | |
| | (Cost $7,452,252) | | | $ | 4,368,425 | |
| | |
| | | | | | | | |
| Shares | | | Description | | Value | |
| | | | | | | | |
| | Exchange Traded Funds – 6.4% | |
| | 13,886,230 | | | Alerian MLP ETF | | $ | 169,550,868 | |
| | 4,890,286 | | | SPDR S&P Bank ETF | | | 158,689,781 | |
| | |
| | TOTAL EXCHANGE TRADED FUNDS | | | | |
| | (Cost $322,907,770) | | $ | 328,240,649 | |
| | |
| | | | | | | | | | | | | | |
Notional
Amount | | | Exercise Price | | | Expiration
Date | | | Value | |
| | | | | | | | | | | | | | |
| | Option Contracts Purchased – 0.4% | |
| | Currency Options – 0.2% | |
| JPMorgan Securities, Inc. | |
| Put CNH 3,785,869,270 | |
| | Call USD | | | | | | | | | | | | | |
| | 579,322,000 | | | | CNH 6.535 | | | | 10/31/16 | | | $ | 11,412,064 | |
| | |
| | | | | | | | | | | | | | |
Notional
Amount | | | Exercise Rate | | | Expiration
Date | | | Value | |
| | |
| | Interest Rate Swaptions – 0.1% | |
| Citibank NA Call – OTC 2 year Interest Rate Swap | |
| | 249,320,000 | | | | 1.486 | % | | | 08/05/16 | | | $ | 2,516,711 | |
| Citibank NA Put – OTC 2 year Interest Rate Swap | |
| | 249,320,000 | | | | 1.486 | | | | 08/05/16 | | | | 45,351 | |
| | |
| | TOTAL INTEREST RATE SWAPTIONS | | | $ | 2,562,062 | |
| | |
| | | | | | | | | | | | | | |
| Contracts | | | Exercise Price | | | Expiration
Date | | | Value | |
| | |
| | Options on Equities – 0.1% | |
| Morgan Stanley & Co. Call – Euro Stoxx 50 Indices | |
| | 179 | | | | EUR 3,109.380 | | | | 05/31/16 | | | $ | 4,694,304 | |
| | |
| TOTAL OPTION CONTRACTS
PURCHASED – 0.4% |
| | | | |
| | (Cost $37,492,763) | | | $ | 18,668,430 | |
| | |
| | | | | | | | |
| Shares | | Distribution
Rate | | | Value | |
| | | | | | | | |
| Investment Companies(f) – 78.0% | |
Goldman Sachs Financial Square Government Fund – FST Institutional Shares(d) | |
| 3,499,513,700 | | | 0.250 | % | | $ | 3,499,513,700 | |
Goldman Sachs High Yield Floating Rate Fund – Institutional Shares | |
| 34,674,388 | | | 4.36 | | | | 333,220,870 | |
Goldman Sachs High Yield Fund – Institutional Shares | |
| 25,858,634 | | | 5.96 | | | | 160,582,118 | |
| |
| TOTAL INVESTMENT COMPANIES | |
| (Cost $4,011,615,457) | | | $ | 3,993,316,688 | |
| |
| TOTAL INVESTMENTS – 95.3% | |
| (Cost $4,921,401,504) | | | $ | 4,880,228,185 | |
| |
OTHER ASSETS IN EXCESS OF LIABILITIES – 4.7% | | | | 241,877,562 | |
| |
| NET ASSETS – 100.0% | | | $ | 5,122,105,747 | |
| |
| | |
| 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. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 9 |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Consolidated Schedule of Investments (continued)
April 30, 2016 (Unaudited)
| | |
(b) | | 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 $120,285,630, which represents approximately 2.4% of net assets as of April 30, 2016. |
(c) | | Security is currently in default and/or non-income producing. |
(d) | | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on April 30, 2016. |
(e) | | 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 April 30, 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. |
(f) | | Represents affiliated funds. |
| | |
|
Currency Abbreviations: |
CNH | | —Chinese Yuan Renminbi Offshore |
EUR | | —Euro |
USD | | —U.S. Dollar |
| | |
Investment Abbreviations: |
ETF | | —Exchange Traded Fund |
LIBOR | | —London Interbank Offered Rate |
LLC | | —Limited Liability Company |
LP | | —Limited Partnership |
OTC | | —Over the Counter |
PLC | | —Public Limited Company |
|
|
| ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At April 30, 2016, the Portfolio had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency
Purchased | | | Currency
Sold | | | Current
Value | | | Settlement
Date | | | Unrealized
Loss | |
Morgan Stanley & Co.
International PLC | | USD | | | 276,217,128 | | | CNH | | | 1,872,254,241 | | | $ | 283,602,076 | | | | 02/17/17 | | | $ | (7,384,947 | ) |
| | USD | | | 133,326,635 | | | CNH | | | 935,052,881 | | | | 137,866,410 | | | | 02/14/18 | | | | (4,539,774 | ) |
| | | USD | | | 155,427,437 | | | EUR | | | 142,300,000 | | | | 163,171,865 | | | | 06/15/16 | | | | (7,744,428 | ) |
| TOTAL | | | | | | $ | (19,669,149 | ) |
| | |
| 10 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS — At April 30, 2016, the Portfolio had the following futures contracts:
| | | | | | | | | | | | | | |
| Type | | Number of
Contracts
Long | | | Expiration
Date | | Current
Value | | | Unrealized
Gain (Loss) | |
Euro Stoxx 50 Index | | | 9,248 | | | June 2016 | | $ | 315,247,216 | | | $ | (511,700 | ) |
IBEX 35 Index | | | 3,025 | | | May 2016 | | | 311,913,162 | | | | 19,915,795 | |
Topix Index | | | 630 | | | June 2016 | | | 78,542,763 | | | | (1,386,808 | ) |
| TOTAL | | | $ | 18,017,287 | |
SWAP CONTRACTS — At April 30, 2016, the Portfolio 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) | |
| $ | 803,364 | | | 08/09/18 | | 2.236% | | 3 month LIBOR | | $ | 11,833,482 | | | $ | 8,069,861 | |
| | 1,357,407 | | | 08/09/18 | | 3 month LIBOR | | 1.486% | | | 1,247 | | | | (13,452,336 | ) |
| | TOTAL | | $ | 11,834,729 | | | $ | (5,382,475 | ) |
| | (a) | | Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to April 30, 2016. |
WRITTEN OPTIONS CONTRACTS — At April 30, 2016, the Portfolio had following written options currency activities:
WRITTEN OPTION CURRENCY CONTRACTS
| | | | | | | | | | | | | | | | | | |
| Counterparty | | Description | | | Notional Amount (000s) | | Expiration Date | | | Strike Price | | | Value | |
JPMorgan Securities, Inc. | | | Call USD/Put CNH | | | $579,322 | | | 10/31/16 | | | | CNH 7.00 | | | $ | (3,606,859 | ) |
(Premium received $7,855,606) | | | | | | | �� | | | | | | | | | | | |
WRITTEN OPTION CURRENCY CONTRACTS — For the period ended April 30, 2016, the Portfolio had the following written options currency activities:
| | | | | | | | |
| | | Notional
Amount
(000s) | | | Premiums
Received | |
Contracts Outstanding October 31, 2015 | | $ | 828,909 | | | $ | 15,048,703 | |
Contracts Written | | $ | 46,723 | | | | 1,343,286 | |
Options Bought to Close | | | (296,310 | ) | | | (8,536,383 | ) |
Contracts Outstanding April 30, 2016 | | $ | 579,322 | | | $ | 7,855,606 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 11 |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Consolidated Schedule of Investments (continued)
April 30, 2016 (Unaudited)
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER OPTIONS ON EQUITIES CONTRACTS
| | | | | | | | | | | | | | | | | | |
| Counterparty | | Description | | Contracts | | | Expiration
Date | | | Exercise
Price | | | Value | |
Citibank, NA | | Put - SPDR Energy Select Sector ETF | | | 4,816,781 | | | | 01/20/17 | | | $ | 55.61 | | | $ | (9,879,459 | ) |
Deutsche Bank AG | | Call - S&P 500 Index | | | 151,009 | | | | 12/30/16 | | | | 2,100.00 | | | | (12,138,909 | ) |
Morgan Stanley & Co. | | Call - Euro Stoxx 50 Indices | | | 178,605 | | | | 05/31/16 | | | EUR | 3,327.04 | | | | (232,060 | ) |
| TOTAL (Premium Received $24,503,049) | | | 5,146,395 | | | | | | | | | | | $ | (22,250,428 | ) |
CENTRALLY CLEARED OPTIONS ON EQUITIES CONTRACTS
| | | | | | | | | | | | | | | | |
| Description | | Contracts | | | Expiration
Date | | | Exercise
Price | | | Value | |
Put - FTSE/MIB Index | | | 418 | | | | 06/17/16 | | | | EUR 22,000.00 | | | $ | (4,561,354 | ) |
Put - FTSE/MIB Index | | | 2,610 | | | | 06/17/16 | | | | 21,500.00 | | | | (24,760,398 | ) |
| TOTAL (Premium Received $17,277,962) | | | 3,028 | | | | | | | | | | | $ | (29,321,752 | ) |
OPTIONS ON EQUITIES CONTRACTS — For the period ended April 30, 2016, the Portfolio had the following written equity options activity:
| | | | | | | | |
| | | Contracts | | | Premiums
Received | |
Contracts Outstanding October 31, 2015 | | | 5,671,242 | | | $ | 58,733,878 | |
Contracts Written | | | 17,807,083 | | | | 45,798,337 | |
Contracts Bought Back | | | (6,883,924 | ) | | | (6,298,012 | ) |
Contracts Expired | | | (11,444,978 | ) | | | (56,453,192 | ) |
Contracts Outstanding April 30, 2016 | | | 5,149,423 | | | $ | 41,781,011 | |
WRITTEN INTEREST RATE SWAPTION CONTRACTS
| | | | | | | | | | | | | | | | | | |
| Counterparty | | Description | | Notional
Amount
(000s) | | | Expiration
Date | | | Strike
Price | | | Value | |
Credit Suisse International (London) | | Put - OTC 2 year Interest Rate Swap | | | 803,364 | | | | 08/05/16 | | | | 2.236 | % | | $ | (321 | ) |
| | | Call - OTC 2 year Interest Rate Swap | | | 803,364 | | | | 08/05/16 | | | | 2.236 | | | | (19,906,717 | ) |
| TOTAL (Premium Received $14,661,393) | | | 1,606,728 | | | | | | | | | | | $ | (19,907,038 | ) |
INTEREST RATE SWAPTION CONTRACTS — For the period ended April 30, 2016, the Portfolio had no interest rate swaption activity.
| | |
| 12 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Consolidated Statement of Assets and Liabilities(a)
April 30, 2016 (Unaudited)
| | | | | | |
| | | | | | |
| | Assets: | | | | |
| | Investments of unaffiliated issuers, at value (cost $909,786,047) | | $ | 886,911,497 | |
| | Investments of affiliated issuers, at value (cost $4,011,615,457) | | | 3,993,316,688 | |
| | Cash | | | 76,855,507 | |
| | Foreign currencies, at value (cost $1,496,420) | | | 1,525,483 | |
| | Receivables: | | | | |
| | Collateral on certain derivative contracts(b) | | | 196,483,194 | |
| | Investments sold | | | 68,588,627 | |
| | Fund shares sold | | | 15,280,642 | |
| | Dividends and interest | | | 14,004,296 | |
| | Foreign tax reclaims | | | 93,958 | |
| | Reimbursement from investment adviser | | | 8,052 | |
| | Other assets | | | 160,020 | |
| | Total assets | | | 5,253,227,964 | |
| | | | | | |
| | Liabilities: | | | | |
| | Unrealized loss on forward foreign currency exchange contracts | | | 19,669,149 | |
| | Variation margin on certain derivative contracts | | | 15,765,738 | |
| | Written option contracts, at value (premium received $64,298,010) | | | 75,086,077 | |
| | Payables: | | | | |
| | Collateral on certain derivative contracts | | | 8,490,000 | |
| | Fund shares redeemed | | | 6,221,516 | |
| | Investments purchased | | | 3,323,560 | |
| | Management fees | | | 2,185,442 | |
| | Transfer Agency fees | | | 164,270 | |
| | Accrued expenses | | | 216,465 | |
| | Total liabilities | | | 131,122,217 | |
| | | | | | |
| | Net Assets: | | | | |
| | Paid-in capital | | | 5,437,768,911 | |
| | Undistributed net investment income | | | 21,146,335 | |
| | Accumulated net realized loss | | | (277,853,495 | ) |
| | Net unrealized loss | | | (58,956,004 | ) |
| | NET ASSETS | | $ | 5,122,105,747 | |
| | Shares Outstanding $0.001 par value (unlimited shares authorized): | | | 538,379,825 | |
| | Net asset value, offering and redemption price per share: | | | $9.51 | |
| | (a) | | Statement of Assets and Liabilities for the Portfolio is consolidated and includes the balances of a wholly-owned subsidiary, Cayman Commodity – TTIF, Ltd. Accordingly, all interfund balances and transactions have been eliminated. |
| | (b) | | Includes amounts segregated for initial margin requirements and/or collateral on futures, options, forward foreign currency exchange contracts and swap transactions of $69,770,000, $50,584,337, $33,530,000 and $42,598,857, respectively. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 13 |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Consolidated Statement of Operations(a)
For the Six Months Ended April 30, 2016 (Unaudited)
| | | | | | |
| | | | | | |
| | Investment income: | |
| | Dividends — affiliated issuers | | $ | 22,115,610 | |
| | Dividends — unaffiliated issuers (net of foreign withholding taxes of $4,049) | | | 5,530,174 | |
| | Interest | | | 22,520,383 | |
| | Total investment income | | | 50,166,167 | |
| | | | | | |
| | Expenses: | |
| | Management fees | | | 16,793,988 | |
| | Transfer Agency fees | | | 947,021 | |
| | Custody, accounting and administrative services | | | 159,247 | |
| | Professional fees | | | 83,471 | |
| | Printing and mailing costs | | | 51,572 | |
| | Prime Broker Fees | | | 36,141 | |
| | Trustee fees | | | 16,134 | |
| | Other | | | 43,582 | |
| | Total expenses | | | 18,131,156 | |
| | Less — expense reductions | | | (4,683,904 | ) |
| | Net expenses | | | 13,447,252 | |
| | NET INVESTMENT INCOME | | | 36,718,915 | |
| | | | | | |
| | Realized and unrealized gain (loss): | |
| | Net realized gain (loss) from: | | | | |
| | Investments — unaffiliated issuers | | | (144,145,626 | ) |
| | Investments — affiliated issuers | | | (36,691,595 | ) |
| | Futures contracts | | | (59,060,850 | ) |
| | Written option contracts | | | (58,103,163 | ) |
| | Swap contracts | | | 19,779,172 | |
| | Forward foreign currency exchange contracts | | | 8,325,287 | |
| | Foreign currency transactions | | | (345,170 | ) |
| | Net change in unrealized gain (loss) on: | | | | |
| | Investments — unaffiliated issuers | | | 73,192,001 | |
| | Investments — affiliated issuers | | | 12,990,638 | |
| | Futures contracts | | | 13,393,944 | |
| | Written option contracts | | | (23,440,061 | ) |
| | Swap contracts | | | (3,318,897 | ) |
| | Forward foreign currency exchange contracts | | | (27,220,394 | ) |
| | Foreign currency translation | | | 184,749 | |
| | Net realized and unrealized loss | | | (224,459,965 | ) |
| | NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | (187,741,050 | ) |
| | (a) | | Statement of Operations for the Portfolio is consolidated and includes the balances of a wholly-owned subsidiary, Cayman Commodity – TTIF, Ltd. Accordingly, all interfund balances and transactions have been eliminated. |
| | |
| 14 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Consolidated Statements of Changes in Net Assets(a)
| | | | | | | | | | |
| | | | | For the
Six Months Ended
April 30, 2016
(Unaudited) | | | For the Fiscal
Year Ended
October 31, 2015 | |
| | From operations: | |
| | Net investment income | | $ | 36,718,915 | | | $ | 56,995,143 | |
| | Net realized gain (loss) | | | (270,241,945 | ) | | | 170,768,120 | |
| | Net change in unrealized gain | | | 45,781,980 | | | | (108,783,001 | ) |
| | Net increase (decrease) in net assets resulting from operations | | | (187,741,050 | ) | | | 118,980,262 | |
| | | | | | | | | | |
| | Distributions to shareholders: | |
| | From net investment income | | | (216,014,287 | ) | | | (21,152,095 | ) |
| | | | | | | | | | |
| | From share transactions: | |
| | Proceeds from sales of shares | | | 1,057,025,394 | | | | 3,261,513,640 | |
| | Reinvestment of distributions | | | 216,014,287 | | | | 21,045,722 | |
| | Cost of shares redeemed | | | (411,838,326 | ) | | | (238,278,749 | ) |
| | Net increase in net assets resulting from share transactions | | | 861,201,355 | | | | 3,044,280,613 | |
| | TOTAL INCREASE | | | 457,446,018 | | | | 3,142,108,780 | |
| | | | | | | | | | |
| | Net assets: | |
| | Beginning of period | | | 4,664,659,729 | | | | 1,522,550,949 | |
| | End of period | | $ | 5,122,105,747 | | | $ | 4,664,659,729 | |
| | Undistributed net investment income | | $ | 21,146,335 | | | $ | 200,441,707 | |
| | (a) | | Statement of Changes in Net Assets for the Portfolio is consolidated and includes the balances of a wholly owned subsidiary, Cayman Commodity – TTIF Ltd. Accordingly, all interfund balances and transactions have been eliminated. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 15 |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Consolidated Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Income (loss) from
investment operations | | | | |
| | | Year - Share Class | | Net asset
value,
beginning
of period | | | Net
investment
income(a) | | | Net realized
and unrealized
gain (loss) | | | Total from
investment
operations | | | Distributions
to shareholders
from net
investment
income | |
| | FOR THE SIX MONTHS ENDED APRIL 30, (Unaudited) | | | | | | | | | | | | | | | | | |
| | 2016 - Institutional Shares | | $ | 10.40 | | | $ | 0.07 | | | $ | (0.50 | ) | | $ | (0.43 | ) | | $ | (0.46 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | FOR THE FISCAL YEAR ENDED OCTOBER 31, | | | | | | | | | | | | | | | | | | | | |
| | 2015 - Institutional Shares | | | 9.87 | | | | 0.18 | | | | 0.46 | | | | 0.64 | | | | (0.11 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | FOR THE PERIOD ENDED OCTOBER 31, | | | | | | | | | | | | | | | | | | | | |
| | 2014 - Institutional Shares (Commenced operations July 31, 2014) | | | 10.00 | | | | 0.04 | | | | (0.17 | ) | | | (0.13 | ) | | | — | |
| | (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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| | (c) | | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| | (d) | | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| | |
| 16 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TACTICAL TILT OVERLAY 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(c) | | | | | Ratio of
total expenses
to average
net assets(c) | | | | | Ratio of
net investment
income
to average
net assets | | | | | Portfolio
turnover
rate(d) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 9.51 | | | | | | (4.19 | )% | | | | $ | 5,122,106 | | | | | | 0.57 | %(e) | | | | | 0.77 | %(e) | | | | | 1.55 | %(e) | | | | | 35 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 10.40 | | | | | | 6.57 | | | | | | 4,664,660 | | | | | | 0.52 | | | | | | 0.79 | | | | | | 1.77 | | | | | | 81 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 9.87 | | | | | | (1.30 | ) | | | | | 1,522,551 | | | | | | 0.63 | (e) | | | | | 0.86 | (e) | | | | | 1.63 | (e) | | | | | 45 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 17 |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Notes to Financial Statements
April 30, 2016 (Unaudited)
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. Goldman Sachs Tactical Tilt Overlay Fund (the “Portfolio”) is a non-diversified fund and currently offers one class of shares — Institutional Shares (effective June 1, 2016, the Goldman Sachs Tactical Tilt Implementation Fund was renamed the Goldman Sachs Tactical Tilt Overlay Fund). The Portfolio commenced operations on July 31, 2014. Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman, Sachs & Co. (“Goldman Sachs”), serves as investment adviser to the Portfolio 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. Basis of Consolidation for the Goldman Sachs Tactical Tilt Overlay Fund — The Cayman Commodity – TTIF, Ltd. (the “Subsidiary”), a Cayman Islands exempted company, was incorporated on July 31, 2014 and is currently a wholly-owned subsidiary of the Portfolio. The Subsidiary acts as an investment vehicle for the Portfolio to enable the Portfolio to gain exposure to certain types of commodity-linked derivative instruments. The Portfolio is the sole shareholder of the Subsidiary pursuant to a subscription agreement dated as of July 31, 2014, and it is intended that the Portfolio will remain the sole shareholder and will continue to control the Subsidiary. Under the Memorandum and Articles of Association of the Subsidiary, shares issued by the Subsidiary confer upon a shareholder the right to vote at general meetings of the Subsidiary and certain rights in connection with any winding-up or repayment of capital, as well as the right to participate in the profits or assets of the Subsidiary. All inter-fund balances and transactions have been eliminated in consolidation. As of April 30, 2016, the Portfolio’s net assets were $5,122,105,747, of which, $359,483,086, or 7.0%, represented the Subsidiary’s net assets.
B. Investment Valuation — The Portfolio’s valuation policy is to value investments at fair value.
C. 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.
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 Statement 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.
D. Expenses — Expenses incurred directly by the Portfolio are charged to the Portfolio, and certain expenses incurred by the Trust that may not solely relate to the Portfolio are allocated to the Portfolio and the other applicable funds of the Trust on a straight-line and/or pro-rata basis depending upon the nature of the expenses, and are accrued daily.
E. Federal Taxes and Distributions to Shareholders — It is the Portfolio’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 Portfolio is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Distributions from net investment income and distributions from net capital gains, if any, are declared and paid annually.
18
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
|
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
The Subsidiary is classified as a controlled foreign corporation under the Code. Therefore, the Portfolio is required to increase its taxable income by its share of the Subsidiary’s income. Net losses of the Subsidiary cannot be deducted by the Portfolio in the current period nor carried forward to offset taxable income in future periods.
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.
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 Portfolio’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 Portfolio’s net assets on the Consolidated 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 Portfolio is 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 Consolidated 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.
|
| 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 Portfolio’s 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 Portfolio, 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 Portfolio’s 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.
19
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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.
Underlying Funds (including Money Market Funds) — Underlying Funds (“Underlying Funds”) include other investment companies and ETFs. Investments in the Underlying Funds (except ETFs) are valued at the NAV per share of the Institutional Share class (the FST Share class for Money Market Funds) on the day of valuation. ETFs are valued daily at the last sale price or official closing price on the principal exchange or system on which the investment is traded. Because the Portfolio invests in Underlying Funds that fluctuate in value, the Portfolio’s shares will correspondingly fluctuate in value. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.
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”). The Portfolio’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, the Portfolio 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. The Portfolio 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 the Portfolio having a direct contractual relationship with the borrower, and the Portfolio may be permitted to enforce compliance by the borrower with the terms of the loan agreement.
Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. The Portfolio enters into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers.
20
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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 the Portfolio 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.
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, the Portfolio deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by the Portfolio 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 the Portfolio 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 the Portfolio, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.
iv. Swap Contracts — Bilateral swap contracts are agreements in which the Portfolio and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the OTC market and payments are settled through direct payments between the Portfolio and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”) (“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, the Portfolio 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.
21
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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.
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 Portfolio’s investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining the Portfolio’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.
C. Fair Value Hierarchy — The following is a summary of the Portfolio’s investments and derivatives classified in the fair value hierarchy as of April 30, 2016:
| | | | | | | | | | | | |
| |
| GOLDMAN SACHS TACTICAL TILT OVERLAY FUND | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| Assets | |
Fixed Income | | | | | | | | | | | | |
Corporate Obligations | | $ | — | | | $ | 535,633,993 | | | $ | — | |
Bank Loans | | | — | | | | 3,615,905 | | | | 752,520 | |
Exchange Traded Funds | | | 328,240,649 | | | | — | | | | — | |
Investment Companies | | | 3,993,316,688 | | | | — | | | | — | |
| Total | | $ | 4,321,557,337 | | | $ | 539,249,898 | | | $ | 752,520 | |
| | | |
| Derivative Type | | | | | | | | | |
| Assets | | | | | | | | | | | | |
Options Purchased | | $ | — | | | $ | 18,668,430 | | | $ | — | |
Futures Contracts(a) | | | 19,915,795 | | | | — | | | | — | |
Interest Rate Swap Contracts(a) | | | — | | | | 8,069,861 | | | | — | |
| Total | | $ | 19,915,795 | | | $ | 26,738,291 | | | $ | — | |
| Liabilities | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts(a) | | $ | — | | | $ | (19,669,149 | ) | | $ | — | |
Futures Contracts(a) | | | (1,898,508 | ) | | | — | | | | — | |
Interest Rate Swap Contracts(a) | | | — | | | | (13,452,336 | ) | | | — | |
Written Options Contracts | | | (29,321,752 | ) | | | (45,764,325 | ) | | | — | |
| Total | | $ | (31,220,260 | ) | | $ | (78,885,810 | ) | | $ | — | |
| (a) | | Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Consolidated Schedule of Investments.
22
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
|
| 4. INVESTMENTS IN DERIVATIVES |
The following table sets forth, by certain risk types, the gross value of derivative contracts as of April 30, 2016. These instruments were used as part of the Portfolio’s investment strategies and to obtain and/or manage exposure related to the risks below. The values in the table below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Portfolio’s net exposure.
| | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | |
| Risk | | Consolidated Statements of Assets and Liabilities | | Assets | | | Consolidated Statements of Assets and Liabilities | | Liabilities | |
Interest rate | | Variation margin on certain derivative contracts; Investments, at value | | $ | 10,631,923 | (a) | | Variation margin on certain derivative contracts; Written Options, at value | | $ | (33,359,374) | (a) |
Currency | | Receivable for unrealized gain on forward foreign currency exchange contracts; Investments, at value | | | 11,412,064 | | | Payable for unrealized loss on forward foreign currency exchange contracts; Written Options, at value | | | (23,276,008) | |
Equity | | Variation margin on certain derivative contracts; Investments, at value | | | 24,610,099 | (a) | | Variation margin on certain derivative contracts; Written Options, at value | | | (53,470,688) | (a) |
| Total | | | | $ | 46,654,086 | | | | | $ | (110,106,070) | |
| (a) | | Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information sections of the Consolidated Schedule of Investments. Only current day’s variation margin is reported within the Consolidated Statement of Assets and Liabilities. |
The following table sets forth, by certain risk types, the Portfolio’s gains (losses) related to these derivatives and their indicative volumes for the six months ended April 30, 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 Consolidated Statements of Operations:
| | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | | | |
| Risk | | Consolidated 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 and swap contracts/Net change in unrealized gain (loss) on investments and swap contracts | | $ | — | | | $ | (3,084,141 | ) | | | 182 | |
| Credit | | Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts | | | (286,209 | ) | | | (143,234 | ) | | | 1 | |
| Currency | | Net realized gain (loss) from investments and forward foreign currency exchange contracts /Net change in unrealized gain (loss) on investments and forward foreign currency exchange contracts | | | 8,325,287 | | | | 13,393,944 | | | | 17 | |
| Equity | | Net realized gain (loss) from investments and futures contracts/Unrealized gain (loss) on investments, futures contracts and written options | | | (122,283,692 | ) | | | (50,660,455 | ) | | | 11,234 | |
| Commodity | | Net realized gain (loss) from investments and swap contracts/Unrealized gain (loss) on investments and swap contracts | | | 20,065,381 | | | | (91,522 | ) | | | 1 | |
| Total | | | | | (94,179,233 | ) | | $ | (40,585,408 | ) | | | 11,435 | |
| (a) | | Average number of contracts is based on the average of month end balances for the six months ended April 30, 2016. |
23
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 4. INVESTMENTS IN DERIVATIVES (continued) |
In order to better define its contractual rights and to secure rights that will help the Portfolio mitigate its counterparty risk, the Portfolio 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 the Portfolio 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 the Portfolio and the counterparty. Additionally, the Portfolio 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 the Portfolio and cash collateral received from the counterparty, if any, is reported separately on the Statement of Assets and Liabilities as receivables/payables for collateral on certain derivative contracts. Non-cash collateral pledged by the Portfolio, if any, is noted in the Schedule 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 the Portfolio from its counterparties are not fully collateralized, contractually or otherwise, the Portfolio bears the risk of loss from counterparty nonperformance. The Portfolio 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 table sets forth the Portfolio’s net exposure for derivative instruments that are subject to enforceable master netting arrangements or similar agreements as of April 30, 2016:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Derivative Assets(1) | | | Derivative Liabilities(1) | | | Net Derivative
Asset
(Liabilities) | | | Collateral
(Received)
Pledged(1) | | | Net
Amount(2) | |
| Counterparty | | Options
Purchased | | | Total | | | Forward
Currency
Contracts | | | Options
Written | | | Total | | | | |
Citibank NA | | $ | 2,562,062 | | | $ | 2,562,062 | | | $ | — | | | $ | (9,879,459 | ) | | $ | (9,879,459 | ) | | $ | (7,317,397 | ) | | $ | — | | | $ | (7,317,397 | ) |
Credit Suisse International (London) | | | — | | | | — | | | | — | | | | (19,907,038 | ) | | | (19,907,038 | ) | | | (19,907,038 | ) | | | 18,860,000 | | | | (1,047,038 | ) |
Deutsche Bank AG | | | — | | | | — | | | | — | | | | (12,138,909 | ) | | | (12,138,909 | ) | | | (12,138,909 | ) | | | 12,138,909 | | | | — | |
JPMorgan Securities, Inc. | | | 11,412,064 | | | | 11,412,064 | | | | — | | | | (3,606,859 | ) | | | (3,606,859 | ) | | | 7,805,205 | | | | (7,805,205 | ) | | | — | |
Morgan Stanley & Co. | | | 4,694,304 | | | | 4,694,304 | | | | — | | | | (232,060 | ) | | | (232,060 | ) | | | 4,462,244 | | | | — | | | | 4,462,244 | |
Morgan Stanley & Co. International PLC | | | — | | | | — | | | | (19,669,149 | ) | | | — | | | | (19,669,149 | ) | | | (19,669,149 | ) | | | 19,669,149 | | | | — | |
Total | | $ | 18,668,430 | | | $ | 18,668,430 | | | $ | (19,669,149 | ) | | $ | (45,764,325 | ) | | $ | (65,433,474 | ) | | $ | (46,765,044 | ) | | $ | 42,862,853 | | | $ | (3,902,191 | ) |
| (1) | | Gross amounts available for offset but not netted in the Statement of Assets and Liabilities. |
24
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
|
| 4. INVESTMENTS IN DERIVATIVES (continued) |
| (2) | | Net amount represents the net amount due (to) from counterparty in the event of a default based on the contractual set-off rights under the agreement. Net amount excludes any over-collateralized amounts. |
| | |
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS | | |
A. Management Agreement — Under the Agreement, GSAM manages the Portfolio, 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 Portfolio’s business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of the Portfolio’s average daily net assets.
For the six months ended April 30, 2016, contractual and effective net management fees with GSAM were at the following rates:
| | | | | | | | | | | | | | | | | | | | | | |
| Contractual Management Fee Rate | | | | |
First
$2 billion | | | Next
$3 billion | | | Next
$3 billion | | | Over
$8 billion | | | Effective
Management
Fee Rate | | | Effective Net
Management
Fee Rate*^(a) | |
| | 0.75% | | | | 0.68% | | | | 0.64% | | | | 0.62% | | | | 0.72% | | | | 0.51% | |
| * | | GSAM has agreed to waive a portion of its management fee payable by the Portfolio in an amount equal to any management fee it earns as an investment adviser to any of the affiliated funds in which the Portfolio invests through at least February 26, 2017. Prior to such date GSAM may not terminate the arrangement without the approval of the Trustees. |
| ^ | | Effective Net Management Rate includes the impact of management fee waivers of affiliated underlying funds, if any. |
| (a) | | Reflects combined management fees paid to GSAM under the Agreement and the Subsidiary Agreement as defined below after waivers. |
The Portfolio invests in the FST Shares of the Goldman Sachs Financial Square Government Fund and the Institutional Shares of the Goldman Sachs High Yield Floating Rate and the Goldman Sachs High Yield Funds, which are affiliated Underlying Funds. GSAM has agreed to waive a portion of its management fee payable by the Portfolio in an amount equal to the management fee it earns as an investment adviser to any of the affiliated Underlying Funds in which the Portfolio invests. For the six months ended April 30, 2016, GSAM waived $2,988,478 of the Portfolio’s management fee.
GSAM also provides management services to the Subsidiary pursuant to a Subsidiary Management Agreement (the “Subsidiary Agreement”) and is entitled to a management fee accrued daily and paid monthly, equal to an annual percentage rate of 0.42% of the Subsidiary’s average daily net assets. In consideration of the Subsidiary’s management fee, and for as long as the Subsidiary Agreement remains in effect, GSAM has contractually agreed to waive irrevocably a portion of the Portfolio’s management fee in an amount equal to the management fee paid to GSAM by the Subsidiary under the Subsidiary Agreement. For the six months ended April 30, 2016, GSAM waived $746,558 of the Portfolio’s management fee. This waiver represents an inter-fund transaction and, accordingly, has been eliminated in consolidation.
B. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Portfolio 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 of 0.04% of the average daily net assets of Institutional Shares.
C. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to limit certain “Other Expenses” of the Portfolio (excluding acquired (underlying) fund fees and expenses, transfer agency fees and expenses, taxes, dividend and interest expenses on short sales, interest, brokerage fees, shareholder meeting, litigation, indemnification and extraordinary expenses) to the extent such expenses exceed, on an annual basis, 0.164% of the average daily net assets of the Portfolio. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Portfolio is not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. This “Other Expense” limitation will remain in place through at least February 29, 2016 and prior to such date GSAM may not terminate the arrangement without the approval of the Trustees. In addition, the Portfolio has entered into certain offset arrangements with the transfer agent, which may result in a reduction of the Portfolio’s expenses and are received irrespective of the application of the “Other Expense” limitations described above.
25
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the six months ended April 30, 2016, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
| | | | | | | | | | |
Management
Fees Waivers | | | Other Expense
Reimbursements | | | Total Expense
Reductions | |
| $ | 4,635,103 | | | $ | 48,801 | | | $ | 4,683,904 | |
D. Line of Credit Facility — As of April 30, 2016, the Portfolio participated in a $1,205,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and registered investment companies having management agreements with GSAM or its affiliates (“Other Borrowers”). 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 Portfolio based on the amount of the commitment that has not been utilized. For the six months ended April 30, 2016, the Portfolio did not have any borrowings under the facility. The facility was renewed in the amount of $1,100,000,000 effective May 3, 2016.
E. Other Transactions with Affiliates — For the six months ended April 30, 2016, Goldman Sachs earned $143,164 in brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant, on behalf of the Portfolio.
The table below shows the transactions in and earnings from investments in the Underlying Funds for the six months ended April 30, 2016:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Underlying Fund | | Market Value 10/31/15 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Net Realized
Gain (Loss) | | | Net Change
in Unrealized
Gain (Loss) | | | Market Value 4/30/16 | | | Dividend
Income | |
Goldman Sachs Financial Square Government Fund | | $ | 2,658,651,455 | | | $ | 2,019,561,248 | | | $ | (1,178,699,003 | ) | | $ | — | | | $ | — | | | $ | 3,499,513,700 | | | $ | 16,974,657 | |
Goldman Sachs High Yield Floating Rate Fund | | | 438,324,024 | | | | 38,233,450 | | | | (140,342,086 | ) | | | (6,429,174 | ) | | | 3,434,656 | | | | 333,220,870 | | | | 2,917,112 | |
Goldman Sachs High Yield Fund | | | 412,820,199 | | | | 10,402,844 | | | | (241,934,485 | ) | | | (30,262,421 | ) | | | 9,555,981 | | | | 160,582,118 | | | | 2,223,841 | |
Total | | $ | 3,509,795,678 | | | $ | 2,068,197,542 | | | $ | (1,560,975,574 | ) | | $ | (36,691,595 | ) | | $ | 12,990,637 | | | $ | 3,993,316,688 | | | $ | 22,115,610 | |
|
| 6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended April 30, 2016, were $541,491,865 and $867,835,029, respectively.
26
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
As of the Portfolio’s most recent fiscal year-end, October 31, 2015, the Portfolio’s capital loss carryforwards on a tax basis were as follows:
| | | | |
Capital loss carryforwards: | | | | |
Perpetual Short-Term | | $ | (4,976,930 | ) |
Perpetual Long-Term | | | (7,354,178 | ) |
Total capital loss carryforwards | | $ | (12,331,108 | ) |
As of April 30, 2016, the Portfolio’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
| | | | |
Tax Cost | | $ | 4,931,301,818 | |
Gross unrealized gain | | | 34,260,665 | |
Gross unrealized loss | | | (85,334,298 | ) |
Net unrealized gains (losses) on securities | | $ | (51,073,633 | ) |
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, foreign currency contracts and swap contracts, and differences in the tax treatment of swap transactions, and underlying portfolio investments.
GSAM has reviewed the Portfolio’s tax positions for all open tax years (the current and prior fiscal years), and has concluded that no provision for income tax is required in the Portfolio’s financial statements. These open tax years remain subject to examination and adjustment by tax authorities.
The Portfolio’s 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 also 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 — The Portfolio that invests in foreign securities may hold such securities and cash with foreign banks, agents, and securities depositories appointed by the Portfolio’s custodian (each a “Foreign Custodian”). Some foreign custodians may be recently organized or new to the foreign custody business. In some countries, Foreign Custodians may be subject to little or no regulatory oversight over, or independent evaluation of, their operations. Further, the laws of certain countries may place limitations on the Portfolio’s ability to recover its assets if a Foreign Custodian enters bankruptcy.
27
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 8. OTHER RISKS (continued) |
Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by the Portfolio 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 may be expected to increase in the future with unpredictable effects on the markets and the Portfolio’s investments.
Investments in Other Investment Companies — As a shareholder of another investment company, including an exchange-traded fund (“ETF”), the Portfolio will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Portfolio. 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.
Investments in the Underlying Funds — The Portfolio invests in Underlying Funds, and is subject to the risk factors associated with the investments of those Underlying Funds in direct proportion to the amount of assets allocated to each. As of April 30, 2016, the Portfolio invested 68.3%, 3.1% and 6.5% of its net assets in the Goldman Sachs Financial Square Government Fund (the “FSQ Government Fund”), Goldman Sachs High Yield Fund (the “High Yield Fund”) and the Goldman Sachs High Yield Floating Rate Fund (the “High Yield Floating Rate Fund”), respectively. Because of the high concentration of its assets in these Underlying Funds, the Portfolio has significant exposure to the risks associated with these Underlying Funds. The FSQ Government Fund intends to be a government money market fund which invests at least 99.5% of its net assets in cash, U.S. Government Securities, and/or repurchase agreements that are collateralized fully. The High Yield Fund invests, under normal circumstances, at least 80% of its Net Assets in high-yield, fixed income securities that, at the time of purchase, are non-investment grade securities. Under normal market conditions, the High Yield Fund may invest up to 20% of its Net Assets in investment grade fixed income securities, including securities issued or guaranteed by the U.S. government, its agencies, instrumentalities or sponsored enterprises. The High Yield Fund may also invest in derivatives, including credit default swap indices, interest rate futures and swaps. The High Yield Floating Rate Fund invests, under normal circumstances, at least 80% of its Net Assets in domestic or foreign floating rate loans and other floating or variable rate obligations rated below investment grade. Under normal conditions, the High Yield Floating Rate Fund may invest up to 20% of its Net Assets in fixed income instruments, regardless of rating, including fixed rate corporate bonds, government bonds, convertible debt obligations, and mezzanine fixed income instruments. The High Yield Floating Rate Fund may also invest in floating or variable rate instruments that are rated investment grade, and in preferred stock, repurchase agreements, cash securities, and derivative instruments such as credit default swaps on credit and loan indices and forward contracts, among others.
The Portfolio does not invest in the Underlying Funds for the purpose of exercising management or control; however, investments by the Portfolio within its principal investment strategies may represent a significant portion of an Underlying Fund’s net assets.
Large Shareholder Transactions Risk — The Portfolio may experience adverse effects when certain large shareholders, such as other funds, institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include the Portfolio in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of the Portfolio. Such
28
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
|
| 8. OTHER RISKS (continued) |
large shareholder redemptions may cause the Portfolio to sell portfolio securities at times when it would not otherwise do so, which may negatively impact the Portfolio’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in the Portfolio’s current expenses being allocated over a smaller asset base, leading to an increase in the Portfolio’s expense ratio. Similarly, large Portfolio share purchases may adversely affect the Portfolio’s performance to the extent that the Portfolio 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. Borrowing and the use of derivatives may result in leverage and may make the Portfolio more volatile. When the Portfolio uses leverage, the sum of that Portfolio’s investment exposure may significantly exceed the amount of assets invested in the Portfolio, although these exposures may vary over time. Relatively small market movements may result in large changes in the value of a leveraged investment. The Portfolio 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 Portfolio to liquidate portfolio positions to satisfy its obligations or to meet segregation requirements when it may not be advantageous to do so. The use of leverage by the Portfolio can substantially increase the adverse impact to which the Portfolio’s investment portfolio may be subject.
Liquidity Risk — The Portfolio 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 the Portfolio 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, the Portfolio may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. Liquidity risk may be the result of, among other things, the reduced number and capacity of traditional market participants to make a market in fixed income securities or the lack of an active market. The potential for liquidity risk may be magnified by a rising interest rate environment or other circumstances where investor redemptions from fixed income mutual funds may be higher than normal, potentially causing increased supply in the market due to selling activity.
Market and Credit Risks — In the normal course of business, the Portfolio trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Portfolio 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 Portfolio has unsettled or open transactions defaults.
Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of more or less foreign government regulation, less public information and less economic, political and social stability in the countries in which the Portfolio invests. Loss may also result from the imposition of exchange controls, confiscations and other government restrictions by the U.S. 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 Portfolio 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 Portfolio also invests in securities of issuers located in emerging markets, these risks may be more pronounced.
29
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Notes to Financial Statements (continued)
April 30, 2016 (Unaudited)
|
| 8. OTHER RISKS (continued) |
Non-Diversification Risk — The Portfolio is non-diversified, meaning that it is permitted to invest a larger percentage of its assets in fewer issuers than diversified mutual funds. Thus, the Portfolio 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 the Portfolio’s ability to invest a large percentage of its 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 Portfolio’s investments more than if its investments were not so concentrated.
Short Position Risk — The Portfolio may enter into a short position through a futures contract, an option or swap agreement or through short sales of any instrument that the Portfolio may purchase for investment. Taking short positions involves leverage of the Portfolio’s assets and presents various risks. If the value of the underlying instrument or market in which the Portfolio has taken a short position increases, then the Portfolio 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.
Tax Risk — The Portfolio will seek to gain exposure to the commodity markets primarily through investments in the Subsidiary and/or commodity index-linked structured notes. Historically, the Internal Revenue Service (“IRS”) has issued private letter rulings (“PLRs”) in which the IRS specifically concluded that income and gains from investments in commodity index-linked structured notes or a wholly-owned foreign subsidiary that invests in commodity-linked instruments are “qualifying income” for purposes of compliance with Subchapter M of the Code. However, the Portfolio has not received such a PLR, and is not able to rely on PLRs issued to other taxpayers. Additionally, the IRS has suspended the granting of such PLRs, pending review of its position on this matter. In light of this, the Portfolio has obtained an opinion of counsel that its income from such investments should constitute “qualifying income.” However, no assurances can be provided that the IRS would not be able to successfully assert that the Portfolio’s income from such investments was not “qualifying income”, in which case the Portfolio would fail to qualify as a regulated investment company (“RIC”) under Subchapter M of the Code if over 10% of its gross income was derived from these investments. If the Portfolio failed to qualify as a RIC, it would be subject to federal and state income tax on all of its taxable income at regular corporate tax rates. This would significantly affect the returns to, and could cause substantial losses for, Portfolio shareholders.
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 Portfolio. Additionally, in the course of business, the Portfolio enters into contracts that contain a variety of indemnification clauses. The Portfolio’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Portfolio that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
Subsequent events after the Consolidated 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.
30
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
|
| 11. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | For the Six Months Ended
April 30, 2016
(Unaudited) | | | For the Fiscal Year Ended
October 31, 2015 | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
Shares sold | | | 110,961,964 | | | $ | 1,057,025,394 | | | | 315,239,101 | | | $ | 3,261,513,640 | |
Reinvestment of distributions | | | 22,361,727 | | | | 216,014,287 | | | | 2,125,831 | | | | 21,045,722 | |
Shares redeemed | | | (43,446,644 | ) | | | (411,838,326 | ) | | | (23,128,874 | ) | | | (238,278,749 | ) |
NET INCREASE | | | 89,877,047 | | | $ | 861,201,355 | | | | 294,236,058 | | | $ | 3,044,280,613 | |
31
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
| | |
Fund Expenses — Six Month Period Ended April 30, 2016 (Unaudited) | | |
As a shareholder of Institutional Shares of the Portfolio, you incur ongoing costs, including management fees; and other Portfolio expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio 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 November 1, 2015 through April 30, 2016, which represents a period of 182 out of 366 days.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual net expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s 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 Portfolio 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
| | | | | | | | | | | | |
| Share Class | | Beginning
Account Value
11/1/15 | | | Ending
Account Value
4/30/16 | | | Expenses Paid for the
6 months ended
4/30/16* | |
| Institutional | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 958.10 | | | | 2.78 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,022.03 | + | | | 2.87 | |
| | * | | Expenses for each share class are calculated using the Portfolio’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended April 30, 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 was 0.57%. | |
| | + | | Hypothetical expenses are based on the Portfolio’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. | |
32
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 FundsSM
| 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 FundsSM
| n | | Investor Money Market Fund |
| n | | Investor Tax-Exempt Money Market Fund3 |
Fixed Income
Short Duration and Government
| n | | High Quality Floating Rate Fund |
| n | | Limited Maturity Obligations Fund |
| n | | Short Duration Government Fund |
| n | | Short Duration Income Fund |
| n | | Inflation Protected Securities Fund |
Multi-Sector
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 | | 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 | | Small/Mid Cap Value 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 |
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 | | Emerging Markets Equity Fund6 |
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 | | 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 Overlay Fund8 |
| 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 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. |
| 8 | | Effective on June 1, 2016, the Goldman Sachs Tactical Tilt Implementation Fund was renamed the Goldman Sachs Tactical Tilt Overlay Fund. |
Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman, Sachs & Co.
| * | | This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds. |
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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, Principal Financial Officer, Senior Vice President and Treasurer Caroline L. Kraus, Secretary |
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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 Portfolio included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Portfolio in the future. These statements are based on Portfolio management’s predictions and expectations concerning certain future events and their expected impact on the Portfolio, 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 Portfolio. 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 Portfolio uses to determine how to vote proxies relating to portfolio securities and information regarding how the Portfolio voted proxies relating to portfolio securities for the most recent 12-month period ended June 30, are available (I) without charge, upon request by calling 1-800-526-7384; and (II) on the Securities and Exchange Commission (“SEC’’) web site at http://www.sec.gov.
The Portfolio files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Portfolio’s Forms N-Q are available on the SEC’s web site at http://www.sec.gov within 60 days after the Fund’s first and third fiscal quarters. The Portfolio’s 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).
Portfolio holdings and allocations shown are as of April 30, 2016 and may not be representative of future investments. Portfolio holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus or summary prospectus, if applicable. Investors should consider a fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about a fund and may be obtained from your authorized dealer or from Goldman, Sachs & Co. by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550).
© 2016 Goldman Sachs. All rights reserved. 51325-TMPL-06/2016 TACTSAR-16/1.5K
(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.
| | | | | | | | | | |
| | | 2015 | | | 2014 | | | Description of Services Rendered |
| | | |
| | | | | | | | | | |
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Audit Fees: | | | | | | | | | | |
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• PricewaterhouseCoopers LLP
(“PwC”) | | $ | 3,662,967 | | | $ | 3,539,534 | | | Financial Statement audits. |
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Audit-Related Fees: | | | | | | | | | | |
| | | |
• PwC | | $ | 138,000 | | | $ | 0 | | | Other attest services. |
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Tax Fees: | | | | | | | | | | |
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• PwC | | $ | 848,676 | | | $ | 794,850 | | | Tax compliance services provided in connection with the preparation and review of registrant’s tax returns. |
Table 2 — Items 4(b)(c) & (d). Non-Audit Services to the Goldman Sachs Trust’s service affiliates * that were pre-approved by the Audit Committee of the Goldman Sachs Trust pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X.
| | | | | | | | | | |
| | | 2015 | | | 2014 | | | Description of Services Rendered |
| | | |
| | | | | | | | | | |
| | | |
Audit-Related Fees: | | | | | | | | | | |
| | | |
• PwC | | $ | 1,653,616 | | | $ | 1,486,420 | | | Internal control review performed in accordance with Statement on Standards for Attestation Engagements No. 16 and semi annual updates relating to withholding tax accrual for non-US jurisdictions. 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 October 31, 2015 and October 31, 2014 were approximately $986,676 and $794,850 respectively. The aggregate non-audit fees billed to GST’s adviser and service affiliates by PwC for non-audit services for the twelve months ended December 31, 2014 and December 31, 2013 were approximately $10.2 million and $9.8 million respectively. The figures for these entities are not yet available for the twelve months ended December 31, 2015. With regard to the aggregate non-audit fees billed to GST’s adviser and service affiliates, the 2014 and 2013 amounts include fees for non-audit services required to be pre-approved [see Table 2] and fees for non-audit services that did not require pre-approval since they did not directly relate to GST’s operations or financial reporting.
Item 4(h) — GST’s Audit Committee has considered whether the provision of non-audit services to GST’s investment adviser and service affiliates that did not require pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the auditors’ independence.
| ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
| 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. |
| ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
| ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
| 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. |
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| (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. |
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| (a)(2) | | Exhibit 99.CERT | | Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 filed herewith. |
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| (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.
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| | | Goldman Sachs Trust |
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| By: | | /s/ James A. McNamara |
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| | James A. McNamara |
| | President/Chief Executive Officer |
| | Goldman Sachs Trust |
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| Date: | | July 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.
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| By: | | /s/ James A. McNamara |
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| | James A. McNamara |
| | President/Chief Executive Officer |
| | Goldman Sachs Trust |
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| Date: | | July 6, 2016 |
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| By: | | /s/ Scott McHugh |
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| | Scott McHugh |
| | Principal Financial Officer |
| | Goldman Sachs Trust |
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| Date: | | July 6, 2016 |
